US 11,861,710 B2
Compression of an exchange traded derivative portfolio
Suzanne Sprague, Chicago, IL (US); Sean Downey, Chicago, IL (US); Robert Taylor, Chicago, IL (US); Dhiraj Bawadhankar, Naperville, IL (US); Stephen Hurst, Chicago, IL (US); Matthew Simpson, Wheaton, IL (US); and Frederick Sturm, Chicago, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on Feb. 7, 2023, as Appl. No. 18/106,719.
Application 18/106,719 is a continuation of application No. 17/574,061, filed on Jan. 12, 2022, granted, now 11,605,130.
Application 17/574,061 is a continuation of application No. 15/296,702, filed on Oct. 18, 2016, granted, now 11,270,377, issued on Mar. 8, 2022.
Claims priority of provisional application 62/318,177, filed on Apr. 4, 2016.
Claims priority of provisional application 62/317,235, filed on Apr. 1, 2016.
Prior Publication US 2023/0177606 A1, Jun. 8, 2023
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/04 (2012.01); G06F 7/08 (2006.01)
CPC G06Q 40/04 (2013.01) [G06F 7/08 (2013.01)] 20 Claims
OG exemplary drawing
 
1. A computing system comprising:
a processor that:
monitors a data storage size of a portfolio of positions stored in a memory coupled with the processor, wherein the portfolio comprises data indicative of derivative positions; and
upon determination that the data storage size of the portfolio is approaching a threshold, initiates a portfolio compression process, wherein the processor further:
identifies positions within the portfolio that are present in consecutive contracts for a given product having consecutive maturity dates, each position being characterized by a notional value in common with another associated position;
transforms the positions of all of the consecutive contracts into a single position in a new contract characterized by a gross notional that is less than a sum of the notional values of each of the consecutive contracts;
calculates, for the new single position, which of the consecutive contracts has a largest number of unsettled positions; and
replaces the positions of the consecutive contracts with the new single position in the portfolio including the calculated largest number of unsettled positions paired with a fraction schedule across the consecutive maturity dates of the calculated largest number of unsettled positions, wherein the new single position is smaller in size than the replaced positions of the consecutive contracts, the data storage size of the portfolio reduced thereby.