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WO2002009003A1 - Systeme et procede informatises de mise aux encheres - Google Patents

Systeme et procede informatises de mise aux encheres Download PDF

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Publication number
WO2002009003A1
WO2002009003A1 PCT/US2001/022952 US0122952W WO0209003A1 WO 2002009003 A1 WO2002009003 A1 WO 2002009003A1 US 0122952 W US0122952 W US 0122952W WO 0209003 A1 WO0209003 A1 WO 0209003A1
Authority
WO
WIPO (PCT)
Prior art keywords
bids
auction
price
bid
clearing
Prior art date
Application number
PCT/US2001/022952
Other languages
English (en)
Inventor
Ralph R. Cioffi
Leslie A. Fahrenkopf
Mark D. Feldman
Ranada R. Fergerson
Christian Gilles
Peter L. Herzig
John C. Maguire
Timothy A. O'neil
Robert H. Reinmann
Original Assignee
The Bear Stearns Companies, Inc.
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by The Bear Stearns Companies, Inc. filed Critical The Bear Stearns Companies, Inc.
Priority to AU2001277046A priority Critical patent/AU2001277046A1/en
Publication of WO2002009003A1 publication Critical patent/WO2002009003A1/fr

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G06Q30/08—Auctions

Definitions

  • the present invention relates to- computerized auctioning systems and methods, particularly for auctioning securities, such as bonds, or other fungible items.
  • auction systems available today which allow sellers to sell products, goods, or services to the highest bidder.
  • a seller will post a description of the item for sale and various bidders will then begin making competitive bids for the item during the auction process. The individual bids may be posted or kept secret.
  • the seller typically selects the highest price offered and sells the item to the bidder who made the highest offer.
  • Another example of such an "online" auction system such as the Onsale.com site, carries out so-called Dutch auctions.
  • multiple bidders bid on a quantity of similar items (e.g., 150 lap-top computers of the same make and model . )
  • Each bidder can bid for one or more items .
  • Bids are prioritized by price, quantity sought and time of entry of the bid.
  • the quantity of items is assigned to the successful bidders according to the ordering of the bids .
  • the present invention provides an auction system and method which can be implemented with a computerized system and/or over a communications network.
  • a host server i.e., a computer
  • the host server is coupled over a data communications network to a plurality of client computers so that bidders, at the client computers, may view information regarding the auction offering and then transmit their respective bids for some or all of the securities offered.
  • the host server will operate the auction for a predetermined time (i.e., the auction period) during which bids will be accepted. At the end of the auction period, the host will determine the successful bids and allocate the debt securities among the successful bidders.
  • bids are prioritized in terms of the price of each bid and the time of entry of each bid. All successful bidders pay the same price (the so-called “clearing price,” or in the case of debt securities, the "clearing spread") which the host computer determines, preferably substantially in real time, as the highest price (or lowest spread) that results in the total quantity of securities being purchased by the successful bidders being equal to the total amount offered.
  • all successful bidders who bid above the clearing price (or below the clearing spread) will receive the entire quantity requested by each.
  • Those successful bidders whose bids were at the clearing price will receive prorated quantities determined in accordance with the present invention.
  • the host server may continue the auction for a predetermined time limit after the normal auction period has ended.
  • the clearing price and amount bid may be updated accordingly.
  • FIG. 1 is a block diagram of an exemplary system in accordance with the present invention.
  • FIG. 2 is a flow chart illustrating an exemplary embodiment of an initial operating procedure in accordance with the present invention.
  • FIG. 3 is a flow chart illustrating an exemplary embodiment of an auction procedure in accordance with the present invention.
  • FIG. 4 is a flow chart illustrating an exemplary embodiment of a quiet close procedure in accordance with the present invention.
  • FIG. 5 is a flow chart illustrating an exemplary embodiment of an allocation procedure in accordance with the present invention.
  • FIG. 1 shows a block diagram of an exemplary embodiment of a computerized auctioning system in accordance with the present invention.
  • the system of Fig. 1 includes a host server 1 connected to various individual clients 3 by way of a data communications network 2, such as a local-area network, a wide-aread network, the Internet or the like.
  • the computerized auctioning system operates in accordance with a novel method for auctioning quantities of securities such as bonds.
  • the host server 1 may be a personal computer, a mainframe computer, or any other computerized unit capable of receiving, storing, retrieving, sending, and processing data, instructions, or information.
  • the host server 1 executes and maintains the auction system of the present invention.
  • the host server 1 may also maintain the site by which the auctioning system is accessed.
  • the host server 1 is typically operated and maintained by a third party such as an auctioneer, broker or underwriter which hosts auctions.
  • Each of the various individual clients 3 may be a personal computer, a mainframe computer, or any other computerized unit which is capable of receiving, storing, retrieving, sending, and processing data, instructions, or information.
  • the individual clients 3 represent any auction participant (e.g., bidder, issuer) or non-active participant (e.g. viewer) who may have access to the host server 1.
  • the exemplary embodiment disclosed relates to the auctioning of bonds.
  • Bonds are evidences of debt issued by a government or corporation (the "issuer") agreeing to the payment of the original investment plus interest, on specified future dates.
  • the value of a bond is typically referred to in terms of the bond's yield.
  • bids are usually specified in terms of a "spread” to a specific pricing index, such as the current, "on the run” ten-year United States treasury bond.
  • the spread may be thought of as a percentage above the current yield on a specific pricing index, and will be used in determining the price that a bidder would pay for the bond.
  • a bid for 100 million dollars worth of bonds maturing in one year at a spread of 105 indicates that the bidder seeks to purchase 100 million dollars worth of bonds which will yield 1.05% more than the specified pricing index (e.g., the yield of the ten-year United States treasury bond) .
  • the specified pricing index e.g., the yield of the ten-year United States treasury bond
  • an issuer of bonds would prefer bids with lower spreads over bids with higher spreads .
  • FIG. 2 shows a flow chart of an exemplary initial procedure carried out by the computerized auctioning system of the present invention prior to conducting an auction.
  • An auction participant such as an issuer of bonds, may access the system with a request 4 to set up an auction to sell a quantity of bonds.
  • the system creates (at 6) a file for the issuer with information from the issuer regarding the issuer and the contemplated offering. Such information may include the size of the offering (e.g. $500 million), the maturity date of the bonds (e.g., the year 2005), a range of yields (or spreads) that the issuer is willing to receive, the desired date of the auction, etc. Basically, any information that may be relevant to the conduct of the auction can be obtained from the issuer at this time.
  • the system will establish a minimum bid quantity or the maximum clearing spread that the issuer is willing to accept for the bonds offered. (As described below, the system can reject any bids with spreads that are above the maximum clearing spread or with quantities that are below the minimum bid quantity.)
  • identifying information regarding the issuer and any other information or disclosures required by law may also be obtained by the system at this time. The precise content of the information obtained from the issuer will depend on the nature of the offering and other considerations, as can be understood by those of ordinary skill in the art.
  • the system will already likely have some information regarding the issuer stored in its database 5.
  • the issuer may be given the opportunity (at 7) to update this information, as appropriate.
  • the relevant information regarding the issuer and the proposed offering is obtained and verified (at 8) and a decision is made to proceed with the auctioning of the issuer' s offering, any relevant or helpful information regarding the auction or information required by law is posted (at 9) on the auction site for display to any potential bidder with access to the site.
  • the system may, among other things, display that the issuer is offering $500 million worth of bonds, and that the auction period will begin and end at a particular time on a particular date.
  • the system also preferably maintains a database of pertinent information regarding bidders.
  • a bidder who has accessed the system of the present invention and viewed the posted information regarding a particular auction may desire to register with the host server 1 before the auction period so that he may bid for the securities offered.
  • the bidder would send a request 4 to the host server 1 from his client computer 3 over the data communications network 2 notifying the host server 1 that he wishes to be registered so that he may participate in the auction.
  • the system can require that the bidder register with the auction operator first (e.g., a securities broker or underwriter) and obtain a user ID and password before being given access to the auction system (or at least those portions of the auction system required for auction participation) .
  • the precise procedure for qualifying bidders and the information required will depend on the nature of the auction (e.g., securities vs. goods), regulatory requirements and other considerations, as can be understood by those of ordinary skill in the art.
  • the system Upon receiving the bidder's request for registration 4, the system accesses its database 5 to determine whether or not a file on the bidder exists. If so, and there is information which the bidder wishes to update (e.g. bidder's address), then the system will proceed to block 7 and update or process the bidder's information as requested. If not, the system will then create a new file for the bidder at block 6, and request from the bidder information which is pertinent to participating in the auction. Examples of such information include the bidder's name and address, the bidder's account information (assuming the bidder is trading in an account maintained by a broker conducting the auction) , or any other information relevant to the bidder' s participation in the auction.
  • information which the bidder wishes to update e.g. bidder's address
  • the system will proceed to block 7 and update or process the bidder's information as requested. If not, the system will then create a new file for the bidder at block 6, and request from the bidder information which is pertinent to participating in the auction. Examples
  • the system will then proceed to verify the information at block 8.
  • the verification step 8 which can be performed by a human operator, serves to ensure that the bidder is a legitimate party with the proper financial backing or credit to fulfill its bid commitment.
  • the system may reject the bidder's application if the bidder does not meet certain criteria, such as credit requirements.
  • the computerized auctioning system commences the auction at block 10 as show in Fig. 3.
  • the auction will proceed until the close of the auction period.
  • the auction period (e.g. 2 hours) can be specified by the issuer or the operator of the auction site.
  • the system will receive bids at block 11 from a plurality of bidders.
  • Each bidder will specify a selected quantity of the security that the bidder is willing to buy, and a price (or spread) that the bidder is willing to pay.
  • the host server 1 may receive a bid from bidder A for $100 million worth of bonds at a spread of 105 basis points above the pricing index.
  • the host server 1 may also receive a bid from bidder B for $150 million worth of bonds at a spread of 106 basis points above the pricing index, another bid from bidder C for $275 million worth of bonds at a spread of 107 basis points above the pricing index, and so on.
  • the host server 1 may also display all of the outstanding bids to the bidders so that bidders may increase/decrease their original bids if they choose to do so. Alternately, the server 1 may allow each bidder to see only his own outstanding bids.
  • the host server 1 also preferably keeps track of the time each bid is entered, such as by time-stamping each bid as it is received by the host server or by noting whether the bid was placed during a first period of the auction (a "Tier 1" bid) or during a second period of the auction (a "Tier 2" bid) .
  • the system checks, at block 12, to ensure that each bid meets the required parameters which the issuer (or auction operator) has originally set or that are otherwise imposed by the system. For example, the system may only accept bids at spreads below the maximum clearing spread set by the issuer. There may also be a mininum quantity required (e.g., $5,000) as well as an incremental unit in which quantities and spreads must be submitted (e.g., quantities must be submitted in multiples of $1,000 and spreads in one quarter point increments) . There also may be a limit on the number of times a bid may be changed by each bidder. If the bid fails to meet the preset criteria, the system will reject the bid at block 13 and notify the bidder of the rejection. If the bid meets the preset criteria, the system will then accept the bid at block
  • the system may also store each bid in a particular order, such as in descending or ascending order by bid price, quantity or time of bid.
  • the system determines the clearing price or clearing spread at block 15.
  • the clearing price is determined to be the highest price such that the total quantity bid at that price and higher equals or exceeds the available quantity of items offered for sale.
  • the clearing spread is the lowest spread such that the total quantity bid at that spread and lower equals or exceeds the available quantity of bonds.
  • the system would determine the clearing spread to be 107.
  • the host server 1 will then display each updated clearing spread at block 16 for all bidders to view at their client systems 3.
  • a bidder such as bidder E whose bid (108 points) exceeded the clearing spread (107 points) may revise his bid to offer a lower spread so as to improve his chances of entering a successful bid and thus receiving at least a portion of the quantity of bonds for which he has bid. Alternatively, such bidders may decide to remove their bids altogether.
  • the auction continues, with the computerized auctioning system continuing to receive bids at block 11 and following the logic in blocks 11-16 of FIG. 3.
  • the clearing spread is re-determined and may vary with each bid received.
  • the clearing spread (or price) is re- determined and re-displayed at block 16 in real-time. The total quantity bid at the clearing spread or below may also be displayed.
  • the system may include an optional facility by which a certain bid as designated by a particular bidder may be automatically adjusted by the system to meet the clearing spread or to stay at a specified increment below the clearing spread.
  • a bidder ensures that he will receive all or some of the quantity of securities for which he has bid.
  • bids that are automatically adjusted with this facility preferably maintain their original time stamp.
  • the regular auction period may be extended, if for example, the issuer determines to increase the quantity of the offering (e.g. from $500 million worth of bonds to $550 million worth of bonds) .
  • the issuer determines to increase the quantity of the offering (e.g. from $500 million worth of bonds to $550 million worth of bonds) .
  • system may terminate the auction at any time if certain market conditions change which would materially affect the auction.
  • the computerized auctioning system will display at block 17 the last clearing spread.
  • the system will then proceed to a "quiet close" period 18, during which it will receive, at block 19, changes in bids that have already been accepted.
  • the purpose of the quiet close is to improve the existing clearing spread by allowing bidders to lower their bid spreads below the last clearing spread.
  • the system upon receiving bid changes at block 19, the system will check at block 20 to determine whether the changed bids are better (i.e. lower spread) than the last clearing spread. If not, the system will reject the bid changes at block 21.
  • there may be certain requirements on the bid changes placed e.g., changes in spread must be at least a quarter basis point
  • a changed bid is better (e.g., lower spread) than the last clearing spread
  • the system will accept the changed bid at block 22, determine a new clearing spread at block 23 and display the. new clearing spread at block 24.
  • the system will accept valid bid changes for a predetermined period of time (e.g., two minutes) .
  • the system will check, at block 25, to determine whether the predetermined period of time has expired. If the predetermined time limit has not expired, the quiet close will continue as described in blocks 19-25.
  • the computerized auctioning system will then compare, at block 26, the last clearing spread of the regular auction period (as displayed at step 17) to the last clearing spread determined (at step 23) . If the last clearing spread determined is lower than the last clearing spread of the regular auction period by a predetermined amount (e.g., one basis point), the system will then continue the quiet close (blocks 19-26) for a further predetermined period of time (e.g., 2 minutes) . If not, then the system will formally close the auction at block 27. In this way, the quiet close is extended in time increments (e.g., 2 minutes) until the improvement in the clearing spread falls below the predetermined threshold (e.g., 1 basis point) .
  • the predetermined threshold e.g., 1 basis point
  • an overiding time limit (e.g., 1 hour) is preferably placed on the quiet close, after which the auction will be closed, regardless of the magnitude of improvement in the clearing spread.
  • the computerized auctioning system will then proceed to determine how the bonds will be allocated among the successful bids.
  • all bids that are below the clearing spread are successful bids and the quantities requested by each will be allocated completely to those bidders.
  • the system at block 29 will entirely fulfill the orders of bidders A ($100 million) and B ($150 million) , who bid at lower spreads of 105 and 106.
  • the computerized auctioning system will proceed to allocate the remaining quantity of bonds among those bids that were placed at the clearing spread.
  • the clearing quantity is allocated among those bids that were placed at the clearing spread.
  • Those bids are referred to as the clearing spread bids.
  • the clearing spread bids were placed by C and D with C bidding for $175 million of bonds and D bidding for $100 million of bonds.
  • the system in block 30 first divides up the clearing spread bids into two groups based on the timing of the bids .
  • first tier clearing spread bids bids that were placed within a first predetermined period (e.g., one hour, or the first half) of the regular auction period are referred to as first tier clearing spread bids. All subsequent bids are second tier clearing spread bids .
  • the computerized system of the preferred embodiment will then calculate in block 31 whether or not the aggregate quantity of the first tier clearing spread bids exceeds a predetermined portion (e.g., two thirds) of the clearing quantity. If the aggregate quantity of the first tier clearing spread bids does not exceed the predetermined portion of the clearing quantity, then the auction system will fulfill, at block 32, all of the first tier clearing spread bids in their entirety. The remaining amount may then be divided up evenly or in any other fashion (e.g., pro rata by quantity bid) among the second tier clearing spread bids at block 33.
  • the auctioning system will proceed to follow the logic in blocks 34-37 of FIG. 5.
  • the system at block 36 will allocate to the first tier clearing spread bids, as a group, a portion of the aggregate quantity of first tier clearing spread bids equal to Tl and to the second tier clearing spread bids, as a group, a portion of the aggregate quantity of second tier clearing spread bids equal to T2.
  • Each of the first tier clearing bidders will receive Tl of his bid and each of the second tier clearing bidders will receive T2 of his bid. If, however, Tl is less than T2, then the auctioning system will treat both tiers equally and allocate at block 36 the same portion of the aggregate quantity of all clearing bids to both first and second tier clearing spread bids. Namely, each clearing spread bidder would receive a portion T3 of his bid, where :
  • T3 (clearing quantity) / (aggregate quantity of 1st and 2nd tier clearing spread bids) .
  • T2 is greater than Tl
  • the system will then notify all bidders of their final allocation amounts. Written confirmation and payment can then be carried out in a conventional manner.
  • the system may be configured to fill the bids at a higher pro rata rate than those calculated according to the logic of blocks 34-36.
  • the logic of the present invention is not limited to the aforementioned ratios (e.g., 1/3, 2/3) or to the two-tiered scheme described. In alternative embodiments, other ratios and thresholds can be used, as well as a multiple-tiered system with more than two tiers of bidders. Moreover, clearing spread bids can be assigned to tiers based on other criteria or combinations of criteria (e.g., by quantity bid for or a combination of time and quantity) .
  • the computerized auctioning system may round up or round down the fractional allotments to the nearest whole number.
  • the quantities allocated to each bidder may be different, all of the successful bids, whether at the clearing spread or below, will be filled at the same spread, namely, the clearing spread.
  • the preferred embodiment is illustrated in terms of a computerized system, it is also intended to claim the method of conducting an auction as described in the logic of this system.

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Abstract

L'invention concerne un système et un procédé de mise aux enchères permettant de mettre aux enchères plusieurs effets, tels que des titres. Voir figure 1. Dans un mode de réalisation de l'invention, un serveur hôte (1) permettant la vente aux enchères est couplé à plusieurs systèmes clients (3) représentant les offrants et les vendeurs. Ce serveur hôte va permettre la vente aux enchères pendant une période déterminée, sélectionne les offrants remplissant les conditions pour vendre l'ensemble des effets, détermine le prix que tous les acheteurs autorisés paieront, et alloue les parties de chèques et effets que chaque offrant autorisé recevra. Le serveur hôte peut également continuer la vente aux enchères dans des intervalles de temps déterminés après que la vente aux enchères ordinaire a pris fin.
PCT/US2001/022952 2000-07-21 2001-07-20 Systeme et procede informatises de mise aux encheres WO2002009003A1 (fr)

Priority Applications (1)

Application Number Priority Date Filing Date Title
AU2001277046A AU2001277046A1 (en) 2000-07-21 2001-07-20 Computerized auctioning system and method

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US62125400A 2000-07-21 2000-07-21
US09/621,254 2000-07-21

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WO2002009003A1 true WO2002009003A1 (fr) 2002-01-31

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Cited By (5)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
WO2002101603A1 (fr) * 2001-06-08 2002-12-19 G H Michell & Sons Australia P Systeme pour vendre des soumissions pour de la laine
EP1369798A2 (fr) 2002-05-31 2003-12-10 Sato, Michihiro Système d'évaluation de garanties
US8024249B2 (en) 2001-09-03 2011-09-20 Michihiro Sato Issuing machine and issuing system
US8103580B2 (en) 2001-09-03 2012-01-24 Michihiro Sato Issuing machine and issuing system for public-offering a financing instrument on-line
US8275691B2 (en) 2001-09-03 2012-09-25 Michihiro Sato Issuing machine and issuing system

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US5809483A (en) * 1994-05-13 1998-09-15 Broka; S. William Online transaction processing system for bond trading
US6026383A (en) * 1996-01-04 2000-02-15 Ausubel; Lawrence M. System and method for an efficient dynamic auction for multiple objects
US6161099A (en) * 1997-05-29 2000-12-12 Muniauction, Inc. Process and apparatus for conducting auctions over electronic networks

Patent Citations (3)

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US5809483A (en) * 1994-05-13 1998-09-15 Broka; S. William Online transaction processing system for bond trading
US6026383A (en) * 1996-01-04 2000-02-15 Ausubel; Lawrence M. System and method for an efficient dynamic auction for multiple objects
US6161099A (en) * 1997-05-29 2000-12-12 Muniauction, Inc. Process and apparatus for conducting auctions over electronic networks

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Title
"Parity & design", US TRADEMARK FILE HISTORY FOR MARK, 25 August 1992 (1992-08-25), pages 1 - 31, XP003015542 *

Cited By (8)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
WO2002101603A1 (fr) * 2001-06-08 2002-12-19 G H Michell & Sons Australia P Systeme pour vendre des soumissions pour de la laine
US8296212B2 (en) 2001-08-22 2012-10-23 Michihiro Sato Issuing machine and issuing system
US8024249B2 (en) 2001-09-03 2011-09-20 Michihiro Sato Issuing machine and issuing system
US8103580B2 (en) 2001-09-03 2012-01-24 Michihiro Sato Issuing machine and issuing system for public-offering a financing instrument on-line
US8255312B2 (en) 2001-09-03 2012-08-28 Michihiro Sato Issuing machine and issuing system
US8275691B2 (en) 2001-09-03 2012-09-25 Michihiro Sato Issuing machine and issuing system
EP1369798A2 (fr) 2002-05-31 2003-12-10 Sato, Michihiro Système d'évaluation de garanties
EP1369798A3 (fr) * 2002-05-31 2006-08-23 Michihiro Sato Système d'évaluation de garanties

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