Chicago Mercantile Exchange Inc.

Michael Kamradt

John Labuszewski

Frederick Sturm

John Nyhoff

James Joseph Boudreault

Daniel Grombacher

An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter.

Exchange-traded basis derivative contracts

The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.

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Flossmoor, IL, United States of America

Michael Kamradt