Liquidity that Scales with Demand

A two-tiered liquidity architecture engineered for depth and efficiency.

Multiply separates capital into two distinct pools so that most flow can be financed with market-neutral liquidity, while jump-to-settlement tail risk is handled explicitly and in a capped, portfolio-controlled manner.

1. Hedging Facility (HF) HF is a revolving financing pool that finances and deterministically maintains delta-neutral hedges on underlying venues during periods when positions can be actively risk-managed (tradeable mark + executable liquidity). HF earns a predetermined rate on deployed capital. HF never holds unbackstopped exposure through any window where the market can jump to settlement (0/1) without a reliable unwind. HF can aggregate and net hedge execution across users and venues, reducing external trading costs and inventory footprint. This netting property does not apply to settlement-tail exposure, which is handled separately.

2. Underwriting Facility (UF) UF is a reserve and underwriting pool designed to absorb late-stage jump-to-settlement deficits that cannot be managed by liquidation. UF does not “take views” on specific events; it prices and caps non-deterministic tail exposure across a diversified set of markets using a positive-EV underwriting framework. UF only engages when a position explicitly qualifies to keep financed exposure through the hazard window.

Operational invariant: When a market enters a hazard window, HF’s financed amount goes to zero, either by (a) repaying the loan via Soft Carry, or (b) transferring the deficit risk to UF via insured carry. Until UF is live, Multiply defaults to Soft Carry.

Soft Carry

Soft Carry is a mechanism that eliminates jump-to-resolution risk for the HF while still letting the trader carry forward the portion of their leverage that is already “earned” through price appreciation.

It works by repaying the financed hedge premium before entering the hazard zone, using part of the trader’s current mark-to-market profits. Whatever exposure remains after the loan is repaid is the trader’s safe, unlevered excess that can be held through resolution with no directional risk for the hedging facility.

Let:

• C = collateral locked

• L = leverage

• p0 = effective entry price

• p1 = effective price at hazard entry

• N = shares held in the hedge

• D = financed amount

• V = N * p1 = mark value of hedge at hazard entry

At entry:

• Spot shares user could buy: N_spot = C / p0

• Levered shares you hedge: N = L * N_spot = L * C / p0

• Hedge premium paid: P = p0 * N = L * C

• Financed amount: D = P - C = (L - 1) * C (ignoring fees/buffers)

Safe Carry conversion at hazard entry:

• Sell shares to repay the loan: x = (D + buffer) / p1

• Remaining shares carried to settlement: N' = N - x

• After this: D' = 0 and the user holds N' shares through resolution.

Useful intuition (how much “extra exposure” remains): Remaining multiple vs spot after Soft Carry is: M = N' / N_spot = L - (L - 1) * (p0 / p1)

So:

• If p1 = p0, then M = 1 (no profit, loan repayment consumes all extra size)

• If p1 > p0, then p0/p1 is small and M stays close to L (you keep most of the levered run)

• If p1 drops a lot, M shrinks fast and you should have liquidated earlier during Turbo

Quick examples

Example 1 (winning run, keeps most leverage)

• C = $1,000, L = 10, p0 = 0.10, hazard at p1 = 0.80

• N = 10 * 1000 / 0.10 = 100,000 shares

• D = (10 - 1) * 1000 = $9,000

• Soft Carry sells x = 9000 / 0.80 = 11,250 shares

• Remaining N' = 88,750 shares

• Spot shares would be 10,000, so user carries 8.875x spot exposure into settlement without HF taking jump risk.

Example 2 (no move, leverage collapses to 1x at hazard)

• Same but p1 = 0.10

• x = 9000 / 0.10 = 90,000

• N' = 10,000 which is exactly spot sizing. No profit exists to pay back the borrowed premium, so the extra exposure cannot survive into hazard without insurance.

Insured Carry

Insured Carry allows a leveraged position to retain financed exposure through the hazard window by transferring the jump-to-settlement deficit risk from the HF to the UF at a deterministic, positive-EV Resolution Fee. This preserves the trader’s full exposure while keeping the HFF strictly neutral and solvent through resolution.

Insured Carry is only available when the trader’s economic value at hazard entry exceeds the remaining financed amount plus the Resolution Fee. When these conditions are met, the HF deterministically sets its financed amount to zero and the UF assumes the capped deficit obligation through resolution or position close.

UF prices this obligation as a standardized resolution fee across markets, using a positive-EV statistical underwriting approach that accounts for hazard intensity, depth conditions, and expected jump-to-settlement behavior. UF does not take views on individual events; instead, it underwrites a portfolio of bounded, well-specified resolution exposures subject to strict caps and diversification constraints.

Until the Underwriting Facility is released, Multiply defaults exclusively to Soft Carry.