Futures Contracts with Divergent Trading and Delivery Units

摘要

Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments.

主权项

1. A method comprising:
(a) listing bids and offers for a derivative financial instrument that has a settlement date and also has a trading unit that is different than a first position threshold; (b) at a processor matching orders for the derivative financial instrument; and (c) requiring a trading entity to maintain a position in the derivative financial instrument that exceeds the first position threshold within a first predetermined time period before the settlement date.