Patent ID: 7742965
Filing Date: 2010-06-22
Classification: G06Q

Abstract:
1. A method for cheaper-to-deliver, settlement pricing of a current mortgage price indicator (CMPI) mortgage futures contract, wherein the CMPI mortgage futures contract includes a set of number N coupons from mortgage backed securities (MBS) backed by conventional 30-year mortgages, the method comprising the steps of: electronically receiving, in a computing device, an electronic input indicative of a plurality of bid and ask prices for coupons issued by a first agency and by a second agency corresponding to each of said N coupons in the CMPI mortgage futures contract and storing the electronic input in memory; electronically calculating, with the computing device, a price, P, for each of said corresponding N coupons issued by said first agency and for each of said corresponding N coupons issued by said second agency using said plurality of bid and ask prices based on the electronic input, and storing the price P in memory; electronically setting, with the computing device and based on the price P stored in memory, the settlement price of the CMPI mortgage futures contract, equal to: where variable X is a numerical weight assigned to each of said set of N coupons when the CMPI mortgage futures contract was first structured; and submitting, over a communications infrastructure connected to the computing device, the CMPI mortgage futures contract for trading on an exchange.