Exchange for physicals

12229,831

18/802358

August 13, 2024

Systems and methods for performing an exchange for physicals (EPP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between the EFP data and an index based on the amount, the price, and an index value. The matching engine module may calculate a residual delta based on the first delta percentage and an index notional value. The matching engine module may attribute the residual delta to the securities.

LIFFE Administration and Management (London, GB)

LIFFE Administration and Management (London, GB)

1. A non-transitory computer-readable medium storing program instructions that, when executed by one or more processors, cause the one or more processors to perform the functions of: matching, based on one or more priority rules, an order stored in an order book with a counter order stored in the order book to create a matched order having an exchange for physicals (EFP) price, the matched order comprising futures contracts for securities to be exchanged and shares in the securities to be exchanged; automatically determining a value of a first leg of the matched order based on a price and a quantity of the futures contracts for the securities to be exchanged; automatically determining a value of a second leg of the matched order based on a price and a quantity of the shares in the securities to be exchanged by: continuously monitoring one or more live index values that fluctuate according to market movement, and continuously generating a new price for the shares in the securities to be exchanged that closely matches current market pricing by modifying a price of at least one underlying component of the securities based on, at least, the continuously monitored one or more live index values, wherein each of the at least one underlying component of the securities comprises a respective number of shares; continuously monitoring a difference between the value of the first leg and the value of the second leg; and once the difference is equivalent to the EFP price, simultaneously executing the first leg and the second leg.

2. The non-transitory computer-readable medium of claim 1 , wherein the program instructions further cause the one or more processors to perform the functions of: receiving the order from a buyer computer via one or more of a wired and a wireless network, the order comprising an amount of the futures contracts for the securities to be purchased in exchange for an amount of the shares in the securities and a designated buy price; and receiving the counter order from a seller computer via one or more of the wired and the wireless network, the counter order comprising an amount of the futures contracts for the securities to be sold in exchange for an amount of the shares in the securities and a designated sale price.

3. The non-transitory computer-readable medium of claim 1 , wherein the order and the counter order form transaction data relating to an EFP transaction.

4. The non-transitory computer-readable medium of claim 3 , wherein the generating of the new price for the shares in the securities to be exchanged further comprises: calculating a first delta percentage between the transaction data and an index based on an amount of securities to be exchanged, the price for the amount of securities to be exchanged, and a live index value among the one or more live index values; applying the first delta percentage equally to each underlying component of the securities to be exchanged, thereby generating a new component security price for each of the at least one underlying component; calculating a residual delta based on the first delta percentage and an index notional value; and adjusting the new component security price by a minimum tick size based on the residual delta.

5. The non-transitory computer-readable medium of claim 4 , wherein the generating of the new price for the shares in the securities to be exchanged further comprises: calculating a component security weight based on the respective number of shares; calculating a rounded quantity of component securities based on the amount of securities to be exchanged and the component security weight; calculating a current index value based on the rounded quantity of component securities; calculating an index notional to be allocated based on, at least, the EFP price; calculating a first delta based on the current index value and the index notional; and calculating the first delta percentage based on the first delta and the current index value.

6. The non-transitory computer-readable medium of claim 5 , wherein calculating the component security weight comprises solving the following equation: component security weight=free float*number of shares.

7. The non-transitory computer-readable medium of claim 5 , wherein calculating the rounded quantity of component securities comprises solving the following equation: [mathematical expression included]

8. The non-transitory computer-readable medium of claim 5 , wherein calculating the current index value comprises solving the following equation: [mathematical expression included]

9. The non-transitory computer-readable medium of claim 5 , wherein calculating the index notional to be allocated comprises solving the following equation: index notional to be allocated=[LTP of index future-EFP price]*EFP quantity*future lot size.

10. The non-transitory computer-readable medium of claim 5 , wherein calculating the first delta comprises solving the following equation: first delta=index notional value to be allocated-current index value.

11. The non-transitory computer-readable medium of claim 5 , wherein calculating the first delta percentage comprises solving the following equation: [mathematical expression included]

12. The non-transitory computer-readable medium of claim 4 , wherein the program instructions further cause the one or more processors to perform the functions of: calculating the new component security price based on the first delta percentage; calculating a new index value based on the new component security price and a rounded quantity of component securities; and calculating the residual delta based on an index notional to be allocated and the new index value.

13. The non-transitory computer-readable medium of claim 12 , wherein calculating the new component security price comprises solving the following equation: new component security price=LTP component security*(1+delta %)rounded to one or more decimal places.

14. The non-transitory computer-readable medium of claim 12 , wherein calculating the new index value comprises solving the following equation: [mathematical expression included]

15. The non-transitory computer-readable medium of claim 12 , wherein calculating the residual delta comprises solving the following equation: residual delta=index notional value to be allocated−new index value.

16. The non-transitory computer-readable medium of claim 1 , wherein the one or more priority rules are based on at least a designated buy price of the order and a designated sale price of the counter order.

9501795 November 2016 Friedman
2003/0046218 March 2003 Albanese et al.
2009/0125434 May 2009 Mikulecz
2011/0055112 March 2011 Haines
2011/0078090 March 2011 Peterffy
2012/0185372 July 2012 McIntosh
2012/0254009 October 2012 Thorp

Singapore Search and Examination Report dated Aug. 1, 2017, of corresponding Singapore Application No. 10201404490U. cited by applicant
Business Line, “BSE Set to Launch New Derivative Product to De-risk Arbitrage,” Chennai, India, 2012. cited by applicant

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