MARGIN OFFSETS ACROSS PORTFOLIOS

• US 20090171824A1
• Filed: 12/27/2007
• Published: 07/02/2009
• Est. Priority Date: 12/27/2007
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Gogol, Edward M., Bagmet, Aleksandr, Landa, Feliks, Glinberg, Dmitriy
• Application Number:
  US11/965,221
• Publication Number:
  US 20090171824A1
• Time in Patent Office: Days
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method for managing a risk associated with a plurality portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange is disclosed. The method includes determining a risk assessment for each of a plurality of portfolios, calculating a margin offset associated with each of the plurality of portfolios, adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset, determining a portfolio risk assessment for the plurality of portfolios, and calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.

Claims

1. A method for managing a risk associated with a plurality of portfolios wherein each of the plurality of portfolios includes a plurality of positions representative of products traded on an exchange, the method comprising:

determining a risk assessment for each of a plurality of portfolios;

calculating a margin offset associated with each of the plurality of portfolios;

adjusting the risk assessments associated with each of the plurality of portfolios as a function of the margin offset;

determining a portfolio risk assessment for the plurality of portfolios; and

calculating a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.

2. The method of claim 1, wherein calculating the margin offset further comprises:

defining a theoretical portfolio including each plurality of positions included within the plurality of portfolios.

3. The method of claim 2 further comprising:

calculating a risk assessment based on each of the plurality of position within the theoretical portfolio.

4. The method of claim 3 further comprising:

comparing the risk assessment for the theoretical portfolio with the risk assessment for each of the plurality of portfolios;

calculating a savings amount based on the compared risk assessments of the theoretical portfolio and the plurality of portfolios; and

distributing the savings amount to at least one of the plurality of portfolios.

5. The method of claim 4, wherein distributing comprises distributing the saving substantially equally among the plurality of portfolios.

6. The method of claim 4, wherein distributing comprises distributing the saving pro rata according to margins for each of the plurality of portfolios.

7. The method of claim 4, wherein comparing the risk assessment further comprises:

summing of the risk assessments for each of the plurality of portfolios;

calculating the difference between the risk assessment for the theoretical portfolio and the summed risk assessments for each of the plurality of portfolios;

wherein the calculated savings amount is the calculated difference between the risk assessment for the theoretical portfolio and the sum of the risk assessments for each of the plurality of portfolios when the risk assessment for the theoretical portfolio is greater than the sum of the risk assessments for each of the plurality of portfolios.

8. The method of claim 1, wherein calculating the margin offset associated with each of the plurality of portfolios further comprises calculating the margin offset based on each of the risk assessments associated with the plurality of portfolios.

9. The method of claim 8, wherein calculating the margin offset is based on an aggregate of the risk assessments associated with the plurality of portfolios.

10. A system for determining margin requirements for a plurality of portfolios of positions on products traded on an exchange, the system comprising:

a memory configured to stored executable instructions;

a processor in communication with the memory, the processor configured to execute the stored executable instructions, wherein the stored executable instructions are configured to;

determine a risk assessment for each of a plurality of portfolios;

calculate a margin offset associated with each of the plurality of portfolios;

adjust the risk assessments associated with each of the plurality of portfolios as a function of the margin offset;

determine a portfolio risk assessment for the plurality of portfolios; and

calculate a margin requirements for the plurality of portfolios, wherein the margin requirement calculated as a function of the portfolio risk assessment.

11. The system of claim 10, wherein the stored executable instructions are further configured to:

define a theoretical portfolio including each plurality of positions included within the plurality of portfolios.

12. The system of claim 11 wherein the stored executable instructions are further configured to:

calculate a risk assessment based on each of the plurality of position within the theoretical portfolio.

13. The system of claim 12 wherein the stored executable instructions are further configured to:

compare the risk assessment for the theoretical portfolio with the risk assessment for each of the plurality of portfolios;

calculate a savings amount based on the compared risk assessments of the theoretical portfolio and the plurality of portfolios; and

distribute the savings amount to at least one of the plurality of portfolios.

14. The system of claim 13, wherein the stored executable instructions configured to distribute the savings amount is further configured to distribute the saving substantially equally among the plurality of portfolios.

15. The system of claim 13, wherein the stored executable instructions configured to distribute the savings amount is further configured to distribute the saving pro rata according to margins for each of the plurality of portfolios.

16. The system of claim 13, wherein the stored executable instructions configured to compare the risk assessment is further configured to:

sum the risk assessments for each of the plurality of portfolios;

calculate the difference between the risk assessment for the theoretical portfolio and the summed risk assessments for each of the plurality of portfolios;

wherein the calculated savings amount is the calculated difference between the risk assessment for the theoretical portfolio and the sum of the risk assessments for each of the plurality of portfolios when the risk assessment for the theoretical portfolio is greater than the sum of the risk assessments for each of the plurality of portfolios.

17. The system of claim 10, wherein the stored executable instructions configured to calculate the margin offset is further configured to calculate the margin offset based on each of the risk assessments associated with the plurality of portfolios.

18. The system of claim 17, wherein the stored executable instructions configured to calculate the margin offset is further configured to calculate the margin offset based on an aggregate of the risk assessments associated with the plurality of portfolios.