SINTEF has delivered software that VPS uses to compute optimal clearing and settlement in the Norwegian financial market for the night batch. All trades in financial instruments (e.g. stocks and bonds) may be entered into the security settlement system, whether traded on the Stock Exchange or not. All trades that are entered and matched on one day are settled simultaneously. Participants may have entered into more contracts than covered by securities or money at their disposal. Thus, not all trades can be settled, leading to the problem of deciding which trades to carry through. Our software solves this problem by maximizing the total value of the whole settlement, at the same time ensuring that priorities among trades are respected. The optimization module is a cornerstone in VPS’ settlement system.
SINTEF has also developed a backup system to be used in the rare case that the main system cannot compute a solution to the settlement optimization problem (due to numerical instability).
Before the introducing of a CCP (Central CounterParty) in the Norwegian Market, the system would handle have the following figures on peak days:
After the introduction of a CCP in the Norwegian Market (2010) the settlement volumes have been reduced. Today, on a normal settlement cycle, the figures are:
