Counterparty credit limits in computerized trading

• US 8,676,679 B2
• Filed: 05/31/2005
• Issued: 03/18/2014
• Est. Priority Date: 06/30/2003
• Status: Active Grant

• Current Assignee: Bloomberg LP
• Original Assignee: Bloomberg LP
• Inventors: Hausman, Andrew, Tannenbaum, Karen D., Beatty, Paul Brian Jr., Waldorf, Lawrence C., Dweck, Alan, Malhotra, Anish, Mock, Guy, Braham, Richard Anthony Lawson
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US11/142,908
• Publication Number:
  US 20060080216A1
• Time in Patent Office: 3,213 Days
• Field of Search: None
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Systems, methods, and computer program products for establishing and using credit limits between counterparties and for managing risk in the trading of financial interests. A trading party may control the amount of future financial exposure that the trading party will incur with any counterparty in one or more future time periods in trades by the trading party during a trading session. Credit limits may be used to permit proposed trades to be completed or not depending upon available credit. Where there is insufficient credit, the trade may be blocked or otherwise prevented from progressing towards completion. If there is insufficient credit and if trading up to available credit is permitted, a partial trade for an amount up to the credit limit may be allowed. During a trading session, the credit remaining of a set credit limit between the trading party and the respective counterparty is changed according to trades executed between the trading party and the counterparty. After the end of the trading session, the remaining credit may be automatically reset to the set credit limit for each counterparty and future time period.

Claims

1. A method of using credit data in a computerized system for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device, at or prior to a start of the trading session, a credit value for at least one counterparty designable by a trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.

9. The method of claim 1, wherein in the event that the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is more than the credit value in the memory device, then processing the proposed trade comprises changing the proposed trade so that the financial exposure in the future time period to the trading party, expressed in terms compatible with the credit value in the memory device for the future time period, is not greater than the credit value in the memory device and processing the changed trade towards completion.

10. The method of claim 1, comprising for a completed trade in the trading session, adjusting the credit value in the memory device for the respective time period in consideration of the financial exposure of the completed trade for continued use as the credit value during the trading session.

13. The method of claim 1, wherein processing the proposed trade between the trading party and the at least one counterparty towards completion comprises providing the trading party with information relating to a bid or offer in the financial interest of the at least one counterparty.

14. The method of claim 1, wherein processing the proposed trade between the trading party and the at least one counterparty towards completion comprises providing the trading party with information relating to a bid or offer in the financial interest of the at least one counterparty up to the credit value in the memory device.

15. The method of claim 1, wherein processing the proposed trade between the trading party and the at least one counterparty towards completion comprises completing the trade.

16. The method of claim 1, wherein at least one of the time periods is an aggregate time period comprised of at least two of the time periods, the method comprising providing in the memory device at or prior to a start of the trading session a credit value designated by a trading party for trading between the trading party and the at least one counterparty financial interests having a financial exposure to the trading party in the aggregate time period.

17. The method of claim 16, comprising for a completed trade in the trading session in the aggregate time period, adjusting the credit value in the memory device for the aggregate time period and for the each time period in which the financial interest has the financial exposure to the trading party.

18. The method of claim 1, comprising notifying the trading party if the credit value in the memory device for any future time period is not greater than an alert amount.

19. The method of claim 18, comprising for each credit value that a trading party is notified is not greater than an alert amount, in response to trading party input to the computerized system, providing the same credit value in the memory device as provided at the start of the trading session.

31. The method of claim 1, wherein the maximum credit value is associated with all of the respective future time periods.

2. A method of using credit data in a computerized system for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods having at least one parameter thereof set with respect to a trading session in accordance with one or more designations of a trading party, storing in a memory device, at or prior to a start of the trading session, a credit value for at least one counterparty designable by the trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.

6. The method of claim 2 or 4, wherein the financial interest is foreign exchange forwards contracts, and wherein processing a proposed trade comprises processing a proposed trade between the trading party and the at least one counterparty of a foreign exchange forwards contract for a given currency pair having a forward leg in a future time period towards possible completion over the network (i) if the financial exposure for the future time period, accounting for the size of the proposed trade expressed in a currency compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party with the proposed trade included is less than the maximum credit value.

8. The method of claim 2, comprising the trading party setting the at least one parameter of the future time periods with respect to the trading session.

3. A method of using credit data in a computerized system for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device at or prior to a start of the trading session, a credit value designable by each of a pair of potential counterparties for use in connection with trading financial interests with each other, the financial interests having a financial exposure to each of the pair of counterparties in the respective future time periods;

storing in the memory device a maximum credit value designable by each of the pair of potential counterparties for trading with each other, wherein the maximum credit value is associated with financial exposure to each of the pair of counterparties in two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the pair of potential counterparties of a financial interest having a financial exposure to each of the potential counterparties in a future time period towards possible completion (i) if the financial exposure to each of the potential counterparties of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the lesser of the credit values in the memory device for each of the potential counterparties for the future time period and (ii) if the total financial exposure to each of the potential counterparties in the two or more future time periods is less than the lesser of the maximum credit values stored for each of the potential counterparties, and (b) otherwise not processing the proposed trade towards possible completion.

7. The method of claim 3, wherein the financial interest is foreign exchange forwards contracts, and wherein processing a proposed trade comprises processing a proposed trade between the pair of potential counterparties of a foreign exchange forwards contract having a forward leg towards possible completion (i) if the financial exposure for the future time period, accounting for the size of the proposed trade expressed in a currency compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to at least one of the potential counterparties is less than the maximum credit value.

11. The method of claim 3 or 5, comprising setting a parameter of at least one of the time periods in accordance with one or more designations of each of the potential counterparties.

4. A method of using credit data in a computerized system for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device a credit value for at least one counterparty designable by a trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods; and

at or prior to a start of a trading session, storing the credit value for each time period and the at least one counterparty as a credit available value for use during the trading session;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit available value in the memory device for the future time period, is less than the available credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.

12. The method of claim 4, comprising setting a parameter of at least one of the time periods in accordance with one or more designations of the trading party.

32. The method of claim 4, further comprising, on a time basis, automatically resetting the credit available value to the credit available value stored at or prior to the start of the trading session.

33. The method according to claim 32, wherein the time basis is selectable by the trading party.

5. A method of using credit data in a computerized system for trading foreign exchange forwards contracts over a network, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device, at or prior to a start of the trading session, a credit value being designable by a trading party for use in connection with trading foreign exchange forwards contracts between the trading party and the at least one counterparty, each forwards contract having a forwards leg in a future time period;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a foreign exchange forwards contract for a given currency pair having a forward leg in a future time period towards possible completion (i) if the size of the proposed trade, expressed in a currency compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion proposed trade were executed.

30. A product comprising a computer usable medium or media storing computer readable code which when executed causes at least one computer to carry out the method of claim 5.

20. A system for computerized trading over a network of financial interests having a future financial exposure using credit data, comprising:

at least one computer;

a memory device, comprising at least one storage medium accessible by the at least one computer, that stores (i) for each of a plurality of future time periods with respect to a trading session, at or prior to a start of the trading session, a credit value designable by a trading party for use in connection with trading financial interests between the trading party and at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods, and (ii) maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods;

the at least one computer being programmed (a) to process, during the trading session, a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise to not process the proposed trade towards possible completion.

22. The system of claim 20 or 21, wherein the memory device stores (i) credit values designated by the trading party for trades with a potential counterparty and by the potential counterparty for trades with the trading party of financial interests having a financial exposure to each of the trading party and the potential counterparty in the respective future time periods, and (ii) maximum credit values designated by the trading party and the potential counterparty for trading with each other, wherein the maximum credit value is associated with financial exposure aggregated over the two or more future time periods;

and

wherein the at least one computer is programmed to process a proposed trade during the trading session between the trading party and the potential counterparty of a financial interest having a financial exposure in a future time period towards possible completion over the network (i) if the financial exposure to both the trading party and the potential counterparty of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the lesser of the credit values in the memory device for each of the trading party and the potential counterparty in the future time period and (ii) if the financial exposure to each of the potential counterparties of the financial instrument aggregated over all of the future time periods is less than the lesser of the maximum credit values in the memory device for each of the potential counterparties.

23. The system of claim 20 or 21, wherein the at least one computer is programmed to provide, at or prior to a start of a trading session, a credit value for each time period and the at least one counterparty as a credit available value for use during the trading session, and during the trading session, to process a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit available value in the memory device for the future time period, is less than the available credit value for the future time period, and (ii) in the event that the future time period is associated with the maximum credit value, if the total financial exposure to the trading party for the two or more future time periods is less than the maximum credit value.

24. The system of claim 20 or 21, wherein the financial interest is foreign exchange forwards contracts, and wherein processing a proposed trade comprises processing a proposed trade between the trading party and the at least one counterparty of a foreign exchange forwards contract for a given currency pair having a forward leg in a future time period towards possible completion over the network (i) if the financial exposure for the future time period, accounting for the size of the proposed trade expressed in a currency compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party with the proposed trade included is less than the maximum credit value.

21. A system for computerized trading over a network of financial interests having a future financial exposure using credit data, comprising:

at least one computer;

a memory device, comprising at least one storage medium accessible by the at least one computer, that stores (i) for each of a plurality of future time periods having at least one parameter thereof set with respect to a trading session in accordance with one or more designations of a trading party, at or prior to a start of the trading session, a credit value for at least one counterparty designable by a trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods, and (ii) a maximum credit value designable by the trading party for trading between the trading party and at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods;

the at least one computer being programmed (a) to process, during the trading session, a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device in the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise to not process the proposed trade towards possible completion.

25. A product comprising a computer usable medium or media storing computer readable code which when executed causes at least one computer to carry out a method of using credit data for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device, at or prior to a start of the trading session, a credit value for at least one counterparty designable by a trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.

29. The product of claim 25, 26, 27 or 28, wherein the financial interest is foreign exchange forwards contracts, and wherein processing a proposed trade comprises processing a proposed trade between the trading party and the at least one counterparty of a foreign exchange forwards contract for a given currency pair having a forward leg in a future time period towards possible completion over the network (i) if the financial exposure for the future time period, accounting for the size of the proposed trade expressed in a currency compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party, with the proposed trade included is less than the maximum credit value.

26. A product comprising a computer usable medium or media storing computer readable code which when executed causes at least one computer to carry out a method of using credit data for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods having at least one parameter thereof set with respect to a trading session in accordance with one or more designations of a trading party, storing in a memory device, at or prior to a start of the trading session, a credit value for at least one counterparty designable by the trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in a two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the credit value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.

27. A product comprising a computer usable medium or media storing computer readable code which when executed causes at least one computer to carry out a method of using credit data for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device at or prior to a start of the trading session, a credit value designable by each of a pair of potential counterparties for use in connection with trading financial interests with each other, the financial interests having a financial exposure to each of the pair of counterparties in the respective future time periods;

storing in the memory device a maximum credit value designable by each of the pair of potential counterparties for trading with each other, wherein the maximum credit value is associated with financial exposure to each of the pair of counterparties in two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the pair of potential counterparties of a financial interest having a financial exposure to each of the potential counterparties in a future time period towards possible completion (i) if the financial exposure to each of the potential counterparties of the financial instrument in the future time period, expressed in terms compatible with the credit value in the memory device for the future time period, is less than the lesser of the credit values in the memory device for each of the potential counterparties for the future time period and (ii) if the total financial exposure to each of the potential counterparties in the two or more future time periods is less than the lesser of the maximum credit values stored for each of the potential counterparties, and (b) otherwise not processing the proposed trade towards possible completion.

28. A product comprising a computer usable medium or media storing computer readable code which when executed causes at least one computer to carry out a method of using credit data for trading over a network financial interests having a future financial exposure, the method comprising:

for each of a plurality of future time periods with respect to a trading session, storing in a memory device a credit value for at least one counterparty designable by a trading party, each credit value being for use in connection with trading financial interests between the trading party and the at least one counterparty, the financial interests having a financial exposure to the trading party in the respective future time periods; and

at or prior to a start of a trading session, storing the credit value for each time period and the at least one counterparty as a credit available value for use during the trading session;

storing in the memory device a maximum credit value designable by the trading party for trading between the trading party and the at least one counterparty, wherein the maximum credit value is associated with financial exposure to the trading party in two or more of the plurality of future time periods; and

during the trading session, (a) processing a proposed trade between the trading party and the at least one counterparty of a financial interest having a financial exposure in a future time period towards possible completion (i) if the financial exposure to the trading party of the financial instrument in the future time period, expressed in terms compatible with the available credit value in the memory device for the future time period, is less than the credit available value in the memory device for the future time period, and (ii) if the total financial exposure to the trading party in the two or more future time periods is less than the maximum credit value, and (b) otherwise not processing the proposed trade towards possible completion.