METHODS AND SYSTEMS FOR INTER-ACCOUNT MARGIN OPTIMIZATION

• US 20140081820A1
• Filed: 05/10/2013
• Published: 03/20/2014
• Est. Priority Date: 09/14/2012
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Farabi, Corey, Voegele, Chad, Simpson, Matt, Anguish, Keith A., Glinberg, Dmitriy, Wang, Ziyi, Ishmael, Steve, Zolotarev, Igor, Baysal, Rafet Evren, Yin, Jingbin
• Application Number:
  US13/891,701
• Publication Number:
  US 20140081820A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.

Claims

1. A computer-implemented method for minimizing a margin requirement of a trader holding first and second accounts, the first and second accounts being characterized by a combined margin requirement, the method comprising:

receiving, by a processor, data representative of a first plurality of positions in the first account and a second plurality of positions in the second account;

determining, by the processor, an optimal reallocation of the first and second plurality of positions between the first and second accounts which results in a total margin requirement for the first and second accounts that is less than the combined margin requirement;

determining, by the processor, one or more modifications to the plurality of positions of the first account, the second account, or a combination thereof to achieve the determined optimal reallocation; and

generating a set of proposed transactions to effect the determined one or more modifications.

2. The computer-implemented method of claim 1 wherein the first account comprises an interest rate futures account, and wherein the second account comprises an over-the-counter interest rate swap account.

3. The computer-implemented method of claim 1 wherein the data comprises information selected from the group consisting of an expression of risk for a margin account of the trader, composite delta statistics for every position which may be contained in the first account, over-the-counter interest rate swap data from an over-the-counter interest rate swap clearing system, base curves, foreign exchange rates, futures data and pricing for computation of risk offsets of Eurodollar and Treasury futures, a current allocation of futures within a Portfolio Margin (PM) account and futures/options contracts within a segregated futures position account, and combinations thereof.

4. The computer-implemented method of claim 3 wherein the first account comprises an interest rate futures account, the positions therein comprising Eurodollar futures, Eurodollar options, Treasury futures, Treasury options, or combinations thereof.

5. The computer-implemented method of claim 1 wherein the determination of optimal reallocation minimizes volatility of the plurality of positions of each of the first and second accounts.

6. The computer-implemented method of claim 1 further comprising formatting, by the processor, the set of proposed transactions in a protocol which may be acted on by an Exchange.

7. The computer-implemented method of claim 6 wherein the protocol comprises FIX.

8. A system for minimizing a margin requirement of a trader holding first and second accounts, the first and second accounts being characterized by a combined margin requirement, the system comprising:

first logic stored in a memory and executable by a processor to cause the processor to receive data representative of a first plurality of positions in the first account and a second plurality of positions in the second account;

second logic stored in the memory and executable by the processor to cause the processor to determine an optimal reallocation of the first and second plurality of positions between the first and second accounts which results in a total margin requirement for the first and second accounts that is less than the combined margin requirement;

third logic stored in the memory and executable by the processor to cause the processor to determine one or more modifications to the plurality of positions of the first account, the second account, or a combination thereof to achieve the determined optimal reallocation; and

fourth logic stored in the memory and executable by the processor to cause the processor to generate a set of proposed transactions to effect the determined one or more modifications.

9. The system of claim 8 wherein the first account comprises an interest rate futures account, and wherein the second account comprises an over-the-counter interest rate swap account.

10. The system of claim 8 wherein the data comprises information selected from the group consisting of an expression of risk for a margin account of the trader, composite delta statistics for every position which may be contained in the first account, over-the-counter interest rate swap data from an over-the-counter interest rate swap clearing system, base curves, foreign exchange rates, futures data and pricing for computation of risk offsets of Eurodollar and Treasury futures, a current allocation of futures within a Portfolio Margin (PM) account and futures/options contracts within a segregated futures position account, and combinations thereof.

11. The system of claim 10 wherein the first account comprises an interest rate futures account, the positions therein comprising Eurodollar futures, Eurodollar options, Treasury futures, Treasury options, or combinations thereof.

12. The system of claim 8 wherein the second logic is further executable by the processor to cause the processor to minimize volatility of the plurality of positions of each of the first and second accounts.

13. The system of claim 8 further comprising fifth logic stored in the memory and executable by the processor to cause the processor to format the set of proposed transactions in a protocol which may be acted on by an Exchange.

14. The system of claim 13 wherein the protocol comprises FIX.

15. A system for minimizing a margin requirement of a trader holding first and second accounts, the first and second accounts being characterized by a combined margin requirement, the system comprising:

means for receiving data representative of a first plurality of positions in the first account and a second plurality of positions in the second account;

means for determining an optimal reallocation of the first and second plurality of positions between the first and second accounts, which results in a total margin requirement for the first and second accounts that is less than the combined margin requirement;

means for determining one or more modifications to the plurality of positions of the first account, the second account, or a combination thereof to achieve the determined optimal reallocation; and

means for generating a set of proposed transactions to effect the determined one or more modifications.

16. The system of claim 15 wherein the first account comprises an interest rate futures account, and wherein the second account comprises an over-the-counter interest rate swap account.

17. The system of claim 15 wherein the data comprises information selected from the group consisting of an expression of risk for a margin account of the trader, composite delta statistics for every position which may be contained in the first account, over-the-counter interest rate swap data from an over-the-counter interest rate swap clearing system, base curves, foreign exchange rates, futures data and pricing for computation of risk offsets of Eurodollar and Treasury futures, a current allocation of futures within a Portfolio Margin (PM) account and futures/options contracts within a segregated futures position account, and combinations thereof.

18. The system of claim 15 wherein the first account comprises an interest rate futures account, the positions therein comprising Eurodollar futures, Eurodollar options, Treasury futures, Treasury options, or combinations thereof.

19. The system of claim 15 wherein the means for determining the optimal reallocation comprises means for minimizing volatility of the plurality of positions of each of the first and second accounts.

20. The system of claim 15 further comprising means for formatting the set of proposed transactions in a protocol which may be acted on by an Exchange.

21. The system of claim 20 wherein the protocol comprises FIX.