Critical HedgePak Relationship Maintenance in Findur

by Lucido Group

Many Findur users have important hedge accounting requirements that they rely on Openlink’s HedgePak application for support.

We recently worked with a client to help them resolve an issue found while testing the latest version of Findur. Part of the solution was to perform an important regular maintenance task.

In this note we outline the steps HedgePak users should follow regularly to avoid headaches in the future.

Matured Hedge Relationships

Hedge relationships in HedgePak (formerly known as Hedge Analyzer) are managed through the use of Composer records. The Composer record ties the hedging instruments and hedged items together.

The task that matures Composer records uses a standard plugin, but is not always delivered to Openlink’s clients.

Over time, the hedge and hedged items will pass their maturity date. As part of Findur’s end of day maintenance tasks, these instruments will be processed to a Matured status. Trades in a Matured status are typically excluded from end of day reporting, including the generation of simulation results.

The Composer record, on the other hand, is not processed to a Matured status, for technical reasons that extend beyond the scope of this note. There is, however, a task available to mature Composer records.

The standard task that matures Composer records operates in a way that is not consistent with HedgePak’s schema. HedgePak ships with a solution that helpfully closes the gap but the implementation is not obvious.

The Task List

There are several steps to the solution, and like many tasks in Findur, it is not always a straight forward implementation. If the list is intimidating, reach out, and we can help.

  • Configure a query to retrieve Composer records of matured hedge relationships
    • Call the query Hedge Relationships to Mature
    • Use the HedgePak plugin HA26_Query_HedgeRelToMature
  • Import the standard plugin STD_Adhoc_Mat_Composer_Trades
  • Create a task to mature the Composer records
    • Call the task Mature Hedge Relationships
    • Use a param script that extends STD_SavedQueryParam
    • Use STD_Adhoc_Mat_Composer_Trades as the main script
  • Automate its execution
    • Setup the task automatically to run daily or weekly

Notes on Testing

Maturing trades requires careful testing. We can provide guidance and support if your organization has not performed this before, or there are concerns about the changes it will make to the database.

It is possible to see which relationships will be affected before the job updates the relationships. It is also possible to undo the operation if a mistake was made.

Notes on Performance

It can take a while to run the task the first time it is executed. The slowest part of the task can be the execution of the query.

We saw the query taking more than 5 minutes to run, but this is dependent on the number of active hedge relationships. The more active hedge relationships, the longer it takes to run the query to retrieve the Composer records that must be matured.

If performance is a problem, there are easy ways to refactor the solution to ensure it takes only a few seconds to complete.

If your organization has any questions about this important maintenance task, talk to us! We offer rapid-response support that our clients appreciate in an era of declining service level standards in Findur support.