Chicago Mercantile Exchange Inc.

Suzanne Spain

Frederick Sturm

John Wiley

James Joseph Boudreault

Peter Barker

Jonathan Kronstein

The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

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Chicago, IL, United States of America

Suzanne Spain