SYSTEMS AND METHODS FOR PERFORMING TWO-WAY ONE-TO-MANY AND MANY-TO-MANY AUCTIONS FOR FINANCIAL INSTRUMENTS

• US 20100179902A1
• Filed: 01/22/2010
• Published: 07/15/2010
• Est. Priority Date: 10/14/1997
• Status: Abandoned Application

• Current Assignee: GFInet, Inc. (BGC Group, Inc.)
• Original Assignee: Blackbird Holdings, Inc.
• Inventors: May, R. Raymond
• Application Number:
  US12/692,253
• Publication Number:
  US 20100179902A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/08 Insurance

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.

Claims

1. A system for performing a two-way one-to-many or many-to-many auction for financial instruments, comprising:

a central processing center configured to be operationally interconnected to trader workstations of traders via a communications network,

wherein the central processing center is configured to receive orders for financial instruments from the traders, wherein the orders comprise at least a price, a quantity, and an action,

wherein the central processing center is further configured to receive credit preferences of the traders;

wherein the central processing center is further configured to determine an auction price based on the prices of the received orders and the price at which the most volume is traded, and

wherein the central processing center is further configured to match orders at and above the auction price based on the credit preferences of the traders.

2. The system of claim 1, wherein the central processing center is further configured to receive more than one credit preference from a first trader for a second trader, and wherein the central processing center is further configured to match orders at and above the auction price based on the credit preferences of the first trader for the second trader.

3. The system of claim 1, wherein the central processing center is further configured to generate a transaction confirmation for each matched order and to deliver the transaction confirmation to the traders associated with the matched order.

4. The system of claim 1, where the central processing center is further configured to give relative priority to the order having a higher price than other orders.

5. The system of claim 1, wherein the action comprises one of a bid and an ask.

6. The system of claim 1, wherein the central processing center is further configured to receive at least one binary credit preference of at least one trader submitting an order, and wherein the central processing center is further configured to match orders at and above the auction price based on the binary credit preference.

7. The system of claim 1, wherein the central processing center is further configured to receive at least one line binary credit preference of at least one trader submitting an order, wherein the line binary credit preference comprises a maximum maturity of the financial instrument, and wherein the central processing center is further configured to match orders at and above the auction price based on the line binary credit preference.

8. The system of claim 1, wherein the central processing center is further configured to receive at least one complex credit preference of at least one trader submitting an order, wherein the complex credit preference is based on the risk equivalent of the financial instrument within a predetermined range of maturity, and wherein the central processing center is further configured to match orders at and above the auction price based on the complex credit preference.

9. A method for a two-way one-to-many or many-to-many auction of financial instruments, comprising:

receiving, at a central processing center from trader workstations of traders, orders for financial instruments and trader credit preferences, wherein the orders include a price, a quantity, and an action;

calculating, at a central processing center, an auction price based on the prices of the orders and the price at which the most volume is traded; and

matching, at a central processing center, the orders at and above the auction price based on the credit preferences of the traders.

10. The method of claim 9, wherein receiving trader credit preferences comprises receiving more than one credit preference from a first trader for a second trader.

11. The method of claim 9, further comprising generating a transaction confirmation for each matched order and delivering the transaction confirmation to the traders associated with the matched order.

12. The method of claim 9, wherein matching the orders comprises matching orders with relative priority given to orders at and above the auction price which have a higher price than other orders.

13. The method of claim 9, wherein receiving trader credit preferences comprises receiving at least one of the credit preferences selected from the group of binary, line binary, and complex credit preferences.

14. The method of claim 9, wherein receiving trader credit preferences comprises receiving at least one each of the credit preferences of the group of line binary credit preferences and complex credit preferences.

15. The method of claim 9, wherein receiving trader credit preferences comprises receiving an upload of an electronic file from a first trader, wherein the electronic file comprises the credit preferences of the first trader.

16. The method of claim 9, wherein receiving orders comprises receiving an upload of an electronic file from a first trader, wherein the electronic file comprises at least one order of the first trader.

17. A computer program product for a two-way one-to-many or many-to-many auction of financial instruments, the computer program product comprising a computer-readable storage medium having computer-readable program code embodied in the medium for causing an auction of financial instruments between traders when executed on a central processing center, the computer-readable program code comprising:

a first code configured to receive, from trader workstations of the traders, orders for financial instruments and trader credit preferences, wherein the orders include a price, a quantity, and an action;

a second code configured to calculate an auction price based on the prices of the orders and the price at which the most volume is traded; and

a third code configured to match the orders at and above the auction price based on the credit preferences of the traders.

18. The computer program product of claim 17, wherein the first code is configured to receive more than one credit preference from a first trader for a second trader.

19. The computer program product of claim 17, wherein the third code is configured to match orders with relative priority given to orders at and above the auction price which have a higher price than other orders.

20. The computer program product of claim 17, wherein the first code is configured to receive at least two of the credit preferences selected from the group of binary, line binary, and complex credit preferences.