Automated method and system for market making, centralized margin facility and clearing of synthetic orders

摘要

An automated method and system achieves higher than currently possible leverage in trading synthetic positions (e.g., Asset Packages) consisting of cash equivalent and its derivative. The derivative leg of the Asset Package is used as collateral for the whole package to the extent that it hedges the market risk of the synthetic position. The Asset Package Market Maker assembles (quotes) synthetic positions based on the underlying markets' quotes, which includes a discount (embedded margin). The amount of the discount is based on the value of package collateral, such as the put strike in case of a synthetic call position. The discounted synthetic position is then traded in the virtual asset package market, established and made by such a market maker on a real-time basis. The method and system are applicable to various assets and related derivatives. The method and system herein can be used for trading any asset, right or liability not just securities, equities, derivatives or other like instruments.