SETTLEMENT PRICING FOR CENTRALLY CLEARED SWAPS

• US 20090248564A1
• Filed: 11/26/2008
• Published: 10/01/2009
• Est. Priority Date: 11/29/2007
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Rio, Stephane, Patel, Ketan, Fallon, Kevin, Hadi, Moody, Iyer, Suneel
• Application Number:
  US12/324,107
• Publication Number:
  US 20090248564A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Methods are provided to determine a settlement price for an over-the-counter exchange traded financial instrument. The method includes receiving swap curves from a plurality of market makers and identifying missing data points in the curves. A repair mode may be determined for curves identified as missing data. The curves may be repaired based on the determined repair mode. The selected curves including the repaired curves may be blended together to derive a final settlement prices for each of a plurality of standardized centrally cleared swaps. The financial instruments may include Euro denominated interest rate swaps, U.S. denominated interest rate swaps, or OIS interest rate swaps.

Claims

1. A computer-implemented method of determining a settlement price for an over-the-counter exchange traded financial instrument, the computer-implemented method comprising:

(a) receiving price curves for a financial instrument;

(b) identifying price curves to be used to determine a settlement price for the financial instrument;

(c) determining if any of the identified price curves include missing quotes for different tenors associated with the price curve;

(d) blending using a processor the identified price curves; and

(e) determining using a processor a final settlement price for the over-the-counter exchange traded financial instrument.

2. A computer-implemented method of determining a settlement price for an over-the-counter exchange traded financial instrument, the method comprising:

(a) receiving price curves for a financial instrument;

(b) identifying price curves to be used to determine a settlement price for the financial instrument;

(c) determining if any of the identified price curves include missing quotes for different tenors associated with the price curve;

if an identified curve includes a missing quote,

(d) repairing the identified price curve;

(e) blending using a processor the identified price curves; and

(f) determining using a processor a final settlement price for the over-the-counter exchange traded financial instrument.

3. The computer-implemented method of claim 2, wherein step (c) further comprises the step of:

(g) determining a repair mode used to repair the identified price curve.

4. The computer-implemented method of claim 3, wherein the determined repair mode comprises a nominal repair mode.

5. The computer-implemented method of claim 3, wherein the determined repair mode comprises a back up mode.

6. The computer-implemented method of claim 3, wherein the step of determining a repair mode used to repair the identified price curve further comprises determining the number of missing quotes for the identified price curve.

7. The computer-implemented method of claim 2, further including:

(g) transmitting the determined final settlement price for the over-the-counter exchange traded financial instrument.

8. The computer-implemented method of claim 2, wherein the financial instrument comprises a Euro denominated interest rate swap.

9. The computer-implemented method of claim 2, wherein the financial instrument comprises a U.S. denominated interest rate swap.

10. The computer-implemented method of claim 2, wherein the financial instrument comprises a OIS interest rate swap.

11. The computer-implemented method of claim 5, wherein the back up mode includes using a swap mid market rate price.

12. The computer-implemented method of claim 2, further comprising (g) determining if the received price curves include indicative price curves.

13. The computer-implemented method of claim 2, further comprising (g) determining if the received price curves include tradable price curves.

14. A computer-readable medium including computer-executable instructions for causing a computer device to perform the steps comprising:

(a) receiving price curves for a financial instrument;

(b) identifying price curves to be used to determine a settlement price for the financial instrument;

(c) determining if any of the identified price curves include missing quotes for different tenors associated with the price curve;

if an identified curve includes a missing quote,

(d) repairing the identified price curve;

(e) blending the identified price curves; and

(f) determining a final settlement price for the over-the-counter exchange traded financial instrument.

15. The computer-readable of claim 14, wherein step (c) further comprises the step of:

(g) determining a repair mode used to repair the identified price curve.

16. The computer-readable medium of claim 14, wherein the determined repair mode comprises a nominal repair mode.

17. The computer-readable medium of claim 14, wherein the determined repair mode comprises a back up mode.

18. The computer-readable medium of claim 14, further comprising (g) determining if the received price curves include indicative price curves.

19. The computer-readable medium of claim 14, further comprising (g) determining if the received price curves include tradable price curves.

20. The computer-readable medium of claim 17, the back up mode includes using a swap mid market rate price.