Minimization of the consumption of data processing resources in an electronic transaction processing system via utilization of physical delivery

1 . A computer implemented method for automatically using a physical delivery of a dynamically generated position in an outright futures contract to satisfy a delivery requirement of a spread futures contract, having at least two components, to, upon expiration thereof, deliver at least one component whose value is unknown at expiration of the spread futures contract, the method comprising:

determining, by a processor of an exchange computer system via transmission of an electronic transaction to an external clearing system, that a data record stored in a database coupled with the processor, which stores data indicative of the spread futures contract, indicates that the spread futures contract, in which a first participant holds a first position and a second participant holds a second position opposite the first position, has expired, the expired spread futures contract being characterized at expiration by a settlement value based on a current value of at least one component, different from the at least one component whose value is unknown, whose value is known at expiration and a prior value of the spread futures contract;

identifying, automatically by the processor based on the determination that the spread futures contract has expired, an outright futures contract, having an underlier corresponding to the at least one component whose value is unknown at expiration, currently traded on an electronic trading system, implemented by the exchange computer system, which calls for a future delivery of an asset corresponding to the at least one component whose value is unknown at expiration;

generating, by the processor, a first position in the identified outright futures contract for the first participant and a second position in the identified outright futures contract opposite to the first position for the second participant, each of the first and second positions being defined at a price equal to the settlement value which characterizes the expired spread futures contract, the first and second positions being independent of each other;

determining, by the processor, that the second position in the identified outright futures contract offsets a third position in the identified outright futures contract currently held by the second participant and stored in a data record associated with the second participant stored in portfolio database of the electronic trading system coupled with the exchange computer system;

storing, by the processor, the first position in a first data record associated with the first participant in the portfolio database and enabling trading thereof and based on the determination that the second position in the identified outright futures contract offsets the third position in the identified outright futures contract, not storing the second position in the portfolio database and removing the data record in which the third position is stored from the portfolio database, a data size of the portfolio database being reduced thereby; and

extinguishing, by the processor, the delivery requirement of the spread futures contract; and

wherein the disposition of the second position does not affect the first position such that the first participant is enabled to obtain the delivery of the asset corresponding to the at least one component whose value is unknown at expiration independent of the second participant.

2 . The computer implemented method of claim 1 , wherein the value of the at least one component whose value is unknown at expiration, is determined at a date subsequent thereto, the identifying further comprising identifying the outright futures contract having an expiration that is the same as the date on which the value of the at least one component, whose value is unknown at expiration, is determined.

3 . The computer implemented method of claim 1 , wherein the at least one component whose value is unknown and the at least one component whose value is known are defined by a reference period of time, a value of the at least one component whose value is known being determinable at a beginning of the reference period of time and a value of the at least one component whose value is unknown being determinable at an end of the reference period of time.

4 . The computer implemented method of claim 1 , wherein the current value of the at least one component whose value is known is determined from a data source external to and coupled with the exchange computer system.

5 . The computer implemented method of claim 1 , wherein the spread futures contract is characterized by a spread between the at least one component whose value is known at expiration and the at least one component whose value is unknown at expiration.

6 . The computer implemented method of claim 1 , wherein the outright futures contract is characterized by a settlement date subsequent to the time of delivery and a settlement price computed at the settlement date.

7 . The computer implemented method of claim 1 , wherein the prior value of the spread futures contract comprises a most recent prior settlement price thereof.

8 . The computer implemented method of claim 1 , wherein the spread futures contract specifies the outright futures contract.

9 . The computer implemented method of claim 1 , wherein the outright futures contract comprises one of a European Short Term Interest Rate futures contract or a RepoFunds Rate futures contract.

10 . The computer implemented method of claim 1 , wherein the future delivery of the outright futures contract comprises a cash settlement.

11 . The computer implemented method of claim 1 , wherein the electronic trading system does not reveal the identities of the first and second participants to each other.

12 . A system for automatically using a physical delivery of a dynamically generated position in an outright futures contract to satisfy a delivery requirement of a spread futures contract, having at least two components, to, upon expiration thereof, deliver at least one component whose value is unknown at expiration of the spread futures contract, the system comprising:

first logic stored in a memory and executable by a processor of an exchange computer system coupled with the memory to cause the processor to determine, via transmission of an electronic transaction to an external clearing system, that a data record stored in a database coupled with the processor, which stores data indicative of the spread futures contract, indicates that the spread futures contract, in which a first participant holds a first position and a second participant holds a second position opposite the first position, has expired, the expired spread futures contract being characterized at expiration by a settlement value based on a current value of at least one component, different from the at least one component whose value is unknown, whose value is known at expiration and a prior value of the spread futures contract;

second logic stored in the memory and executable by the processor to cause the processor to identify, automatically based on the determination that the spread futures contract has expired, an outright futures contract, having an underlier corresponding to the at least one component whose value is unknown at expiration, currently traded on an electronic trading system, implemented by the exchange computer system, which calls for a future delivery of an asset corresponding to the at least one component whose value is unknown at expiration;

third logic stored in the memory and executable by the processor to cause the processor to generate a first position in the identified outright futures contract for the first participant and a second position in the identified outright futures contract opposite to the first position for the second participant, each of the first and second positions being defined at a price equal to the settlement value which characterizes the expired spread futures contract, the first and second positions being independent of each other;

fourth logic stored in the memory and executable by the processor to cause the processor to determine that the second position in the identified outright futures contract offsets a third position in the identified outright futures contract currently held by the second participant and stored in a data record associated with the second participant stored in portfolio database of the electronic trading system coupled with the exchange computer system and store the first position in a first data record associated with the first participant in the portfolio database of the electronic trading system coupled with the exchange computer system and enabling trading thereof and based on the determination that the second position in the identified outright futures contract offsets the third position in the identified outright futures contract, not store the second position in the portfolio database and remove the data record in which the third position is stored from the portfolio database, a data size of the portfolio database being reduced thereby; and

fifth logic stored in the memory and executable by the processor to cause the processor to extinguish the delivery requirement of the spread futures contract; and

wherein the disposition of the second position does not affect the first position such that the first participant is enabled to obtain the delivery of the asset corresponding to the at least one component whose value is unknown at expiration independent of the second participant.

13 . The system of claim 12 , wherein the value of the at least one component whose value is unknown at expiration, is determined at a date subsequent thereto, the identifying further comprising identifying the outright futures contract having an expiration that is the same as date on which the value of the at least one component, whose value is unknown at expiration, is determined.

14 . The system of claim 12 , wherein the at least one component whose value is unknown and the at least one component whose value is known are defined by a reference period of time, a value of the at least one component whose value is known being determinable at a beginning of the reference period of time and a value of the at least one component whose value is unknown being determinable at an end of the reference period of time.

15 . The system of claim 12 , wherein the current value of the at least one component whose value is known is determined from a data source external to and coupled with the exchange computer system.

16 . The system of claim 12 , wherein the spread futures contract is characterized by a spread between the at least one component whose value is known at expiration and the at least one component whose value is unknown at expiration.

17 . The system of claim 12 , wherein the outright futures contract is characterized by a settlement date subsequent to the time of delivery and a settlement price computed at the settlement date.

18 . The system of claim 12 , wherein the prior value of the spread futures contract comprises a most recent prior settlement price thereof.

19 . The system of claim 12 , wherein the spread futures contract specifies the outright futures contract.

20 . The system of claim 12 , wherein the outright futures contract comprises one of a European Short Term Interest Rate futures contract or a RepoFunds Rate futures contract.

21 . The system of claim 12 , wherein the future delivery of the outright futures contract comprises a cash settlement.

22 . The system of claim 12 , wherein the electronic trading system does not reveal the identities of the first and second participants to each other.

23 . A system for automatically using a physical delivery of a dynamically generated position in an outright futures contract to satisfy a delivery requirement of a spread futures contract, having at least two components, to, upon expiration thereof, deliver at least one component whose value is unknown at expiration of the spread futures contract a time of delivery, the system comprising:

an exchange computer system including a processor and a memory coupled therewith, the memory storing computer executable program code which when executed by the processor, cause the processor to:

determine, via transmission of an electronic transaction to an external clearing system, that a data record stored in a database coupled with the processor, which stores data indicative of the spread futures contract, indicates that the spread futures contract, in which a first participant holds a first position and a second participant holds a second position opposite the first position, has expired, the expired spread futures contract being characterized at expiration by a settlement value based on a current value of at least one component, different from the at least one component whose value is unknown, whose value is known at expiration and a prior value of the spread futures contract;

identify, automatically based on the determination that the spread futures contract has expired, an outright futures contract, having an underlier corresponding to the at least one component whose value is unknown at expiration, currently traded on an electronic trading system, implemented by the exchange computer system, which calls for a future delivery of an asset corresponding to the at least one component whose value is unknown at expiration;

generate a first position in the identified outright futures contract for the first participant and a second position in the identified outright futures contract opposite to the first position for the second participant, each of the first and second positions being defined at a price equal to the settlement value which characterizes the expired spread futures contract, the first and second positions being independent of each other;

determine that the second position in the identified outright futures contract offsets a third position in the identified outright futures contract currently held by the second participant and stored in a data record associated with the second participant stored in portfolio database of the electronic trading system coupled with the exchange computer system;

store the first position in a first data record associated with the first participant in the portfolio database and enabling trading thereof and based on the determination that the second position in the identified outright futures contract offsets the third position in the identified outright futures contract, not storing the second position in the portfolio database and removing the data record in which the third position is stored from the portfolio database, a data size of the portfolio database being reduced thereby; and

extinguish the delivery requirement of the spread futures contract; and

wherein the disposition of the second position does not affect the first position such that the first participant is enabled to obtain the delivery of the asset corresponding to the at least one component whose value is unknown at expiration independent of the second participant.