Systems and Methods for Using Declining Balance Methodologies to Enhance Clearing of Dividend Futures and Other Instruments

Abstract

Systems and method are disclosed for quoting, adjusting and settling futures contracts by successively removing the just-realized variables from the quoted futures price to focus the quoted contract value to the remaining unrealized economic variables. Further, such systems and method for quoting, adjusting and settling the futures contracts preserve the underlying economic consideration for the trade when compared with the traditional way of quoting futures based on the same cumulative sum.

We claim: 
     
         1 . An exchange computer system, comprising:
 a processing unit comprising at least one computer processor;   a memory unit comprising at least one computer memory storing computer-executable instructions that, when executed by the processing unit, cause the exchange computer system to:
 receive an accrued amount associated with a financial instrument that is accrued over an elapsed interval of time; 
 reduce, at a regular interval of time, a quote price of the financial instrument by the accrued amount to focus the quote price of the financial instrument to remaining unrealized economic variables; and 
 cause a transfer of funds from a first holder of a short position in the financial instrument to a second holder of a long position in the financial instrument, wherein an amount of the funds transferred is a function of the accrued amount. 
   
     
     
         2 . The system of  claim 1 , wherein the at least one computer memory stores computer-executable instructions that, when executed by the processing unit, further cause the exchange computer system to:
 publish, using a market data module of the exchange computer system, the quote price of the financial instrument reduced by the accrued amount, where the quote price tracks prospective values of a cumulated time series, and the quote price is zero at expiration of the financial instrument.   
     
     
         3 . The system of  claim 1 , wherein the financial instrument is a weather contract, and the accrued amount is a function of a measurement of daily temperature readings of a predetermined geographic area. 
     
     
         4 . The system of  claim 1 , wherein the financial instrument comprises one of a futures contract, a derivative contract, an over-the-counter swap, and an option. 
     
     
         5 . The system of  claim 1 , wherein the accrued amount is one of: a dividend amount reported by a predetermined entity during the elapsed interval of time, and a temperature amount reported during the elapsed interval of time; and wherein the regular interval of time is same as the elapsed interval of time. 
     
     
         6 . The system of  claim 1 , wherein the accrued amount is an amount of total dividends reported by each entity in a predetermined group of entities during the elapsed interval of time. 
     
     
         7 . The system of  claim 1 , wherein the quote price prior to the reducing step is not greater than the accrued amount for the elapsed interval of time, and the amount of the funds transferred is a difference between the quote price and the accrued amount. 
     
     
         8 . A computer-implemented method comprising:
 receiving, by an exchange computer system, an accrued amount associated with a financial instrument that is accrued over an elapsed interval of time;   successively reducing at a regular interval of time, by the exchange computer system, a quote price of the financial instrument by the accrued amount to focus the quote price of the financial instrument to remaining unrealized economic variables; and   causing, by the exchange computer system, a transfer of funds from a first holder of a short position in the financial instrument to a second holder of a long position in the financial instrument, wherein an amount of the funds transferred is a function of the accrued amount.   
     
     
         9 . The method of  claim 8 , wherein the accrued amount is one of: a dividend amount reported by a predetermined entity during the elapsed interval of time, and a temperature amount reported during the elapsed interval of time. 
     
     
         10 . The method of  claim 8 , wherein the accrued amount is an amount of total dividends reported by each entity in a predetermined group of entities during the elapsed interval of time. 
     
     
         11 . The method of  claim 8 , further comprising:
 publishing, by a market data module of the exchange computer system, the quote price of the financial instrument reduced by the accrued amount, where the quote price tracks prospective values of a cumulated time series, and the quote price is zero at expiration of the financial instrument.   
     
     
         12 . The method of  claim 8 , wherein the amount of the funds transferred are equal to the accrued amount, and wherein the regular interval of time is one day. 
     
     
         13 . The method of  claim 12 , wherein a net effect of the reducing step and the causing a transfer step on accounts of the first holder and the second holder is zero. 
     
     
         14 . The method of  claim 8 , wherein the quote price prior to the reducing step is not greater than the accrued amount for the elapsed interval of time, and the amount of the funds transferred is a difference between the quote price and the accrued amount, the method further comprising:
 setting the quote price to zero.   
     
     
         15 . The method of  claim 8 , wherein the financial instrument is a weather contract, and the accrued amount is a function of a measurement of daily temperature readings of a predetermined geographic area. 
     
     
         16 . The method of  claim 8 , wherein the financial instrument comprises one of a futures contract, a derivative contract, an over-the-counter swap, and an option. 
     
     
         17 . An exchange computer system, comprising:
 a processing unit comprising at least one computer processor;   a memory unit comprising at least one computer memory storing computer-executable instructions that, when executed by the processing unit, cause the exchange computer system to:
 determine an accrued amount for an elapsed interval of time, where the accrued amount is an amount reported about an attribute associated with a financial instrument, wherein the financial instrument expires at time t end ; 
 reduce a settlement price of the financial instrument by the accrued amount; 
 cause a transfer of funds from a holder of a short position in the financial instrument to a holder of a long position in the financial instrument, where an amount of transferred funds is a function of the accrued amount; 
 determine that a current time is at or after time t end , and the settlement price is greater than zero; and 
 cause a final transfer of funds from the holder of the long position to the holder of the short position, where an amount of the final transferred funds is a function of an accrued amount at a final interval of time. 
   
     
     
         18 . The system of  claim 17 , wherein the at least one computer memory stores computer-executable instructions that, when executed by the processing unit, further cause the exchange computer system to:
 set the settlement price to zero;   credit the holder of the short position by the amount of the final transferred funds; and   debit the holder of the long position by the amount of the final transferred funds.   
     
     
         19 . The system of  claim 17 , wherein the accrued amount is one of: a dividend amount reported by a predetermined entity during the elapsed interval of time, and a function of a measurement, during the elapsed interval of time, of a temperature reading of a predetermined geographic area. 
     
     
         20 . The system of  claim 17 , wherein the at least one computer memory stores computer executable instructions that, when executed by the processing unit, further cause the exchange computer system to:
 publish, by a market data module of the exchange computer system, the settlement price of the financial instrument reduced by the accrued amount, where the settlement price tracks prospective values of a cumulated time series, and the settlement price is zero after time t end .