Facilitation of accrual based payments between counterparties by a central counterparty

Patent metadata

Field	Value
Publication number	US-10552929-B2
Application number	US-201615266630-A
Country	US
Kind code	B2
Filing date	Sep 15, 2016
Priority date	Jun 17, 2011
Publication date	Feb 4, 2020
Grant date	Feb 4, 2020

Abstract

A system for moving money between accounts of traders by a central counterparty to facilitate a plurality of payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payor” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payor contract. The function of the payor contract may be to guarantee the movement of money from related positions. In one embodiment, payor contracts are dynamically created whenever a payment is needed.

First claim

We claim:

1. A computer implemented method of facilitating a plurality of payments between traders based on a first position in a first instrument held by a first trader to which a second trader is a counterparty, the method comprising:
determining, by a payment processor based on the first position, the amount of each of the plurality of payments 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;
assigning, automatically by the payment processor based on the first position in the first instrument held by the first trader to which the second trader is a counterparty, a second position to the first trader in one or more futures contracts each characterized by one or more settlement dates, one or more settlement prices, and a quantity, and a third position to the second trader, counter to the second position, in the futures contract, the first and second traders not being identified to each other;
valuing, by a settlement processor upon occurrence of each of the one or more settlement dates, each of the one or more futures contracts at a value different from the associated settlement price of the futures contract, the value being based on the determined payment amount and the associated settlement price of the futures contract; and
modifying, by a margin processor, a first account record associated with the first trader and a second account record associated with the second trader, both stored in an account database stored in a memory coupled with the processor, 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 value when the difference represents a loss for the second trader or 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 value when the difference represents a loss for the first trader.

2. The computer implemented method of claim 1 wherein the first instrument comprises a carry adjusted index futures contract, the plurality of payments comprising accrued financing charges associated therewith.

3. The computer implemented method of claim 1 wherein the one or more futures contracts comprises one contract having a plurality of different settlement dates.

4. The computer implemented method of claim 1 wherein the one or more futures contracts comprises a plurality of futures contracts, each having a different settlement date.

5. The computer implemented method of claim 1 wherein the settlement price associated with each settlement date is incrementally increased over the settlement price associated with a prior settlement date.

6. The computer implemented method of claim 1 wherein the quantity of each of the one or more futures contracts is one, the assigning of the second and third positions to the first and second traders respectively, further comprising assigning the second and third positions in a plurality of the futures contracts, the quantity of the plurality of the futures contract being determined based on the payment amount.

7. The computer implemented method of claim 1 wherein the value of the second and third positions as of the assigning is one of zero or non-zero.

8. The computer implemented method of claim 7 wherein the value is one of zero or non-zero.

9. The computer implemented method of claim 7 wherein the value is valued based on a multiplier and a final settlement value.

10. The computer implemented method of claim 9 wherein the multiplier comprises a value selected from the group comprising 0.01, 0.10, 1.00, 10.00, 100.00, 1000.00, 10,000.0.

11. The computer implemented method of claim 1 wherein the determining of the payment amount occurs upon occurrence of each of the settlement dates.

12. A system for facilitating a plurality of payments between traders based on a first position in a first instrument held by a first trader to which a second trader is a counterparty, the system comprising:
a payment processor coupled with a memory and operative to determine, based on the first position, the amount of each of the plurality of payments 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; and
wherein the payment processor is further operative to automatically assign, based on the first position in the first instrument held by the first trader to which the second trader is a counterparty, a second position to the first trader in one or more futures contracts each characterized by one or more settlement dates, one or more settlement prices, and a quantity, the first position being characterized by a value based on the quantity and the one or more settlement prices of each of the one or more futures contracts as of the assignment, and automatically assign a third position to the second trader, counter to the second position, in the futures contract, the first and second traders not being identified to each other;
a settlement processor coupled with the memory and operative to value, upon occurrence of each of the one or more settlement dates, each of the one or more futures contracts at a value different from the associated settlement price of the futures contract, the value being based on the determined payment amount and the associated settlement price of the futures contract; and
a margin processor coupled with the settlement processor and the memory and operative to modify a first account record associated with the first trader and a second account record associated with a second trader, both stored in an account database stored in the memory, 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 value when the difference represents a loss for the second trader, or 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 value when the difference represents a loss for the first trader.

13. The system of claim 12 wherein the first instrument comprises a carry adjusted index futures contract, the plurality of payments comprising accrued financing charges associated therewith.

14. The system of claim 12 wherein the one or more futures contracts comprises one contract having a plurality of different settlement dates.

15. The system of claim 12 wherein the one or more futures contracts comprises a plurality of futures contracts, each having a different settlement date.

16. The system of claim 12 wherein the settlement price associated with each settlement date is incrementally increased over the settlement price associated with a prior settlement date.

17. The system of claim 12 wherein the quantity of each of the one or more futures contracts is one, the payment processor being further operative to assign the second and third positions in a plurality of the futures contract, the quantity of the plurality of the futures contract being determined based on the payment amount.

18. The system of claim 12 wherein the value of the first and second positions as of the assignment is one of zero or non-zero.

19. The system of claim 18 wherein the value is one of zero or non-zero.

20. The system of claim 18 wherein the value is value

Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Co Richard
• Mccourt Timothy
• Rafferty Thomas
• Kerpel John
• Boberski David
• Gogol Edward M
• Wiley John
• Youngren Steve
• Labuszewski John

Classifications

• G06Q50/188 Primary

  Electronic negotiation · CPC title

• G06Q40/00

  Finance; Insurance; Tax strategies; Processing of corporate or income taxes · CPC title

• G06Q40/04

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q20/10

  specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems · CPC title