Coupon blending of swap portfolio

• US 10,475,123 B2
• Filed: 07/22/2014
• Issued: 11/12/2019
• Est. Priority Date: 03/17/2014
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Bawadhankar, Dhiraj, Sharaby, Fateen, Dayon, Steve, Callahan, Jack
• Primary Examiner(s): Ojiaku, Chikaodinaka
• Application Number:
  US14/338,052
• Publication Number:
  US 20150262305A1
• Time in Patent Office: 1,939 Days
• Field of Search: 705 37, 705 36 R, 705 35
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Systems and methods for blending a plurality of swaps may include determining a fixed rate for use in blending a plurality of swaps, each of the plurality of swaps having matching economics and a different associated fixed rate. A computing device may determine a first remnant swap for blending fixed rate components of the plurality of swaps using the fixed rate. In some cases, the computing device may determine second remnant swap for blending floating rate components of the plurality of swaps based on the first remnant swap.

Claims

1. A system for reducing an amount of electronic data storage required to store data indicative of a portfolio of swap instruments without compromising economic characteristics thereof, the system comprising:

a first computing device comprising a first non-transitory memory device storing a data repository, the data repository storing a plurality of data records, wherein each data record corresponds to a different swap portfolio and each swap portfolio includes a plurality of line items, each line item associated with a different swap and a second computing device communicatively coupled by a network to the first computing device, and wherein each data record is characterized by a fixed and floating rate based economic characteristics based on the swaps associated with the plurality of line items contained therein, the second computing device comprising;

a processor; and

a second non-transitory memory device, the second non-transitory memory device storing instructions, that when executed by the processor, cause the second computing device to;

access, via the network, the data repository stored on the first non-transitory memory device of the first computing device;

for each data record of the plurality of data records stored in the data repository of the first computing device, determine a count of the plurality of line items stored in a corresponding data record;

monitor, via the network, a size of each data record of the plurality of data records, by comparing the count of the plurality of line items stored in the corresponding data record to a threshold, wherein the threshold corresponds to a maximum number of line items to be stored in each data record;

determine that a size of a particular data record meets the threshold;

initiate a compression of the particular data record by executing instructions stored in the second non-transitory memory device that cause the second computing device to;

access, via the network, data stored in the particular data record, the data comprising a fixed rate value, a floating rate value, a notional value, and/or a cash value associated with each of the plurality of line items and which collectively form the fixed and floating rate economic characteristic;

determine a blend rate for use in blending the plurality of line items of the particular data record, each of the plurality of line items having substantially similar attributes and a different associated fixed rate, wherein the blend rate is determined based on the data stored in the particular data record comprising each of the different associated fixed rates associated with each of the plurality of line items;

determine, a coupon adjustment swap to blend fixed rate components of the plurality of line items using the blend rate such that a fixed rate economic characteristics of the coupon adjustment swap is identical to the fixed rate economic characteristic of the particular data record;

determine a float adjustment swap to blend floating rate components of the plurality of line items based on the coupon adjustment swap such that a floating rate economic characteristics of the float adjustment swap is identical to the floating rate economic characteristic of the particular data record; and

generate a compressed data record comprising two line items, the two line items corresponding to a blended portfolio comprising the coupon adjustment swap and the float adjustment swap such that the compressed data record is characterized by compressed fixed and floating rate economic characteristics identical to the fixed and floating economic characteristics of the particular data record; and

communicate, via the network, the compressed data record to the first computing device; and

initiate, on the first computing device, a replacement of the particular data record with the compressed data record, wherein the data stored in the memory is reduced from a first size corresponding to the count of line items in the particular data record to a lesser second size corresponding to two line items of the compressed data record, and wherein the fixed and floating rate economic characteristics of the data record remains unchanged from before replacement to after the replacement.

2. The system of claim 1, wherein a total notional associated with the coupon adjustment swap and the float adjustment swap is less than a total notional associated with the plurality of line items of the particular data record.