Hybrid cross-margining

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.

We claim: 
     
         1 . A computer implemented method, comprising:
 maintaining, by a processor, a first account data structure for a market participant;   storing, by the processor, in the first account data structure, data indicative of a first plurality of positions resulting from a plurality of trades executed by a first exchange and a second plurality of positions resulting from a plurality of trades executed by a second exchange, the first and the second plurality of positions being characterized by a first net position;   determining, by the processor, the first net position according to a first set of rules;   maintaining, by the processor, a second account data structure for the market participant, the second account data structure stored separate from the first account data structure;   storing, by the processor, in the second account data structure, data indicative of a third plurality of positions resulting from a third plurality of trades executed by a third exchange, the third plurality of positions being characterized by a second net position;   determining, by the processor, the second net position characterizing each of the third plurality of positions according to a second set of rules different from the first set of rules; and   determining, by the processor, a third net position characterizing each of the positions of the first and second net positions according to a third set of rules different from the first and second set of rules, wherein the determining of the first net position and the second net position are performed prior to the determining of the third net position.   
     
     
         2 . The computer implemented method of  claim 1 , further comprising:
 storing and maintaining, by the processor, the first account data structure separately from first exchange account data structures being maintained by the first exchange, the first exchange account data structures exclusively storing data indicative of positions resulting from trades executed by the first exchange, and   storing and maintaining, by the processor, the first account data structure separately from second exchange account data structures being maintained by the second exchange, the second exchange account data structures exclusively storing data indicative of positions resulting from trades executed by the second exchange.   
     
     
         3 . The computer implemented method of  claim 2 , wherein the first and second set of rules each 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. 
     
     
         4 . The computer implemented method of  claim 3 ,
 wherein the first net position comprises a first resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the first and second plurality of positions according to the first set of rules,   wherein the second net position comprises a second resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the third plurality of positions according to the second set of rules, and   wherein the first and second net positions each comprise a set of one or more netted positions resulting from the netting.   
     
     
         5 . The computer implemented method of  claim 4 , further comprising transferring, by the processor, prior to any netting, one or more of the first plurality of positions from the first account data structure to one of the first exchange account data structures. 
     
     
         6 . The computer implemented method of  claim 1 , wherein the first account data structure comprises positions resulting from cross-margin trades. 
     
     
         7 . The computer implemented method of  claim 1 , wherein the determining of the second net position further comprises determining intra-account and inter-account offsetting positions with respect to the third exchange. 
     
     
         8 . The computer implemented method of  claim 1 , wherein the third exchange is different from the first and second exchanges. 
     
     
         9 . A system comprising:
 a processor configured to:
 maintain a first account data structure for a market participant, and 
 store, in the first account data structure, data indicative of a first plurality of positions resulting from a first plurality of trades executed by a first exchange and a second plurality of positions resulting from a second plurality of trades executed by a second exchange, the first and the second plurality of positions being characterized by a first net position according to a first set of rules; 
   the processor being further configured to:
 maintain a second account data structure for the market participant, and 
 store, in the second account data structure separate from the first account data structure, data indicative of a third plurality of positions resulting from a third plurality of trades executed by a third exchange, the third plurality of positions being characterized by a second net position according to a second set of rules different from the first set of rules; and 
   the processor being further configured to determine a third net position characterizing each of the positions of the first and second net positions according to a third set of rules different from the first and second set of rules, wherein the determination of the first net position and the second net position are performed prior to the determination of the third net position.   
     
     
         10 . The system of  claim 9 ,
 wherein the first account data structure is stored and maintained separately from first exchange account data structures maintained by the first exchange and wherein the first exchange account data structures exclusively store data indicative of positions resulting from trades executed by the first exchange, and   wherein the first account data structure is stored and maintained separately from second exchange account data structures and wherein the second exchange account data structures exclusively store data indicative of positions resulting from trades executed by the second exchange.   
     
     
         11 . The system of  claim 10 , wherein the first and second set of rules each 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. 
     
     
         12 . The system of  claim 11 ,
 wherein the first net position comprises a first resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the first and second plurality of positions according to the first set of rules,   wherein the second net position comprises a second resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the third plurality of positions according to the second set of rules, and   wherein the first and second net positions each comprise a set of one or more netted positions resulting from the netting.   
     
     
         13 . The system of  claim 12 , further comprising transferring, prior to any netting, one or more of the first plurality of positions from the first account data structure to one of the first exchange account data structures. 
     
     
         14 . The system of  claim 9 , wherein the first account data structure comprises positions resulting from cross-margin eligible trades. 
     
     
         15 . The system of  claim 9 , wherein the determining of the second net position, further comprises determining intra-account and inter-account offsetting positions with respect to the third exchange. 
     
     
         16 . The system of  claim 9 , wherein the third exchange is different from first and second exchanges. 
     
     
         17 . A system comprising:
 computer executable instructions stored in a memory and executable by a processor coupled therewith to cause the processor to:
 maintain a first account data structure for a market participant, and 
 store, in the first account data structure, data indicative of a first plurality of positions resulting from a first plurality of trades executed by a first exchange and a second plurality of positions resulting from a second plurality of trades executed by a second exchange, the first and the second plurality of positions being characterized by a first net position according to a first set of rules; 
   the computer executable instructions being further executable by the processor to cause the processor to:
 maintain a second account data structure for the market participant, and 
 store, in the second account data structure separate from the first account data structure, data indicative of a third plurality of positions resulting from a third plurality of trades executed by a third exchange, the third plurality of positions being characterized by a second net position according to a second set of rules different from the first set of rules; and 
   the computer executable instructions being further executable by the processor to cause the processor to determine a third net position characterizing each of the positions of the first and second net positions according to a third set of rules different from the first and second set of rules, wherein the determining of the first net position and the second net position are performed prior to the determining of the third net position.   
     
     
         18 . The system of  claim 17 ,
 wherein the first account data structure is maintained and stored separately from first exchange account data structures maintained by the first exchange and wherein data indicative of the first exchange account data structures exclusively store data indicative of positions resulting from trades executed by the first exchange, and   wherein the first account data structure is maintained and stored separately from second exchange account data structures being maintained by the second exchange wherein the second exchange account data structures exclusively store data indicative of positions resulting from trades executed by the second exchange.   
     
     
         19 . The system of  claim 18 , wherein the first and second set of rules each 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. 
     
     
         20 . The system of  claim 19 ,
 wherein the first net position comprises a first resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the first and second plurality of positions according to the first set of rules,   wherein the second net position comprises a second resultant remainder as a result of netting of at least a subset of the risk of loss values characterizing each of the third plurality of positions according to the second set of rules, and   wherein the first and second net positions each comprise a set of one or more netted positions resulting from the netting.   
     
     
         21 . The system of  claim 20 , further comprising transferring, prior to any netting, one or more of the first plurality of positions from the first account data structure to one of the first exchange account data structures. 
     
     
         22 . The system of  claim 17 , wherein the determining of the second net position, further comprises recognizing intra-commodity spreads and inter-commodity spreads with respect to the third exchange. 
     
     
         23 . The system of  claim 17 , wherein first account data structure comprises positions resulting from cross-margin trades. 
     
     
         24 . The system of  claim 17 , wherein the third exchange is different from the first and second exchanges.