Chicago Mercantile Exchange Inc.

John Wiley

John Labuszewski

David Andrew Boberski

Edward M Gogol

Richard Co

Steve Youngren

John Nyhoff

Roberta Paffaro

Mike Kamradt

Dhiraj Subhash Bawadhankar

Fateen Sharaby

Frederick Sturm

James Joseph Boudreault

Peter Barker

Jonathan Kronstein

Suzanne Spain

Michael O'Connell

Samantha Azzarello

Thomas Patrick Rafferty

Timothy Francis McCourt

John Kerpel

A computer system may access data corresponding to a portfolio that comprises interest rate swaps and may calculate parameters for a compressed swap. The computer system may determine, based at least in part on the parameters for the compressed swap, a performance bond requirement attributable to the interest rate swaps. The computer system may compare the performance bond requirement to account data associated with a holder of the portfolio and may perform one or more additional actions based on the comparing.

Interest rate swap compression

The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

Listing and expiring cash settled on-the-run treasury futures contracts

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

Facilitation of accrual based payments between counterparties by a central counterparty

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.

Facilitation of payments between counterparties by a central counterparty

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John Wiley