...

Netting transactions should be cancelled using Batch Cancel Trades to ensure all constituents are rolled back together.

Examples

Credit Default Index Swaps

...

• Open 1 million notional long (sell protection) @ 101 with trade date 12/1/2015

• Open 1 million notional short (buy protection) @ 100 with trade date 12/15/2015

• Trigger netting with Net Date = 20151215

  • Both lots are closed out with Reason (56) = NETTING and no cash is generated

Interest Rate Swaps

...

• Open 3 million notional long @ 0.1 with trade date 12/15/2015

• Open 4 million notional long @ 0.4 with trade date 12/16/2015

• Open 5 million notional long @ 0.2 with trade date 12/22/2015

• Open 2.5 million notional long @ 0.5 with trade date 12/28/2015

• (Net Position = 14.5 million notional long @ 0.2862069 weighted average unit cost)

• Trigger netting with Net Date = 20160113

  • All lots are closed @ weighted average unit cost

  • A single new lot for 14.5 million notional long is opened @ weighted average unit cost

  • No cash is generated