A derivative moves cash before it matures
A forward, a swap or an option has payment dates, can call for collateral if the market moves against you, and is worth something different every day. When they're tracked in a separate spreadsheet, the cash forecast doesn't see those movements until they happen.
In FLIQO a derivative is a contract in its own right, with its own counterparty and master agreement, not an appendix to a loan: it stays alive even if the loan it was protecting is prepaid.
The flows, in projected cash
Once a contract is activated, its payments go into the forecast. If it settles physically, cash shows both gross flows, because on that day you need to hold the currency you deliver even if the net is in your favor. If it settles in cash, a single net flow goes in, estimated with the rate the forecast already uses for that date. If that rate doesn't exist, the contract isn't published and you're told what's missing.
In a swap, each coupon goes in on its date with both legs. A floating coupon with no index fixing isn't published as zero: you get a warning instead.
What each contract is worth
Market value is worked out by discounting what you'll receive and what you'll pay, each with the curve of its own currency, and converting at the published spot rate. The screen shows the full path, so the figure can be rebuilt by hand.
Calculating and freezing are two different things. Calculating answers what it's worth today. Freezing stores what was reported on a date, together with the curves, the rate and the method used, so a month-end close can be reproduced a year later. If a curve or a rate is missing, FLIQO tells you which one instead of returning zero.
FLIQO values deliverable and non-deliverable forwards, interest rate swaps, cross-currency swaps with their basis, and European FX options with their volatility surface. American options can be recorded but aren't valued yet, and the screen says so when you pick one.
The collateral it can call for
When a contract sits under a credit support annex, FLIQO works out how much collateral has to be posted or can be called, and shows it in three layers: what's confirmed, what would happen if the market stood still, and what an adverse scenario defined by your company would require. The first two go into the cash forecast; the scenario is reported but not published as a flow, because it describes a market that hasn't happened.
Collateral received isn't counted as available cash until the annex says it can be used. And a security posted as collateral stops counting as available portfolio.
Ask Aria
You can ask Aria which derivatives are open, with which banks, which mature this month, how much collateral each annex is calling for today, or which ones are designated as hedges.
Frequently asked questions
Does FLIQO replace the bank's back office?
No. FLIQO records the contracts, works out their effect on cash and their value, and tracks collateral. Confirmations, margin calls to the counterparty and disputes stay with your back office.
What market data does it need?
Discount curves for each currency, the published spot rate and, for options, the volatility surface. Reference indexes and official exchange rates are pulled from the institutions that publish them.
Does it calculate regulatory initial margin?
No. The amount reported by the counterparty is recorded, and it goes into the balance and into cash like any other collateral.