Patent ID: 8738507

Claim:
A system for settling to-be-announced (TBA) futures contracts comprising: a processor at a central counterparty computer system; and a non-transitory computer-readable medium containing computer-executable instructions that, when executed by the processor, cause the system to perform steps comprising: (a) at the central counterparty computer system determining open positions in a TBA futures market prior to expiration of a TBA future, (b) netting outstanding long and short positions in response to notification of liquidation of at least a portion of the TBA futures contracts prior to expiration of the TBA future, (c) identifying a counterparty for each of at least a portion of the open positions, (d) confirming the open positions to each identified counterparty, and (e) generating delivery instructions for the open positions; wherein the delivery instructions comprise at least one of position information, an identity of an issuer of a mortgage backed security (MBS), a coupon rate, a contract settlement price, an identified counterparty, and combinations thereof.