Patent ID: 8214278
Filing Date: 2012-07-03
Classification: G06Q

Abstract:
1. A method for computing an adjustment to a margin requirement for a portfolio of a plurality of products traded on an exchange, the method comprising: calculating, using a computer processor, the margin requirement for the plurality of products; identifying, using the computer processor, a collateral as satisfying at least a portion of the margin requirement; analyzing, using the computer processor, at least one factor indicative of a relationship between the collateral and one or more of the plurality of products, wherein the at least one factor describes a degree of correlation between the collateral and the one or more of the plurality of products; and computing, using the computer processor, an adjustment to the margin requirement based on the factor indicative of the relationship between the collateral and the one or more of the plurality of products, wherein the adjustment to the margin requirement is a reduction of the margin requirement that increases as the degree of correlation increases.