Reply To: Maturation of Futures

Phil Walsh

There are two post-Validated statuses that futures can be processed to: Matured and Closeout. Some key points around using these statuses are:

1. Futures closeout processing – if Endur’s native closeout processing functionality is already being used, then this would represent the natural final status of the transaction and hence processing to any other further status would not be required. However, I would assume that you’re not using this functionality.

2. If the futures closeout processing functionality is not being used, and so expired futures remain at a Validated status, then there is the general consideration around the benefit of processing the transactions to a Matured status instead, which is that it will prevent the expired transaction from being called by query based processes such as the EOD Batch Simulation.

If the expired trade volumes are such that there would be a sufficient benefit for, e.g., the EOD Batch Simulation by not calling expired futures, then a key consideration when deciding whether to process to as Matured status is P&L reporting, in particular reporting life-to-date P&L.

For example, if you’re using PNL Detail as the source simulation result for reporting futures P&L, after the trade has been processed to a Matured status it will eventually ‘drop out’ of this result. In order to retain the realised P&L of expired transactions would then require either some logic within the reporting layer to retain and carry forward the last P&L value of the trade or joining to other P&L results, such as Realised PNL LTD, which do retain the LTD P&L for futures.

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