Patent ID: 8055567
Filing Date: 2011-11-08
Classification: G06Q

Abstract:
1. A computer implemented method of computing an adjustment to a margin requirement for a portfolio of a plurality of products traded on an exchange, the computer comprising a computer processor and a memory coupled therewith, the computer further comprising a computer program stored in the memory and executable by a computer processor to implement an initial margin generator, an asset correlation processor and a margin adjustment processor, the method comprising: computing, by the initial margin generator implemented by the computer program executed by the computer processor, the margin requirement based the plurality of products in the portfolio; identifying, by the initial margin generator implemented by the computer program executed by the computer processor, collateral to at least partially fulfill the margin requirement, the identified collateral not being subject to the margin requirement; identifying, by the asset correlation processor implemented by the computer program executed by the computer processor, a relationship between the identified collateral and at least one of the plurality of products in the portfolio; generating, by the asset correlation processor implemented by the computer program executed by the computer processor, a correlation between the identified collateral and the at least one of the plurality of products in the portfolio based on the identified relationship; and computing, by the margin adjustment processor implemented by the computer program executed by the computer processor, the adjustment to the margin requirement based on the correlation of the identified collateral to the at least one of the plurality of products in the portfolio.