Foreign Exchange Covered Warrant System And Structure

Abstract

A financial data processing system includes a foreign exchange (FX) certificate management system, a covered warrant management processor, and a trade processing system. The FX certificate management system includes a computer system configured to structure a zero-coupon FX certificate. The certificate is structured to have a redemption value that is determined based on a currency exchange rate measured at a time of maturity of the certificate. The covered warrant management processor includes a computer system configured to structure a FX covered warrant product based on an underlyer that includes a foreign exchange certificate structured by the FX certificate management system. The trade processing system includes a database storing buy and sell related data and tracking investor portfolio information, and a user interface system to generate user interface display screens enabling interaction with a user.

What is claimed is: 
     
         1 . A financial product comprising:
 an underlyer comprising a foreign exchange certificate, said certificate having a redemption value that is determined based on an exchange rate of a first currency for a second currency; and   a covered warrant comprising the underlyer.   
     
     
         2 . The product of  claim 1  wherein the certificate comprises a zero-coupon certificate. 
     
     
         3 . The product of  claim 2  wherein the redemption value is an amount by which a first value at a maturity date exceeds a strike price, said first value being dependent on a rate of exchange of a first currency for a second currency at the maturity date. 
     
     
         4 . The method of  claim 3  wherein the redemption value is zero if the first value is less than the strike price. 
     
     
         5 . The method of  claim 4  wherein the first value is structured to have a value equal to the spot currency exchange rate. 
     
     
         6 . The financial product of  claim 5  wherein the certificate is structured as a debenture. 
     
     
         7 . The financial product of  claim 6  wherein the certificate operates to securitize a foreign exchange option. 
     
     
         8 . A method of issuance of a financial product, the method comprising:
 structuring an underlyer comprising a zero-coupon foreign exchange certificate having a redemption value that is determined based on a difference in an exchange rate of a first currency for a second currency; and   issuing a covered warrant comprising the underlyer.   
     
     
         9 . The method of  claim 8  further comprising:
 calculating a value of the foreign exchange certificate at the time of offering of the certificate based on a data feed received from a computerized foreign exchange trading system. 
 
     
     
         10 . The method of  claim 9  wherein the data feed is received in real-time. 
     
     
         11 . The method of  claim 10  further comprising:
 receiving a foreign exchange rate, a funding rate, and a charging rate at a computerized trading system; and 
 determining a price of the certificate based on the foreign exchange rate, the funding rate, the charging rate, and a date of redemption. 
 
     
     
         12 . The method of  claim 8  wherein:
 a single entity functions as an issuer of the certificate and as a market maker for the covered warrant product; and 
 the covered warrant product is issued in tranches having a set issue size, issue price, strike price, warrant type, and maturity date, and 
 said issue in tranches is managed by a computerized trading system. 
 
     
     
         13 . The method of  claim 12  comprising:
 monitoring a change in underlyer price based on a previous closing price; and 
 halting investor trading when a rate of change of the underlyer price during a pricing window exceeds a permissible rate of change. 
 
     
     
         14 . The method of  claim 9  wherein structuring the underlyer comprising structuring at a bid-offer spread to enable operation of the certificate as an investor trading vehicle. 
     
     
         15 . The method of  claim 14  wherein the certificate has an associated strike price comprising a price per share at which the underlying may be purchased in the case of a call or sold in the case of a put by a holder of the certificate upon exercise of an associated option contract. 
     
     
         16 . The method of  claim 8  further wherein the underlyer is structured as a debenture and operates to securitize a foreign exchange option. 
     
     
         17 . A computer-implemented method of offering a financial product, the method comprising:
 receiving a data feed comprising foreign exchange rate data;   computing a price of a zero-coupon foreign exchange certificate based on the received foreign exchange rate data;   computing a price of a foreign exchange covered warrant comprising an underlyer comprising the zero-coupon foreign exchange certificate; and   transmitting offer data to an investor, said offer data comprising information descriptive of the foreign exchange covered warrant.   
     
     
         18 . The method of  claim 17  further comprising:
 receiving a request for an offer of the foreign exchange covered warrant and transmitting the offer data in response to the request. 
 
     
     
         19 . A financial data processing apparatus comprising:
 a foreign exchange certificate management system comprising a computer system configured to structure a zero-coupon foreign exchange certificate, said structure comprising a price computed based on a date feed received from a foreign exchange trading system, and said certificate having a redemption value that is determined based on a difference in an exchange rate of a first currency for a second currency, said difference being measured between a time of issuance of the certificate and a time of maturity of the certificate;   a covered warrant management processor comprising a computer system configured to structure a covered warrant product based on an underlyer comprising a foreign exchange certificate structured by the foreign exchange certificate management system; and   a trade processing system comprising,
 a database storing buy and sell related data and tracking investor portfolio information, and 
 a user interface system to generate user interface display screens enabling interaction with a user. 
   
     
     
         20 . The apparatus of  claim 19  wherein the trade processing system further comprises:
 a price management system configured to automatically halt trading of the covered warrant product when a price change for the covered warrant product exceeds a first threshold. 
 
     
     
         21 . The apparatus of  claim 20  wherein the price management system is further configured to halt dissemination of price information when a change in a reference price of the underlyer exceeds a second threshold. 
     
     
         22 . The apparatus of  claim 21  wherein the price change for the covered warrant is measured over a first window of time and the change in the reference price is measured over a second window of time.