US 11,928,734 B2
Systems and methods for determining an initial margin
Atsushi Maruyama, London (GB); Boudewijn Duinstra, Woerden (NL); Christian A. M. Schlegel, Marietta, GA (US); Daniel R. de Almeida, Dunwoody, GA (US); Fernando V. Cerezetti, Orpington (GB); Gabriel E. S. Medina, London (GB); Ghais Issa, Atlanta, GA (US); Iddo Yekutieli, Atlanta, GA (US); Jerome M. Drean, Atlanta, GA (US); Marcus Keppeler, London (GB); Rafik Mrabet, London (GB); Stephen R. Pounds, Roswell, GA (US); Wen Jiang, Marietta, GA (US); Yanyan Hu, London (GB); and Yunke Yang, Atlanta, GA (US)
Assigned to Intercontinental Exchange Holdings, Inc., Atlanta, GA (US)
Filed by Intercontinental Exchange Holdings, Inc., Atlanta, GA (US)
Filed on Apr. 13, 2022, as Appl. No. 17/719,983.
Application 17/719,983 is a continuation of application No. 17/530,591, filed on Nov. 19, 2021, granted, now 11,321,782.
Application 17/530,591 is a continuation of application No. 17/221,052, filed on Apr. 2, 2021, granted, now 11,216,886, issued on Jan. 4, 2022.
Application 17/221,052 is a continuation of application No. 17/104,403, filed on Nov. 25, 2020, granted, now 11,023,978, issued on Jun. 1, 2021.
Application 17/104,403 is a continuation of application No. 16/775,970, filed on Jan. 29, 2020, granted, now 10,922,755, issued on Feb. 16, 2021.
Application 16/775,970 is a continuation in part of application No. 16/046,190, filed on Jul. 26, 2018, granted, now 10,817,947, issued on Oct. 27, 2020.
Application 16/046,190 is a continuation of application No. 14/303,941, filed on Jun. 13, 2014, granted, now 10,102,581, issued on Oct. 16, 2018.
Claims priority of provisional application 61/835,711, filed on Jun. 17, 2013.
Prior Publication US 2022/0237701 A1, Jul. 28, 2022
Int. Cl. G06Q 40/06 (2012.01)
CPC G06Q 40/06 (2013.01) 12 Claims
OG exemplary drawing
 
1. A system comprising:
one or more processors executing machine-readable instructions stored in a non-transitory storage medium, thereby causing the system to:
receive risk factor data from a plurality of data sources, the risk factor data comprising current real-time data and historical data associated with one or more financial portfolios;
generate an initial margin for the one or more financial portfolios, according to a historical risk factor simulation process, based on the risk factor data;
determine a stress metric to account for increases or decreases in the risk factor data by:
determining daily changes in the historical data,
determining a percentile of the daily changes using a variable that accounts for daily changes in volatility, and
applying a stress volatility treatment to the percentile using a risk factor anti-pro-cyclicality index;
determine a portfolio level liquidity charge for the one or more financial portfolios based on bid and ask spread data associated with the one or more financial portfolios;
determine a concentration charge for the one or more financial portfolios;
determine a total portfolio margin based on a combination of the initial margin, the stress metric, the portfolio level liquidity charge and the concentration charge;
create a summary risk report in a standardized format, the summary risk report comprising the total portfolio margin;
store the summary risk report in the standardized format in one or more databases;
format, based on preferences of a data recipient stored in the one or more databases, the summary risk report into a non-standardized format to allow for presentation on a graphical user interface (GUI) of the data recipient, the non-standardized format particular to the data recipient; and
distribute, via a data recipient interface, the formatted summary risk report to the data recipient according to one or more of a predefined time interval and a predetermined condition.