Method and system for offset matching

Details Method and system for offset matching Method and system for offset matching

G - Physics

06

Q

G06Q 40/04 (2012.01)

Patent

CA 2587177

The trading of interest rate swaps or otherinterest rate derivatives gives rise to mismatch exposure. This can be offset by a series of FRA trades. Rather than conducting a series of exposure neutral trades, FRAs can be bought or sold for the entire amount of a trader's reset exposure. To hedge the offset trades, a series of IMM FRA trades are conducted. The relative size of the IMM contracts will be determined by the distance in time from the IMM quarterly contract settlement date. A system is disclosed for performing offset trades and IMM hedges. The embodiments allow for non-neutral trading and subsequent heging brings trading back to a neutral position.

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