Exchange-traded basis derivative contracts

Abstract

An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter.

1 . A method comprising:
 generating and storing, at a computer system and for a basis derivative contract, data that includes
 deliverable data identifying a future date and an obligation for delivery, on or by the future date, of one or more instances of a basis subject matter or a monetary value based on one or more instances of a basis subject matter, and 
 derivative data identifying a type of futures contract having a futures contract subject matter, the derivative data further identifying an obligation for acceptance, on or by the future date, of a position in each of R further contracts of the identified type, wherein R is an integer; 
   receiving, at the computer system, data confirming satisfaction of the obligation for delivery; and   assigning, by the computer system and as a result of receiving the data confirming satisfaction, an initial value to each of the R further contracts.   
     
     
         2 . The method of  claim 1 , wherein R is greater than 1. 
     
     
         3 . The method of  claim 1 , wherein the value of R is based on a value of the one or more instances of the basis subject matter. 
     
     
         4 . The method of  claim 1 , wherein the basis subject matter and the futures contract subject matter are the same. 
     
     
         5 . The method of  claim 4 , wherein the basis subject matter comprises a government-issued security. 
     
     
         6 . The method of  claim 5 , wherein the generating and storing comprises calculating a value for R based on a conversion factor representing a price of the government-issued security, in view of coupon and maturity, to yield a predefined rate. 
     
     
         7 . One or more non-transitory computer readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
 generating and storing, for a basis derivative contract, data that includes
 deliverable data identifying a future date and an obligation for delivery, on or by the future date, of one or more instances of a basis subject matter or a monetary value based on one or more instances of a basis subject matter, and 
 derivative data identifying a type of futures contract having a futures contract subject matter, the derivative data further identifying an obligation for acceptance, on or by the future date, of a position in each of R further contracts of the identified type, wherein R is an integer; 
   receiving data confirming satisfaction of the obligation for delivery; and   assigning, as a result of receiving the data confirming satisfaction, an initial value to each of the R further contracts.   
     
     
         8 . The one or more non-transitory computer readable media of  claim 7 , wherein R is greater than 1. 
     
     
         9 . The one or more non-transitory computer readable media of  claim 7 , wherein the value of R is based on a value of the one or more instances of the basis subject matter. 
     
     
         10 . The one or more non-transitory computer readable media of  claim 7 , wherein the basis subject matter and the futures contract subject matter are the same. 
     
     
         11 . The one or more non-transitory computer readable media of  claim 10 , wherein the basis subject matter comprises a government-issued security. 
     
     
         12 . The one or more non-transitory computer readable media of  claim 11 , wherein the generating and storing comprises calculating a value for R based on a conversion factor representing a price of the government-issued security, in view of coupon and maturity, to yield a predefined rate. 
     
     
         13 . A computer system comprising:
 at least one processor; and   at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include:
 generating and storing, for a basis derivative contract, data that includes
 deliverable data identifying a future date and an obligation for delivery, on or by the future date, of one or more instances of a basis subject matter or a monetary value based on one or more instances of a basis subject matter, and 
 derivative data identifying a type of futures contract having a futures contract subject matter, the derivative data further identifying an obligation for acceptance, on or by the future date, of a position in each of R further contracts of the identified type, wherein R is an integer, 
 
 receiving data confirming satisfaction of the obligation for delivery, and 
 assigning, as a result of receiving the data confirming satisfaction, an initial value to each of the R further contracts. 
   
     
     
         14 . The computer system of  claim 13 , wherein R is greater than 1. 
     
     
         15 . The computer system of  claim 13 , wherein the value of R is based on a value of the one or more instances of the basis subject matter. 
     
     
         16 . The computer system of  claim 13 , wherein the basis subject matter and the futures contract subject matter are the same. 
     
     
         17 . The computer system of  claim 16 , wherein the basis subject matter comprises a government-issued security. 
     
     
         18 . The computer system of  claim 17 , wherein the generating and storing comprises calculating a value for R based on a conversion factor representing a price of the government-issued security, in view of coupon and maturity, to yield a predefined rate.