Hi Team,
Please let me know whether Position Maintenance Report can be used to show an option exercise instruction? Can this be used to represent Swaption and Bond Option exercise instruction?
Regards,
Rahul
@rahulmohanraj, the exercise instruction is covered by PosTransType(709) = 1 (Exercise) or 2 (Do not exercise). The instruction would be issued with a PositionMaintenanceRequest(35=AL) and subsequently be acknowledged with PositionMaintenanceReport(35=AM). This applies to any asset class (as defined in the various instrument components).
@hanno.klein Thanks a lot for your reply.
Hi Team,
A related query on Exercise Expiry Notification.
If we need to send a notification message when the option is going to expire, can this be done by populating the below attributes?
PosMntRpt/@TxnTyp (709) = 13 [Notification]
PosMntReq/Instrmt/@ExpDesc (1581) [OptionExpirationDesc]
PosMntReq/Instrmt/OptExer/Exp/Dt/@Dt (41153) OptionExerciseExpirationDate]
Regards,
Rahul
This value is elaborated as follows: Information about a position that has been chosen for assignment. The field is about a position transaction, i.e. something happening. Your intention is different, i.e. you want to update reference data. This is what SecurityDefinition(35=d) or SecurityDefinitionUpdateReport(35=BP) are for.
The fields you chose are from the Instrument component and hence available in all messages. However, OptionExerciseExpirationDate(41153) belongs to a highly nested structure. Maybe it is sufficient to use the EvntGrp component with EventDate(866) and EventType(865) = 7 (Last eligible trade date). There is also a first exercise data (value 25) but no last one. The field is Reserved100Plus, i.e. you could also define 100 = Last exercise date to be explicit.