4.4.2 Reversing Internal Trades

You should reverse the PRAM event processed for HFI to HFS transfer in the agency module. STP for this PRAM is not processed systematically in the trading module. Upon reversal of PRAM, you should trigger reversal events in the trading module for the internal buy and sell trades separately, to reverse the HFI to HFS transfer.

It is not possible to reverse an internal trade if the position goes negative due to the reversal.

You are not allowed to reverse the HFS internal buy trade that is processed as part of HFI to HFS transfer, if there are any open or settled trades for the CUSIP and HFS portfolio. However, you can reverse the HFS internal trade, if all the HFS open trades (sale from HFS) are reversed.

During reversal of the internal trade for HFI sell and HFS buy, WAC remains as 100. Internal trade reversal is allowed only for the trades that are systematically processed from agency as part of HFI to HFS transfer.