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US 11,379,918 B2Granted
Coupon blending of a swap portfolio
AssigneeChicago Mercantile Exchange Inc.
InventorsWansu Zhan, Dhiraj Bawadhankar
Life of this patent
Estimating the term…
Abstract
Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap and a second remnant swap to blend the plurality of swaps using the determined fixed rates. This may reduce the gross notional and/or the total clearing line items associated with the original swaps. In some cases, the computing device may determine one single swap for blending the plurality of swaps.
Claims21
A computer-implemented method comprising:
- monitoring, automatically by a clearinghouse computing system, a plurality of line items, stored in a non-transitory memory of a financial institution computing system, each indicative of a swap of a portfolio of swaps and comprising data indicative thereof including a fixed rate associated therewith where the associated fixed rate of one of the plurality of line items may be different from the associated fixed rate of another of the plurality of line items;
- determining, by the clearinghouse computing system, at least a first fixed rate for use in eliminating a subset of the plurality of line items based on the fixed rate associated with each of the line items of the subset, wherein each of the swaps indicated by the line items of the subset has a different associated fixed rate, the first fixed rate being determined therefrom, wherein the swaps indicated by the line items of the subset are collectively characterized by one or more economic characteristics;
- determining, by the clearinghouse computing system, a first remnant swap using the first fixed rate and computing the economic characteristics thereof;
- determining, by the clearinghouse computing system when the economics of the first remnant swap are not equal to the economic characteristics of the subset, a second remnant swap using a second fixed rate, wherein the second fixed rate may be different than the first fixed rate, such that the economic characteristics of the first remnant swap alone, or if determined, in combination with the economic characteristics of the second remnant swap, are identical to the to the one or more economic characteristics collectively characterizing the swaps indicated by the subset of the plurality of line items;
- and
- replacing, by the clearinghouse computing system in the non-transitory memory, the subset of line items with a first replacement line item comprising data indicative of the first remnant swap and, if determined, a second replacement line item comprising data indicative of the second remnant swap, wherein the total number of the plurality of line items stored in the memory of the financial institution computing system is reduced.
3 more elements
A system comprising:
- a clearinghouse computing system comprising:
- a processor;
- and
- one or more non-transitory memory devices, the one or more non-transitory memory devices storing instructions, that when executed by the processor, cause the processor to:
- monitor, automatically, a plurality of line items, stored in a non-transitory memory of a financial institution computing system, each indicative of a swap of a portfolio of swaps and comprising data indicative thereof including a fixed rate associated therewith where the associated fixed rate of one of the plurality of line items may be different from the associated fixed rate of another of the plurality of line items;
- determine at least a first fixed rate for use in eliminating a subset of the plurality of line items based on the fixed rate associated with each of the line items of the subset, wherein each of the swaps indicated by the line items of the subset has a different associated fixed rate, the first fixed rate being determined therefrom, wherein the swaps indicated by the line items of the subset are collectively characterized by one or more economic characteristics;
- determine a first remnant swap using the first fixed rate and computing the economic characteristics thereof;
- determine, when the economics of the first remnant swap are not equal to the economic characteristics of the subset, a second remnant swap using a second fixed rate, wherein the second fixed rate may be different than the first fixed rate, such that the economic characteristics of the first remnant swap alone, or if determined, in combination with the economic characteristics of the second remnant swap, are identical to the to the one or more economic characteristics collectively characterizing the swaps indicated by the subset of the plurality of line items;
- and
- replace, in the non-transitory memory, the subset of line items with a first replacement line item comprising data indicative of the first remnant swap and, if determined, a second replacement line item comprising data indicative of the second remnant swap, wherein the total number of the plurality of line items stored in the memory of the financial institution computing system is reduced.
7 more elements
A system comprising:
- means for monitoring, automatically, a plurality of line items, stored in a non-transitory memory of a financial institution computing system, each indicative of a swap of a portfolio of swaps and comprising data indicative thereof including a fixed rate associated therewith where the associated fixed rate of one of the plurality of line items may be different from the associated fixed rate of another of the plurality of line items;
- means for determining at least a first fixed rate for use in eliminating a subset of the plurality of line items based on the fixed rate associated with each of the line items of the subset, wherein each of the swaps indicated by the line items of the subset has a different associated fixed rate, the first fixed rate being determined therefrom, wherein the swaps indicated by the line items of the subset are collectively characterized by one or more economic characteristics;
- means for determining a first remnant swap using the first fixed rate and computing the economic characteristics thereof;
- means for determining, when the economics of the first remnant swap are not equal to the economic characteristics of the subset, a second remnant swap using a second fixed rate, wherein the second fixed rate may be different than the first fixed rate, such that the economic characteristics of the first remnant swap alone, or if determined, in combination with the economic characteristics of the second remnant swap, are identical to the to the one or more economic characteristics collectively characterizing the swaps indicated by the subset of the plurality of line items;
- and
- means for replacing, in the non-transitory memory, the subset of line items with a first replacement line item comprising data indicative of the first remnant swap and, if determined, a second replacement line item comprising data indicative of the second remnant swap, wherein the total number of the plurality of line items stored in the memory of the financial institution computing system is reduced.
3 more elements
Dependencies are inferred from the claim text.