Patent ID: 8738503
Filing Date: 2014-05-27
Classification: G06Q

Abstract:
1. A computer implemented method of facilitating listing, trading and settlement of an interest rate futures contract that specifies a delivery obligation, which may be satisfied by at least the delivery of any of a set of eligible interest rate securities within a specified delivery period, the method comprising: identifying, by a processor, a set of unique conversion factor yields, each unique conversion factor of the set being associated with a set of conversion factors, each unique conversion factor of the set being associated with a different interest rate security of the set of eligible interest rate securities and which may be used, at a specified time of delivery of an eligible interest rate security of the set of eligible interest rate securities specified by an interest rate futures contract, to compute a price to be paid in exchange for the delivery thereof, the price being computed based on the conversion factor associated therewith; making, by the processor, a set of interest rate futures contracts available for trading, wherein each interest rate futures contract of the set specifies a delivery obligation within a specified delivery period, of any of set of eligible interest rate securities, each interest rate futures contract of the set further characterized by one conversion factor yield of the set of unique conversion factor yields and associated set of conversion factors to be used, at the time that the associated delivery obligation is satisfied at least by delivery of an eligible interest rate security, to compute the price to be paid upon satisfaction of the delivery obligation thereof; applying, by the processor, at the time of delivery, the conversion factor, of the set of conversion factors associated with the conversion factor yield specified by a traded interest rate futures contract, associated with an eligible interest rate security to be delivered; and computing, by the processor, a price to be paid to a first trader having undertaken the specified delivery obligation of the traded interest rate futures contract, by a second trader obliged to pay the computed price therefore, based upon the associated and applied conversion factor, and upon satisfaction of the delivery obligation specified by the traded interest rate futures contract at a specified time of delivery of the eligible interest rate security specified in the interest rate futures contract, wherein the eligible interest rate security to be delivered is selected by one of the first trader, and the second trader, or a combination thereof from the set of eligible interest rate securities specified by the traded interest rate futures contract.