Member A to receive 2000 SEK Member B to pay -1500 SEK Member C to receive 1700 SEK Member D to pay -1900 SEK Nasdaq CURRENT SOLUTION – CASH SETTLEMENT.

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Presentation transcript:

Member A to receive 2000 SEK Member B to pay SEK Member C to receive 1700 SEK Member D to pay SEK Nasdaq CURRENT SOLUTION – CASH SETTLEMENT CASH OPTIMIZATION

CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK Member A CURRENT SOLUTION – INITIAL MARGIN

CASH OPTIMIZATION

CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK CLIENT SEK Member A Total initial margin + cash settlement: Nasdaq CASH OPTIMIZATION

OVERVIEW ▶ Use one flow (per currency) for cash settlement and margin ▶ Positive cash settlement is used to cover initial margin requirement ▶ Surplus cash collateral on custody account (in instrument currency) is used to cover cash settlement requirement ▶ Direct debit created (per currency) only if: + there after subtraction of positive cash collateral is still a daily cash settlement requirement (per currency) + there is a total collateral deficit on the account in the base currency ▶ Credit instructions are created for the custody account (with same day value) if there is a total collateral surplus in the base currency after the daily cash settlement is finalized – the credit instruction can include both cash collateral surplus withdrawals and specific call backs of excess cash collateral CASH OPTIMIZATION 5

UPDATED DAILY CYCLE CASH OPTIMIZATION 6 Day 1 Day 2 19:45 CET All markets closed 20:00 CET Daily cash settlement calculation ready 21:00 CET End of day margin requirements ready 21:30 CET Cash optimization calculation ready 09:00 CET Direct debits are sent for daily cash settlement requirements and cash collateral deficits 10:30 CET Final end of day margin call 14:00 CET Credits are sent for positive daily cash settlement and cash collateral surplus

TECHINCAL IMPACT CASH OPTIMIZATION 7 APIs Updated OMnet API messages for payments and collateral management New query for cash optimization calculation results New transactions for viewing and configuring currency priority on account Account structure New Cash Optimization account and propagation to support funding of multiple margin and cash settlement requirements in a single payment New configurable parameters on account level Clearing Reports New ”Cash Payment” report Updates to existing reports Cash Settlement Margin and Collateral Evaluation Collateral Transactions Risk Management Payment margin is no longer required on the settlement day for fixed income derivatives (monthly and final) and equity index derivatives (final) Possible margin credit based on pending settlement for short allowances and electricity certificate positions