Spot Sweep

Summary
Detail
See also

Summary

Spot sweep crystallises profit held in any currency other than a book's presentation currency. As trading activity accrues cash balances in non-presentation currencies across many books, the firm periodically locks in an FX rate and converts those balances back into "P&L currency." It is a Sweep in the general sense – a centralising process run across a population of books – specialised to a front/middle-office, periodic, discretionary cadence, restricted to books explicitly flagged eligible, and generating real, realised P&L rather than a valuation entry.

Detail

What it is

As trading activity accrues cash balances in non-presentation currencies across many books, the firm periodically locks in an FX rate and converts those balances back into "P&L currency." The process is centralised: long and short cash positions across many books are aggregated into a single view first, and only the net amount is actually converted — this avoids unnecessary trades when positions across books net each other out.

Mechanics

Step 1: AGGREGATE
  Book A (+120k EUR) ─┐
  Book B (-45k EUR)  ─┼──► Central Sweep Book: net position per currency
  Book C (+30k EUR)  ─┘

Step 2: CONVERT AT A RATE THAT CLEARS THE AVERAGE RATE TO 1
  A sweep trade is generated whose rate is chosen so the pair's
  average booked rate (tracked across all deals in that pair) is
  driven back to 1. Drift between the average rate and the current
  market rate represents crystallisable profit or loss; the sweep
  trade realises it.

Step 3: SEGREGATE THE CRYSTALLISED PROFIT
  Once converted into presentation currency (see Presentation Currency),
  the resulting P&L is moved somewhere traders cannot access or
  trade against.

Book eligibility

Only books flagged Is Sweepable participate (see Book classification). Forward positions are never swept — only spot/cash balances. Finer-grained configuration also excludes positions older than a threshold age (e.g. "Past Value" beyond 10 days) and excludes specific currencies entirely.

The book balances flow into is designated a Central Sweep Book — a distinct book purpose in its own right, not merely a flag on an otherwise-ordinary book (see Sweep§"Sweep target and remittance target are not combinable").

Governance

Sweep runs require sign-off, alongside funding runs and brokerage payments. All deals generated by a single sweep run must be linked together for traceability, exactly as for the funding process.

How it differs from ledger sweep

Spot sweep and Ledger Sweep share a name and a conceptual goal (cleaning up cross-currency exposure) but operate at entirely different layers: spot sweep is a front/middle-office, discretionary process restricted to Is Sweepable books and generating realised P&L via an executed trade, while ledger sweep is a daily, automated, accounting-layer process applying to every ledger book unconditionally and generating only an unrealised valuation entry. Is Sweepable governs spot sweep eligibility only — it has no bearing on ledger sweep. See Sweep for the comparison table in full.