Chicago Mercantile Exchange Inc.

Panagiotis Xythalis

Dhiraj Subhash Bawadhankar

Fateen Sharaby

Molang Dong

Jay Zhu

Matthew Morano

Seo Wook Jang

Jun Zhai

Evren Baysal

Kailin Ding

Lu Lu

Bo Miao

Cham Hong Po

Yaotian Zhang

Jeon Ho Cho

Sixiang Li

Jalpan Shah

Romil Pradip Parekh

Jingbin Yin

Shuo Liu

Jennifer Yingying Weng

Xianqing Zou

Nataliya Frost

Lingrui Xiang

Hariharan Kesavarao

Jie Zhu

Abhinaw Prakash

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

The disclosed embodiments relate to systems and methods for generating an optimal solution for determining a value for one or more base data objects. A plurality of solutions include one or more composite data objects transacted by a transaction system processor. The composite data objects include the one or more base data objects. An optimal solution is generated by using data indicative of a level of activity and a number of sources for each of the plurality of composite data objects.

Dynamic valuation system using object relationships and composite object data

Computer implemented systems and methods are disclosed that allow for the efficient and rapid determination of guarantee funds for clearing member firms. Disclosed systems and methods account for the exposure of self-referencing risk.

Guarantee fund calculation with allocation for self-referencing risk

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Scotch Plains, NJ, United States of America

Panagiotis Xythalis