Method and system for offset matching

摘要

C.NRPonb/DCC/MAG/4368473_1 DOC. I)6/2012 The trading of interest rate swaps of other interest rate derivatives gives rise to mismatch exposure. This can be offset by a series of FRA trades. Rather than conducting a series of exposure neutral trades, FRAs can be bought or sold for the entire amount of a trader's reset exposure. To hedge the offset trades, a series of IMM FRA trades are conducted. The relative size of the IMM contracts will be determined by the distance in time from the IMM quarterly contract settlement date. A system is disclosed for performing offset trades and IMM hedges. The embodiments allow for non-neutral trading and subsequent hedging brings trading back to a neutral position. Fixed Floating Figure 1 12 m B <-> 6m Figure 2 -------- Figure 3