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Quantitative Finance · Glosario

¿Qué es Net open position limit, settlement limit?

También llamado: net open position limit · settlement limit

Definition 27.3 Markets II: Rates, FX and Credit · Capítulo 27 — Getting Access: FX

A net open position limit caps the client’s net currency exposure through the prime broker, measured in one currency across all currencies. A settlement limit caps, for each value date, the amount the prime broker will have to settle on the client’s trades.

A simulated day of 240 orders routed by the gate to the cheapest prime broker whose limits allow them: the net open position at each, in per cent of its limit. A fills first, from order 107 the flow that adds to the position spills to B, and then to C, whose position ends the day at 76% of its limit. No order is rejected. Illustrative; data: the chapter’s tutorial, seeded. — Figure 27.3. A simulated day of 240 orders routed by the gate to the cheapest prime broker whose limits allow them: the net open position at each, in per cent of its limit. A fills first, from order 107 the flow that adds to the position spills to B, and then to C, whose position ends the day at 76% of its limit. No order is rejected. Illustrative; data: the chapter’s tutorial, seeded.

Ejemplos

Example 27.4 (Two trades through the gate)

Prime broker A allows EURUSD and USDJPY up to seven days, a net open position of USD 100 million and settlement of USD 500 million per value date. The fund buys EUR 50 million at 1.10 for spot: it is long EUR worth USD 55 million and short USD 55 million, a net open position of 55 million and a settlement amount of 55 million. It then buys USD 20 million against yen: the dollar short shrinks to 35 million and a yen short of 20 million appears; the longs are still the 55 million of euros, and so is the settlement amount. A further purchase of EUR 95 million would take the position to 159.5 million and is rejected; a sale of euros would be accepted even if the limit had been cut below the position, because it reduces it.

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