Overview
Clients often have multiple positions that they expect to trigger results under one of the EU SSR Rules. However, when one of these Disclosure alerts is generated, they find that one or more of those positions are not included in the calculation, which then leads to confusion.
Typically, there are two main reasons why a position may not be immediately visible as part of your Disclosure calculation:
Reason 1: The EU SSR ESMA Exempt Shares List
If the securities in your position have a principal trading venue outside the EU, they may be included on the EU SSR ESMA Exempt Shares List.
Positions that are included on this list are automatically excluded from the EU SSR Rule calculations and so will not be included in the calculations that trigger a Disclosure. This means that they will not be shown in the Disclosure Result Assets table, even though the positions will show in the Portfolio Assets table for that date.
Reason 2: Netting
For EU SSR rules, our engine automatically nets longs and shorts at the portfolio level and aggregates all the portfolios with net shorts at the portfolio level up to the top entity. If the net outcome of all positions in a specific issuer under a Portfolio is Long, then the positions will also be excluded from the EU SSR Rule calculations.
"But I've looked at my Portfolio Assets table, and I can only see short positions. Why haven't these been included in my Disclosure calculation?"
It's important to remember that netting includes all the underlying assets of a position as well, so when you're looking at the Portfolio Assets table, you need to ensure that the Filter is set to "Include look-throughs"
This will ensure that all underlying assets are also displayed so you can calculate the total number of Long and Short positions held in that Portfolio.
For more information about how netting works for the EU SSR rules, we have put together a Help Centre article titled "EU SSR Rules Netting Explained."
"I've checked both of these things and still can't see why my position hasn't been included?"
Of course, there may be a specific reason why a position hasn't been captured that falls outside the scope of this article. If you've checked the ESMA Exempt Shares list and you've double-checked your netting, but you still think a position is not being captured when it should be, please feel free to reach out to FundApps Support for further assistance.