Spot market clearing

• US 7,835,973 B2
• Filed: 02/26/2004
• Issued: 11/16/2010
• Est. Priority Date: 10/20/1999
• Status: Active Grant

• Current Assignee: Accenture Global Services Limited (Accenture PLC)
• Original Assignee: Accenture Global Services Limited (Accenture PLC)
• Inventors: Ruane, Mark A., Bessemer, Todd W., Shields, Francis X.
• Primary Examiner(s): Karmis; Stefanos
• Assistant Examiner(s): WONG, ERIC TAK WAI
• Application Number:
  US10/787,529
• Publication Number:
  US 20050114255A1
• Time in Patent Office: 2,455 Days
• Field of Search: 705 36- 37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A spot market clearing house for clearing spot market trades. The spot market clearing house may receive data indicative of settlement for the spot market trades of a participant in a single spot market or in multiple spot markets. The data may include data indicative of initial settlement and data indicative of revised settlement amounts. The spot market clearing house may further determine performance bonds amounts based on daily exposures of the participant in the single spot market or multiple spot markets. The spot market clearing house may manage fund transfers to clear trades of the participant and to satisfy performance bond amounts.

Claims

1. In a plurality of spot markets, each with at least one spot market operator that executes trades for participants trading a commodity, a method for clearing spot market trades across the plurality of spot markets using at least one spot market clearing house computer processor comprising:

receiving by the at least one spot market clearing house computer processor data sent from a first spot market operator indicative of a first initial settlement amount for a first trade between a trading participant and the first spot market operator in a predetermined period and data sent from a second spot market operator indicative of a second initial settlement amount for a second trade between the trading participant and the second spot market operator, the spot market clearing house being separate from the first and second spot market operators, and the first and second spot market operators corresponding to separate spot markets;

sending an initial clearing statement from the at least one spot market clearing house computer processor to a clearing member associated with the trading participant based on the data indicative of the first and second initial settlement amounts, the clearing member being separate from the first and second spot market operators;

recording by the at least one spot market clearing house computer processor a funds transfer in accordance with the initial clearing statement;

receiving information identifying an amount of the commodity delivered in response to the first and second trades;

after recording a funds transfer and delivery of the commodity, receiving by the at least one spot market clearing house computer processor data sent from the first spot market operator indicative of a first revised settlement amount for the first trade and data sent from the second spot market operator indicative of a second revised settlement amount for the second trade, the data indicative of the first and second revised settlement amounts being based on a difference between an amount of the commodity traded in response to the first and second trades and the amount of the commodity delivered in response to the first and second trades;

generating, using the at least one spot market clearing house computer processor, a revised clearing statement based on the data indicative of the first and second revised settlement amounts;

sending the revised clearing statement from the spot market clearing house to the clearing member;

recording by the at least one spot market clearing house computer processor a funds transfer in accordance with the revised clearing statement; and

determining by the at least one spot market clearing house computer processor a performance bond corresponding to the trading participant based on the first and second trades.

2. The method of claim 1, wherein the commodity comprises electricity.

3. The method of claim 2, wherein the trades comprise real-time trades.

4. The method of claim 2, wherein the trades comprise day-ahead trades.

5. The method of claim 1, wherein the predetermined period comprises one trading day.

6. The method of claim 1, wherein the data indicative of the first initial settlement amount comprises aggregated data indicating a net settlement amount for the trading participant in a first spot market associated with the first spot market operator, and wherein the data indicative of the second initial settlement amount comprises data indicating a net settlement amount for the trading participant in a second spot market associated with the second spot market operator.

7. The method of claim 1, wherein the data indicative of the first initial settlement amount relates to an executed trade;

wherein the data indicative of the first initial settlement amount is based on an estimate of an amount of commodity transferred corresponding to the executed trade; and

wherein the data indicative of the first revised settlement amount is based on a measured amount of the commodity transferred.

8. The method of claim 2, wherein the data indicative of first and second revised settlement amounts are based on power line measurements.

9. The method of claim 1, wherein receiving by the at least one spot market clearing house computer processor data sent from the first spot market operator further comprises receiving data indicative of at least one revised settlement amount for at least one trade in a period prior to the predetermined period;

and

wherein the initial clearing statement is based on the data indicative of the first initial settlement amount and the revised clearing statement is based on the data indicative the at least one revised settlement amount.

10. The method of claim 9, wherein the data indicative of the first initial settlement amount and the data indicative of the at least one revised settlement amount comprises a net settlement amount, the net settlement amount comprising a single number that the trading participant owes to or is owed from the first spot market operator.

11. In an electricity spot market with a plurality of spot market operators corresponding to a plurality of separate spot markets, the spot market operators executing trades for participants trading electricity and generating data indicative of settlement amounts for the trades in a predetermined period, a method for clearing spot market trades across the plurality of separate spot markets using at least one spot market clearing house computer processor comprising:

receiving by the at least one spot market clearing house computer processor data indicative of settlement amounts for the trades of a participant in the predetermined period from the plurality of spot market operators, the plurality of spot market operators being separate from the spot market clearing house;

aggregating by the at least one spot market clearing house computer processor the data indicative of settlement amounts for the trades from the plurality of spot market operators to indicate a net settlement amount for the participant across the plurality of separate spot markets;

determining by the at least one spot market clearing house computer processor a performance bond for the participant based on the trades of the participant across the plurality of separate spot markets conducted through the corresponding spot market operators;

sending a clearing statement from the at least one spot market clearing house computer processor to at least one clearing member based on the aggregated settlement amounts and the performance bond;

recording by the at least one spot market clearing house computer processor a funds transfer in accordance with the clearing statement;

receiving information identifying an amount of the commodity delivered in response to at least one of the trades;

receiving by the at least one spot market clearing house computer processor data indicative of at least one revised settlement amount for the at least one of the trades, the data indicative of at least one revised settlement amount for at least one of the trades being based on a difference between an amount of the commodity traded in response to the at least one of the trades and the amount of the commodity delivered in response to the at least one of the trades; and

sending a revised clearing statement from the at least one spot market clearing house computer processor to the clearing member based on the data indicative of the revised settlement amount.

12. The method of claim 11, wherein the commodity comprises electricity.

13. The method of claim 12, wherein the trades comprise real-time trades.

14. The method of claim 12, wherein the trades comprise day-ahead trades.

15. The method of claim 11, wherein the predetermined period comprises one trading day.

16. The method of claim 11, wherein the settlement amounts received from the plurality of spot market operators comprise aggregated settlement amounts indicating net settlement amounts for the participant in the plurality of spot market operators.

17. The method of claim 11, wherein determining by the at least one spot market clearing house computer processor a performance bond comprises analyzing the aggregated settlement amounts.

18. The method of claim 11, wherein the spot market operator sends data indicative of initial settlement amounts for the trades in the predetermined period and sends revised settlement amounts for the trades in a period later than the predetermined period;

wherein receiving the settlement amounts comprises receiving the data indicative of the initial settlement amounts; and

wherein aggregating the settlement amounts comprises aggregating the data indicative of the initial settlement amounts;

wherein sending a clearing statement is based on the data indicative of the initial settlement amounts.

19. The method of claim 11, wherein the spot market operator sends data indicative of the initial settlement amounts for the trades and sends data indicative of revised settlement amounts for the trades after recording the funds transfer;

wherein receiving the settlement amounts comprises receiving, from the plurality of spot market operators, data indicative of initial settlement amounts for the trades of the participant in the predetermined period and data indicative of at least one revised settlement amount for a trade in a period prior to the predetermined period; and

wherein aggregating the settlement amounts comprises aggregating the data indicative of the initial settlement amounts and the revised settlement amount;

wherein sending a clearing statement is based on the initial settlement amounts.

20. The method of claim 11, wherein determining a performance bond comprises determining a performance bond for a current day of trading.

21. The method of claim 20, wherein determining a performance bond for a current day of trading comprises:

determining a number of days to collateralize;

determining positive exposures of trades for a participant with at least one spot market operator for most recent days trading equal to the number of days to collateralize; and

statistically analyzing the determined positive exposures.

22. The method of claim 20, wherein determining position exposures of trades comprises determining position exposures of trades for a participant with multiple spot market operators.

23. In a network having a first and a second spot market operator coupled to said network, the first and second spot market operators executing trades for participants trading a commodity and sending data indicative of settlement amounts for the trades in a predetermined period, a non-transitory computer readable medium having program code stored thereon which, when executed by a computer, performs the steps of:

receiving by a spot market clearing house data sent from a first spot market operator indicative of a first initial settlement amount for a first trade between a trading participant and the first spot market operator in a predetermined period and data sent from a second spot market operator indicative of a second initial settlement amount for a second trade between the trading participant and the second spot market operator, the spot market clearing house being separate from the first and second spot market operators, and the first and second spot market operators corresponding to separate spot markets;

sending an initial clearing statement from the spot market clearing house to a clearing member associated with the trading participant based on the data indicative of the first and second initial settlement amounts, the clearing member being separate from the first and second spot market operators;

recording by the spot market clearing house a funds transfer in accordance with the initial clearing statement;

receiving by the spot market clearing house information identifying an amount of the commodity delivered in response to the first and second trades;

after recording a funds transfer and delivery of the commodity, receiving by the spot market clearing house data sent from the first spot market operator indicative of a first revised settlement amount for the first trade and data sent from the second spot market operator indicative of a second revised settlement amount for the second trade, the data indicative of the first and second revised settlement amounts being based on a difference between an amount of the commodity traded in response to the first and second trades and the amount of the commodity delivered in response to the first and second trades;

sending a revised clearing statement from the spot market clearing house to the clearing member based on the data indicative of the first and second revised settlement amounts; and

recording by the spot market clearing house a funds transfer in accordance with the revised clearing statement.

24. The non-transitory computer readable medium of claim 23, wherein the commodity comprises electricity.

25. The non-transitory computer readable medium of claim 23, wherein the program code further performs the step of determining by the spot market clearing house a performance bond corresponding to the trading participant based on the first and second trades.

26. The non-transitory computer readable medium of claim 25, wherein determining a performance bond for a current day of trading comprises:

determining a number of days to collateralize;

determining positive exposures of trades for the trading participant with at least one spot market operator for most recent days trading equal to the number of days to collateralize; and

statistically analyzing the determined positive exposures.

27. The non-transitory computer readable medium of claim 23, wherein the data indicative of the first initial settlement amount relate to an executed trade;

wherein the data indicative of the first initial settlement amount is based on an estimate of an amount of commodity transferred corresponding to the executed trade; and

wherein the data indicative of the first revised settlement amount is based on a measured amount of the commodity transferred.

28. In a network having a plurality of spot market operator nodes coupled to said network, the spot market operator nodes executing trades for participants trading a commodity and sending data indicative of settlement amounts for the trades in a predetermined period across a plurality of separate spot markets corresponding to the plurality of spot market operator nodes, a non-transitory computer readable medium having program code stored thereon which, when executed by a computer, performs the steps of:

receiving by the spot market clearing house data indicative of settlement amounts for the trades of a participant in the predetermined period from the plurality of spot market operators, the plurality of spot market operators being separate from the spot market clearing house;

aggregating the data indicative of settlement amounts for the trades from the plurality of spot market operators to indicate a net settlement amount for the participant across the plurality of separate spot markets;

determining by the spot market clearing house a performance bond for the participant based on the trades of the participant across the plurality of separate spot markets conducted through the corresponding spot market operators;

sending a clearing statement from the spot market clearing house to at least one clearing member based on the aggregated settlement amounts and the performance bond;

recording by the spot market clearing house a funds transfer in accordance with the clearing statement;

receiving information identifying an amount of the commodity delivered in response to at least one of the trades;

receiving by the at least one spot market clearing house processor data indicative of at least one revised settlement amount for the at least one of the trades, the data indicative of at least one revised settlement amount for at least one of the trades being based on a difference between an amount of the commodity traded in response to the at least one of the trades and the amount of the commodity delivered in response to the at least one of the trades; and

sending a revised clearing statement from the at least one spot market clearing house processor to the clearing member based on the data indicative of the revised settlement amount.

29. The non-transitory computer readable medium of claim 28, wherein the spot market operator nodes send data indicative of initial settlement amounts for the trades in the predetermined period and send revised settlement amounts for the trades in a period later than the predetermined period;

wherein receiving the settlement amounts comprises receiving the data indicative of the initial settlement amounts;

wherein aggregating the settlement amounts comprises aggregating the data indicative of the initial settlement amounts; and

wherein sending a clearing statement is based on the data indicative of the initial settlement amounts.

30. The non-transitory computer readable medium of claim 28, wherein the commodity comprises electricity.