Facilitation of payments between counterparties by a central counterparty

A system for facilitating a payment between a first trader and a second trader by a central counterparty which requires the first and second traders to each maintain associated accounts in which funds are deposited to cover trading losses, the system comprising:

• an account database stored in a memory, the account database comprising a first account record associated with the first trader which includes data reflecting funds maintained on account to cover trading losses by the first trader, and a second account record associated with the second trader which includes data reflecting funds maintained on account to cover trading losses by the second trader;
• a payment processor coupled with the memory and operative to, periodically based on a first position in a first instrument held by the first trader to which the second trader is a counter party, determine the amount of a payment to be made from one of the first or second trader to the other of the first or second trader in advance of settlement thereof based on accrued dividends associated with a reference index;
• and
• wherein the payment processor is further operative to automatically assign the first trader a second position in a futures contract characterized by the settlement date, a quantity and a price, the second position being characterized by a value based on the quantity and the price of the futures contract as of the assignment, and automatically assign the second trader a third position, counter to the second position, in the futures contract, the first and second traders not being identified to each other, the payment processor being further operative to automatically assign the first and second positions to the first and second traders based on another position in another instrument held by the first trader to which the second trader is a counterparty;
• a settlement processor coupled with the memory and operative to value, upon occurrence of the settlement date, the futures contract at a spot value different from the price of the futures contract, the spot value being based on the determined payment amount;
• a margin processor coupled with the settlement processor and the memory and operative to modify the first and second account records in the account database to reflect a credit to the account of the first trader and a debit from the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the second trader, and modify the first and second account records in the account database to reflect a debit from the account of the first trader and a credit to the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the first trader;
• and
• wherein the first position and the periodic payment amounts are characterized by economic characteristics similar to economic characteristics of an Exchange Trade Fund.

A system for facilitating a payment between a first trader and a second trader by a central counterparty which requires the first and second traders to each maintain associated accounts in which funds are deposited to cover trading losses, the central counterparty comprising a processor and a memory coupled therewith, the system comprising:

• an account database stored in the memory, the account database comprising a first account record associated with the first trader which includes data reflecting funds maintained on account to cover trading losses by the first trader, and a second account record associated with the second trader which includes data reflecting funds maintained on account to cover trading losses by the second trader;
• first logic stored in the memory and executable by processor to determine, periodically based on a first position in a first instrument held by the first trader to which the second trader is a counterparty, the amount of a payment to be made from one of the first or second trader to the other of the first or second trader in advance of settlement thereof based on accrued dividends associated with a reference index;
• the first logic being further executable to automatically assign the first trader a second position in a futures contract characterized by the settlement date, a quantity and a price, the second position being characterized by a value based on the quantity and the price of the futures contract as of the assignment, and automatically assign the second trader a third position, counter to the second position, in the futures contract, the first and second traders not being identified to each other, the first logic being further executable to automatically assign the first and second positions to the first and second traders based on another position in another instrument held by the first trader to which the second trader is a counterparty;
• second logic stored in the memory and executable by the processor to value, upon occurrence of the settlement date, the futures contract at a spot value different from the price of the futures contract, the spot value being based on the determined payment amount;
• third logic stored in the memory and executable by the processor to modify the first and second account records in the account database to reflect a credit to the account of the first trader and a debit from the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the second trader, and modify the first and second account records in the account database to reflect a debit from the account of the first trader and a credit to the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the first trader.