System and method for efficiently using collateral for risk offset
First Claim
1. A computer-implemented method of computing a margin requirement for a portfolio of a plurality of products traded on an exchange, the method comprising:
- computing an initial margin requirement based on the portfolio;
receiving collateral to fulfill the margin requirement, the collateral not being subject to the initial margin requirement;
correlating the collateral to at least one of the plurality of products in the portfolio; and
adjusting the initial margin requirement based on the correlation of the collateral to at least one of the plurality of products in the portfolio.
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Accused Products
Abstract
A system and method for analyzing correlation between the assets given by the trader for collateral and that trader'"'"'s open positions is disclosed. Thus, if the collateral is correlated to the trader'"'"'s open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader'"'"'s account can be credited with some offset since the value of T-bills and T-bill futures are highly correlated.
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Citations
12 Claims
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1. A computer-implemented method of computing a margin requirement for a portfolio of a plurality of products traded on an exchange, the method comprising:
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computing an initial margin requirement based on the portfolio; receiving collateral to fulfill the margin requirement, the collateral not being subject to the initial margin requirement; correlating the collateral to at least one of the plurality of products in the portfolio; and adjusting the initial margin requirement based on the correlation of the collateral to at least one of the plurality of products in the portfolio. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A system for computing a margin requirement for a portfolio of a plurality of products traded on an exchange, the system comprising:
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an initial margin processor operative to compute an initial margin requirement based on the portfolio; a correlation processor operative to correlate collateral received to satisfy the margin requirement to at least one of the plurality of products in the portfolio, the collateral not being subject to the initial margin requirement; and a margin adjustment processor coupled with the initial margin processor and the correlation processor and operative to adjust the initial margin requirement based on the correlation of the collateral to at least one of the plurality of products in the portfolio. - View Dependent Claims (8, 9, 10, 11, 12)
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Specification