System and method for activity based margining

• US 7,769,667 B2
• Filed: 01/07/2005
• Issued: 08/03/2010
• Est. Priority Date: 09/10/2004
• Status: Active Grant

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Glinberg, Dmitriy, Abudarham, Jodi L., Yoo, Tae S., Michaels, Dale A.
• Primary Examiner(s): Havan; Thu Thao
• Application Number:
  US11/030,815
• Publication Number:
  US 20060265296A1
• Time in Patent Office: 2,034 Days
• Field of Search: 705 37- 38
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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 system and method for factoring in a trader'"'"'s trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders).

Claims

1. A computer implemented method of determining margin requirements for a trader'"'"'s portfolio of positions on products traded on an exchange, the method comprising:

monitoring, by a processor, the trader'"'"'s activity on the exchange for a present time period;

correlating, by the processor, the monitored activity with an assessment of risk; and

computing, by the processor, the margin requirement based on the portfolio of products and the assessed risk.

2. The computer implemented method of claim 1, wherein the computing further comprises increasing, by the processor, the margin requirement as activity increases.

3. The computer implemented method of claim 1, further comprising:

storing, by the processor, past trader activity; and

comparing, by the processor, the trader'"'"'s activity for the present period of time with the stored past trader activity;

wherein the computing further comprises computing, by the processor, the margin requirement based on the comparison.

4. A system for determining margin requirements for a trader'"'"'s portfolio of positions on products traded on an exchange, the system comprising a processor wherein the processor comprises:

an activity monitor coupled with the exchange to monitor the trader'"'"'s activity on the exchange for a present time period;

an activity risk assessor coupled with the activity monitor wherein the activity risk assessor correlates the monitored activity with an assessment of risk; and

a risk processor coupled with the activity risk assessor wherein the risk processor computes the margin requirement based on the portfolio of products and the assessed risk.

5. The system of claim 4, wherein the risk processor increases the margin requirement as activity increases.

6. The system of claim 4, further comprising a memory coupled with the processor, the memory comprising:

data storage coupled with the activity monitor and the activity risk assessor to store past trader activity; and

wherein the activity risk assessor further compares the trader'"'"'s activity for the present period of time with the stored past trader activity and computes the margin requirement based on the comparison.

7. A system for determining margin requirements for a trader'"'"'s portfolio of positions on products traded on an exchange, the method comprising:

means for monitoring, by a processor, the trader'"'"'s activity on the exchange for a present time period;

means for correlating, by the processor, the monitored activity with an assessment of risk; and

means for computing, by the processor, the margin requirement based on the portfolio of products and the assessed risk.