System and method for flexible spread participation

Abstract

A system and method for risk analysis of a portfolio of derivative products is disclosed which is conducted based on a set of flexible rules. The system and method allow creating predefined sets of products for the purpose of future risk offsets. If a futures trade as a subset of that set of products that met a threshold level, then the subset is assigned the offset value (or a pro rata or other portion of the offset value) of the predefined set. For example, assume that the predefined set consists of one S&P 500 futures, one NASDAQ futures, one S&P Midcap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four futures, the three futures can be grouped, assigned an offset value, and this group can be used as one asset for purpose of further risk offsets.

We claim: 
     
         1 . A computer-implemented method for minimizing computations required to compute a margin requirement for a portfolio, the portfolio comprising one or a plurality of exchange-traded products and/or one or a plurality of positions on exchange-traded products, the method comprising:
 creating, by a computer processor, one or a plurality of predefined sets of exchange-traded products and/or positions on exchange-traded products, wherein each of the predefined sets has an associated offset value;   determining, by the computer processor, whether any of the products and/or the positions on products within the portfolio are common to any of the one or the plurality of predefined sets;   grouping together, by the computer processor, into a single asset the products and/or the positions on products within the portfolio that are common to at least one of the one or the plurality of predefined sets; and   assigning, by the computer processor, to the single asset at least a portion of the offset value associated with the at least one of the one or the plurality of predefined sets that holds the products and/or the positions on products that are common to the single asset.   
     
     
         2 . The computer-implemented method of  claim 1  further comprising counting, by the computer processor, a number of the products and/or the positions on products within the portfolio that are common to the at least one of the one or the plurality of predefined sets. 
     
     
         3 . The computer-implemented method of  claim 2  wherein the portion of the offset value assigned to the single asset is based on a result of the counting. 
     
     
         4 . The computer-implemented method of  claim 2  wherein the grouping is contingent on the number obtained from the counting meeting or exceeding a predefined threshold. 
     
     
         5 . The computer-implemented method of  claim 4  wherein composition of the single asset is substantially identical to composition of the at least one of the one or the plurality of predefined sets. 
     
     
         6 . The computer-implemented method of  claim 5  wherein substantially all of the offset value associated with the at least one of the one or the plurality of predefined sets is assigned to the single asset. 
     
     
         7 . The computer-implemented method of  claim 1  further comprising calculating, by the computer processor, the associated offset value for each of the one or the plurality of predefined sets. 
     
     
         8 . The computer-implemented method of  claim 7  wherein the calculating comprises usage of SPAN risk assessment software. 
     
     
         9 . The computer-implemented method of  claim 7  wherein the calculating comprises usage of market data. 
     
     
         10 . The computer-implemented method of  claim 9  wherein the market data is selected from the group consisting of real-time market data, historical market data, and a combination thereof. 
     
     
         11 . The computer-implemented method of  claim 1  wherein the exchange-traded products are selected from the group consisting of physical commodities, equities, and combinations thereof. 
     
     
         12 . The computer-implemented method of  claim 1  wherein the positions on exchange-traded products are selected from the group consisting of futures contracts, options on futures contracts, options on equities, spreads, and combinations thereof. 
     
     
         13 . A system for minimizing computations required to compute a margin requirement for a portfolio, the portfolio comprising one or a plurality of exchange-traded products and/or one or a plurality of positions on exchange-traded products, the system comprising:
 a risk processor;   a non-transitory memory coupled to the risk processor;   first logic stored in the non-transitory memory and executable by the risk processor to receive data relating to the portfolio and to access parameters controlling the margin requirement, wherein the parameters comprise one or a plurality of predefined sets of exchange-traded products and/or positions on exchange-traded products, and wherein each of the predefined sets has an associated offset value;   second logic stored in the non-transitory memory and executable by the risk processor to determine whether any of the products and/or the positions on products within the portfolio are common to any of the one or the plurality of predefined sets;   third logic stored in the non-transitory memory and executable by the risk processor to group together into a single asset the products and/or the positions on products within the portfolio that are common to at least one of the one or the plurality of predefined sets; and   fourth logic stored in the non-transitory memory and executable by the risk processor to assign to the single asset at least a portion of the offset value associated with the at least one of the one or the plurality of predefined sets that holds the products and/or the positions on products that are common to the single asset.   
     
     
         14 . The system of  claim 13  wherein the parameters are accessible over a network. 
     
     
         15 . The system of  claim 13  wherein the parameters are stored in the non-transitory memory. 
     
     
         16 . The system of  claim 13  further comprising fifth logic stored in the non-transitory memory and executable by the risk processor to count a number of the products and/or the positions on products within the portfolio that are common to the at least one of the one or the plurality of predefined sets. 
     
     
         17 . The system of  claim 16  wherein the fourth logic is executable by the risk processor to assign the portion of the offset value to the single asset based on a result obtained by execution of the fifth logic. 
     
     
         18 . The system of  claim 16  further comprising sixth logic stored in the non-transitory memory and executable by the risk processor to enable execution of the third logic only if the number obtained by execution of the fifth logic meets or exceeds a predefined threshold. 
     
     
         19 . The system of  claim 13  further comprising fifth logic stored in the non-transitory memory and executable by the risk processor to calculate the associated offset value for each of the one or the plurality of predefined sets. 
     
     
         20 . A system for minimizing computations required to compute a margin requirement for a portfolio, the portfolio comprising one or a plurality of exchange-traded products and/or one or a plurality of positions on exchange-traded products, the system comprising:
 means for creating one or a plurality of predefined sets of exchange-traded products and/or positions on exchange-traded products, wherein each of the predefined sets has an associated offset value;   means for determining whether any of the products and/or the positions on products within the portfolio are common to any of the one or the plurality of predefined sets;   means for grouping together into a single asset the products and/or the positions on products within the portfolio that are common to at least one of the one or the plurality of predefined sets; and   means for assigning to the single asset at least a portion of the offset value associated with the at least one of the one or the plurality of predefined sets that holds the products and/or the positions on products that are common to the single asset.