Patent ID: 7337136

Claim:
A computer-based method of structuring a current mortgage price indicator (CMPI) mortgage futures contract, comprising the steps of: identifying with a computing device a set of mortgage-backed securities (MBS) coupons issued by a plurality of agencies for a pre-determined prior time period; identifying the total MBS production of said plurality of agencies during said pre-determined prior time period, and eliminating from said set of MBS coupons any coupon which does not represent more than a pre-determined level of the total MBS production during said pre-determined prior time period; calculating with said computing device a coupon price for each of said set of MBS coupons issued by said plurality of agencies; calculating with said computing device a par-adjusted average coupon price (AACP) for said set of MBS coupons issued by said plurality of agencies; electronically selecting a subset containing a number N of said set of MBS coupons that is closest to said AACP; electronically assigning a numerical weight to each of said N coupons in said subset; including in the CMPI mortgage futures contract each of said N coupons in said subset and their corresponding numerical weights; and submitting the CMPI mortgage futures contract for trading on an exchange.