In some cases, a client may hold an option that went through a spinoff and now has multiple underlying in different issuers. These issuers may have contract sizes and/or deliverables of different values.

As we do not allow derivatives with multiple underlings, we recommend modelling them as two different derivatives with their respective underlying. Suppose a company went through a spinoff, and the Option now references Equity A (from Issuer A) and Equity B (from Issuer B). First, you’ll need to ensure that Equity A and Equity B are correctly populated in the positions file with values for each of the relevant properties (IssuerID, IssuerName, TotalSharesOutstanding, etc). You can then you can create two Options, one referencing Equity A and one referencing Equity B.

If you hold derivatives with multiple levels on equities (e.g. Option on Swap on Equity), the process is the same. Create two equities, then two swaps, each referencing the relevant equity, and then two options, each referencing the relevant swap.