Patent ID: 7885886

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; electronically calculating with said computing device a coupon price for each of said set of MBS coupons issued by said plurality of agencies; electronically calculating with said computing device an Average Coupon Price (ACP) for said set of MBS coupons issued by said plurality of agencies, wherein said ACP is equal to: ∑ K , A ⁢ issuance ( k , A ) * price ( k , A ) total ⁢ ⁢ issuance ; where kε{all coupons in said set of MBS coupons}, and Aε{plurality of agencies}; and determining a par-adjusted average coupon price (AACP) of said set of MBS coupons issued by said plurality of agencies, wherein said AACP = ( 100 + ACP ) 2 ; 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.