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Sometimes it may require a bit of time to come through, but the other option is that you can end up with a lead Amadeus booking for the Cathay flights, and a secondary Amadeus reference for the BA sectors. Now I would normally expect it to come through on the BA side eventually for at least the BA flights, assuming you correctly entered your BAEC number, but if not, call Cathay and ask them for the BA PNR. You can also call BA and get them to find you by surname rather than locator.