Computing systems and computer-implemented methods for use with interest rate swap future instruments

A computing system configured to implement clearinghouse functionality, the computing system comprising:

• at least one processor;
• at least one network interface device;
• and
• at least one storage device;
• wherein the at least one processor, at least one network interface device, and at least one storage device are configured to perform actions that include:
• receiving one or more electronic data messages that include information regarding an interest rate swap (IRS) futures contract between a first party and a second party, wherein:
• the IRS futures contract is a contract for an IRS future;
• the IRS futures contract specifies an IRS that includes a fixed leg that has a fixed interest rate and a floating leg has a floating interest rate;
• the fixed interest rate has been set to an initial fixed interest rate;
• and
• the information regarding the IRS futures contract indicates:
• a price for the IRS futures contract;
• a notional value for the IRS futures contract;
• and
• a delivery date at which the IRS will begin;
• storing the received information regarding the IRS futures contract;
• at the delivery date:
• determining a present value for the floating leg;
• determining an adjusted fixed interest rate such that, with the adjusted fixed interest rate, a present value of the fixed leg is equal to the determined present value for the floating leg;
• setting the fixed interest rate equal to the determined adjusted fixed interest rate;
• and
• adjusting the notional value for the IRS futures contract to offset against the change between the adjusted fixed interest rate and the initial fixed interest rate.

A non-transitory computer-readable medium having instructions stored thereon which, when executed by at least processor that is included in a computing system that includes the least one processor, at least one network interface device, and at least one memory device, cause the computing system to perform actions that include:

• receiving, via the network interface device, one or more electronic data messages that include information regarding an interest rate swap (IRS) futures contract between a first party and a second party, wherein:
• the IRS futures contract specifies an IRS that has a fixed interest rate and a floating interest rate;
• the information regarding the IRS futures contract includes information indicating a delivery date at which the IRS will begin;
• storing, in the memory device, the received information regarding the IRS futures contract;
• and
• setting, by the processor at the delivery date, the fixed interest rate such that the IRS is at par value.