Method and system for offset matching

摘要

The trading of interest rate swaps or 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.

主权项

1. A method for electronically trading forward rate agreements (FRAs) using a computer system comprising at least one computer, the computer system being programmed to carry out the method and storing respective books of FRA positions for at least one tenor for each of a plurality of traders, the book of a first one of the traders having a respective initial net position for each tenor of the first trader's book, the method comprising:
the computer system executing one or more unilateral FRA trades between the first trader and one or more of the other traders so that the net position of the first trader's book, for at least one tenor, is changed; and the computer system subsequently selecting and executing a plurality of International Money Market (IMM) FRA trades on behalf of the first trader, the computer system making the selection as a function of the previously executed unilateral FRA trades and so as to offset at least some of the unilateral FRA trades thereby returning the first trader's net position, for at least one tenor, back to or at least closer to its initial net position.