Bundled financial instruments

Abstract

Networks, systems and methods that match orders for bundled financial instruments are disclosed. In one example, the bundled financial instrument includes packaged underlying financial instruments that together provide an economic equivalent exposure to a long-term investment vehicle. The bundled financial instrument may include any set of contracts considered a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date. An open position for the bundled financial instrument is a function of the prices for each of the standardized contracts of the bundle and remains open from execution of the order to the earlier of a maturity of the bundled financial instrument, a conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or in the case where the bundled instrument is fractional size contract, when multiple bundles are converted to a single position of a corresponding full-sized instrument.

1 . A computer-assisted trading system, comprising:
 a data storage device configured to store information associated with open positions each associated with a bundled financial instrument, the bundled financial instrument including a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date, each standardized contract having an associated variable price, the open position of the bundled financial instrument being a function of the prices for each of the standardized contracts of the bundle and being convertible into constituent linear combination of a plurality of standardized contracts, the open position further remaining until the earlier of a maturity of the bundled financial instrument, conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or combination the bundled financial instrument with other bundled financial instruments to form a combined open position; and   a conversion module responsive to requests of holders of corresponding open positions to convert the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts.   
     
     
         2 . The system of  claim 1 , where at least one of the plurality of standardized contracts comprises a futures contract. 
     
     
         3 . The system of  claim 2 , where the plurality of standardized contracts comprises consecutive fractional-sized futures contracts each having a fixed weight with respect to a composition of the bundled financial instrument and each having a notional value that is a fraction of a corresponding full-sized standardized contract, the bundled financial instrument being fungible with the full-sized standardized contract. 
     
     
         4 . The system of  claim 3 , where bundled financial instruments decompose into constituent parts of the linear combination of a plurality of standardized contracts at maturity of the bundled financial instrument. 
     
     
         5 . The system of  claim 4  where maturity of the bundled financial instrument comprises an expiration of a leading contract of the plurality of fractional-sized futures contracts. 
     
     
         6 . The system of  claim 5  where a price of the bundled financial instrument is determined according to an average of prices of each of the constituent parts of the linear combination of the plurality of standardized contracts. 
     
     
         7 . A computerized system for post-trade handling of open positions for bundled financial instruments, the system comprising:
 means for determining an open position associated with a bundled financial instrument including a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date, each standardized contract having an associated variable price, the open position of the bundled financial instrument being a function of the prices for each of the standardized contracts of the bundle and being convertible into the constituent linear combination of a plurality of standardized contracts, the open position further remaining until the earlier of a maturity of the bundled financial instrument, conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or combination the bundled financial instrument with other bundled financial instruments to form a combined open position; and   means for converting an open position for a bundled financial instrument into open positions associated with each of the linear combination of a plurality of standardized contracts in response to a request of a holder of the open position.   
     
     
         8 . The system of  claim 7  where the plurality of standardized contracts comprises consecutive fractional-sized futures contracts each having a fixed weight with respect to a composition of the bundle and each having a notional value that is a fraction of a corresponding full-sized standardized contract. 
     
     
         9 . The system of  claim 8  further comprising:
 means for converting multiple bundled financial instruments into a single position substantially equivalent to a single full-sized standardized contract. 
 
     
     
         10 . The system of  claim 7 , comprising:
 means for converting the bundled financial instrument into constituent financial instruments at maturity of the bundled financial instrument.   
     
     
         11 . The system of  claim 7 , comprising:
 a means for determining the price of the bundled financial instrument based on a function of the prices of each of the constituent standardized contracts.   
     
     
         12 . The system of  claim 11 , where the plurality of financial instruments includes at least one selected from a group consisting of futures contracts, options, bonds, annuities, currencies, commodities, and combinations thereof. 
     
     
         13 . A system for processing positions for financial instruments comprising:
 a processor configured to process data associated with open positions associated with a bundled financial instrument including a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date, each standardized contract having an associated variable price, the open position of the bundled financial instrument being a function of the prices for each of the standardized contracts of the bundle and being convertible into the constituent linear combination of a plurality of standardized contracts, the open position further remaining until the earlier of a maturity of the bundled financial instrument, conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or combination of the bundled financial instrument with other bundled financial instruments to form a combined open position; and   a converter configured to convert a bundled financial instrument into a plurality of constituent financial instruments.   
     
     
         14 . The system of  claim 13 , where the converter is configured to convert in a predetermined manner the bundled financial instrument into the plurality of constituent financial instruments at the earlier of a request of the holder of the position associated with the bundled financial instrument or maturity of the bundled financial instrument. 
     
     
         15 . The system of  claim 14 , further comprising:
 a match engine module configured to match orders for bundled financial instruments; and   a central clearinghouse for the bundled financial instruments, the central clearinghouse clearing matched orders for bundled financial instruments and periodically providing confirmation of an open position associated the bundled financial instrument.   
     
     
         16 . The system of  claim 15 , further comprising a mark-to-market module configured to periodically determine a current open position associated with the bundled financial instrument accordingly. 
     
     
         17 . The system of  claim 16 , where the open position of the bundled financial instrument is determined according to an average price of the linear combination of a plurality of standardized contracts. 
     
     
         18 . The system of  claim 14 , where the central clearinghouse converts open positions for bundled financial instruments to the constituent linear combination of a plurality of standardized contracts at a request of the holder of the open position. 
     
     
         19 . The system of  claim 14 , where the plurality of standardized contracts comprises consecutive fractional-sized futures contracts each having a fixed weight with respect to a composition of the bundle and each having a notional value that is a fraction of a corresponding full-sized standardized contract and the central clearinghouse converts open positions for bundled financial instruments to a single position substantially equivalent to a single full-sized standardized contract at the request of the holder.