Liquidity Charge Determination

• US 20140067711A1
• Filed: 08/30/2012
• Published: 03/06/2014
• Est. Priority Date: 08/30/2012
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Shah, Pavan, Ossanna, Marco, Skilton, Brent
• Application Number:
  US13/599,560
• Publication Number:
  US 20140067711A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A liquidity charge may be determined and added to a performance bond value for a portfolio. The resulting sum may then represent an augmented performance bond value that compensates for expected liquidation cost associated with the portfolio. Liquidation charge data may be stored for each of multiple portfolio types. For each of those portfolio types, the stored data may define possible input values for a pre-augmentation performance bond and liquidity charges based on any of the possible input values. That data may then be used to determine a liquidity charge based on the pre-augmentation performance bond value.

Claims

1. A method comprising:

receiving, in an exchange computer system, a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit;

accessing liquidity charge data by the exchange computer system, wherein the liquidity charge data defines

possible input values for a performance bond, and

liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values;

determining a liquidity charge by the exchange computer system, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data; and

calculating an augmented performance bond value, by the exchange computer system, by adding the received performance bond value and the determined liquidity charge.

2. The method of claim 1, wherein

the liquidity charge data includes a plurality of subdomains,

each of the subdomains represents a different set of possible input values for a performance bond and is associated with a subfunction, and

determining a liquidity charge includes identifying a subdomain of the plurality such that the received performance bond value is a member of the set represented by the identified subdomain, identifying the subfunction associated with the identified subdomain, and determining the liquidity charge according to the identified subfunction.

3. The method of claim 2, wherein

for each of at least a portion of the subdomains, the associated subfunction includes a multiplier associated with the associated subfunction and with the subdomain, and

determining the liquidity charge includes determining a product of the multiplier associated with the identified subfunction and a difference between the received performance bond value and a lower bound for the identified subdomain.

4. The method of claim 3, wherein

each subdomain corresponds to a maximum liquidity charge,

for each subdomain of at least a portion of the subdomains, the subfunction associated with the subdomain includes an associated cumulative term representing a sum of the maximum liquidity charges corresponding to the subdomains representing lower possible input values than the possible input values corresponding to the subdomain, and

determining the liquidity charge includes adding the cumulative value associated with the identified subfunction to the determined product.

5. The method of claim 4, wherein

each of the associated multipliers is different,

for each subdomain of the plurality, the associated multiplier is greater than any of the multipliers associated with subdomains of the plurality representing sets of lower possible 1 input values than the set of possible input values corresponding to the subdomain.

6. The method of claim 4, wherein

the plurality of subdomains includes at least four subdomains,

first, second, third and fourth of the at least four subdomains respectively represent a lowest set of possible input values, a second lowest set of possible input values, a third lowest set of possible input values and a fourth lowest set of possible input values,

the multiplier associated with the first subdomain is zero.

7. The method of claim 6, wherein at least the second subdomain is associated with a multiplier of less than one.

8. The method of claim 6, wherein at least the second and third subdomains are associated with multipliers of less than one and at least one subdomain of the plurality is associated with a multiplier greater than one.

9. The method of claim 1, wherein

accessing liquidity charge data comprises determining an applicable set of liquidity charge data from multiple sets of liquidity charge data, and

the accessed liquidity charge data is the applicable set of liquidity charge data.

10. One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:

receiving a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit;

accessing liquidity charge data, wherein the liquidity charge data defines

possible input values for a performance bond, and

liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values;

determining a liquidity charge, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data; and

calculating an augmented performance bond value by adding the received performance bond value and the determined liquidity charge.

11. The one or more non-transitory computer-readable media of claim 10, wherein

the liquidity charge data includes a plurality of subdomains,

each of the subdomains represents a different set of possible input values for a performance bond and is associated with a subfunction, and

determining a liquidity charge includes identifying a subdomain of the plurality such that the received performance bond value is a member of the set represented by the identified subdomain, identifying the subfunction associated with the identified subdomain, and determining the liquidity charge according to the identified subfunction.

12. The one or more non-transitory computer-readable media of claim 11, wherein

for each of at least a portion of the subdomains, the associated subfunction includes a multiplier associated with the associated subfunction and with the subdomain, and

determining the liquidity charge includes determining a product of the multiplier associated with the identified subfunction and a difference between the received performance bond value and a lower bound for the identified subdomain.

13. The one or more non-transitory computer-readable media of claim 12, wherein

each subdomain corresponds to a maximum liquidity charge,

for each subdomain of at least a portion of the subdomains, the subfunction associated with the subdomain includes an associated cumulative term representing a sum of the maximum liquidity charges corresponding to the subdomains representing lower possible input values than the possible input values corresponding to the subdomain, and

determining the liquidity charge includes adding the cumulative value associated with the identified subfunction to the determined product.

14. The one or more non-transitory computer-readable media of claim 13, wherein

each of the associated multipliers is different,

for each subdomain of the plurality, the associated multiplier is greater than any of the multipliers associated with subdomains of the plurality representing sets of lower possible 1 input values than the set of possible input values corresponding to the subdomain.

15. The one or more non-transitory computer-readable media of claim 13, wherein

the plurality of subdomains includes at least four subdomains,

first, second, third and fourth of the at least four subdomains respectively represent a lowest set of possible input values, a second lowest set of possible input values, a third lowest set of possible input values and a fourth lowest set of possible input values,

the multiplier associated with the first subdomain is zero.

16. The one or more non-transitory computer-readable media of claim 15, wherein at least the second subdomain is associated with a multiplier of less than one.

17. The one or more non-transitory computer-readable media of claim 15, wherein at least the second and third subdomains are associated with multipliers of less than one and at least one subdomain of the plurality is associated with a multiplier greater than one.

18. The one or more non-transitory computer-readable media of claim 10, wherein

accessing liquidity charge data comprises determining an applicable set of liquidity charge data from multiple sets of liquidity charge data, and

the accessed liquidity charge data is the applicable set of liquidity charge data.

19. A computer system comprising:

at least one processor; and

at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include

receiving a performance bond value for a portfolio, wherein the performance bond value represents a quantity of a monetary unit,

accessing liquidity charge data, wherein the liquidity charge data defines

possible input values for a performance bond, and

liquidity charges based on any of the possible input values, wherein a per monetary unit value of a liquidity charge increases for increasing input values,

determining a liquidity charge, wherein the liquidity charge is based on the received performance bond value as an input value to the accessed liquidity charge data, and

calculating an augmented performance bond value by adding the received performance bond value and the determined liquidity charge.

20. The computer system of claim 19, wherein

the liquidity charge data includes a plurality of subdomains,

each of the subdomains represents a different set of possible input values for a performance bond and is associated with a subfunction, and

determining a liquidity charge includes identifying a subdomain of the plurality such that the received performance bond value is a member of the set represented by the identified subdomain, identifying the subfunction associated with the identified subdomain, and determining the liquidity charge according to the identified subfunction.

21. The computer system of claim 20, wherein

for each of at least a portion of the subdomains, the associated subfunction includes a multiplier associated with the associated subfunction and with the subdomain, and

determining the liquidity charge includes determining a product of the multiplier associated with the identified subfunction and a difference between the received performance bond value and a lower bound for the identified subdomain.

22. The computer system of claim 21, wherein

each subdomain corresponds to a maximum liquidity charge,

for each subdomain of at least a portion of the subdomains, the subfunction associated with the subdomain includes an associated cumulative term representing a sum of the maximum liquidity charges corresponding to the subdomains representing lower possible input values than the possible input values corresponding to the subdomain, and

determining the liquidity charge includes adding the cumulative value associated with the identified subfunction to the determined product.

23. The computer system of claim 22, wherein

each of the associated multipliers is different,

for each subdomain of the plurality, the associated multiplier is greater than any of the multipliers associated with subdomains of the plurality representing sets of lower possible input values than the set of possible input values corresponding to the subdomain.

24. The computer system of claim 22, wherein

the plurality of subdomains includes at least four subdomains,

first, second, third and fourth of the at least four subdomains respectively represent a lowest set of possible input values, a second lowest set of possible input values, a third lowest set of possible input values and a fourth lowest set of possible input values,

the multiplier associated with the first subdomain is zero.

25. The computer system of claim 24, wherein at least the second subdomain is associated with a multiplier of less than one.

26. The computer system of claim 24, wherein at least the second and third subdomains are associated with multipliers of less than one and at least one subdomain of the plurality is associated with a multiplier greater than one.

27. The computer system of claim 19, wherein

accessing liquidity charge data comprises determining an applicable set of liquidity charge data from multiple sets of liquidity charge data, and

the accessed liquidity charge data is the applicable set of liquidity charge data.