5.4 Automatic and Manual FX Netting Batch

This topic describes the automatic and manual netting process.

Automatic netting process will pick up all those contracts marked for automatic netting for the specified customer. Netting will be done irrespective of the currency chosen.

Manual netting process can be initiated for contracts that are marked for manual netting and auto netting. Netting will be done only for those contracts that have specified a currency/ currency pair unless you have chosen ‘All’ option.

The following steps involved in netting are done irrespective of the mode of netting chosen:

If you have chosen Netting Agreement as the Netting Days Basis for the customer, the netting days will be picked up from the netting agreement screen.

If you have chosen Currency as the Netting Days Basis, the FX netting days will be picked up from the currency definition screen for the bought/ sold currency.

If FX netting days is not specified for a currency, netting days will be the same as spot days.

Currency wise netting is done for each customer for all currencies if the netting mode is automatic and for specific or ‘All’ currencies if netting mode is manual.

Pair wise netting is done for each customer for all currency pairs if it is automatic mode and for specific or ‘All’ currency pairs if the netting mode is manual.

If the netting days basis is set as Netting Agreement then the Netting days will be picked up from the netting agreement screen for that customer. If the Netting Days basis is set as Currency then the FX netting days will be picked up from the currency definition screen for the bought and sold currency to derive the FX Netting Date for both the currencies. Subsequently the earlier of the Netting Date will be used to pickup contracts for netting. The netting days will be added to the system date / processing date to arrive at the netting date. All the contracts with a bought value date / sold value date lesser than or equal to the respective netting date will be picked up for netting.

The FX contracts are netted to create a consolidated payment contract.

Note:

Netting Process will collate contracts based on the FX Netting Customer

• EOD Processing