Patent US8121926 - System and method for flexible spread participation

US008 12 1 926B2

(12) Umted States Patent (10) Patent No.: US 8,121,926 B2 Glinberg et al. (45) Date of Patent: *Feb. 21, 2012 (54) SYSTEM AND METHOD FOR FLEXIBLE 5,963,923 A 10/1999 Garber SPREAD PARTICIPATION 6,064,985 A 5/2000 Anderson ..................... .. 705/36 6,263,321 B1 7/2001 Daughtery, III .. 705/36 (75) Inventors: Dmitriy Glinberg, Northbrook, IL (US); EI 52%;, é't",'1'1" """""""""" " 705/37 Tae 5- Y00, Bartlett, IL (US); Dale A- 7,225,153 B2 5/2007 Lange Michaels, Westmont, IL (US); Edward 7,395,232 B1 7/2008 Pilato Gogol Skokie IL (US) 7,702,563 B2 4/2010 Balson et al. ’ ’ 2001/0011243 A1 8/2001 Dernbo et 3.1. (73) Assignee: Chicago Mercantile Exchange Inc., g:rnrll:€I;’l‘Jr' et a1‘ """"" " 705/35 Chwagos IL (US) 2001/0056392 A1 12/2001 Daughtery, III .............. .. 705/36 2002/0035531 A1 3/2002 Push ( * ) Notice: Subject to any disclaimer, the term of this 2002/0042770 A1 4/2002 Slyke et al. ................... .. 705/37 patent is extended or adjusted under 35 2002/0073018 A1 6/2002 Mulinder et al. ............. .. 705/37 U.S.C. 154(b) by 504 days. (Continued) This patent is subject to a terminal dis- OTHER PUBLICATIONS cla1mer. Sungard, “GMS Global Margin Server”, information sheet, SunGard (21) APP1~ NO-3 12/403-1743 Futures Systems, Chicago, IL, 2 pages, undated. (22) Filed: Mar. 13, 2009 (Continued) (65) Prior Publication Data Primary Examiner * Thomas M Hammond, III Us 2009/0177592 A1 Jul 9 2009 (74) Attorney, Agent, or Firm * Lempia Summerfield Katz ' ’ LLC Related U.S. Application Data ' ' ' ' (57) ABSTRACT (63) JCa?1nt;nI;(l)t5C;nI?Ofv:I;,P;1;CIa\;;OI; 1 ’ 1 82’ filed on A system and method for risk analysis of a portfolio of deriva' ’ ’ ' ' ’ ’ ' tive products is disclosed which is conducted based on a set of (60) Provisional application No. 60/608,705, filed on Sep. flexible rules. The system and method allow creating pre10, 2004. defined 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 (51) IIlt- CL threshold level, then the subset is assigned the offset value (or G06Q 40/00 (2012-01) a pro rata or other portion of the offset value) of the predefined (52) U.S. Cl. ................................................... .. 705/36 R set. For example, assume that the predefined set consists of (58) Field of Classification Search ............. .. 705/35445 0110 S&P 500 futures, One NASDAQ futures, One S&P MidSee application file for complete search history, cap 400 futures and one Russell 1000 futures and the threshold is three. If the futures trader holds any three of those four (56) References Cited 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.

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U.S. PATENT DOCUMENTS

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