International Association
for Cryptologic Research

Banks publish daily axe lists of available securities/assets for selected clients, helping them locate Long or Short trades at reduced financing rates. This list aggregates the bank’s internal inventory, lowering costs but also revealing the bank’s holdings and potentially large client trades, risking competitive exposure. Atlas-X Axe Obfuscation, powered by novel differential privacy methods, obfuscates this list under continuous observation, balancing inventory Profit and Loss (P&L) with reduced client activity leakage. Atlas-X, live for two years across J.P. Morgan’s USA, Europe, and Asia branches, is the first differential privacy tool deployed in finance, with real and synthetic benchmarks confirming its production success."

Inventory matching is a standard mechanism for trading financial stocks by which buyers and sellers can be paired. In the financial world, banks often undertake the task of finding such matches between their clients. The related stocks can be traded without adversely impacting the market price for either client. If matches between clients are found, the bank can offer the trade on advantageous rates. If no match is found, the parties have to buy or sell the stock in the public market, which introduces additional costs. A problem with the process as it is presently conducted is that the involved parties must share their order to buy or sell a particular stock, along with the intended quantity (number of shares) to the bank. Clients are concerned that if this information ``leaks'' somehow, other market participants will become aware of their intentions, and thus cause the price to move adversely against them before their transaction is concluded. We provide a solution that enables the clients to match their orders efficiently with reduced market impact while maintaining privacy. In the case where there are no matches, no information is revealed. Our main cryptographic innovation is a secure linear comparison protocol for computing the minimum between two quantities with malicious security. We report benchmarks of our Prime Match system, which runs in production, and is adopted by a large bank in the US (J.P. Morgan). Prime Match is the first MPC solution running live in the financial world.