CPC G06Q 40/04 (2013.01) [G06Q 40/06 (2013.01)] | 23 Claims |
1. A computer implemented method comprising:
receiving, by a processor, from an external clearing system, a message indicating that a bilateral contract of a plurality of bilateral contracts stored in a bilateral database coupled with the processor has expired, the expired bilateral contract requiring a physical delivery of a first quantity of an asset on a particular date by a first participant to a second participant in exchange for a first payment, effected via transmission of an electronic transaction to the external clearing system, the expired bilateral contract being characterized at expiration by a profit and loss characteristic equal to a difference between a current value of the first quantity of the asset and the first payment;
identifying, by the processor upon receiving the message indicating that the bilateral contract has expired, a futures contract currently traded on an electronic trading system coupled with the processor which calls for delivery at a future date of a second quantity of the asset in exchange for a second payment, the second quantity being less than the first quantity;
determining, by the processor, a whole number of the identified futures contract, each for the second quantity, which approximates the first quantity, and an adjusted price to the futures contract needed to replicate the profit and loss characteristic of the expired bilateral contract;
calculating, by the processor, a difference between the profit and loss characteristic of the expired bilateral contract and a net value of the determined whole number of the identified futures contract which replicates the profit and loss characteristic of the expired bilateral contract;
generating, by the processor, a first position in each of the determined whole number of the identified futures contract for the first participant at the adjusted price and a second position opposite to the first position for the second participant, the first and second positions being independent from each other;
one of crediting and/or debiting, by the processor, an account of the first and/or second participant in the amount of the calculated difference; and
extinguishing, by the processor, the requirement of the bilateral contract for physical delivery of the first quantity of the asset by the first participant to the second participant and the requirement for the first payment, the electronic transaction therefore not being transmitted to the external clearing system.
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