Abstract: A capital markets index and related futures contracts are provided. The index of the present invention indexes marginal returns available on capital markets free of default risk. The index of the present invention uses chain-linked futures contracts both as measuring instruments and as building blocks. The futures contract of the present invention is based on the index of the present invention.

Abstract: A futures contract in accordance with the principals of the present invention comprises a way to hedge exposure in when issued securities as well as in the auction bidding process. The trading unit is the notional value of a yet-to-be issued Treasury note. The futures contract is quoted in yield terms, in basis points and fractions of basis points. The last trading day of the futures contract is the day a Treasury note is auctioned, at the same time as the auction takes place. The delivery standard is the auction yield result announced by the Federal Reserve Bank. The futures contract settles for cash.

Abstract: A municipal note index futures contract in accordance with the principles of the present invention includes a sufficient number of municipal bonds to maintain a broad reflection of the market as a whole. The municipal bonds represent a widely dispersed sampling. The municipal bonds are issued by an issuer who has a minimal credit rating depending on the target sector. The issue price of the bond must have a minimum value at its issuance date and each municipal bond must have a minimal principal size and be apart of a minimal offering size to be eligible for inclusion. The index is revised frequently enough to prevent the index from becoming “stale” while minimizing disruptions. Bonds that have had outsized price moves on settlement date are eliminated.