Fixed income instrument yield spread futures

A computer implemented method of maintaining a fixed income instrument yield spread in balance as market conditions change until an occurrence of a terminating event, the method comprising:

• receiving, from a user via first interface, a defined pecuniary value of one basis point of a reference yield spread between representative yields of a first reference position in a set of first fixed income instruments and a second reference position in a set of second fixed income instruments of equal but opposite magnitude to the first reference position;
• receiving, via a second interface, data representative of market conditions for the first and second fixed income instruments;
• maintaining, automatically by a processor coupled with the first and second interfaces, the pecuniary value by allowing quantities of the first and second fixed income instruments of the first and second sets to fluctuate as the market conditions change;
• and
• wherein the quantities of the first and second sets are determined upon the occurrence of the terminating event by determining, for a first subset of the first set of fixed income instruments, each fixed income instrument of the first subset being characterized by a maturity date occurring within a first date range and a yield to maturity, and a second subset of the second set of fixed income instruments, each fixed income instrument of the second subset being characterized by a maturity date occurring within second date range and a yield to maturity, a first representative yield to maturity of the first subset and a second representative yield to maturity of the second subset and deterring a value of the reference yield spread based on a difference between the first and second representative yields to maturity.

A computer implemented system for determining a final settlement price of a futures contract the underlier of which is a reference spread between a first reference position in a first set of fixed income instruments and a second reference position in a second set of fixed income instruments, the second reference position being equal but opposite in magnitude to the first reference position, the reference spread being characterized by a magnitude specified as a number of incremental units between a representative yield to maturity of the first set of fixed income instruments and a representative yield to maturity of the second set of fixed income instrument, the contract further defining a fixed value of each incremental unit, the system comprising a processor and a memory coupled therewith, the system further comprising:

• first logic stored in the memory and executable by the processor to compute a first representative yield to maturity of a first subset of the first set of fixed income instruments, each fixed income instrument of the first subset being characterized by a maturity date occurring witching a first date range, the influence on the first representative yield to maturity of those fixed income instruments of the first subset characterized as having an outlier yield to maturity being minimized thereby;
• second logic stored in the memory and executable by the processor to compute a second representative yield to maturity of a second subset of the second set of fixed income instruments, each fixed income instrument of the second subset being characterized by a maturity date occurring within a second date range, the influence on the second representative yield to maturity of those fixed income instruments of the second plurality characterized as having an outlier yield to maturity being minimized thereby;
• and
• third logic stored in the memory and coupled with the first and second logic and executable by the processor to compute the final settlement price as the difference between the first and second representative yields to maturity, irrespective of the quantity of first and second fixed income instruments in the first and second sets needed for the first and second reference positions respectively, to maintain the fixed value of each incremental unit of the reference spread.

A computer implemented system for maintaining a fixed income instrument yield spread in balance as market conditions change until an occurrence of a terminating event, the system comprising:

• a receiver operative to receive, from a user via first interface coupled with the receiver, a defined pecuniary value of one basis point of a reference yield spread between representative yields of a first reference position in a set of first fixed income instruments and a second reference position in a set of second fixed income instruments of equal but opposite magnitude to the first reference position;
• the receiver being further operative to receive, via a second interface coupled with the receiver, data representative of market conditions for the first and second fixed income instruments;
• and
• a processor coupled with the receiver and operative to maintain, automatically, the defined pecuniary value by allowing quantities of the first and second fixed income instruments of the first and second sets to fluctuate as the market conditions change;
• and
• wherein the quantities of the first and second sets are determined by the processor upon the occurrence of the terminating event by determining, for a first subset of the first set of fixed income instruments, each fixed income instrument of the first subset being characterized by a maturity date occurring within a first date range and a yield to maturity, and a second subset of the second set of fixed income instruments, each fixed income instrument of the second subset being characterized by a maturity date occurring within second date range and a yield to maturity, a first representative yield to maturity of the first subset and a second representative yield to maturity of the second subset and deterring a value of the reference yield spread based on a difference between the first and second representative yields to maturity.