Pricing cash settled on-the-run treasury futures contracts

US8407129B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Frederick Sturm · Chicago, US
• James Boudreault · Palatine, US
• Daniel Grombacher · Evanston, US
• Julie Winkler · Naperville, US

Key dates

• Filing date: Jul 12, 2011
• Grant date: Mar 26, 2013
• Expiry date: Sep 12, 2031

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

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.