System and method for implementing and managing bundled option box futures

Abstract

A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The system includes a match engine module to receive an order for a bundled box spread future representative of the collateralized loan via an options box spread. The order specifies an interest rate associated with the collateralized loan as the price of the futures contract. A trade database identifies a bundled box spread future associated with the received order and interest rate and an order book module identifies a standing order that is compatible with the received order. A clearing module credits an account with a loan amount based on the identified bundled option box future. A risk management module credits a margin amount to reflect the collateralized loan and associated collateral assets.

1 . A system for managing a bundled box spread future order, the system comprising:
 an order book module that receives a box spread future order that includes an amount, an interest rate, and a term;   a match engine module that executes the box spread future order, wherein a long position and a short position are priced and allocated by the match engine module;   a trade database in communication with the match engine module that includes four options that form the options box spread and a price of the four options, wherein the trade database is configured to identify a bundled box spread future associated with the received order; and   an account data module that issues instructions that call for collection of options premium from a buyer of the box spread and a release of the options premium to a seller of the box spread.   
     
     
         2 . The system of  claim 1  wherein the allocation of positions is in an expired bundled box spread futures. 
     
     
         3 . The system of  claim 1  wherein the box spread comprises a combination of four options positions with a common expiration date. 
     
     
         4 . The system of  claim 3  wherein the four positions are simultaneously purchased with the common expiration date. 
     
     
         5 . The system of  claim 3  wherein one or more of the four option prices are amended to ensure that the resultant four options prices would imply an interest rate from a final settlement price of the box spread futures. 
     
     
         6 . The system of  claim 1  further comprising:
 a risk management module that receives the positions to determine incremental impact for performance bond requirement. 
 
     
     
         7 . The system of  claim 6  wherein the sale of the box spread increases a margin requirement for the seller of the box spread. 
     
     
         8 . The system of  claim 1  further comprising:
 a pricing module configured to use current market quotes from futures and options of underlying index futures market input to determine the price of the options in the options box spread. 
 
     
     
         9 . The system of  claim 1  wherein the pricing of the options further comprises utilizing a pricing algorithm configured to use current market quotes from underlying index futures market input. 
     
     
         10 . A method for settling a bundled box spread future order, the method comprising:
 receiving an box spread future order that includes an amount, an interest rate, and a term;   fulfilling the box spread future order;   identifying a long position and a short position;   pricing the identified positions;   allocating the positions to generate an options box;   processing the order; and   updating a margin.   
     
     
         11 . The method of  claim 10  wherein the updating further comprises amending one or more option price from the box spread future order to ensure that the one or more option prices result in an interest rate matching a rate implied by a final settlement price of the box spread futures. 
     
     
         12 . The method of  claim 10  wherein the box spread comprises a combination of four options positions with a common expiration date. 
     
     
         13 . The method of  claim 12  wherein three of the four option prices are determined using known option pricing formulas and the fourth option price is determined as a function of net present value of the box spread based on the box spread futures final settlement price. 
     
     
         14 . The method of  claim 10  wherein the processing the order further comprises clearing the order. 
     
     
         15 . The method of  claim 10  wherein the pricing further comprises utilizing a pricing algorithm configured to use current market quotes from underlying index futures market input. 
     
     
         16 . The method of  claim 10  further comprising:
 determining incremental impact for performance bond requirement. 
 
     
     
         17 . The method of  claim 16  wherein a sale of the box spread increases a margin requirement for the seller of the box spread.