Method And Apparatus For Listing And Trading A Futures Contract That Physically Settles Into A Swap

Abstract

According to some embodiments, a futures contract is listed on a futures trading exchange. The futures contract physically settles upon expiration into a reference swap. The reference swap is cleared by a clearing house so that the physical settlement requires that the holder of a reposition in the futures contract upon expiration takes a specified side of the reference swap against the clearing house. The reference swap may for example be a credit default index swap, a single-name credit default swap, an interest rate swap or a yield curve swap.

1 - 45 . (canceled) 
     
     
         46 . A system comprising:
 a means for listing a futures contract, wherein said futures contract including terms that require entry into a specified swap on a specified date, 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; and 
   a means for receiving and matching orders for the futures contract; and   a means for providing current quotations and reports concerning open orders and trading activity regarding the futures contract.   
     
     
         47 . The system of  claim 46 , wherein the specified swap is a credit default index swap. 
     
     
         48 . The system of  claim 47 , 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. 
     
     
         49 . The system of  claim 47 , wherein the specified swap is defined in terms of a tranche of a credit default index swap. 
     
     
         50 . The system of  claim 46 , wherein the specified swap is a single-name credit default swap. 
     
     
         51 . The system of  claim 46 , wherein the specified swap is an interest rate swap or a yield curve swap. 
     
     
         52 . The system of  claim 46 , wherein the specified swap is against a specified counterparty. 
     
     
         53 . The system of  claim 52 , wherein the specified counterparty is a clearing house. 
     
     
         54 . A trading system comprising:
 a futures exchange to list a futures contract, wherein said futures contract includes terms that require entry into a specified swap on a specified date   a reference data source to provide data regarding the futures contract;   a swaps clearing house to act as a counterparty with respect to traders or investors that are taking one side or the other of the specified swap that underlie the futures contract.   
     
     
         55 . The system of  claim 54 , wherein the specified swap is a credit default index swap. 
     
     
         56 . The system of  claim 55 , 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. 
     
     
         57 . The system of  claim 55 , wherein the specified swap is defined in terms of a tranche of a credit default index swap. 
     
     
         58 . The system of  claim 54 , wherein the specified swap is a single-name credit default swap. 
     
     
         59 . The system of  claim 54 , wherein the specified swap is an interest rate swap or a yield curve swap. 
     
     
         60 . The system of  claim 54 , wherein the specified swap is against a specified counterparty. 
     
     
         61 . The system of  claim 60 , wherein the specified counterparty is a clearing house.