I certainly appreciate that for users it is not immediately intuitive to categorise derivatives as Settlement Type = Physical Settlement, and therefore can see the desire to make cascading futures work with Settlement Type = Cash Settlement.
However, before considering whether there are any other specific issues with cascading futures set to Settlement Type = Cash Settlement, how do the users consider options where the underlying is cash settling but the option itself needs to be specified as Physical Settlement, such as listed options or OTC swaptions? If they are happy to consider these as Physical Settlement, I can see how the issue could be isolated to cascading futures, but if not then it would be a broader consideration across several instrument types.
We have unrivalled expertise in successful C/ETRM and TMS implementations, and digital transformation projects, as well as defining market solutions that have become system industry standards. We have a proven track record of successful deliveries at greenfield projects and at existing clients.
Copyright 2022 KWA Analytics