US 11,948,197 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 Sep. 12, 2022, as Appl. No. 17/942,793.
Application 17/942,793 is a division of application No. 17/719,983, filed on Apr. 13, 2022.
Application 17/719,983 is a continuation of application No. 17/530,591, filed on Nov. 19, 2021, granted, now 11,321,782, issued on May 3, 2022.
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 2023/0026483 A1, Jan. 26, 2023
Int. Cl. G06Q 40/06 (2012.01)
CPC G06Q 40/06 (2013.01) 8 Claims
OG exemplary drawing
 
1. A system comprising:
one or more processors operatively coupled to a non-transitory storage medium, the non-transitory storage medium configured to store machine-readable instructions that, when executed by the one or more processors, cause the one or more processors to:
receive, by a liquidity risk charge (LRC) model, portfolio profit and loss (PNL) data and portfolio position data associated with one or more financial portfolios;
generate, by the LRC model, one or more synthetic portfolios based on one or more of the portfolio PNL data and the portfolio position data by executing one or more first assessment processes to account for price movements and one or more second assessment processes to account for market volatility, the one or more synthetic portfolios comprising one or more representative instruments having one or more characteristics that are equivalent to instruments of the one or more financial portfolios;
group, by the LRC model, for each synthetic portfolio, positions of the one or more representative instruments into one or more liquidity buckets based on one or more criteria;
determine, by the LRC model, a liquidity risk metric for the one or more synthetic portfolios based on the grouped positions of the one or more representative instruments in the one or more liquidity buckets, such that the liquidity risk metric for the one or more synthetic portfolios provides an equivalent representation for the one or more financial portfolios;
create a summary risk report in a standardized format, the summary risk report comprising the liquidity risk metric;
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.