Transaction processor for clearing interest rate swaps with improved efficiency

US10140659B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Panagiotis Xythalis · Chicago, US
• Jay Zhu · Palo Alto, US
• Fateen Sharaby · Hoboken, US
• Dhiraj Bawadhankar · Aurora, US
• Molang Dong · Chicago, US

Key dates

• Filing date: Oct 7, 2015
• Grant date: Nov 27, 2018
• Expiry date: Dec 24, 2036

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/02
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

The disclosed embodiments relate to improving the efficiency of an electronic trading system for interest rate swaps (“IRS”) by allowing for IRS contracts to be funded in a base currency while the cash flows, e.g. coupon payments, price alignment interest, variation margin, are denominated in a local currency different from the base currency. Thereby cash flows may be netted and offset minimizing the magnitude of funds needed to be moved and reducing the number of transactions processed by the electronic trading system as well as the consumption of computational resources thereby. Furthermore, the disclosed embodiments facilitate entering into IRS transactions is a currency different from the currency of cash flows while eliminating Herstatt risk due to volatility of foreign exchange rates, which allows for increased off shore participation and thereby increased transaction volume.