Liquidity equalization

Portfolio Service Investment Agent" module or "Portfolio Service Rebalancing" module

Liquidity balancing is intended to enable liquidity to be temporarily "parked" in classes such as money market funds, where appropriate, and made available again when required.

• The allocation model can be extended to include liquidity buffer modules (which generally contain a single class).
  The liquidity buffer module is defined in MM-Talk using the function SetLiquidityModule.

  Beispiel

  IAPortfolio.SetLiquidityModule["Money market"]....
• A maximum of one such module can be included in a portfolio.
• The module absorbs the surplus cash.
• No target weighting is defined for the liquidity module, as this is implicitly derived from the surplus cash.

• Orders for securities from the liquidity buffer are generated if the actual cash deviates significantly from the defined cash ratio.
  The tolerances are defined in the allocation formula alongside the cash ratio using the SetTotalCashWeight[$Weight; $ToleranceTop; $ToleranceBottom] function.

  Beispiel

  SetTotalCashWeight[0.05;0.01;0.02] allows cash ratios from 3% to 6%. If the cash ratio is outside this range, it is adjusted to 5%.

• Once liquidity balancing has been configured, you can subsequently prevent it via the rebalancing interface by filtering out orders for liquidity buffer instruments.

For ad hoc portfolio reallocations in "Manual" mode, you can also carry out liquidity balancing entirely without MM-Talk.

Read the section Ad hoc portfolio reallocations with liquidity balancing.