Patent ID: 11861709
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 0:
1. A system comprising:
a processor coupled with an exchange via an electronic communications network;
a clocking device coupled with the processor;
a non-transitory computer readable medium coupled with the processor, the non-transitory computer readable medium storing computer instructions executable by the processor to cause the processor to:
receive, via the electronic communications network from a hardware market interface, a first request from a first market participant to provide a contingency payment upon occurrence of a credit event of a reference entity and a second request from a second market participant to provide a premium payment to the first market participant in exchange for the contingency payment, wherein the first and second market participants are anonymous to one another;
define, based on the first and second requests, a credit default swap futures contract characterized by an initial price less than a predefined final price, wherein the initial price is defined by a fraction of a notional value of a reference obligation less the premium payment, wherein the premium payment corresponds to a prevailing market rate of a plurality of payments over a duration of the credit default swap futures contract;
automatically execute, in response to the definition of the credit default swap futures contract, a trade between the first market participant and the second market participant to provide the first market participant with a long position in the credit default swap futures contract in an amount of the initial price and provide the second market participant with a short position in the credit default swap futures contract in the amount of the initial price, wherein the exchange, responsive to the execution of the trade, facilitates the premium payment to an electronic account of the first market participant and the contingency payment to an electronic account of the second market participant, without identifying either of the first and second market participants to the other of the first and second market participants, via periodic payment and collection of funds from the electronic accounts of the first and second market participants based on a value of the long and short positions held thereby as compared to the initial price of the credit default swap futures contract communicated to the exchange as a market price thereof; and
linearly increase the initial price communicated to the exchange with a passage of time determined by the clocking device based on accruals of the funds paid and collected by the exchange, subsequent payment and collection of funds from the electronic accounts of the first and second market participants being based thereon, and return to the predefined final price at expiration of the credit default swap contract unless the credit event occurs before the expiration.