Conversion and liquidation of defaulted positions

Abstract

A method of liquidating defaulted positions associated with centrally cleared financial product is disclosed. The method includes identifying a defaulted position associated with a centrally cleared financial product, calculating a value differential between the defaulted position and a standard position, offering the value differential and the standard position to a party such that the value differential and the standard position represent a converted position, and settling the converted position upon acceptance of the offer by the party.

1 - 19 . (canceled) 
     
     
         20 . A computer readable storage medium, comprising:
 first processor executable circuitry configured to identify a defaulted position associated with a financial product;   second processor executable circuitry configured to calculate a value differential between the defaulted position and a standard position associated with the financial product, wherein the second processor executable circuitry is communicatively coupled to the first processor executable circuitry; and   third processor executable circuitry configure to output the value differential and the standard position to a user interface, wherein the third processor executable circuitry is communicatively coupled to the second processor executable circuitry.   
     
     
         21 . The computer readable storage medium of  claim 20 , further comprising fourth processor executable circuitry configured to settle the defaulted position and the standard position with a non-defaulting party associated with the financial product, wherein the fourth processor executable circuitry is communicatively coupled to the second processor executable circuitry. 
     
     
         22 . The computer readable storage medium of  claim 20 , wherein the financial product is illiquid and cleared. 
     
     
         23 . The computer readable storage medium of  claim 20 , wherein the financial product includes an interest rate swap. 
     
     
         24 . The computer readable storage medium of  claim 20 , wherein the second processor executable circuitry includes sub-circuitry configured to calculate a net present value differential, wherein the net present value is an input for the calculation of the value differential. 
     
     
         25 . The computer readable storage medium of  claim 20 , wherein the user interface is a Dutch auction user interface. 
     
     
         26 . The computer readable storage medium of  claim 20 , wherein the user interface is an English auction user interface. 
     
     
         27 . The computer readable storage medium of  claim 20 , wherein the computer readable storage medium is embedded in a computer system dedicated to centralized clearing of financial products including interest rate swaps. 
     
     
         28 . A method, comprising:
 identifying, by circuitry, a defaulted position associated with a financial product;   calculating, by the circuitry, a value differential between the defaulted position and a standard position associated with the financial product;   outputting, by the circuitry, the value differential and the standard position to a user interface, wherein the value differential and the standard position represent a converted position; and   settling, by the circuitry, the converted position.   
     
     
         29 . The method of  claim 28 , wherein the circuitry is first circuitry, and wherein the settling of the converted position is with a non-defaulting party associated with the financial product, and wherein the non-defaulting party is identified by second circuitry. 
     
     
         30 . The method of  claim 28 , wherein the circuitry is first circuitry, and wherein the financial product is identified as illiquid by second circuitry. 
     
     
         31 . The method of  claim 28 , wherein the circuitry is first circuitry, and wherein the financial product is centrally cleared by second circuitry. 
     
     
         32 . The method of  claim 28 , wherein the financial product includes an exchange listed interest rate swap. 
     
     
         33 . The method of  claim 28 , wherein the calculating of the value differential includes calculating a net present value differential. 
     
     
         34 . The method of  claim 28 , wherein the user interface is a graphical user interface configured to auction the value differential and the standard position via a Dutch auction, an English auction, or both. 
     
     
         35 . The method of  claim 28 , wherein the user interface is an interface for an auction. 
     
     
         36 . The method of  claim 28 , wherein the circuitry is embedded within a computer system of a clearing intermediary. 
     
     
         37 . A system, comprising:
 a first set of computers configured to:   identify a defaulted position associated with a financial product; and   identify a non-defaulting party associated with the financial product;   a second set of computers configured to calculate a value differential between the defaulted position and a standard position associated with the financial product; and   a third set of computers configured to:   output the value differential and the standard position within a graphical user interface, wherein the value differential and the standard position represent a converted position;   output the non-defaulting party within the graphical user interface; and   receive a request to settle the converted position with the non-defaulting party, from a client-side circuit executing the graphical user interface.   
     
     
         38 . The system of  claim 37 , wherein the first set of computers is further configured to:
 identify the financial product is illiquid; and   clear the identified illiquid financial product.   
     
     
         39 . The system of  claim 37 , wherein the first set of computers is further configured to:
 identify the financial product includes an interest rate swap; and   clear the financial product identified to include the interest rate swap.   
     
     
         40 . The system of  claim 37 , wherein the second set of computers is further configured to calculate a net present value differential in the calculation of the value differential. 
     
     
         41 . The system of  claim 37 , wherein the request to settle the converted position is a bid against competing bids, and wherein the third set of computers is further configured to settle the converted position according to the bid.