Netting Contracts

Overview

Netting multiple forward contracts is possible when you have multiple open contracts for the same customer and for the same underlying asset. The contracts can be on either side (buy/sell) and have various maturity dates. Netting will create a new forward contract that has a quantity that is equal to the sum of all the selected contracts to be netted and has the start price that is the weighted average of the start prices of all the selected contracts to be netted plus accrued interest up until the netting date.

Get Started

To net multiple contracts select all the contracts to be netted from the Contracts data grid in the main window. Multiple select can be done by holding down the Control button while selecting the contracts with the mouse. With multiple contracts selected right click one of the selected contract and choose Netting from the context menu.

The Netting Window

Value date can not be set in the future and not be earlier then the latest value dates of the contracts that are being netted. Value date, maturity date, interests and fees for the new contract are set in the netting window. The start date will determine when the new contract will become active and the forward price will be determined from the start date. Maturity date sets the maturity of the contract and final interest date will be determined on the maturity date, T-1 for bonds and T-3 for stocks. Netting Fee and Transaction Fee will effect the New Start Price for the new contract, The default value for the New Interest Rate and New Interest Rate Fee will be the average interest rate of selected contracts to be netted. 

 

Field

Description

Symbol

The symbol of the underlying instrument.

New Quantity

Number of shares the new contract will be (The sum of all contracts to be netted)

Value Date

The start date when the contract becomes active.

Maturity Date

The date the contract will expire

Final Interest DateThe last day the contract will collect interest, the date the underlying asset gets delivered/received

Netting + Transaction Fee

Netting fee and Transaction fee that the bank will charge for the netting operation. These fee will added to the Start Price

Payments

If the underlying asset has had interest or dividend payments over the lifespan of the contract they will be added to the Start price for long contracts and subtracted for short contracts

New Start Price

The weighted average of all Start Prices from the contracts to be netted plus accrued interests up until netting date plus Netting Fee and Transaction Fee

New Contract Amount

The new underlying value for the netted contract

New Interests

The new interest rate for the netted contract.quoted in percentage

New Interest Fee

The new interest fee for the netted contract quoted in basis points

Forward interests

The sum of interests and interests fee will be the forward interests for the netted contract. If this rate is different from the rates on the contracts to be netted the new rate will start to account for from the new value date

New Forward Price

The forward price is the start price on the netted contract plus accrued Interests until maturity  

New Forward Amount

The value of the contract at maturity

 

Closing Price

This is the closing price that the old contracts that will be closed at given the Value date of the netted contract