Method and system for managing credit-related and exchange rate-related risk

A method for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the method comprising the steps of:

• determining whether it is profitable to individually sell the contract and a portion of the plurality of contracts, the portion of the plurality of contracts corresponding to at least one bid, if any, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value,;
• obtaining the complete set of contracts, if individually selling the contract and the portion of the plurality of contracts is profitable;
• and
• individually selling the contract and the portion of the plurality of contracts, if individually selling the contract and the portion of the plurality of contracts is profitable.

A method for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the trade being an offer to sell at a particular price, the method comprising the steps of:

• determining whether individually buying the contract at the particular price and a remaining portion of the plurality of contracts is profitable, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value, a winning contract of the plurality of contracts paying a notional upon maturing;
• assembling the complete set by buying the contract and the remaining portion of the plurality of contracts, if required, if individually buying the contract and the remaining portion of the plurality of contracts and exchanging the complete set is profitable;
• and
• exchanging the complete set for the settlement value, if profitable.

A computer-readable medium containing a program for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the program including instructions for:

• determining whether a matching trade in a second system of the plurality of systems is possible, a rate differential existing between the first system and the second system, the rate differential resulting in a hedging cost between the first system and the second system for the contract, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value, a winning contract of the plurality of contracts paying a notional upon maturing;
• determining whether conducting a portion of the trade and a portion of the matching trade is profitable;
• and
• performing the portion of the trade and the portion of the matching trade if conducting the portion of the trade and the portion of the matching trade is profitable.

A computer-readable medium containing a program for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the program including instructions for:

• determining whether it is profitable to individually sell the contract and a portion of the plurality of contracts, the portion of the plurality of contracts corresponding to at least one bid, if any, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value, a winning contract of the plurality of contracts paying a notional upon maturing;
• obtaining the complete set of contracts, if individually selling the contract and the portion of the plurality of contracts is profitable;
• and
• individually selling the contract and the portion of the plurality of contracts, if individually selling the contract and the portion of the plurality of contracts is profitable.

A computer-readable medium containing a program for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the trade being an offer to sell at a particular price, the program containing instructions for:

• determining whether individually buying the contract at the particular price and a remaining portion of the plurality of contracts is profitable, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, a complete set including the plurality of contracts the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value, a winning contract of the plurality of contracts paying a notional upon maturing;
• assembling the complete set by buying the contract and the remaining portion of the plurality of contracts, if required, if individually buying the contract and the remaining portion of the plurality of contracts and exchanging the complete set is profitable;
• and
• exchanging the complete set for the settlement value, if profitable.

A special purpose vehicle (SPV) for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the SVP comprising:

• means for determining whether a matching trade for the contract in a second system of the plurality of systems is possible, a rate differential existing between the first system and the second system, the rate differential resulting in a hedging cost between the first system and the second system for the contract, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value, a winning contract of the plurality of contracts paying a notional upon maturing;
• means, coupled with the matching trade determining means, for determining whether conducting a portion of the trade and a portion of the matching trade is profitable;
• and
• means, coupled with the profit determining means, for performing the portion of the trade and the portion of the matching trade, if the profitable.

A special purpose vehicle (SPV) for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the SPV comprising:

• means for determining whether it is profitable to individually sell the contract and a portion of the plurality of contracts, the portion of the plurality of contracts corresponding to at least one bid, if any, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value and an interest rate effect, if any, a winning contract of the plurality of contracts paying a notional upon maturing;
• means for obtaining the complete set of contracts, if it is profitable to individually sell the contract and the portion of the plurality of contracts;
• and
• means for individually selling the contract and the portion of the plurality of contracts, if it is profitable to individually sell the contract and the portion of the plurality of contracts.

A special purpose vehicle (SPV) for managing risk for a plurality of contracts offered for trading in a plurality of systems, a contract of the plurality of contracts being offered for a trade in a first system, the trade being an offer to sell at a particular price, the SPV comprising:

• means for determining whether individually buying the contract at the particular price and a remaining portion of the plurality of contracts is profitable, the at least one bid being in at least a second system, at least one rate differential existing between the first system and the at least the second system, the rate differential resulting in the at least one hedging cost between the first system and the at least the second system, a complete set including the plurality of contracts, the complete set guaranteeing at least an initial settlement value at at least one particular time, the complete set also corresponding to a settlement value, the settlement value being based upon the initial settlement value and an interest rate effect, if any, a winning contract of the plurality of contracts paying a notional upon maturing;
• means for assembling the complete set by individually buying the contract and the remaining portion of the plurality of contracts, if required, if it is profitable to individually buy the contract and the remaining portion of the plurality of contracts;
• and
• means for exchanging the complete set for the settlement value, if it is profitable to individually buy the contract and the remaining portion of the plurality of contracts and exchange the contract and the remaining portion if the plurality of contracts for the settlement value.