Counterparty credit in electronic trading systems

摘要

There is disclosed an electronic trading system and associated methods adapted to automatically match submitted orders on the basis of price, quantity limitations, and lines of credit defined by potential counterparties. Lines of credit are divided into time based tranches relating to the maturity of an instrument to be traded, and a number of schemes are used to manage the tranches in order to improve control and use of remaining credit, which can be replenished manually or automatically. Traders are grouped into desks, and orders submitted by a trader may be matched on behalf of any of several credit centers defined per trader desk. Lines of credit may be held in various ways such as at the level of counterparty trading organizations, and at the level of counterparty credit centers. A variety of mechanisms are used to numerically interrelate lines of credit and different tradeable instruments, and a permissioned user can select how these mechanisms are used to control display of the market and matching of orders for traders in their trading organization.

主权项

1. A computerized trading system for use in trading financial instruments between parties, comprising:
an accounts store that stores details of multiple trading accounts relating to at least some of the parties, the multiple trading accounts for each party defining respective multiple trading preferences for the party and being defined at multiple levels of a tree of trading accounts; an order store that records order parameters defining orders submitted on behalf of the parties for trading financial instruments; a credit store that records a set of credit parameters maintained for each of the multiple trading accounts for each party, each set of credit parameters defining limits of credit for the trading account to determine the credit worthiness of trades between the party and other parties; a credit management mechanism that manages the credit parameters; and an order matching engine that generates trades by matching orders contained in the order store subject to the limits of credit, the order matching engine being arranged to automatically chain together said orders, without instruction to do so from any of the parties, to generate a multi-legged chain of simultaneous trades, wherein the order matching engine is arranged to fully authorize the chain, to fully reject the chain or to partially authorize the chain by scaling down all the orders in the chain by an appropriate factor determined by the credit parameters.