Foreign Exchange Covered Warrant System And Structure

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.