HYBRID CROSS-MARGINING
First Claim
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1. A computer implemented method for determining a minimum margin requirement for a market participant, the method comprising:
- maintaining, by a first processor associated with at least two exchanges, an inter-exchange account for the market participant, the inter-exchange account reflecting a plurality of positions resulting from one or more trades executed on either of the at least two exchanges for one or more products available therefrom, the inter-exchange account being maintained separately from an intra-exchange account for the market participant, maintained by one of the at least two exchanges, exclusively reflecting a plurality of positions resulting from trades executed on that exchange for one or more products available therefrom;
determining, by a second processor, an inter-account net position based on the plurality of positions reflected in the intra-exchange account and un-netted positions remaining after a first intra-account net position has been determined, by the second processor, based solely on the plurality of positions reflected in the inter-exchange account;
establishing, by one or more of the first or second processors, a relationship between the at least two exchanges; and
determining, by one or more of the first or second processors, the minimum margin requirement for the market participant based on the inter-account and first intra-account net positions and the relationship.
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Abstract
A hybrid cross-margining system is disclosed. The disclosed provides for both joint accounts, maintained by multiple exchanges, as well as non-joint accounts, whereby the system recognizes both intra-account offsets within the joint account and inter-exchange offsets between the joint account and accounts maintained by another exchange to minimize the margin requirement of the associated market participant with respect to the positions reflected in these accounts.
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Citations
20 Claims
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1. A computer implemented method for determining a minimum margin requirement for a market participant, the method comprising:
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maintaining, by a first processor associated with at least two exchanges, an inter-exchange account for the market participant, the inter-exchange account reflecting a plurality of positions resulting from one or more trades executed on either of the at least two exchanges for one or more products available therefrom, the inter-exchange account being maintained separately from an intra-exchange account for the market participant, maintained by one of the at least two exchanges, exclusively reflecting a plurality of positions resulting from trades executed on that exchange for one or more products available therefrom; determining, by a second processor, an inter-account net position based on the plurality of positions reflected in the intra-exchange account and un-netted positions remaining after a first intra-account net position has been determined, by the second processor, based solely on the plurality of positions reflected in the inter-exchange account; establishing, by one or more of the first or second processors, a relationship between the at least two exchanges; and determining, by one or more of the first or second processors, the minimum margin requirement for the market participant based on the inter-account and first intra-account net positions and the relationship. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 14)
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10. A system for determining a minimum margin requirement for a market participant, the system comprising:
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an inter-exchange account stored in a first database for the market participant, the inter-exchange account reflecting a plurality of positions resulting from one or more trades executed on either of the at least two exchanges for one or more products available therefrom, the inter-exchange account being maintained separately from an intra-exchange account for the market participant, maintained by one of the at least two exchanges, exclusively reflecting a plurality of positions resulting from trades executed on that exchange for one or more products available therefrom; an inter-account net position calculator coupled with the first database and operative to determine an inter-account net position based on the plurality of positions reflected in the intra-exchange account and un-netted positions remaining after an intra-account net position calculator has determined a first intra-account net position based solely on the plurality of positions reflected in the inter-exchange account; wherein one of the at least two exchanges is coupled with the other of the at least two exchanges via plurality of rules which establish a relationship therebetween, the relationship being based on the plurality of rules; and a minimum margin calculator coupled with the inter-account and intra-account net position calculators and operative to determine the minimum margin requirement for the market participant based on the inter-account and first intra-account net positions and the relationship. - View Dependent Claims (11, 12, 13, 15, 16, 17, 18)
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19. A system for determining a minimum margin requirement for a market participant, the system comprising:
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means for maintaining, by at least two exchanges, an inter-exchange account for the market participant, the inter-exchange account reflecting a plurality of positions resulting from one or more trades executed on either of the at least two exchanges for one or more products available therefrom, the inter-exchange account being maintained separately from an intra-exchange account for the market participant, maintained by one of the at least two exchanges, exclusively reflecting a plurality of positions resulting from trades executed on that exchange for one or more products available therefrom; means for determining an inter-account net position based on the plurality of positions reflected in the intra-exchange account and un-netted positions remaining after a first intra-account net position has been determined based solely on the plurality of positions reflected in the inter-exchange account; means for establishing a relationship between the at least two exchanges; and means determining the minimum margin requirement for the market participant based on the inter-account and first intra-account net positions and the relationship.
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20. A system for determining a minimum margin requirement for a market participant, the system comprising:
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a processor; a memory coupled with the processor; first logic stored in the memory and executable by the processor to maintain an inter-exchange account stored in a first database for the market participant, the inter-exchange account reflecting a plurality of positions resulting from one or more trades executed on either of the at least two exchanges for one or more products available therefrom, the inter-exchange account being maintained separately from an intra-exchange account for the market participant, maintained by one of the at least two exchanges, exclusively reflecting a plurality of positions resulting from trades executed on that exchange for one or more products available therefrom; second logic, coupled with the first logic, stored in the memory and executable by the processor to determine an inter-account net position based on the plurality of positions reflected in the intra-exchange account and un-netted positions remaining after a first intra-account net position has been determined based solely on the plurality of positions reflected in the inter-exchange account; wherein one of the at least two exchanges is coupled with the other of the at least two exchanges via plurality of rules which establish a relationship therebetween, the relationship being based on the plurality of rules; and third logic, coupled with the first and second logic, stored in the memory and executable by the processor to determine the minimum margin requirement for the market participant based on the inter-account and first intra-account net positions and the relationship.
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Specification