Listing and expiring cash settled on-the-run treasury futures contracts

Patent metadata

Field	Value
Publication number	US-10657587-B2
Application number	US-201313954559-A
Country	US
Kind code	B2
Filing date	Jul 30, 2013
Priority date	Jul 14, 2011
Publication date	May 19, 2020
Grant date	May 19, 2020

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.

First claim

We claim:

1. A computer-implemented method for use with a data transaction processing system which implements an exchange computing system in which data items are transacted by a hardware matching processor that matches electronic data transaction request messages for the same one of the data items based on multiple transaction parameters from different client computers over a data communication network, the method comprising:
receiving, electronically from a database external to the exchange computing system, by a swap rate value determination processor of the exchange computing system, the database coupled therewith via the data communications network, a plurality of swap spread quotes and a plurality of swap rate quotes of a plurality of contributing dealers contributed to the database during a polling interval, the plurality of swap spread quotes and the plurality of swap rate quotes including outlier values as compared to the others of the plurality of swap spread quotes and the plurality of swap rate quotes, and processing the obtained plurality of swap spread quotes and plurality of swap rate quotes to remove the outlier values by using a trimmed means function;
deriving, by a present value calculator and settlement price calculator of the exchange computing system, a settlement price based on a present value of the most recently issued U.S. Treasury note of a selected tenor of a plurality of tenors determined by calculating the difference between a swap spread value and a swap rate value therefore, the swap spread value and the swap rate value having been determined based on the processed plurality of swap spread quotes and plurality of swap rate quotes obtained from the database;
computing, by a scheduling processor of the exchange computing system, a listing date and an expiration date of a cash-settled futures contract for delivery of the underlying most recently issued (“an on-the-run”) U.S. Treasury note for the selected tenor based on a U.S. Treasury note auction cycle for a next-to-be-issued U.S. Treasury note for the selected tenor which is announced but not-yet-auctioned (“when issued”) having the derived settlement price, wherein the listing date is in a “when issued” period, the multiple transaction parameters based upon which the hardware matching processor matches the electronic data transaction request messages comprising the computed listing date and expiration date;
listing via the data communications network, the cash-settled futures contract by an exchange processor of the exchange computing system coupled with the scheduling processor, to enable a market participant to submit an electronic data transaction request message for a transaction in the cash-settled futures contract to the data transaction processing system;
receiving, by the exchange computing system, the electronic data transaction request message from the market participant and matching, by a matching function, the transaction of the electronic data transaction request message with a previously received transaction counter thereto received from another market participant;
novating, by the exchange computing system, the transaction and the counter transaction so as to bifurcate and transform both from being between the market participant and the other market participant into separate transactions between the exchange computing system and each of the market participant and the other market participant; and
executing, by the exchange computing system, at least one of the separate transactions between the exchange computing system and each of the market participant and the other market participant when the other of the separate transactions between the exchange computing system and each of the market participant and the other market participant cannot be completed.

2. The computer-implemented method of claim 1 wherein the listing date is computed as the date which corresponds to the U.S. Treasury's Auction Announcement Date when the selected tenor is one of 2 year or 5 year.

3. The computer-implemented method of claim 1 wherein the listing date is computed as the date which corresponds to the business day following the U.S. Treasury's Auction Announcement Date when the selected tenor is 10 year.

4. The computer-implemented method of claim 1 wherein the expiration date is computed as the date which corresponds to the date of the subsequent U.S. Treasury Auction for the selected tenor.

5. The computer-implemented method of claim 4 wherein the computed expiration date comprises a monthly date when the selected tenor is one of 2 year or 5 year.

6. The computer-implemented method of claim 4 wherein the computed expiration date comprises a quarterly date when the selected tenor is 10 year.

7. The computer-implemented method of claim 1 wherein the expiration date is computed at the same time as the listing date.

8. The computer-implemented method of claim 7 wherein the expiration date is computed based on the date of the next new auction listed in the U.S. Treasury's Tentative Auction Schedule on the listing date.

9. The computer-implemented method of claim 1 wherein the listing and expiration dates are computed so as to match the lifecycle of the cash-settled futures contract with the life cycle of the most recently issued U.S. Treasury note of the selected tenor.

10. The computer-implemented method of claim 1 wherein the expiration date of the cash-settled futures contract for the delivery of the most recently issued U.S. Treasury note for the selected tenor always precedes a listing date of a cash-settled futures contract for delivery of a subsequently issued U.S. Treasury note for the selected tenor.

11. A system for use with a data transaction processing system which implements an exchange computing system in which data items are transacted by a hardware matching processor that matches electronic data transaction request messages for the same one of the data items based on multiple transaction parameters from different client computers over a data communication network, the system comprising:
a swap rate value determination processor operative to receive, electronically from a database external to the exchange computing system, the database coupled therewith via the data communications network, a plurality of swap spread quotes and a plurality of swap rate quotes of a plurality of contributing dealers contributed to the database during a polling interval, the plurality of swap spread quotes and the plurality of swap rate quotes including outlier values as compared to the others of the plurality of swap spread quotes and the plurality of swap rate quotes, and process the obtained plurality of swap spread quotes and plurality of swap rate quotes to remove the outlier values by using a trimmed means function;
a present value and settlement price calculator coupled with the swap rate value determination processor and operative to derive a settlement price based on a present value of the most recently issued U.S. Treasury note of a selected tenor of a plurality of tenors determined by calculation of the difference between a swap spread value and a swap rate value therefore, the swap spread value and the swap rate value having been determined based on the processed plurality of swap spread quotes and plurality of swap rate quotes obtained from the database;
a scheduling processor coupled with the present value and settlement price calculator and operative to compute a listing date and an expiration date of an announced but not-yet-auctioned cash-settled futures contract in a “when issued” period thereof, the cash-settled futures contract being for delivery of the underlying most recently issued (“an on-the-run”) U.S. Treasu

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Boudreault James
• Wiley John
• Sturm Frederick
• Kronstein Jonathan
• Spain Suzanne
• Barker Peter

Classifications

• G06Q40/02

  Banking, e.g. interest calculation or account maintenance (credit or loans G06Q40/03) · CPC title

• G06Q40/08

  Insurance · CPC title

• G06Q40/04

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q40/00 Primary

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q40/06

  Asset management; Financial planning or analysis · CPC title