Patent ID: 7636683

Claim:
A computerized trading system for trading Forward Rate Agreements (FRAs) between traders associated with a plurality of credit granting entities, the system comprising: a quote distribution system which contains information received from a plurality of credit granting entities indicating whether that credit granting entity is extending unilateral credit to other credit granting entities; at least some of the credit granting entities having at least one maker screen and at least one taker screen associated therewith: (a) the maker screen being configured to permit a trader to send maker price quotation messages to the quote distribution system, the maker price quotation message indicating a bid price at which the trader is willing to sell one or more of the FRAs and/or an offer price at which the trader is willing to buy one or more of the FRAs; and (b) the taker screen being configured to permit a trader to view and accept dealable price quotation messages received from the quote distribution system; and the quote distribution system: (a) determining which pairs of credit granting entities are credit bearing counter-parties which extend bilateral credit to one another as a function of the unilateral credit information, said determination being made as a function of at least two respective assigned risk factors including a volatility factor for each of the FRAs, the at least two of the assigned risk factors being different from one another; and (b) sending dealable price quotation messages to each credit granting entity indicating the best available bid and/or offer that originates from one or more credit bearing counter-parties of that credit granting entity.