Set Up Entities for Derivative Segregation with or without Cash Segregation
If you use cash segregation, set up entities to use cash segregation. Ensure that you set the Segregate Derivatives (tag 16253) field to Yes for those entities where you segregate derivatives in the custody basis.
If you do not use cash segregation, you can also set the entity's Segregate Derivatives (tag 16253) field to Yes. In that case, the system does segregate derivatives in the custody basis. It does however, allow you to process derivatives with multiple brokers and keep positions segregated as such.
Define Entity to Custodian and Clearing Broker Relationships
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???? do you create the entity & clearing broker relationship for entities both with and without Cash Segregation? or just with? |
Before you can use derivative segregation, you must set up bank account relationships for the entities that use derivative segregation to identify the relationships between those entities and their clearing brokers. To do do, you must create bank account relationships with a relationship type of Entity & Clearing Broker Relationship, where bank account relationship defines the relationship between a composite and a clearing broker.
Book Trades for Derivatives for Cash Segregation
When you book a manual trade for an entity that uses cash segregation, you must provide custodian and cash account information for all types of securities.
If you book a trade for an exchange cleared security (credit index swaps, credit default swaps, and interest rate swaps), the system uses the clearing broker for segregation purposes, and you must specify the clearing broker for the trade. You must identify the Clearing Broker (tag 1236) and the Clearing Broker Code (tag 1237) on the following panels if the Variation Margin (tag 4533) option displays a value of Yes:
- Open Currency Rate Swap panel
If you are booking a trade for a total return swap, the system uses the bank alias for segregation purposes.
The following are the options in the trade panels that apply to derivatives eligible for cash segregation.