We have now prototyped this, what we have found is as follows:
– “Clearing Broking” function needs to be set on all BU’s who the Futures will be booked against on the “External” side of the trade (I’m not sure why it isn’t required on the Internal BU to book the back to back, but it seems to work without it). This will then allow External Portfolio to be selected, which will automatically cause a back to back to be booked
– When a back to back trade is booked, a transaction field called “Offset Tran Type” is set to “Original Offset” on the first trade, and “Generated Offset” on the second.
– In terms of the cascade/rollover, it is necessary to only include one side of the back to back parent in the cascade query. The best way we have found to do this is to use the “Offset Tran Type”. Only trades where this field is set to “No Offset” (ie to pick up ordinary, non back to back futures booked with an Exchange) or “Original Offset” (to pick up only the first side of the back to back) should be included in the cascade query. Trades where this field is set to “Generated Offset” should be excluded from the cascade query.
– By only cascading the Original Offset side of the back to back trades, the children will be booked with an external portfolio. This in itself will generate back to back children (therefore there is no need to also cascade the offset parent, otherwise you will double book the children).
– The attached diagram illustrates this process
Some points to note:
– By default Tran Info fields will be mirrored between Original Offset and Generated Offset trades (this applies to both parents and children)
– However Tran Info fields are not propagated from parent to children by default, so would need to be scripted
– Any cascade script which tries to update the parent might be an issue, as only the Original Offset is genuinely taken through the cascading process. One issue we are investigating is that only the Original Offset Parent is being closed out and mvalue set to zero, but Generated Offset Parent is not closed out.
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