Facilitation of payments between counterparties by a central counterparty

Abstract

A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed.

We claim: 
     
         1 . A computer implemented method of facilitating a payment between traders based on a first position in a first instrument held by a first trader to which a second trader is a counterparty, the method comprising:
 determining, by a payment processor based on the first position, the amount of a payment to be made from one of the first or second trader to the other of the first or second trader in advance of settlement thereof;   assigning, automatically by the payment processor based on the first position, a second position to the first trader in a futures contract characterized by a settlement date, a quantity and a price, the second position being characterized by a value based on the quantity and the price of the futures contract as of the assigning, and a third position to the second trader, counter to the second position, in the futures contract, the first and second traders not being identified to each other;   valuing, by a settlement processor upon occurrence of the settlement date, the futures contract at a spot value different from the price of the futures contract, the spot value being based on the determined payment amount; and   modifying, by a margin processor, a first account record associated with the first trader and a second account record associated with the second trader, both stored in an account database stored in a memory coupled with the processor, to reflect a credit to the account of the first trader and a debit from the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the second trader or to reflect a debit from the account of the first trader and a credit to the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the first trader.   
     
     
         2 . The computer implemented method of  claim 1  wherein the first instrument comprises an interest rate derivative, the payment comprising a coupon payment. 
     
     
         3 . The computer implemented method of  claim 1  wherein the first instrument comprises an equity based derivatives contract, the payment comprising a dividend payment. 
     
     
         4 . The computer implemented method of  claim 1  wherein the first instrument comprises a foreign exchange spot contract, the payment comprising an interest rate differential payment. 
     
     
         5 . The computer implemented method of  claim 1  wherein the first instrument comprises an interest rate swap, the payment comprising an interest payment. 
     
     
         6 . The computer implemented method of  claim 1  wherein the first instrument comprises a loan of collateral, the payment comprising an interest payment. 
     
     
         7 . The computer implemented method of  claim 1  wherein the payment comprises a transaction fee. 
     
     
         8 . The computer implemented method of  claim 1  wherein the quantity of futures contract is one, the assigning of the second and third positions to the first and second traders respectively, further comprising assigning the second and third positions in a plurality of the futures contract, the quantity of the plurality of the futures contract being determined based on the payment amount. 
     
     
         9 . The computer implemented method of  claim 1  wherein the value of the second and third positions as of the assigning is one of zero or non-zero. 
     
     
         10 . The computer implemented method of  claim 9  wherein the spot value is one of zero or non-zero. 
     
     
         11 . The computer implemented method of  claim 9  wherein the spot value is valued based on a multiplier and a final settlement value. 
     
     
         12 . The computer implemented method of  claim 11  wherein the multiplier comprises a value selected from the group comprising 0.01, 0.10, 1.00, 10.00, 100.00, 1000.00, 10,000.00. 
     
     
         13 . The computer implemented method of  claim 1  wherein the determining, assigning, valuing and modifying are performed periodically. 
     
     
         14 . The computer implemented method of  claim 13  wherein the determining, assigning, valuing and modifying occur one of quarterly, semiannually, or annually. 
     
     
         15 . The computer implemented method of  claim 1  wherein the determining of the payment amount occurs upon occurrence of the settlement date. 
     
     
         16 . A system for facilitating a payment between traders based on a first position in a first instrument held by a first trader to which a second trader is a counterparty, the system comprising:
 a payment processor coupled with a memory and operative to determine, based on the first position, the amount of a payment to be made from one of the first or second trader to the other of the first or second trader in advance of settlement thereof; and   wherein the payment processor is further operative to automatically assign, based on the first position, a second position to the first trader in a futures contract characterized by the settlement date, a quantity and a price, the first position being characterized by a value based on the quantity and the price of the futures contract as of the assignment, and automatically assign a third position to the second trader, counter to the second position, in the futures contract, the first and second traders not being identified to each other;   a settlement processor coupled with the memory and operative to value, upon occurrence of the settlement date, the futures contract at a spot value different from the price of the futures contract, the spot value being based on the determined payment amount; and   a margin processor coupled with the settlement processor and the memory and operative to modify a first account record associated with the first trader and a second account record associated with a second trader, both stored in an account database stored in the memory, to reflect a credit to the account of the first trader and a debit from the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the second trader, or to reflect a debit from the account of the first trader and a credit to the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the first trader.   
     
     
         17 . The system of  claim 16  wherein the first instrument comprises an interest rate derivative, the payment comprising a coupon payment. 
     
     
         18 . The system of  claim 16  wherein the first instrument comprises an equity based derivatives contract, the payment comprising a dividend payment. 
     
     
         19 . The system of  claim 16  wherein the first instrument comprises a foreign exchange spot contract, the payment comprising an interest rate differential payment. 
     
     
         20 . The system of  claim 16  wherein the first instrument comprises an interest rate swap, the payment comprising an interest payment. 
     
     
         21 . The system of  claim 16  wherein the first instrument comprises a loan of collateral, the payment comprising an interest payment. 
     
     
         22 . The system of  claim 16  wherein the payment comprises a transaction fee. 
     
     
         23 . The system of  claim 16  wherein the quantity of futures contract is one, the payment processor being further operative to assign the second and third positions in a plurality of the futures contract, the quantity of the plurality of the futures contract being determined based on the payment amount. 
     
     
         24 . The system of  claim 16  wherein the value of the first and second positions as of the assignment is one of zero or non-zero. 
     
     
         25 . The system of  claim 24  wherein the spot value is one of zero or non-zero. 
     
     
         26 . The system of  claim 24  wherein the spot value is valued based on a multiplier and a final settlement value. 
     
     
         27 . The system of  claim 26  wherein the multiplier comprises a value selected from the group comprising 0.01, 0.10, 1.00, 10.00, 100.00, 1000.00, 10,000.00. 
     
     
         28 . The system of  claim 16  wherein the payment processor determines the payment amount periodically. 
     
     
         29 . The system of  claim 28  wherein the payment processor determines the payment amount one of quarterly, semiannually, or annually. 
     
     
         30 . The system of  claim 16  wherein the payment processor is operative to determine the payment amount upon occurrence of the settlement date. 
     
     
         31 . A system for facilitating a payment between traders based on a first position in a first instrument held by a first trader to which a second trader is a counterparty, the system comprising:
 first logic stored in a memory and executable by a processor to determine, based on the first position, the amount of a payment to be made from one of the first or second trader to the other of the first or second trader in advance of settlement thereof;   the first logic being further executable to automatically assign, based on the first position, a second position to the first trader in a futures contract characterized by the settlement date, a quantity and a price, the second position being characterized by a value based on the quantity and the price of the futures contract as of the assignment, and a third position to the second trader, counter to the second position, in the futures contract, the first and second traders not being identified to each other;   second logic stored in the memory and executable by the processor to value, upon occurrence of the settlement date, the futures contract at a spot value different from the price of the futures contract, the spot value being based on the determined payment amount; and   third logic stored in the memory and executable by the processor to modify a first account record associated with the first trader and a second account record associated with the second trader, both stored in an account database stored in the memory, to reflect a credit to the account of the first trader and a debit from the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the second trader, or to reflect a debit from the account of the first trader and a credit to the account of the second trader in the amount of the difference between the value of the second position and the spot value when the difference represents a loss for the first trader.