Automated Book-Entry Exchange of Futures for Interest Rate Swap (EFS) at Implied Current Coupon
AssigneeChicago Mercantile Exchange Inc.
InventorsJohn Labuszewski, Richard Co, John Nyhoff, Lori Aldinger, Daniel Grombacher
Life of this patent
Estimating the term…
Abstract
Systems and methods are provided for liquidating existing deliverable swap futures contracts, such as deliverable interest rate swap futures contracts. An exchange determines non-par prices for existing deliverable swap futures contracts using estimates for future floating interest rate as selected by the exchange. The prices are listed and traders may submit notices of intention to liquidate existing deliverable swap futures contracts. The exchange matches notices and clears matched notices.
Claims20
A method of processing deliverable swap futures contracts comprising:
- (a) determining by an exchange computer device a non-par price for an existing deliverable swap futures contract;
- (b) listing at an exchange the non-par price for the existing deliverable swap futures contract;
- (c) receiving at the exchange notices of intention to liquidate the existing deliverable swap futures contract;
- and
- (d) matching at an exchange computer device notices to liquidate the existing deliverable swap futures contract.
A computer system comprising:
- at least one processor;
- a tangible computer-readable memory containing computer-executable instructions that when executed by the at least one processor cause the computer system to perform the steps comprising:
- (a) determining a non-par price for an existing deliverable swap futures contract;
- (b) listing the non-par price for the existing deliverable swap futures contract;
- (c) receiving notices of intention to liquidate the existing deliverable swap futures contract;
- and
- (d) matching notices to liquidate the existing deliverable swap futures contract.
A tangible computer-readable medium containing computer-executable instructions that when executed by at least one processor cause a computer system to perform the steps comprising:
- (a) determining a non-par price for an existing deliverable swap futures contract;
- (b) listing the non-par price for the existing deliverable swap futures contract;
- (c) receiving notices of intention to liquidate the existing deliverable swap futures contract;
- and
- (d) matching notices to liquidate the existing deliverable swap futures contract.
Dependencies are inferred from the claim text.