Clearing system that determines margin requirements for financial portfolios
US8239308B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 29, 2009 |
| Grant date | Aug 7, 2012 |
| Priority date | — |
| Expiry date | Nov 24, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/04
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
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.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.