Chicago Mercantile Exchange Inc.

Molang Dong

Dhiraj Subhash Bawadhankar

Fateen Sharaby

Panagiotis Xythalis

Jay Zhu

Romil Pradip Parekh

Jalpan Shah

Jingbin Yin

Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.

API framework for clearing non-deliverable interest rate swaps

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.

Transaction processor for clearing interest rate swaps with improved efficiency

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Chicago, IL, United States of America

Molang Dong