Systems and methods for performing two-way one-to-many and many-to-many auctions for financial instruments
First Claim
1. A system for performing a two-way one-to-many or many-to-many auction for financial instruments, comprising:
- a plurality of auction modules, each being associated with a trader, that receive orders for financial instruments from respective said traders, wherein said orders comprise a price, a quantity, and an action;
an auction mechanism that receives the orders from the auction modules and credit preferences for each trader submitting an order, determines an auction price based on the prices of the received order, and matches orders at and above said auction price based on said credit preferences of said traders.
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Accused Products
Abstract
A switch engine module receive interest rate risk portfolios from a plurality of traders, and for each prospective trader, provides available switches based on positions in other counterparty portfolios that offset the viewing traders'"'"' positions. The offsetting positions are encoded with credit preference information in order to identify eligible trades based on both counterparties credit preferences. In particular, an embodiment provides for a switch auction whereby users can use an auction process to trade for forward rate agreement switches with other counterparties, for example, in a two-way or many-to-many auction. In the switch auction, the price is predetermined by the system prior to the auction so that parties can opt out of the transaction if desired. The credit preferences of the participating traders are taken in consideration in making matches.
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Citations
11 Claims
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1. A system for performing a two-way one-to-many or many-to-many auction for financial instruments, comprising:
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a plurality of auction modules, each being associated with a trader, that receive orders for financial instruments from respective said traders, wherein said orders comprise a price, a quantity, and an action;
an auction mechanism that receives the orders from the auction modules and credit preferences for each trader submitting an order, determines an auction price based on the prices of the received order, and matches orders at and above said auction price based on said credit preferences of said traders. - View Dependent Claims (2, 3, 4, 5)
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6. A method for a two-way one-to-many or many-to-many auction of financial instruments, comprising:
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receiving orders for a financial instrument and trader credit preference from at least a first trader and a second trader, wherein said orders include a price, a quantity, and an action;
calculating an auction price based on said prices associated with said orders;
matching said orders at and above said auction price based on said credit preferences of said trader associated with said order at and above said auction price. - View Dependent Claims (7, 8, 9, 10, 11)
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Specification