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Quantitative Finance · Glosario

¿Qué es Payment netting?

Definition 20.5 Markets II: Rates, FX and Credit · Capítulo 20 — Settlement Risk

Payment netting is the settlement, between two parties and for each currency and value date, of only the net of the amounts they owe each other, in place of every trade’s gross payment.

The settlement exposure of the book of through the settlement day. Gross settlement exposes the bank to most of its day’s purchases at once in the afternoon; netting cuts the exposure by two thirds; PvP leaves only the currency it does not cover. Illustrative; data: the chapter’s tutorial. — Figure 20.3. The settlement exposure of the book of Example 20.6 through the settlement day. Gross settlement exposes the bank to most of its day’s purchases at once in the afternoon; netting cuts the exposure by two thirds; PvP leaves only the currency it does not cover. Illustrative; data: the chapter’s tutorial.

Ejemplos

Example 20.6 (One bank’s settlement day)

A bank’s book for one value date has eight trades with four counterparties, USD 1.53 billion in all: with A, it sells EUR 400 million and buys EUR 300 million against dollars; with B, it sells yen for USD 250 million and buys yen for USD 150 million; with C, it sells euros for sterling (200 million) and dollars for euros (100 million); with D, it sells an emerging-market currency outside CLS for USD 80 million and buys it back for USD 50 million. Settled gross with the illustrative hours of Figure 20.1, its exposure peaks at USD 1.33 billion in the afternoon, when the dollar payments are due and the euro ones have gone. Netted per counterparty and currency, the payments fall to USD 430 million and the peak to USD 430 million; settled through PvP in every currency but the last, the peak is USD 30 million, the net of D’s trades (Figure 20.3).

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