Transaction processor for clearing interest rate swaps with improved efficiency

Number of patents in Portfolio can not be more than 2000

United States of America

PATENT NO 12131381
APP PUB NO 20240046354A1
SERIAL NO

18367682

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ATTORNEY / AGENT: (SPONSORED)

Importance

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Abstract

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The disclosed embodiments relate to improving the efficiency of an electronic trading system for interest rate swaps (“IRS”) by allowing for IRS contracts to be funded in a base currency while the cash flows, e.g. coupon payments, price alignment interest, variation margin, are denominated in a local currency different from the base currency. Thereby cash flows may be netted and offset minimizing the magnitude of funds needed to be moved and reducing the number of transactions processed by the electronic trading system as well as the consumption of computational resources thereby. Furthermore, the disclosed embodiments facilitate entering into IRS transactions is a currency different from the currency of cash flows while eliminating Herstatt risk due to volatility of foreign exchange rates, which allows for increased off shore participation and thereby increased transaction volume.

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Patent Owner(s)

Patent OwnerAddress
CHICAGO MERCANTILE EXCHANGE INC30 SOUTH WACKER DRIVE CHICAGO IL 60606

International Classification(s)

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Inventor(s)

Inventor Name Address # of filed Patents Total Citations
Bawadhankar, Dhiraj Aurora, US 36 106
Dong, Molang Chicago, US 9 10
Sharaby, Fateen Hoboken, US 40 75
Xythalis, Panagiotis Scotch Plains, US 24 32
Zhu, Jay Livingston, US 10 24

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