Method and apparatus for listing and trading a futures contract that physically settles into a swap
AssigneeGoldman, Sachs & Co.
InventorOliver L. Frankel
Life of this patent
Estimating the term…
Abstract
According to some embodiments, a futures contract is listed on a futures trading exchange. The futures contract physically settles upon expiration into a reference swap. The reference swap is cleared by a clearing house so that the physical settlement requires that the holder of a position in the futures contract upon expiration takes a specified side of the reference swap against the clearing house. The reference swap may for example be a credit default index swap, a single-name credit default swap, an interest rate swap or a yield curve swap.
Claims19
A processor-implemented method for facilitating futures contract trading, comprising:
- listing via a processor a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;
- receiving via the processor orders to buy or orders to sell the futures contract;
- maintaining via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;
- determining via the processor an expiration date for the listed futures contract:
- matching via the processor the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;
- generating via the processor reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements;
- and
- settling via the processor the futures contract on the specified date by entering into the specified swap.
An apparatus for facilitating futures contract trading, comprising:
- a memory;
- a processor disposed in communication with said memory, and configured to issue a plurality of processing instructions stored in the memory, wherein the processor issues instructions to:
- list a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;
- receive orders to buy or orders to sell the futures contract;
- maintain via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;
- determine an expiration date for the listed futures contract;
- match the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;
- generate reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements;
- and
- settle the futures contract on the specified date by entering into the specified swap.
A non-transitory processor-readable medium storing a plurality of processing instructions, comprising issuable instructions by a processor to:
- list via a processor a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;
- receive via the processor orders to buy or orders to sell the futures contract;
- maintain via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;
- determine via the processor an expiration date for the listed futures contract;
- match via the processor the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;
- generate via the processor reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements;
- and
- settle via the processor the futures contract on the specified date by entering into the specified swap.
Dependencies are inferred from the claim text.