Cinnober Secures Patent For Real-Time Risk Assessment10.31.2018
Cinnober, a global independent provider of exchange and clearing technology, announce today that the U.S. Patent and Trademark Office has granted the company the patent Risk Assessment US 9,959,574 originally filed in 2011.
— Cinnober (@Cinnober) October 30, 2018
The invention comprises real-time risk assessments in a clearing system, including the calculation of margin requirements on accounts or groups of accounts triggered by events that affect the accounts as they occur, such as new trades or changes to market data. It also comprises netting of positions held in a group of accounts when calculating risk and carrying out several risk calculations in parallel using multiple risk algorithms, such as Value at Risk (VaR) and SPAN® to compare the outcome.
“This patent demonstrates Cinnober’s ability to innovate and our leading position in the development of next generation post-trade solutions,” says Peter K. Lenardos, CEO of Cinnober. “Cinnober is committed to providing best-in class solutions for financial markets and was first to provide a real-time clearing system, a solution that today powers some of the world’s most important clearinghouses.”
The invention enables clearinghouses to minimize the discrepancy between the value of the collateral provided by a member as security and the highest probable loss that the portfolio may experience. With real-time risk calculations, margin requests can be issued immediately when needed rather than waiting until the end of the day or for a scheduled run of calculations.
The patent application was filed in June 2011 and adds to Cinnober’s existing patent for Micro Auction (US8719146) and a pending patent application related to order matching.
Cinnober is the only independent provider of world-class trading, risk and clearing technology to marketplaces and clearinghouses globally. Its TRADExpress RealTime Clearing and TRADExpress CCP Risk solutions are used by clearinghouses globally, including Asia Pacific Exchange, B3, Dubai Gold & Commodities Exchange, Japan Exchange Group and LME Clear.
CEDX is planning to expand its range of products in 2023, subject to regulatory approvals.
The CFTC regulated derivatives market and clearer was not included in FTX's bankruptcy filing.
Schroders cleared NDF trades across a Asian and Latam currency pairs via Citi.
The derivatives venue owned by FTX wanted to offer products that were not fully collateralized.
Cboe acquired EuroCCP on 1 July 2020.