SETT - F&O Settlements
What is
There are many ITAS modes for settling futures/options trades. SETT is a very explicit method where filter selections of instrument, prompt month, account, trade dates, assignment broker etc allow the user to restrict the trades to be processed. There are 6 styles of closure e.g. FIFO, LIFO, pick the trades, mark-to-market with the resulting settlement accounting documents reflecting any non-posted settlement commissions and the grossed up buy and sell values. SETT operates only for client trades. BSETT handles the broker positions, when the Entity is operating Dual F&O.
When the Entity is operating Dual F&O , there can be timing differences or different settlement methods between client and broker handling, the accounting documents handle the differences in value by using a series of nominal/general accounts named as TIME SUSPENSE. When the prompt month is full liquidated, these accounts will be net zero as will the open positions. Prior to off-the-board the differences in open position values will be reflected in the timing suspense accounts and are therefore reconcilable using BRKIMPORT.
If any settlement needs to be busted, use SBUST. The results of using SBUST is that the accounting is reversed and the settled trades returned to the open position. If there is only a need to adjust an accounting item e.g. commission paid, that can be achieved without a full settlement bust by using SAMEND.
OTCs do not settle as square positions in the same manner as Futures but they settle to market at their expiry date (the floating component) i.e. similar to FX deals. This is handled in ITAS by creating a manual settlement trade at the required market price; this price depends on the OTC contract but could be an average price over the previous 15 or 30 days etc. The process then settles in the standard manner. The settlement trade should have a specific trade code for recognition purposes and the trade should be deleted if the settlement is subsequently busted. There is a reporting option in GPLREP and TOPEN to facilitate report by Expiry instead of Prompt Month. A benefit of entering the OTC trade will be that it is a part of all P&L calculations whilst it is an open trade.