Periodic reset total return index futures contracts

Abstract

A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual.

1 . A method for clearing a futures contract based on a periodic reset total return index, the method comprising:
 providing a set of terms for a futures contract based on a periodic reset total return index, wherein the periodic reset total return index is recalibrated to an underlying index on a periodic basis, the periodic basis being identified in the set of terms;   facilitating formation of a futures contract between a short position holder and a long position in accordance with the set of terms and based on a valuation of the periodic reset total return index, wherein the valuation of the periodic reset total return index comprises a sum of a valuation of the underlying index and an income flow generated by the underlying index for a current period;   providing a mechanism for transferring, on the periodic basis, the income flow generated by the underlying index for the current period from the short position holder to the long position holder;   recalibrating, upon transferring the income flow, the periodic reset total return index to the underlying index; and   facilitating, upon expiration of the futures contract, settlement of the futures contract, wherein the futures contract settles to the sum of the valuation of the underlying index and the income flow generated by the underlying index for the current period.   
     
     
         2 . The method of  claim 1 , wherein recalibrating, upon transferring the income flow, the periodic reset total return index in accordance with the underlying index further comprises subtracting the income flow generated by the underlying index for a previous period from the valuation of the periodic reset total return index. 
     
     
         3 . The method of  claim 1 , wherein the index comprises an equity index or a fixed income index. 
     
     
         4 . The method of  claim 3 , wherein the income flow generated by the at least one of the plurality of constituents comprises a dividend or a coupon payment. 
     
     
         5 . The method of  claim 1  wherein the periodic basis comprises a monthly basis, a quarterly basis, or an annual basis. 
     
     
         6 . A system for clearing a futures contract based on a periodic reset total return index, the system comprising:
 means for providing a set of terms for a futures contract based on a periodic reset total return index, wherein the periodic reset total return index is recalibrated to an underlying index on a periodic basis, the periodic basis being identified in the set of terms;   means for facilitating formation of a futures contract between a short position holder and a long position in accordance with the set of terms and based on a valuation of the periodic reset total return index, wherein the valuation of the periodic reset total return index comprises a sum of a valuation of the underlying index and an income flow generated by the underlying index for a current period;   means for providing a mechanism for transferring, on the periodic basis, the income flow generated by the underlying index for the current period from the short position holder to the long position holder;   means for recalibrating, upon transferring the income flow, the periodic reset total return index to the underlying index; and   means for facilitating, upon expiration of the futures contract, settlement of the futures contract, wherein the futures contract settles to the sum of the valuation of the underlying index and the income flow generated by the underlying index for the current period.