Methods for risk portfolio management within an electronic trading system

• US 7,571,136 B2
• Filed: 01/06/2006
• Issued: 08/04/2009
• Est. Priority Date: 10/14/1997
• Status: Expired due to Fees

• Current Assignee: Blackbird Holdings, Inc.
• Original Assignee: Blackbird Holdings, Inc.
• Inventors: May, R. Raymond
• Primary Examiner(s): Kyle, Charles R
• Assistant Examiner(s): Wood, David L
• Application Number:
  US11/326,931
• Publication Number:
  US 20070011079A1
• Time in Patent Office: 1,306 Days
• Field of Search: 705/35, 705/37
• 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 enables advantageous management of a risk portfolio. The switch engine receives 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. The credit preferences of the participating traders can be taken in consideration in making switches.

Claims

1. A method for financial instrument management utilizing an electronic trading system, wherein said electronic trading system includes a plurality of traders operationally connected to a central processing center, said method comprising:

receiving, at a market module of said central processing center of said electronic trading system, at least a financial instrument portfolio from a first trader and a financial instrument portfolio from at least a second trader from the plurality of traders;

calculating, at said market module of said central processing center, relative risk positions of each financial instrument portfolio received from the first and second traders;

matching, at said market module of said central processing center, offsetting relative risk positions of the first and second traders; and

executing, at an execution module of said market module of said central processing center, a switch between the first and second traders for the matching offsetting relative risk positions, wherein the switch comprises an exchange of at least one financial instrument defining a financial risk position for at least one financial instrument defining an opposite financial risk position.

2. The method of claim 1, further comprising generating, at a settlement module of said market module of said central processing center, a confirmation notice for confirming a switch of offsetting risk positions.

4. The method of claim 1, wherein receiving a financial instrument portfolio includes receiving an interest rate risk portfolio from at least the first trader and the second trader from a plurality of trades.

5. The method of claim 1, further comprising presenting, by a market inventory module of said market module of said central processing center, to at least the first trader and the second trader available switches.

6. The method of claim 5, wherein executing a switch includes receiving a request for a switch from one of the first trader and second trader, and in response a message of an anonymous request for the switch is sent to the other of the first trader and second trader.

7. The method of claim 1, further comprising presenting, by a market inventory module of said market module of said central processing center, to at least the first trader and the second trader a possible switch and fair price for each day out a predetermined period of time.

8. The method of claim 1, further comprising updating, at said market module of said central processing center, the financial instrument portfolios of the first and second traders based on the executed switch.

9. The method of claim 1, wherein matching offsetting relative risk positions of the first and second traders comprises selecting matches so that a maximum total volume is traded with a minimum number of trades, wherein volume represents an amount of currency.

10. The method of claim 9, wherein matching offsetting relative risk positions of the first and second traders further comprises selecting matches so that a minimum number of matches are made.

11. The method of claim 1, wherein matching offsetting relative risk positions of the first and second traders comprises selecting matches so that a minimum number of matches are made.

12. The method of claim 1, further comprising presenting, by a market inventory module of said market module of said central processing center, the calculated relative risk positions of the financial instrument portfolio of the first trader to at least the second trader.

13. The method of claim 12, further comprising visually encoding the relative risk positions of the financial instrument portfolio of the first trader with credit preference information of the second trader.

14. The method of claim 1, wherein matching offsetting relative risk positions comprises matching based at least in part on credit preferences of said first and second traders.

15. The method of claim 5, further comprising visually encoding the available switches presented to at least the first trader and the second trader with credit preference information of at least the first trader and the second trader.

16. The method of claim 5, further comprising identifying at least one specific financial risk instrument to be switched in the available switches.

17. The method of claim 16, further comprising identifying a stated price for the at least one specific financial risk instrument.

18. The method of claim 5, further comprising individually filtering the presentation of the available switches for at least a first one of the second traders based upon credit preference input by the at least first one of the second traders.

3. A computer program product for risk portfolio management utilizing an electronic trading system, wherein said electronic trading system includes a plurality of traders operationally connected, said computer program product comprising a computer usable medium having computer-readable program code embodied in said medium for causing a switch exchange of financial instruments between traders when executed on a computer, said computer-readable program code comprising:

a first code configured to receive a financial instrument portfolio from a first trader and a financial instrument portfolio from a second trader from the plurality of traders;

a second code configured to calculate relative risk positions of each financial instrument portfolio received from the first and second traders;

a third code configured to match offsetting relative risk positions of the first and second traders; and

a fourth code configured to execute a switch between the first and second traders for the matching offsetting relative risk positions, wherein the switch comprises an exchange of at least one financial instrument defining a financial risk position for at least one financial instrument defining an opposite financial risk position.

19. The computer program product of claim 3, further comprising a fifth code configured to update the financial instrument portfolios of the first and second traders based on the executed switch.

20. The computer program product of claim 3, further comprising a fifth code configured to generate a confirmation notice for confirming a switch of offsetting risk positions.

21. The computer program product of claim 3, further comprising a fifth code configured to presenting at least one available switch to at least the first trader and the second trader.

22. The computer program product of claim 3, wherein the third code is further configured to match offsetting relative risk positions of the first and second traders by selecting matches so that a maximum total volume is traded with a minimum number of trades, wherein volume represents an amount of currency.

23. The computer program product of claim 22, wherein the third code is further configured to match offsetting relative risk positions of the first and second traders by selecting matches so that a minimum number of matches are made.

24. The computer program product of claim 3, wherein the third code is further configured to match offsetting relative risk positions of the first and second traders by selecting matches so that a minimum number of matches are made.

25. The computer program product of claim 3, further comprising a fifth code configured to present the calculated relative risk positions of the financial instrument portfolio of the first trader to at least the second trader.

26. The computer program product of claim 25, further comprising a sixth code configured to visually encode the relative risk positions of the financial instrument portfolio of the first trader with credit preference information of the second trader.

27. The computer program product of claim 3, wherein the third code is further configured to match offsetting relative risk positions based at least in part on credit preferences of said first and second traders.

28. The computer program product of claim 21, further comprising sixth code configured to visually encode the available switches presented to at least the first trader and the second trader with credit preference information of at least the first trader and the second trader.

29. The computer program product of claim 21, further comprising sixth code configured to identify at least one specific financial risk instrument to be switched in the available switches.

30. The computer program product of claim 21, further comprising sixth code configured to individually filter the presentation of the available switches for at least a first one of the second traders based upon credit preference input by the at least first one of the second traders.

31. A method, comprising:

inputting data for a financial instrument portfolio of a first trader comprising a plurality of financial risk instruments defining financial risk positions of the first trader, wherein the data is input to an electronic trading system; and

receiving confirmation of a switch of an exchange of one or more of the financial risk instruments of one or more of the financial risk positions of the first trader with financial risk instruments of one or more offsetting relative risk positions of one or more financial instrument portfolios of at least one of a plurality of second traders based upon an automated calculation of relative risk positions of the financial instrument portfolio of the first trader and of respective ones of the financial instrument portfolios of the second traders and based upon an automated matching of the relative risk positions of the financial instrument portfolios of the first trader and the at least one of the second traders, wherein the first trader and the plurality of second traders are operationally connected by the electronic trading system.

32. The method of claim 31, wherein inputting data comprises identifying a specific financial risk instrument to be exchanged in the switch.

33. The method of claim 32, wherein inputting data further comprises identifying a stated price for the specific financial risk instrument.

34. The method of claim 31, wherein inputting data comprises inputting data representing an interest rate risk portfolio.

35. The method of claim 31, further comprising presenting to the first trader a listing of available switches with the second traders.

36. The method of claim 35, wherein presenting the listing of available switches to the first trader comprises visually encoding the available switches with credit preference information of credit preferences input by at least one of the first trader and the second traders.

37. The method of claim 35, wherein presenting the listing of available switches to the first trader comprises visually encoding the available switches with credit preference information of credit preferences input by the first trader and at least one of the second traders.

38. The method of claim 36, wherein presenting the listing of available switches to the first trader comprises filtering the listing of available switches based upon the credit preference information.

39. The method of claim 38, wherein presenting the listing of available switches to the first trader comprises filtering the listing of available switches based upon the credit preference information, wherein the credit preference information comprises credit preference input by the first trader and at least one of the second traders.

40. The method of claim 36, wherein the credit preference input comprises uploading an electronic file comprising the credit preferences of the at least one of the first trader and the second traders.

41. The method of claim 35, further comprising presenting to the at least one of the second traders a listing including at least one available switch with the first trader, wherein the confirmation corresponds to a switch selected by the at least one of the second traders.

42. The method of claim 35, further comprising selecting one of the switches from the listing of available switches by the first trader.

43. The method of claim 42, wherein the confirmation corresponds to the switch selected by the first trader from the listing of available switches.

44. The method of claim 31, further comprising presenting to at least the first trader and the at least one of the second traders a possible switch and fair price for each day out a predetermined period of time.

45. The method of claim 31, further comprising updating the financial instrument portfolios of the first and second traders based on the executed switch.

46. The method of claim 31, wherein matching offsetting relative risk positions of the first and second traders comprises selecting matches so that a maximum total volume is traded with a minimum number of trades, wherein volume represents an amount of currency.

47. The method of claim 46, wherein matching offsetting relative risk positions of the first and second traders further comprises selecting matches so that a minimum number of matches are made.

48. The method of claim 31, wherein matching offsetting relative risk positions of the first and second traders comprises selecting matches so that a minimum number of matches are made.

49. The method of claim 31, wherein matching offsetting relative risk positions comprises matching based at least in part on credit preferences of said first and second traders.

50. The method of claim 31, further comprising presenting the calculated relative risk positions of the financial instrument portfolio of the first trader to at least the second trader.

51. The method of claim 50, further comprising visually encoding the relative risk positions of the financial instrument portfolio of the first trader with credit preference information for credit preferences of the second trader.

52. The method of claim 31, wherein inputting data comprises performing a file transfer upload of an electronic file.

53. A computer program product comprising a computer useable medium having computer-readable program code embodied in said medium for causing confirmation of a switch of instrument between traders when executed on a computer, said computer-readable program code comprising:

a first code configured to input data for a financial instrument portfolio of a first trader comprising a plurality of financial risk instruments defining financial risk positions of the first trader, wherein the data is input to an electronic trading system; and

a second code configured to receive confirmation of a switch of an exchange of one or more of the financial risk instruments of one or more of the financial risk positions of the first trader with financial risk instruments of one or more offsetting relative risk positions of one or more financial instrument portfolios of at least one of a plurality of second traders based upon an automated calculation of relative risk positions of the financial instrument portfolio of the first trader and of respective ones of the financial instrument portfolios of the second traders and based upon an automated matching of the relative risk positions of the financial instrument portfolios of the first trader and the at least one of the second traders, wherein the first trader and the plurality of second traders are operationally connected by the electronic trading system.

54. The computer program product of claim 53, wherein the first code is further configured to identify a specific financial risk instrument to be exchanged in the switch.

55. The computer program product of claim 53, further comprising a third code configured to present to the first trader a listing of available switches with the second traders.

56. The computer program product of claim 55, wherein the third code is further configured to visually encode the available switches with credit preference information of credit preferences input by the first trader and at least one of the second traders.

57. The computer program product of claim 55, wherein the third code is further configured to visually encode the available switches with credit preference information of credit preferences input by at least one of the first trader and the second traders.

58. The computer program product of claim 57, wherein the third code is further configured to filter the listing of available switches based upon the credit preference information.

59. The computer program product of claim 58, wherein the third code is further configured to filter the listing of available switches based upon the credit preference information, wherein the credit preference information comprises credit preference input by the first trader and at least one of the second traders.

60. The computer program product of claim 57, wherein the third code is further configured to receive the credit preference input by an upload of an electronic file comprising the credit preferences of the at least one of the first trader and the second traders.

61. The computer program product of claim 55, further comprising a fourth code configured to present to the at least one of the second traders a listing including at least one available switch with the first trader and further configured to receive a selection of a switch by the at least one of the second traders, wherein the confirmation of the second code corresponds to a switch selected by the at least one of the second traders by operation of the third code and the fourth code.

62. The computer program product of claim 55, further comprising a fourth code configured to permit selection of one of the switches from the listing of available switches by the first trader.

63. The computer program product of claim 62, wherein the confirmation of the second code corresponds to the switch selected by the first trader from the listing of available switches by operation of the third code and the fourth code.

64. The computer program product of claim 53, further comprising a third code configured to present to at least the first trader and the at least one of the second traders a possible switch and fair price for each day out a predetermined period of time.

65. The computer program product of claim 53, further comprising a third code configured to update the financial instrument portfolios of the first and second traders based on the executed switch.

66. The computer program product of claim 53, further comprising a third code configured to present the calculated relative risk positions of the financial instrument portfolio of the first trader to at least the second trader.

67. The computer program product of claim 53, further comprising a third code configure to visually encode the relative risk positions of the financial instrument portfolio of the first trader with credit preference information for credit preferences of the second trader.

68. The computer program product of claim 53, wherein the first code is further configured to perform a file transfer upload of an electronic file comprising the data for a financial instrument portfolio of a first trader.