Interest rate swap compression

Patent metadata

Field	Value
Publication number	US-10810671-B2
Application number	US-201514750422-A
Country	US
Kind code	B2
Filing date	Jun 25, 2015
Priority date	Jun 27, 2014
Publication date	Oct 20, 2020
Grant date	Oct 20, 2020

Abstract

A computer system may access data corresponding to a portfolio that comprises interest rate swaps and may calculate parameters for a compressed swap. The computer system may determine, based at least in part on the parameters for the compressed swap, a performance bond requirement attributable to the interest rate swaps. The computer system may compare the performance bond requirement to account data associated with a holder of the portfolio and may perform one or more additional actions based on the comparing.

First claim

The invention claimed is:

1. A method comprising:
accessing, in a non-transitory memory device by a computer system, data corresponding to a portfolio that comprises m interest rate swaps, wherein m is an integer greater than one, wherein the accessed data comprises, for each of the m interest rate swaps, a notional value and a fixed rate value, and wherein each of the m interest rate swaps corresponds to a common tenor;
comparing, by the computer system, a size of the portfolio to a threshold, wherein the size of the portfolio is m, the number of interest rate swaps held in the portfolio and the threshold is associated with a defined data storage capacity of the non-transitory memory device;
performing, automatically by the computer system when the size of the portfolio exceeds the threshold:
calculating, by the computer system, parameters for a compressed swap having a risk value equivalent to a sum of risk values of the interest rate swaps, wherein the parameters include a compressed swap notional value N B , a compressed swap fixed rate value x B , and a compressed swap floating rate spread value c;
determining, by the computer system and based at least in part on the compressed swap parameters, a performance bond requirement attributable to the interest rate swaps;
comparing, by the computer system, the performance bond requirement to account data associated with a holder of the portfolio;
performing, by the computer system, one or more additional actions based on the comparing; and
storing, by the computer system, second data comprising a compressed portfolio comprising the compressed swap by replacing the data comprising the portfolio including the m interest rate swaps in the non-transitory memory device with the second data to minimize a data storage requirement in the non-transitory memory device associated with the portfolio.

2. The method of claim 1 , wherein performing additional actions comprises at least one of (i) storing data regarding satisfaction of the performance bond requirement, and (ii) transmitting a communication regarding the performance bond requirement.

3. The method of claim 1 , wherein
calculating the parameters for the compressed swap comprises calculating the compressed swap fixed rate value x B , the compressed swap notional value N B , and the compressed swap floating rate spread value c according to

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Assignees

• Chicago Mercantile Exchange Inc

Inventors

• Boberski David Andrew
• Labuszewski John
• O'Connell Michael
• Wiley John
• Bawadhankar Dhiraj
• Azzarello Samantha
• Sharaby Fateen

Classifications

• G06Q40/06 Primary

  Asset management; Financial planning or analysis · CPC title