Patent ID: 8639609

Claim:
A computer implemented method for determining a margin requirement for a market participant, the computer implemented method comprising: maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction; receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account; and determining, by the processor, the margin requirement for the market participant based on the received data and the exchange position in accordance with a margin offset ratio representative of a degree of correlation between the product and a type of collateral for the repo position, the margin offset ratio being applied to either a notional value of the exchange position or a market value of the collateral to determine a margin offset credit for the margin requirement; wherein determining the margin requirement comprises: if the market value of the collateral exceeds the notional value of the exchange position, applying, by the processor, the margin offset ratio to the notional value of the exchange position to determine the margin offset credit; and if the notional value of the exchange position exceeds the market value of the collateral, applying, by the processor, the margin offset ratio to the market value of the collateral to determine the margin offset credit.