Patents by Inventor Scott A Brusso

Scott A Brusso has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Settling over-the-counter derivatives using synthetic spot benchmark rates
    Patent number: 8010444
    Abstract: Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial instruments may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial instrument may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price.
    Type: Grant
    Filed: October 19, 2010
    Date of Patent: August 30, 2011
    Assignee: Chicago Mercantile Exchange, Inc.
    Inventors: Steven A Youngren, Derek Louis Sammann, John W. Labuszewski, David Joseph Schulz, Scott A Brusso
  • Settling over-the-counter derivatives using synthetic spot benchmark rates
    Patent number: 7840483
    Abstract: Techniques and systems for settling over-the-counter financial instruments includes sampling over a periodic interval are disclosed. A volume weighted average price of the sampled process may be calculated and forward points may be applied to the volume weighted average priced to determine an associated spot exchange rate. Such a synthetic spot FX exchange rate may be published to subscribers. Over-the-counter financial derivatives may establish delivery obligations according to the spot exchange rate. In the event where a number of transactions during the sampling period is less than a threshold, a midpoint of bids and asks associated with orders for the exchange traded financial derivative may be used to determine an average of the midpoint, to which the forward points may be applied to determine the spot exchange rate. Alternatively, the time-weighted average of the bid and ask orders during a periodic interval may be used in computing the volume-weighted average price.
    Type: Grant
    Filed: November 20, 2007
    Date of Patent: November 23, 2010
    Assignee: Chicago Mercantile Exchange, Inc.
    Inventors: Steven A Youngren, Derek Louis Sammann, John W. Labuszewski, David Joseph Schulz, Scott A Brusso