Reply To: How to do internal transfers of Futures ?

KWA Info

Don’t think its possible to book Futures as Internal Deals ( you can imagine the issues involved with closeouts etc. ) so what’s common is to transfer the Position / PnL using special BULLET SWAPS that are setup so that they have (i) single fixings on the same date as the Future (ii) undiscounted (iii) no payment date offset . Would need to set up a Bullet Swap template for each Future contract type.

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