Listing and expiring cash settled on-the-run treasury futures contracts
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.
1. A computer implemented method of computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the method comprising:
computing, by a processor, the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
2. The computer implemented method of claim 1 wherein the listing date is computed as the date which corresponds to the U.S. Treasury's Auction Announcement Date when the selected tenor is one of 2 year or 5 year.
3. The computer implemented method of claim 1 wherein the listing date is computed as the date which corresponds to the business day following the U.S. Treasury's Auction Announcement Date when the selected tenor is 10 year.
4. The computer implemented method of claim 1 wherein the expiration date is computed as the date which corresponds to the date of the subsequent U.S. Treasury Auction for the selected tenor.
5. The computer implemented method of claim 4 wherein the computed expiration date comprises a monthly date when the selected tenor is one of 2 year or 5 year.
6. The computer implemented method of claim 4 wherein the computed expiration date comprises a quarterly date when the selected tenor is 10 year.
7. The computer implemented method of claim 1 wherein the expiration date is computed at the same time as the listing date.
8. The computer implemented method of claim 7 wherein the expiration date is computed based on the date of the next new auction listed in the U.S. Treasury's Tentative Auction Schedule on the listing date.
9. The computer implemented method of claim 1 wherein the listing and expiration dates are computed so as to match the lifecycle of the cash settled futures contract with the life cycle of the most recently issued U.S. Treasury note of the selected tenor.
10. The computer implemented method of claim 1 further comprising enabling a market participant to trade the cash settled futures contract during the “when issued” period of the underlying most recently issued U.S. Treasury note of the selected tenor.
11. The computer implemented method of claim 1 wherein the expiration date of the cash settled futures contract for the delivery of the most recently issued U.S. Treasury note for the selected tenor always precedes a listing date of a cash settled futures contract for delivery of a subsequently issued U.S. Treasury note for the selected tenor.
12. The system of claim 1 wherein the expiration date is computed at the same time as the listing date.
13. The system of claim 12 wherein the expiration date is computed based on the date of the next new auction listed in the U.S. Treasury's Tentative Auction Schedule on the listing date.
14. A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising:
a scheduling processor operative to compute the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
15. The system of claim 14 wherein the listing date is computed as the date which corresponds to the U.S. Treasury's Auction Announcement Date when the selected tenor is one of 2 year or 5 year.
16. The system of claim 14 wherein the listing date is computed as the date which corresponds to the business day following the U.S. Treasury's Auction Announcement Date when the selected tenor is 10 year.
17. The system of claim 14 wherein the expiration date is computed as the date which corresponds to the date of the subsequent U.S. Treasury Auction for the selected tenor.
18. The system of claim 17 wherein the computed expiration date comprises a monthly date when the selected tenor is one of 2 year or 5 year.
19. The system of claim 17 wherein the computed expiration date comprises a quarterly date when the selected tenor is 10 year.
20. The system of claim 14 wherein the listing and expiration dates are computed so as to match the lifecycle of the cash settled futures contract with the life cycle of the most recently issued U.S. Treasury note of the selected tenor.
21. The system of claim 14 further comprising an exchange processor coupled with the scheduling processor and operative to enable a market participant to trade the cash settled futures contract during the “when issued” period of the underlying most recently issued U.S. Treasury note of the selected tenor.
22. The system of claim 14 wherein the expiration date of the cash settled futures contract for the delivery of the most recently issued U.S. Treasury note for the selected tenor always precedes a listing date of a cash settled futures contract for delivery of a subsequently issued U.S. Treasury note for the selected tenor.
23. A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising a processor and a memory coupled therewith, the system further comprising:
scheduling logic stored in a memory and executable by the processor to compute the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.
24. A system for computing a listing date and an expiration date of a cash settled futures contract for the delivery of an underlying most recently issued (“an on-the-run”) U.S. Treasury note for a selected tenor of a plurality of tenors, the system comprising:
means for computing the listing date and the expiration date based on a U.S. Treasury note auction cycle for a next to be issued U.S. Treasury note for the selected tenor.