US 11,790,447 B2
Transaction processor for clearing interest rate swaps with improved efficiency
Panagiotis Xythalis, Scotch Plains, NJ (US); Jay Zhu, Livingston, NJ (US); Fateen Sharaby, Hoboken, NJ (US); Dhiraj Bawadhankar, Aurora, IL (US); and Molang Dong, Chicago, IL (US)
Assigned to Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed by Chicago Mercantile Exchange Inc., Chicago, IL (US)
Filed on May 2, 2022, as Appl. No. 17/734,650.
Application 17/734,650 is a continuation of application No. 16/924,730, filed on Jul. 9, 2020, granted, now 11,373,238.
Application 16/924,730 is a continuation of application No. 16/160,360, filed on Oct. 15, 2018, granted, now 10,748,212, issued on Aug. 18, 2020.
Application 16/160,360 is a continuation of application No. 14/877,658, filed on Oct. 7, 2015, granted, now 10,140,659, issued on Nov. 27, 2018.
Claims priority of provisional application 62/079,690, filed on Nov. 14, 2014.
Prior Publication US 2022/0261907 A1, Aug. 18, 2022
This patent is subject to a terminal disclaimer.
Int. Cl. G06Q 40/04 (2012.01); G06Q 20/38 (2012.01); G06Q 40/02 (2023.01)
CPC G06Q 40/04 (2013.01) [G06Q 20/381 (2013.01); G06Q 40/02 (2013.01)] 23 Claims
OG exemplary drawing
 
1. A computer implemented method comprising:
receiving, by a processor of an electronic transaction processing system, data indicative of an electronic financial transaction between first and second participants comprising a first obligation of the first participant to, over a period of time, make a first series of periodic payments in a first currency based on a first rate to the second participant and receive from the second participant a second series of periodic payments in the first currency based on a second rate different from the first rate and a second obligation of the second participant to, over the period of time, make the second series of periodic payments and receive from the first participant the first series of periodic payments, wherein each of the first and second series of periodic payments is funded prior thereto in a second currency related to the first currency via a conversion rate;
converting, by the processor, the first obligation into an electronic transaction comprising a third obligation of the first participant to make the first series of periodic payments to the electronic transaction processing system and receive the second series of periodic payments from the electronic transaction processing system;
converting, by the processor, the second obligation into an electronic transaction comprising a fourth obligation of the second participant to make the second series of periodic payments to the electronic transaction processing system and receive the first series of periodic payments from the electronic transaction processing system, wherein, subsequent to the converting, performance of the electronic transaction comprising either of the third or fourth obligations is not dependent upon performance of the other of the electronic transactions comprising the third or fourth obligations;
computing, by the processor, a value, denominated in the first currency, of the financial transaction as a function of a remainder of the made first and second series of periodic payments being funded in the second currency;
computing, by the processor, a variation margin amount based on a difference between the computed value and a previously computed value of the financial transaction, the variation margin amount being denominated in the first currency; and
one of crediting to, or collecting from, by the processor, one or both of the first and second participants the computed variation margin amount; and
wherein the crediting or collecting of the computed variation margin amount at least reduces one of the made first or second series of periodic payments yet to be made, and further wherein a payment that is completely offset is eliminated.