Facilitation of payments between counterparties by a central counterparty

Patent metadata

Field	Value
Publication number	US-9460468-B2
Application number	US-201113162821-A
Country	US
Kind code	B2
Filing date	Jun 17, 2011
Priority date	Jun 17, 2011
Publication date	Oct 4, 2016
Grant date	Oct 4, 2016

Abstract

A system for moving money between accounts of traders by a central counterparty to facilitate 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 “payer” 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 payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed.

First claim

We claim:

1. A computer implemented method of 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 payment processor, a settlement processor, a margin processor, and a memory coupled with the payment, settlement and margin processors, the method comprising:
providing, by the central counterparty, 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;
determining, by the payment processor, 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;
assigning, automatically by the payment processor, the first trader a first position in a futures contract characterized by a settlement date, a quantity and a price, the first position being characterized by a value based on the quantity and the price of the futures contract as of the assigning;
assigning, automatically by the payment processor, the second trader a second position, counter to the first position, in the futures contract, the first and second traders not being identified to each other, wherein the assigning to the first and second traders is automatically performed by the central counterparty based on another position in another instrument held by the first trader to which the second trader is a counterparty;
valuing, by the settlement processor 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;
modifying, by the margin processor, 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 first position and the spot value when the difference represents a loss for the second trader; and
modifying, by the margin processor, 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 first position and the spot value when the difference represents a loss for the first trader.

2. The computer implemented method of claim 1 wherein the other instrument comprises an interest rate derivative, the payment comprising a coupon payment.

3. The computer implemented method of claim 1 wherein the other instrument comprises an equity based derivatives contract, the payment comprising a dividend payment.

4. The computer implemented method of claim 1 wherein the other instrument comprises a foreign exchange spot contract, the payment comprising an interest rate differential payment.

5. The computer implemented method of claim 1 wherein the other instrument comprises an interest rate swap, the payment comprising an interest payment.

6. The computer implemented method of claim 1 wherein the other instrument comprises a loan of collateral, the payment comprising an interest payment.

7. The computer implemented method of claim 1 wherein the payment comprises a transaction fee.

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

9. The computer implemented method of claim 1 wherein the value of the first and second positions as of the assigning is zero.

10. The computer implemented method of claim 9 wherein the spot value is non-zero.

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

12. The computer implemented method of claim 11 wherein the multiplier comprises a value selected from the group comprising 0.01, 0.10, 1.00, 10.00, 100.00, 1000.00, 10,000.00.

13. The computer implemented method of claim 1 wherein the value of the first and second positions as of the assigning is non-zero.

14. The computer implemented method of claim 13 wherein the spot value is zero.

15. The computer implemented method of claim 13 wherein the value of the first and second positions is based on a multiplier and a final settlement value.

16. The computer implemented method of claim 15 wherein the multiplier comprises a value selected from the group comprising 0.01, 0.10, 1.00, 10.00, 100.00, 1000.00, 10,000.00.

17. The computer implemented method of claim 1 wherein the determining of the payment amount occurs upon occurrence of the settlement date.

18. 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 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, wherein the payment processor is further operative to automatically assign the first trader a first position in a futures contract characterized by the settlement date, a quantity and a price, the first 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 second position, counter to the first 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 first position and the spot value when the difference represents a loss for the second trader, and modif

Assignees

• Boberski David
• Gogol Edward
• Wiley John
• Co Richard
• Youngren Steve
• Labuszewski John
• Chicago Mercantile Exchange Inc

Inventors

• Boberski David
• Gogol Edward
• Wiley John
• Co Richard
• Youngren Steve
• Labuszewski John

Classifications

• G06Q40/03

  Credit; Loans; Processing thereof · CPC title

• G06Q40/00 Primary

  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

• G06Q40/06

  Asset management; Financial planning or analysis · CPC title

• G06Q20/28

  Pre-payment schemes, e.g. "pay before" · CPC title