System and method for reducing curve risk
AssigneeICAP Services North America LLC
InventorUmesh S. Patel
Life of this patent
Estimating the term…
Abstract
A bond matching system receives positions from dealers identifying bonds to be matched and including the price value per basis point (PVPB) of the bonds and an indication of a percentage deviation from PVBP that the dealer is willing to accept in a matching bond. A matching engine performs a matching optimization during a run to match as many positions as possible and then calculates a series of hedge trades for each dealer to reduce the curve risk generated by matching with bonds having different maturity dates. The hedge trades are executed in a liquid external market such as a futures exchange.
Claims30
A computerized bond trading system, comprising:
- a position store for storing one or more bond positions for each of a plurality of dealers, each bond position being a buy or sell position and including an identification of the bond and a measure of the value of the bond;
- a matching engine which:
- uses the information stored in the position store to match buy and sell positions of the dealers as a function of the identification of and the value of the bond positions;
- and
- calculates from the series of matches, one or more hedge trades in an exchange tradable market for each dealer with one or more positions that have been matched to reduce the curve risk generated by the matches.
A computerized bond trading method comprising:
- storing in a position store one or more bond positions for each of a plurality of dealers, each bond position being a buy or sell position and including an identification of the bond and a measure of the value of the bond;
- using a matching engine to:
- match buy and sell positions of the dealers as a function of the identification of and the value of the bond positions;
- and
- calculate from the series of matches, one or more hedge trades in an exchange tradable market for each dealer with one or more positions that have been matched to reduce the curve risk generated by the matches.
Dependencies are inferred from the claim text.