Futures and Options

Mitsubishi UFJ Securities International plc

DMG – London Reference Data

Instrument – Futures And Options

12th Feb 2015

Table of Content

Table of Content
Ownership, approval and version history
Objective
Responsibilities
Processing
Control
Procedure Steps
Desktop Procedures
Detailed Procedure Steps

Ownership, approval and version history

Ownership and Approval

Version Number: 1.0

Approved by Trevor Moore Date dd/mm/yy

Replacing Version Number: N/A

Approved on: Date N/A

Section Head(s) Responsible: Trevor Moore

Policy/Policies this document relates to: N/A

Version History

Version Date Author Revisions Made

1.0 March 17, 2014 Original Document

Objective
The purpose of this document is to show the process for creating Futures and Options

Responsibilities

Processing

Control

Procedure Steps

Desktop Procedures

The desktop procedures detail the process that are undertaken by the team. Procedural documents are owned and maintained by team members
and the desk head. These are working documents and as such will be subject to change in line with systems, products and external influences.

The detailed procedures will support the following functions that are undertaken by the desk:

Detailed Procedure Steps

We normally find out about a new Future contract when it fails in MVIEW ( the trade monitoring app) on the BBG to MxSP trade feed queue.
The accompanying error msg will be something similar to : import not attempted - Murex future maturity/maturity label not found for S&P SGX
NIFTY
Click on view in message column of trade feed queue for relevant error and scroll down to security description field which should be populated
with something like : IHK4
IH = contract id , K4 = month and year
Input this code into BBG and you should find the contract together with the relevant information to set it up in Mx
Then enter MxSP
Configuration, Futures, Equity Futures (depending on what type it is, Long, Short or Equity) Edit Insert
The general information screen is completed as per below. The Security label (S&P SGX NIFTY) is a manual description of the future – max 15
characters
The internal code and security code are the BBG contract id for the future – in this case IH
Then SAVE and move onto the next screen Equity Future Definition.
The relevant fields can be found by referring to the BBG screen.
Note ,
Murex Quotation field = BBG Tick Size ( 0.5 in this case )
Murex Lot size/Nominal = BBG Value ( 2 in this case )
To add the relevant maturity, (see below) click on the drill down box for maturities and if appropriate maturity group not found , create new label.
To do so, Edit Insert and create new label name (max 10 characters) SAVE.

Then Edit, Open, Edit, Insert and new box will open allowing you to create the maturity date of the future trade which is the Last trade date on the
BBG screen
The Label is the long form of K4 in BBG expressed in the format MMM_YY.

SAVE
You will then need to send an email to MurexIT ( SSMMurexBAUSupport@int.sc.mufg.jp ) requesting them to map the new Future and restart the
system so it recognises it.

We normally find out about a new Option contract when it fails in MVIEW ( the trade monitoring app) on the BBG to MxSP trade feed queue.
The accompanying error msg will be something similar to : import not attempted - Option contract :NI and underlying security/maturity label not
found
Click on view in message column of trade feed queue for relevant error and scroll down to security description field which should be populated
something like : NIFTY 12/24/14 C8000
Input this code into BBG and you should find the contract together with the relevant information to set it up in Mx
Then enter MxSP
Configuration, Securities, Option Contracts, Edit, Insert
The first screen is completed as per below. The Contract label ( NIFTY ) is a manual creation – max 10 characters.
The underlying group = Equity ( if underlying is equity asset or equity future/index ) or Future ( if underlying is short term future or long term future
).
The type is determined by your choice for underlying group above and system will provide relevant option(s) from which to choose.
The description is a manual input of upto 50 characters to more fully identify the option

SAVE
The Trading Clauses screen will then appear, the relevant fields can be found by referring to the BBG screen.
To add the relevant maturity (see below) click on the drill down box for maturities and if appropriate maturity group not found, create a new label.
To do this, Edit, Insert and create new label name (max 10 characters) SAVE.
The Edit, Open, Edit, Insert and new box will open allowing you to create the maturity date of the option trade which is the Last Trade date on the
BBG screen.

NOTE : If the Option is based on an underlying Future ( not an Equity ) then although it is created the same way, there is an extra field Underlying
contract which relates to the future. The particular maturity label will be specified on the BBG screen print

SAVE
Now find the new contract you have just created and highlight as below.
We have to add the underlying Future or Equity
Click on Edit, Classes, Edit, Insert. In the class definition screen that appears, drill down in the Instrument field (see below) and select the
relevant Future or Equity.

SAVE
The underlying has now been added as per below.
In the case of an Equity Option, there can be many different Equity assets added to one Option (see US EQY OPT for example ).

The new Option contract is now created so you will then need to send an email to MurexIT ( SSMMurexBAUSupport@int.sc.mufg.jp ) requesting
them to map the new Future and restart the system so it recognises it, similar to below.
Subject: RE: OPS1 : Bbg / Murex Opt Maturities
Hello,
We have several failing Option trades on the Bbg / Mx hospital Q
Please check that NI is mapped to NIFTY
Then restart the system and let us know when it is OK to discharge the trades.
Many thanks
Adding an Option maturity in Murex.
You will will find this tasking in MVIEW on the BBG to MUREXSP queue;
"import not attempted - Option contract :FC: and underlying security FCA IM must have as"
Open the above task via the view button and search for the Option ticker
(usually found under <LongNote8>).
See example below;
Make a note of this and and search the Option on Bloomberg and Print.
(Be sure you select the relevant Option with the correct maturity and Call or Put).
See example below(Refer to highlighted fields);
Open Murex and select the following – Configuration>Securities>Option contacts and search the relevant market.
(in this case it is MILAN with a lot size of 500).
See example below;

Before adding the maturity you need you need to check that the BBG ticker is in the selected market.
Highlight the Market and select EDIT>CLASSES and check if the relevant BBG ticker is included in the list.
(in this case it is FCA IM).
See example below;
If your contract is in this list you can exit this screen.
(If it is not you will need to add it, this is explained in ………)

Back in the Option contracts screen, space into the the relevant market, in this case it is MIL EQ500 and select Trading Clauses,

select maturities using the drop down arrow

And lookup the relevant maturity set (in this case it is "EUREX EQIO") space in to open.

Check to see if the maturity already exists, if not you will need to add it.
This is done by selecting EDIT>INSERT and the below will appear, simply create a label either FEB15 or if that is taken you the date in 6 didget
format 200215 and add the maturity to the highlighted fields below.

Then hit FILE>SAVE&EXIT.

Now you need to send an email to Murex support to map the option to the market;
SSMMurexBAUSupport@int.sc.mufg.jp
TEC-MurexBAUSupportTeam@int.sc.mufg.jp
See example below;
Finally you need to complete the below check sheet;