Method and apparatus for listing and trading a futures contract that physically settles into a swap

1. A processor-implemented method for facilitating futures contract trading, comprising:

listing via a processor a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;

receiving via the processor orders to buy or orders to sell the futures contract;

maintaining via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;

determining via the processor an expiration date for the listed futures contract:

matching via the processor the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;

generating via the processor reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements; and

settling via the processor the futures contract on the specified date by entering into the specified swap.

2. The method of claim 1 , wherein

(a) said futures contract provides that (i) a long position in said futures contract entitles a holder of the long position to receive a fixed side of the specified swap on the specified date, and (ii) a short position in said futures contract entitles a holder of the short position to receive a floating side of the specified swap on the specified date, or

(b) said futures contract provides that (i) a short position in said futures contract entitles the holder of the short position to receive a fixed side of the specified swap on the specified date, and (ii) a long position in said futures contract entitles the holder of the long position to receive a floating side of the specified swap on the specified date.

3. The method of claim 1 , wherein the specified swap is a credit default index swap.

4. The method of claim 3 , wherein the credit default index swap is defined according to one of (a) a Dow Jones CDX index, (b) a CDX index, (c) an iTraxx index, (d) an ABX index, (e) a CMBX index, (f) an ECMBX index, and (g) an LCDX index.

5. The method of claim 3 , wherein the specified swap is defined in terms of a tranche of a credit default index swap.

6. The method of claim 3 , wherein the specified swap is a single-name credit default swap.

7. The method of claim 3 , wherein the specified swap is an interest rate swap or a yield curve swap.

8. The method of claim 3 , wherein the specified swap is against a specified counterparty.

9. The method of claim 8 , wherein the specified counterparty is a clearing house.

10. An apparatus for facilitating futures contract trading, comprising:

a memory;

a processor disposed in communication with said memory, and configured to issue a plurality of processing instructions stored in the memory, wherein the processor issues instructions to:

list a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;

receive orders to buy or orders to sell the futures contract;

maintain via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;

determine an expiration date for the listed futures contract;

match the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;

generate reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements; and

settle the futures contract on the specified date by entering into the specified swap.

11. An apparatus of claim 10 , wherein

(a) said futures contract provides that (i) a long position in said futures contract entitles a holder of the long position to receive a fixed side of the specified swap on the specified date, and (ii) a short position in said futures contract entitles a holder of the short position to receive a floating side of the specified swap on the specified date, or

(b) said futures contract provides that (i) a short position in said futures contract entitles the holder of the short position to receive a fixed side of the specified swap on the specified date, and (ii) a long position in said futures contract entitles the holder of the long position to receive a floating side of the specified swap on the specified date.

12. A non-transitory processor-readable medium storing a plurality of processing instructions, comprising issuable instructions by a processor to:

list via a processor a futures contract available for trading, the futures contract including terms that require settlement into a specified swap on a specified date;

receive via the processor orders to buy or orders to sell the futures contract;

maintain via the processor a book of limit orders for the received orders to buy or orders to sell the futures contract;

determine via the processor an expiration date for the listed futures contract;

match via the processor the orders to buy with orders to sell for each listed futures contract based on the determined expiration date;

generate via the processor reports including a current state of the book of limit orders and trading activity for compliance with regulatory requirements; and

settle via the processor the futures contract on the specified date by entering into the specified swap.

13. The non-transitory processor-readable medium of claim 12 , wherein

(a) said futures contract provides that (i) a long position in said futures contract entitles a holder of the long position to receive a fixed side of the specified swap on the specified date, and (ii) a short position in said futures contract entitles a holder of the short position to receive a floating side of the specified swap on the specified date, or

(b) said futures contract provides that (i) a short position in said futures contract entitles the holder of the short position to receive a fixed side of the specified swap on the specified date, and (ii) a long position in said futures contract entitles the holder of the long position to receive a floating side of the specified swap on the specified date.

14. The non-transitory processor-readable medium of claim 12 , wherein the specified swap is a credit default index swap.

15. The non-transitory processor-readable medium of claim 12 , wherein the specified swap is defined in terms of a tranche of a credit default index swap.

16. The non-transitory processor-readable medium of claim 12 , wherein the specified swap is a single-name credit default swap.

17. The non-transitory processor-readable medium of claim 12 , wherein the specified swap is an interest rate swap or a yield curve swap.

18. The non-transitory processor-readable medium of claim 12 , wherein the specified swap is against a specified counterparty.

19. The non-transitory processor-readable medium of claim 18 , wherein the specified counterparty is a clearing house.