Central Clearing: Posting Logic for Flows
When a central counterparty has accepted the clearing of a financial transaction, all flows for that financial transaction and the external account flows (such as margin payments and fees) pass via the clearing account.
The flows from the financial transaction (such as interest flows) are then no longer relevant for payment and are posted using the clearing account as opposed to the bank clearing account.
Payment is made by means of a net payment.
Prerequisites
The documentation on External Accounts describes the settings that you need to make in Customizing so that you can use the functions for central clearing. The same section contains a table of the necessary update types.
In the activity Define Account Determination
, you need to create the following posting specifications and assign the posting-relevant update types:
30001
Central Clearing
: CCC: Technical Clearing / Bank Clearing30002
Central Clearing
: Bank Clearing / CCC: Technical Clearing30003
Central Clearing
: Position / CCC: Technical Clearing30004
Central Clearing
: CCC: Technical Clearing / Position30005
Central Clearing
: Margin Expense / CCC: Technical Clearing30006
Central Clearing
: CCC: Technical Clearing / Margin Refund30007
Central Clearing
: Fees / CCC: Technical Clearing30008
Central Clearing
: CCC: Technical Clearing / Fees
Assignment to Update Types:
Update Type |
Name |
Posting Specifications |
|---|---|---|
EA_NET- |
Outgoing Net Payment |
30001 |
EA_NET+ |
Incoming Net Payment |
30002 |
EA_FEE+ |
CCC: Fee Refund |
30008 |
EA_FEE- |
CCC: Fees |
30007 |
EA_FEED+ |
CCC: Fee Refund (Deal-Related) |
30008 |
EA_FEED- |
CCC: Fee (Deal-Related) |
30007 |
EA_INI+ |
CCC: Initial Margin Refund |
30006 |
EA_INI- |
CCC: Initial Margin Outgoing |
30005 |
EA_MTI+ |
CCC: Positive Variation Margin (Deal-Independent) |
30006 |
EA_MTI- |
CCC: Negative Variation Margin (Deal-Independent) |
300005 |
EA_MTM+ |
CCC: Positive Variation Margin |
30006 |
EA_MTM- |
CCC: Negative Variation Margin |
30005 |
Example
Example of a Posting for an External Account Statement
The external account statement from May 2, XXXX contains the following positions:
Update Type |
Transaction |
Amount |
Posting Release Status |
Payment Release Status |
|---|---|---|---|---|
EA_INI- |
1,000 |
Not released |
Not released |
|
EA_MTI- |
100 |
Not released |
Not released |
|
EA_MTM- |
Transaction 1 |
50 |
Not released |
Not released |
EA_MTM- |
Transaction 2 |
50 |
Not released |
Not released |
EA_INT- |
Transaction 1 |
10,000 |
Not released |
Not released |
EA_INT+ |
Transaction 1 |
9,000 |
Not released |
Not released |
Flows generated after releasing the positions
Position Context |
Transaction |
Update Type |
Amount |
Posting-relevant |
|---|---|---|---|---|
CLP |
EA_INI- |
1,000 |
X |
|
CLP |
EA_MTI- |
100 |
X |
|
CLP |
EA_VM- |
100 |
||
CLP |
Transaction 1 |
EA_INT- |
10,000 |
The interest payments are posted by means of the interest flow from the financial transaction. |
CLP |
Transaction 1 |
EA_INT- |
9,000 |
The interest payments are posted by means of the interest flow from the financial transaction. |
ASP |
Transaction 1 |
EA_MTM- |
50 |
X |
ASP |
Transaction 2 |
EA_MTM- |
50 |
X |
Position Components on the Clearing Account Position
Component |
Description |
Amount |
|---|---|---|
1001 |
Initial Margin |
1,000 |
1002 |
Variation Margin |
200 |
2001 |
Initial Margin Open |
1,000 |
2002 |
Variation Margin Open |
200 |
2003 |
Other (such as Fees) Open |
1,000 |
8000 |
Clearing Payment |
0 |
9000 |
Total Open |
2,200 |
9001 |
Total Margin Open |
1,200 |
Posting Flows
You use the "Post External Account Flows" function to post the flows.
Creating Net Payments
When you perform the Create Net Payment
function, the system creates and posts the following flow:
Update Type |
Amount |
Relevant for Posting |
|---|---|---|
EA_NET- |
2,200 |
X |
The system also sets to zero the open position components on the clearing account position.
The following postings were generated from the posting-relevant flows:
Interest 10,000 / CCC: Technical Clearing 10,000
CCC: Technical Clearing 9,000 / Interest 9,000
Margin Expense 1,000 / CCC: Technical Clearing 1,000
Margin Expense 100 / CCC: Technical Clearing 100
Margin Expense 50 / CCC: Technical Clearing 50
Margin Expense 50 / CCC: Technical Clearing 50
CCC: Technical Clearing 2,200 / Bank Clearing 2,200
