Listing and expiring cash settled on-the-run treasury futures contracts
AssigneeChicago Mercantile Exchange Inc.
InventorsJames Boudreault, John Wiley, Frederick Sturm, Jonathan Kronstein, Suzanne Spain, Peter Barker
Life of this patent
Estimating the term…
Abstract
The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.
Claims24
A computer implemented method of computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the method comprising:
- computing, by a processor, the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising:
- a scheduling processor operative to compute the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising a processor and a memory coupled therewith, the system further comprising:
- scheduling logic stored in a memory and executable by the processor to compute the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising:
- means for computing the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
Dependencies are inferred from the claim text.