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  • ASSET LEDGER
  • CAPITAL LEDGER
  1. Protocol
  2. Rebalancing

Asset and Capital Ledger

PreviousCross-Side Rebalance and Swap DeadbandNextRebalancing Trade Grid

Last updated 1 year ago

ASSET LEDGER

We define the Asset Ledger (AL) by firstly considering the deadband around the reference ratio:

LR3  ∈  [ rw,3(β)−dbL,3,rw,3(β)+dbU,3 ]:    within swap deadbandLR_3 \;\in\; [\, r_{w,3}(\text{β}) - db_{L,3} \quad,\quad r_{w,3}(\text{β}) + db_{U,3} \,] \quad \text{: \; within swap deadband}LR3​∈[rw,3​(β)−dbL,3​,rw,3​(β)+dbU,3​]:  within swap deadband

From before (§ Liquidity Risk Factor) LR3 is defined as:

Liquidity Ratio

Measure, 𝜶

Reference Ratio

When in equilibrium, the liquidity ratio is equal to its reference: \begin{align*} \quad\quad\quad\quad LR_3 - [\, r_{w,3}(\text{β}) \,] &= 0 \\[4pt] \quad\quad\quad\quad \frac{AP + AR}{B} - [\, r_{w,3}(\text{β}) \,] &= 0 \\[4pt] \end{align*}

Define diff_ETH as any ETH deposit or withdrawal from Taker’s Protect or Close, or credits or debits of ETH relating to a cross-side swap (see § Combining Differences). AL:AP+AR+diffETHB  −  [ rw,3(β)    (  ± db∗, 3 ) ]AL \quad:\quad \frac{AP + AR + diff_{\text{ETH}}}{B} \;-\; [\, r_{w,3}(\text{β}) \;\; (\;\pm\, db_{*,\,3}\,) \,]AL:BAP+AR+diffETH​​−[rw,3​(β)(±db∗,3​)]

AL is positive when the liquidity ratio exceeds the reference ratio plus the deadband:

AL=(AP+AR+diffETH)  −  B⋅[− pbL, 3(β)+pbU, 3+dbU, 3]:    AP+ARB>[− pbL, 3(β)+pbU, 3+dbU, 3]\begin{align*} AL &= \left(AP + AR + diff_{\text{ETH}}\right) \;-\; B \cdot \left[ -\, pb_{L,\,3}(\text{β}) + pb_{U,\,3} + db_{U,\,3} \right]\\[4pt] &:\;\; \frac{AP + AR}{B} > \left[ -\, pb_{L,\,3}(\text{β}) + pb_{U,\,3} + db_{U,\,3} \right] \end{align*}AL​=(AP+AR+diffETH​)−B⋅[−pbL,3​(β)+pbU,3​+dbU,3​]:BAP+AR​>[−pbL,3​(β)+pbU,3​+dbU,3​]​

AL is negative when the liquidity ratio is lower than the reference ratio minus the deadband:

Otherwise, we set AL to zero:

CAPITAL LEDGER

We similarly define the Capital Ledger by firstly applying the deadband around the reference ratio:

From § Liquidity Risk Factor, LR13 is defined as:

Liquidity Ratio

Measure, 𝜶

Reference Ratio

When in equilibrium, the liquidity ratio is equal to its reference:

We then define diffUSD as any USD deposit or withdrawal from Claim, Withdraw, or credits or debits of USD relating to a cross-side swap (see subsection Combining Differences).

CL is positive when the liquidity ratio exceeds the reference ratio plus the deadband:

CL is negative when the liquidity ratio is lower than the reference ratio minus the deadband:

\begin{align*} CL &= -1 * (CP + CR + diff_{\text{USD}}) ([ pb_{L,\,13} + pb_{U,\,13}(\text{β}) - db_{L,\,13} ] \;-\; LR_{13}) / LR_{13}\\[8pt] &\;\;: \quad LR_{13} < [ r_{w,\,13}(\text{β}) - db_{L,\,13}] \end{align*}

Otherwise, we set CL to zero:

AL=(AP+AR+diffETH)  −  B⋅[− pbL, 3(β)+pbU, 3−dbL, 3]:    AP+ARB<[− pbL, 3(β)+pbU, 3−dbL, 3]\begin{align*} AL &= \left(AP + AR + diff_{\text{ETH}}\right) \;-\; B \cdot \left[ -\, pb_{L,\,3}(\text{β}) + pb_{U,\,3} - db_{L,\,3} \right]\\[4pt] &:\;\; \frac{AP + AR}{B} < \left[ -\, pb_{L,\,3}(\text{β}) + pb_{U,\,3} - db_{L,\,3} \right] \end{align*}AL​=(AP+AR+diffETH​)−B⋅[−pbL,3​(β)+pbU,3​−dbL,3​]:BAP+AR​<[−pbL,3​(β)+pbU,3​−dbL,3​]​
AL=0    :    elsewhere\begin{align*} AL &= 0 \\[6pt] &\;\;:\;\; elsewhere \end{align*}AL​=0:elsewhere​
LR13  ∈  [ rw, 13(β)−dbL, 13,      rw, 13(β)+dbU, 13 ]:    within swap deadbandLR_{13} \;\in\; [\, r_{w,\,13}(\text{β}) - db_{L,\,13} \quad,\;\;\; r_{w,\,13}(\text{β}) + db_{U,\,13} \,] \quad \text{: \; within swap deadband}LR13​∈[rw,13​(β)−dbL,13​,rw,13​(β)+dbU,13​]:  within swap deadband

LR13−[ rw, 13(β) ]=0(CPβ⋅L+D+E+CRL)−[ rw, 13(β) ]=0\begin{align*} \quad\quad\quad\quad LR_{13} - [\, r_{w,\,13}(\text{β}) \,] &= 0 \\[4pt] \quad\quad\quad\quad (\frac{CP}{\text{β}\cdot L + D + E} + \frac{CR}{L}) - [\, r_{w,\,13}(\text{β}) \,] &= 0 \\[4pt] \end{align*}LR13​−[rw,13​(β)](β⋅L+D+ECP​+LCR​)−[rw,13​(β)]​=0=0​
CL:(  CP+diffUSD  β⋅L+D+E+CRL)  −  [ rw, 13(β)    (  ± db∗, 13 ) ]CL \quad:\quad (\frac{\;CP + diff_{\text{USD}\;}}{\text{β}\cdot L + D + E} + \frac{CR}{L}) \;-\; [\, r_{w,\,13}(\text{β}) \;\; (\;\pm\, db_{*,\,13}\,) \,]CL:(β⋅L+D+ECP+diffUSD​​+LCR​)−[rw,13​(β)(±db∗,13​)]
CL=(CP+CR+diffUSD)(LR13  −  [pbL, 13+pbU, 13(β)+dbU, 13])/LR13    :LR13>[rw, 13(β)+dbU, 13]\begin{align*} CL &= ( CP + CR + diff_{\text{USD}} ) ( LR_{13} \;-\; [ pb_{L,\,13} + pb_{U,\,13}(\text{β}) + db_{U,\,13} ]) / LR_{13}\\[8pt] &\;\;: \quad LR_{13} > [ r_{w,\,13}(\text{β}) + db_{U,\,13}] \end{align*}CL​=(CP+CR+diffUSD​)(LR13​−[pbL,13​+pbU,13​(β)+dbU,13​])/LR13​:LR13​>[rw,13​(β)+dbU,13​]​
CL=0  :    elsewhere\begin{align*} CL &= 0 \\[6pt] &\;:\;\; elsewhere \end{align*}CL​=0:elsewhere​
wkw_kwk​
w3w_3w3​
LR3LR_3LR3​
(AP+AR)/B(AP + AR)/B(AP+AR)/B
rw, 3, t( βt )=−  pbL, 3( βt )+pbU, 3        (  ± db∗, 3 )r_{w,\,3,\,t}(\,\text{β}_t\,) = -\;pb_{L,\,3} (\,\text{β}_t\,) + pb_{U,\,3} \;\;\;\; (\;\pm\, db_{*,\,3}\,)rw,3,t​(βt​)=−pbL,3​(βt​)+pbU,3​(±db∗,3​)
wkw_kwk​
w13w_{13}w13​
LR13LR_{13}LR13​
(CPβ⋅L+D+E+CRL)(\frac{CP}{\text{β}\cdot L + D + E} + \frac{CR}{L})(β⋅L+D+ECP​+LCR​)
rw, 13, t( βt )=  pbL, 13+pbU, 13( βt )        (  ± db∗, 13 )r_{w,\,13,\,t}(\,\text{β}_t\,) = \;pb_{L,\,13} + pb_{U,\,13}(\,\text{β}_t\,) \;\;\;\; (\;\pm\, db_{*,\,13}\,)rw,13,t​(βt​)=pbL,13​+pbU,13​(βt​)(±db∗,13​)