Hybrid cross-margining
First Claim
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1. A method, comprising:
- maintaining, by first circuitry, a first account data structure, stored in a first database and further in a memory coupled with the first circuitry, for a market participant,the first account data structure storing data indicative of a first plurality of positions resulting from a first one or more trades executed by a first exchange and a second plurality of positions resulting from a second one or more trades executed by a second exchange, each position of the first and second plurality of positions being characterized by a risk of loss value,the first and the second plurality of positions having a first net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the first and second plurality of positions according to a first set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions,the first account data structure being maintained separately from other account data structures stored in a second database maintained by the first exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the first exchange, each of which is characterized by a risk of loss value, andthe first account data structure being maintained separately from other account data structures stored in a third database maintained by the second exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the second exchange, each of which is characterized by a risk of loss value;
maintaining, by second circuitry, a second account data structure stored in a fourth database and further in a memory coupled therewith for the market participant,the second account data structure storing data indicative of a third plurality of positions resulting from a third one or more trades executed on a third exchange, each of which is characterized by a risk of loss value, andthe third plurality of positions having a second net position comprising a second resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the third plurality of positions according to a second set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the second set of rules different from the first set of rules; and
determining, by third circuitry, a third net position comprising a third resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the positions in the first and second net positions according to a third set of rules different from the first and second set of rules,wherein the netting that results in the first net position and the netting that results in the second net position are performed prior to the determining of the third net position.
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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.
96 Citations
17 Claims
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1. A method, comprising:
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maintaining, by first circuitry, a first account data structure, stored in a first database and further in a memory coupled with the first circuitry, for a market participant, the first account data structure storing data indicative of a first plurality of positions resulting from a first one or more trades executed by a first exchange and a second plurality of positions resulting from a second one or more trades executed by a second exchange, each position of the first and second plurality of positions being characterized by a risk of loss value, the first and the second plurality of positions having a first net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the first and second plurality of positions according to a first set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the first account data structure being maintained separately from other account data structures stored in a second database maintained by the first exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the first exchange, each of which is characterized by a risk of loss value, and the first account data structure being maintained separately from other account data structures stored in a third database maintained by the second exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the second exchange, each of which is characterized by a risk of loss value; maintaining, by second circuitry, a second account data structure stored in a fourth database and further in a memory coupled therewith for the market participant, the second account data structure storing data indicative of a third plurality of positions resulting from a third one or more trades executed on a third exchange, each of which is characterized by a risk of loss value, and the third plurality of positions having a second net position comprising a second resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the third plurality of positions according to a second set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the second set of rules different from the first set of rules; and determining, by third circuitry, a third net position comprising a third resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the positions in the first and second net positions according to a third set of rules different from the first and second set of rules, wherein the netting that results in the first net position and the netting that results in the second net position are performed prior to the determining of the third net position. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A system, comprising:
first computer hardware configured to maintain a first account data structure, stored in a first database and further in a memory coupled with first circuitry, for a market participant, the first account data structure storing data indicative of a first plurality of positions resulting from a first one or more trades executed by a first exchange and a second plurality of positions resulting from a second one or more trades executed by a second exchange, each position of the first and second plurality of positions being characterized by a risk of loss value, the first and the second plurality of positions having a first net position comprising a first resultant remainder as result of netting of a subset of the risk of loss values characterizing each of the first and second plurality of positions according to a first set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the first account data structure being maintained separately from other account data structures stored in a second database maintained by the first exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the first exchange, each of which is characterized by a risk of loss value, and the first account data structure being maintained separately from other account data structures stored in a third database maintained by the second exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the second exchange, each of which is characterized by a risk of loss value; second computer hardware configured to maintain a second account data structure stored in a fourth database and further in a memory coupled therewith for the market participant, the second account data structure storing data indicative of a third plurality of positions resulting from a third one or more trades executed on a third exchange, each of which is characterized by a risk of loss value, and the third plurality of positions having a second net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the third plurality of positions according to a second set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the second set of rules different than the first set of rules; and third computer hardware configured to determine a third net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the positions in the first net position and the second net position according to a third set of rules different from the first and second set of rules, wherein the netting that results in the first net position and the netting that results in the second net position are performed prior to the determining of the third net position. - View Dependent Claims (8, 9, 10, 11, 12)
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13. A system, comprising:
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a first memory device executable by a processor to maintain a first account data structure, stored in a first database therein for a market participant, the first account data structure storing data indicative of a first plurality of positions resulting from a first one or more trades executed by a first exchange and a second plurality of positions resulting from a second one or more trades executed by a second exchange, each position of the first and second plurality of positions being characterized by a risk of loss value, the first and the second plurality of positions having a first net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the first and second plurality of positions according to a first set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the first account data structure being maintained separately from other account data structures stored in a second database maintained by the first exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the first exchange, each of which is characterized by a risk of loss value, and the first account data structure being maintained separately from other account data structures stored in a third database maintained by the second exchange which are only capable of exclusively storing data indicative of positions resulting from trades executed on the second exchange, each of which is characterized by a risk of loss value; a second memory device executable by a processor to maintain a second account data structure stored in a fourth database therein for the market participant, the second account data structure storing data indicative of a third plurality of positions resulting from a third one or more trades executed on a third exchange, each of which is characterized by a risk of loss value, and the third plurality of positions having a second net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the third plurality of positions according to a second set of rules which define a degree to which a risk of loss value of any one position may be offset by a risk of loss value of one or more other positions, the second set of rules different than the first set of rules; and a third memory device executable by a processor to determine a third net position comprising a first resultant remainder as a result of netting of a subset of the risk of loss values characterizing each of the positions in the first net position and the second net position according to a third set of rules different from the first and second set of rules, wherein the netting that results in the first net position and the netting that results in the second net position are performed prior to the determine of the third net position. - View Dependent Claims (14, 15, 16, 17)
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Specification