Amy M Mccormick

US Patent:

8332301, Dec 11, 2012

Filed:

Jun 6, 2012

Appl. No.:

13/489693

Inventors:

Suneel Iyer - Naperville IL, US
Moody Hadi - New York City NY, US
Amy McCormick - Chicago IL, US
Katen Patel - Hanover Park IL, US
Ankeet Dedhia - Chicago IL, US

Assignee:

Chicago Mercantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36R

Abstract:

Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.

US Patent:

20110066569, Mar 17, 2011

Filed:

Sep 15, 2009

Appl. No.:

12/560095

Inventors:

Ketan Patel - Hanover Park IL, US
Muhammed Hadi - Chicago IL, US
Amy McCormick - Chicago IL, US
Ankeet Dedhia - Chicago IL, US

International Classification:

G06Q 40/00

US Classification:

705 36 R

Abstract:

A method for allocating margin of a credit default swap portfolio is provided. The method includes identifying a credit default swap portfolio maintained by a defaulting clearing firm, determining a defaulting margin for the portfolio, the defaulting margin being determined using a margin model; and allocating the defaulting margin to one or more non-defaulting clearing firms based on account margins for each of the non-defaulting clearing firms.

US Patent:

20110161244, Jun 30, 2011

Filed:

Dec 29, 2009

Appl. No.:

12/649267

Inventors:

Suneel Iyer - Naperville IL, US
Moody Hadi - Chicago IL, US
Amy McCormick - Chicago IL, US
Ketan Patel - Hanover Park IL, US
Ankeet Dedhia - Chicago IL, US

Assignee:

CHICAGO MERCANTILE EXCHANGE INC. - Chicago IL

International Classification:

G06Q 40/00

US Classification:

705 36 R, 705 37

Abstract:

Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.

US Patent:

20130066807, Mar 14, 2013

Filed:

Nov 7, 2012

Appl. No.:

13/670550

Inventors:

Moody Hadi - New York City NY, US
Amy McCormick - Chicago IL, US
Ketan Patel - Hanover Park IL, US
Ankeet Dedhia - Chicago IL, US

Assignee:

Chicago Merchantile Exchange, Inc. - Chicago IL

International Classification:

G06Q 40/06

US Classification:

705 36 R

Abstract:

Methods, systems and apparatuses are described for calculating a performance bond amount for a portfolio including interest rate swaps. A risk calculation module (or risk processor) may assist in the calculation. In some examples, values, such as swap (DV01) dollar values and volatility values, and adjustments/factors, such as calendar charge adjustments and liquidity charge minimums, may be used to enhance the margin calculation. These values may be maintained and updated in various ways, including but not limited to, lookup tables, matrices, and other structures. The margin calculations may be used by an exchange or clearinghouse to request a portfolio holder to deposit additional funds towards a performance bond associated with the portfolio.

US Patent:

20140330700, Nov 6, 2014

Filed:

Jul 17, 2014

Appl. No.:

14/334048

Inventors:

- Chicago IL, US
Amy McCormick - Chicago IL, US

International Classification:

G06Q 40/04

US Classification:

705 37

Abstract:

The disclosed embodiments relate to a mechanism which may restrict or otherwise manage the extent of exposure of any particular market participant within the price movement threshold of a market protection system which interrupts market activity during extreme events, as well as to a mechanism for controlling risk of loss which acts to reduce or otherwise manage a market participant's ability to concentrate their exposure, or risk of loss, within a range of price levels and/or within correlated products that could be executed upon before the market participant, or other entity responsible for the activities thereof, e.g. a risk manager, has an opportunity to react to rapid market movement. Such a mechanism, once the market protection system had activated, e.g. by placing the market in reserve, may permit the market participant, or other party, the opportunity to modify or cancel unexecuted orders to mitigate potential losses.