Overview
After turning on the Composites service, you may notice an increase in Missing Data alerts in your environment. This isn't a system error—it's the service working correctly by identifying positions that now require additional data.
Why This Happens
Before Enabling Composite Enrichment
When you held derivatives on indices or ETFs, the system treated them as simple instruments without looking "through" to the underlying equities. Less data was required.
After Enabling Composite Enrichment
The service now links indices and ETFs to their constituent equities. This means your holdings have broader regulatory scope and require more comprehensive data to calculate proper exposures.
The Technical Details
For the EU Short Selling Regulation (SSR) rules, the system needs to calculate an input for the EquivalentSharesAdjustment property when holding derivatives on indices or ETFs. This calculation determines your actual exposure to individual companies within those indices.
The formula is:
EquivalentSharesAdjustment = (Index Price × Component Weighting) ÷ Component Price
This means that to calculate your exposure, the system needs prices for:
The index/ETF itself
If these are held outright, each individual equity within that index/ETF.
Before vs. After Comparison
Without the Composite Enrichment Service (BYOD or ETF Library):
Instrument Type | Requires Price Data? | In Scope for SSR? |
Future on individual equity | No | Yes |
Future on ETF/Index | No | No |
With the Composite Enrichment Service:
Instrument Type | Requires Price Data? | In Scope for SSR? |
Future on individual equity | No | Yes |
Future on ETF/Index | Yes - for both ETF AND underlying equities, which are held outright | Yes |
What You Need to Do
When you see new Missing Data flags after enabling the Composite Enrichment service:
Identify the Missing Prices: The system will specify which equity prices are needed.
Provide Price Data: Ensure you have pricing for all constituent equities in your index/ETF holdings.
How to Identify Missing Prices
Downloading the CSV from the missing data page is the easiest way to diagnose missing data for a multi-level instrument, such as a future on an index with underlying equities.
Please take note of the AssetId; any part of the asset, consisting of three layers, could have missing data. Please provide the price for the Index/ETF and the underlying equities you hold outright.
Key Takeaway
The increase in missing data flags reflects your positions now being properly analysed for Shareholding Disclosure, ensuring accurate exposure calculations and regulatory reporting. If you have any queries, please get in touch with [email protected] or your CSM.