API framework for clearing non-deliverable interest rate swaps
Systems and methods are provided for a clearing framework for clearing a non-deliverable interest rate swap. The clearing framework includes an application programming interface (API) including functions for processing trade messages including information used by a clearing house computing system in clearing non-deliverable interest rate swaps; one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps, one an API for reporting clearing information, wherein the one or more functions comprise a first messaging function to confirm clearing of the one or more non-deliverable interest rate swaps and a second messaging function to request consent to clear the one or more non-deliverable interest rate swaps.
1. A system comprising:
a processor communicatively coupled to a non-transitory device, wherein the non-transitory memory device stores instructions, that when executed by the processor, cause the system to:
implement an application programming interface (API) for processing data stored in a memory coupled with the processor indicative of a plurality of interest rate swaps including at least one non-deliverable interest rate swap based on a first deliverable currency without accessing, and independent of, a remote computing system which stores data characterizing a second non-deliverable currency;
calculate at least one discount curve for use in determining a valuation of the at least one non-deliverable interest rate swap including:
a translation of a first overnight index swap (OIS) curve based on the first currency to a second OIS curve based on the second currency using onshore futures, onshore spreads, and offshore spreads which reflect an actual offshore interest rate for the second currency;
a construction of a discount curve for the second currency based on an offshore non-deliverable rate derived from an interest rate differential between the first currency and the second currency;
a determination of a valuation of the at least one non-deliverable interest rate swap based on the second OIS curve and the discount curve; and
communication of a clearing confirmation message of the at least one non-deliverable interest rate swap and a consent request message to clear the at least one non-deliverable interest rate swap, the clearing confirmation and consent request message being in an inter-computer electronic messaging format; and
net, upon clearing of the at least one non-deliverable swap, by a netting module, the cleared at least one non-deliverable swap with one or more other interest rate swaps of the plurality of interest rate swaps and remove one or both the data of the at least one non-deliverable swap or data indicative of the one or more other interest rate swaps from the memory to reduce an amount of data storage needed to store and process the data.
2. The system of claim 1 wherein the stored instructions, when executed by the processor, further cause the processor to display, via a display device coupled with the processor, one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps.
3. The system of claim 1 wherein the calculation manages the currency differences without requiring a remote connection to a remote computing system located in country associated with the second currency.
4. The system of claim 1 wherein the stored instructions, when executed by the processor, further cause the processor to:
communicate a message confirming a clearing process associated with the at least one non-deliverable interest rate swap based on a calculated valuation of the at least one non-deliverable interest rate swap; and
receive, from a remote device, confirmation to perform the clearing process.
5. The system of claim 1 , wherein the API comprises a messaging function comprising a trade submission message for use at a trade input terminal to communicate a trade submission to the clearing framework, wherein the trade submission message includes a plurality of attributes corresponding to deliverable and non-deliverable currencies associated with the at least one non-deliverable interest rate swap.
6. The system of claim 5 , wherein the trade submission message is configured in a financial communication messaging format.
7. The system of claim 1 , wherein the API comprises at least one interface function to facilitate communicate using a financial information exchange messaging language (FIXML).
8. The system of claim 1 , wherein the API comprises at least one interface function to facilitate communicate using a financial products markup language (FpML) message format.
9. The system of claim 1 , wherein at least one user interface screen comprises a position management system interface screen to communicate a visual representation of at least one interest rate swap, wherein the position management system interface comprises a tabular format, wherein a first row displays information corresponding to an interest rate swap and includes a first row corresponding to characteristics of the interest rate swap.
10. The system of claim 9 , wherein the first row is expandable to show a second row associated with a first leg of the interest rate swap and a third row associated with a second leg of the interest rate swap, wherein the second row and the third row includes columns associated with at least one characteristic of the interest rate swap.
11. The system of claim 1 , wherein the API comprises at least one function corresponding to a clearing firm settlement provision, wherein the API comprises a financial products markup language (FpML) element included at a leg-level of each interest rate swap clearing confirmed message generated through the API and a request consent message generated through the API.
12. The system of claim 11 , wherein the settlement provision may be represented in a fixing schedule format of a FpML message or a fixing date format of the FpML message.
13. The system of claim 1 , wherein the instructions, when executed by the processor, cause the clearing house computing system to process at least one of the OIS curve or the discount curve to create a valuation model for use in computing a value of the interest rate swap, wherein the valuation model calculates a price alignment between cleared and un-cleared interest rate swaps based on at least the overnight rate in the deliverable currency.
14. The system of claim 13 , wherein the valuation model generates values in both the deliverable and the non-deliverable currency, wherein the deliverable currency value is netted with other deliverable currency amounts when combined with other financial products associated with the deliverable currency.
15. The system of claim 1 , wherein the first currency is one of United States dollars and European Euros and the second currency is one of a plurality of non-deliverable currencies.
16. A computer implemented method comprising:
implementing, by a processor, an application programming interface (API) for processing data stored in a memory coupled with the processor indicative of a plurality of interest rate swaps including at least one non-deliverable interest rate swap based on a first deliverable currency without accessing, and independent of, a remote computing system which stores data characterizing a second non-deliverable currency;
calculating, by the processor, at least one discount curve for use in determining a valuation of the at least one non-deliverable interest rate swap, the calculation including:
translating, by the processor, a first overnight index swap (OIS) curve based on the first currency to a second OIS curve based on the second currency using onshore futures, onshore spreads, and offshore spreads which reflect an actual offshore interest rate for the second currency;
constructing, by the processor, a discount curve for the second currency based on an offshore non-deliverable rate derived from an interest rate differential between the first currency and the second currency;
determining, by the processor, a valuation of the at least one non-deliverable interest rate swap based on the second OIS curve and the discount curve; and
communicating, by the processor, a clearing confirmation message of the at least one non-deliverable interest rate swap and a consent request message to clear the at least one non-deliverable interest rate swap, the clearing confirmation and consent request message being in an inter-computer electronic messaging format; and
netting, upon clearing of the at least one non-deliverable swap, by the processor, the cleared at least one non-deliverable swap with one or more other interest rate swaps of the plurality of interest rate swaps and remove one or both the data of the at least one non-deliverable swap or data indicative of the one or more other interest rate swaps from the memory to reduce an amount of data storage needed to store and process the data.
17. The method of claim 16 further comprising displaying, via a display device coupled with the processor, one or more user interface screens comprising information corresponding to one or more non-deliverable interest rate swaps and one or more user interface screens comprising information of cleared interest rate swaps.
18. The method of claim 16 wherein the calculating further comprises managing the currency differences without requiring a remote connection to a remote computing system located in country associated with the second currency.
19. The method of claim 16 further comprising:
communicating, by the processor, a message confirming a clearing process associated with the at least one non-deliverable interest rate swap based on a calculated valuation of the at least one non-deliverable interest rate swap; and
receiving, by the processor from a remote device, confirmation to perform the clearing process.
20. The method of claim 16 , wherein the API comprises a messaging function comprising a trade submission message for use at a trade input terminal to communicate a trade submission to the clearing framework, wherein the trade submission message includes a plurality of attributes corresponding to deliverable and non-deliverable currencies associated with the at least one non-deliverable interest rate swaps.
21. The method of claim 20 , wherein the trade submission message is configured in a financial communication messaging format.
22. The method of claim 16 , wherein the API comprises at least one interface function to facilitate communicate using a financial information exchange messaging language (FIXML).
23. The method of claim 16 , wherein the API comprises at least one interface function to facilitate communicate using a financial products markup language (FpML) message format.
24. The method of claim 16 , wherein at least one user interface screen comprises a position management system interface screen to communicate a visual representation of at least one interest rate swap, wherein the position management system interface comprises a tabular format, wherein a first row displays information corresponding to an interest rate swap and includes a first row corresponding to characteristics of the interest rate swap.
25. The method of claim 24 , wherein the first row is expandable to show a second row associated with a first leg of the interest rate swap and a third row associated with a second leg of the interest rate swap, wherein the second row and the third row includes columns associated with at least one characteristic of the interest rate swap.
26. The method of claim 16 , wherein the API comprises at least one function corresponding to a clearing firm settlement provision, wherein the API comprises a financial products markup language (FpML) element included at a leg-level of each interest rate swap clearing confirmed message generated through the API and a request consent message generated through the API.
27. The method of claim 26 , wherein the settlement provision may be represented in a fixing schedule format of a FpML message or a fixing date format of the FpML message.
28. The method of claim 16 further comprising processing, by the processor, at least one of the OIS curve or the discount curve to create a valuation model for use in computing a value of the interest rate swap, wherein the valuation model calculates a price alignment between cleared and un-cleared interest rate swaps based on at least the overnight rate in the deliverable currency.
29. The method of claim 28 , wherein the valuation model generates values in both the deliverable and the non-deliverable currency, wherein the deliverable currency value is netted with other deliverable currency amounts when combined with other financial products associated with the deliverable currency.
30. The method of claim 16 , wherein the first currency is one of United States dollars and European Euros and the second currency is one of a plurality of non-deliverable currencies.
31. A computing system comprising:
a display device;
a processor; and
a non-transitory memory device storing instructions, that when executed by the processor, cause the computing system to:
implement an application programming interface (API) for processing data stored in a memory coupled with the processor indicative of a plurality of interest rate swaps including at least one non-deliverable interest rate swap based on a first deliverable currency without accessing, and independent of, a remote computing system which stores data characterizing a second non-deliverable currency;
calculate at least one discount curve for use in determining a valuation of the at least one non-deliverable interest rate swap including:
a translation of a first overnight index swap (OIS) curve based on the first currency to a second OIS curve based on the second currency using onshore futures, onshore spreads, and offshore spreads which reflect an actual offshore interest rate for the second currency;
a construction of a discount curve for the second currency based on an offshore non-deliverable rate derived from an interest rate differential between the first currency and the second currency;
a determination of a valuation of the at least one non-deliverable interest rate swap based on the second OIS curve and the discount curve; and
communication of a clearing confirmation message of the at least one non-deliverable interest rate swap and a consent request message to clear the at least one non-deliverable interest rate swap, the clearing confirmation and consent request message being in an inter-computer electronic messaging format; and
net, upon clearing of the at least one non-deliverable swap, the cleared at least one non-deliverable swap with one or more other interest rate swaps of the plurality of interest rate swaps and remove one or both the data of the at least one non-deliverable swap or data indicative of the one or more other interest rate swaps from the memory to reduce an amount of data storage needed to store and process the data.
32. The system of claim 31 , wherein the first currency is one of United States dollars and European Euros and the second currency is one of a plurality of non-deliverable currencies.
33. The system of claim 31 , further comprising an interest rate swap application programming interface (API) that comprises at least one function corresponding to a clearing firm settlement provision, wherein the API comprises a financial products markup language (FpML) element included at a leg-level of each interest rate swap clearing confirmed message generated through the API and a request consent message generated through the API.
34. The system of claim 31 , wherein the instructions, when executed by the processor, cause the computing system to process at least one of the OIS curve or the discount curve to create a valuation model for use in computing a value of the interest rate swap, wherein the valuation model calculates a price alignment between cleared and un-cleared interest rate swaps based on at least the overnight rate in the deliverable currency.