METHOD AND SYSTEM FOR CREATING AND TRADING SELLER-PAID MARGIN DERIVATIVE INVESTMENT INSTRUMENTS

摘要

Systems and methods for creating, disseminating and managing margin for a seller-advanced margin derivative investment instrument are disclosed. In one aspect, a seller-advanced margin derivative investment instrument is defined where a seller pre-pays a margin requirement that a buyer typically pays initially as required by an exchange. In another aspect, a collateral management service associated with a clearing entity for an exchange identifies, tracks and notifies seller and buyer clearing firms of margin charges and credits relating to seller-advanced margin derivative investment instruments.

主权项

1. A computer-implemented method of managing a seller-advanced margin option on an exchange, the method comprising:
in a processor of a clearing entity associated with the exchange, wherein the clearing entity is configured to monitor aggregate margin risks of clearing firms associated with buyers and sellers of seller-advance margin options, the processor:
receiving from the exchange an automated message identifying a matched trade for a seller-advanced margin option between a buyer and a seller, wherein the automated message includes information identifying that the matched trade is for the seller-advanced margin option;transmitting a first margin position notice communication to a clearing firm of the seller of the seller-advanced margin option, wherein the margin position notice communication comprises aggregate margin position information for all customers of the clearing firm of the seller, and wherein the aggregate margin position information includes a margin obligation of the seller totaling a sum of margin requirements for both the buyer and the seller of the matched trade of the seller-advanced margin option; andsubsequent to transmitting the first margin position notice, transmitting a second margin position notice to the clearing firm of the seller, the second margin position notice comprising second aggregate margin position information including a repayment by the buyer to the seller of at least a portion of the margin obligation of the buyer of the seller-advanced margin option.