Inventors:
Douglas T. Chorna - Delray Beach FL, US
Srikanth Sankaran - Winnetka IL, US
Assignee:
SRI, Inc. - Northfield IL
Cayuga Derivatives, Inc. - Delray Beach FL
International Classification:
G06Q 40/00
Abstract:
An exchange-traded financial instrument having a price that tracks an underlying benchmark, the underlying benchmark being a security or commodity that is itself traded. A contract for the financial instrument between a buyer and seller is not contingent upon the delivery of the underlying benchmark. A net carrying charge (credit or debit), defined as the difference between the investment yield of the underlying benchmark and a cost of financing ownership of the underlying benchmark using the generally accepted industry standard financing rate for that benchmark, is credited or debited, accrued, or built into the price of the derivative for both buyer and seller of the financial instrument, typically nightly. In one embodiment, the underlying benchmark is a U. S. Treasury security, and preferably a specific U. S.