PL Aggregation Logic
In this article, we will discuss the aggregation logic for the Position Limits rules and the exceptions FundApps covers.
FundApps have used information from exchange rulebooks to determine aggregation requirements as this data is not provided by FIA Tech.
FundApps uses the aggregation type Legal and the aggregation level Top by default unless there are exceptions. These exceptions are further explained below.
The Legal structure serves as:
- A concept covering the different “roles” in which an entity/person may have an obligation. For example, beneficial owners.
- A superset of the Management and Voting structures
See this Zendesk Article for more information on how this tree is used in Shareholding Disclosure.
The aggregation level defines wherein the aggregation structure of the rule will potentially trigger disclosures. The Top level will only trigger one disclosure, which will be an aggregation across all portfolios in a given aggregation structure (ie. a disclosure will only trigger on the ultimate parent of the structure).
See this Zendesk Article for more information on the different types of levels.
There are a few exceptions that FundApps covers:
- MIFID II
- Relationships the Manager has with an Exchange
- The Korea Exchange (XKRX)
MIFID II aggregation rules state that aggregation must occur at a portfolio level for certain:
- Organizations that meet the eligibility requirements
- Some or all portfolios that meet the eligibility requirements
- Some or all umbrellas that meet the eligibility requirements
The identification of these eligibility requirements lies with the client. By default, contracts are aggregated to the Top Entity. To implement these exceptions, FundApps will create a new aggregation structure and create an aggregation tree specifically for these rules. To learn more, you can contact support at firstname.lastname@example.org.
For certain exchanges, there can be different limits on the same contract depending on the relationship the manager has with the exchange or the reasons they may be trading a contract. This is covered by the portfolio property ExchangeAccountType, which should be set at the Top-level Entity. See this Zendesk Article for the different exceptions supported. Please note, depending on the above exceptions, ExchangeAccountType may need to be populated on different levels.
The Korea Exchange aggregation rules state that aggregation must occur at the portfolio level. Specifically, the limits apply to individual client accounts and not the aggregated position they hold for multiple clients. In order to have results aggregate to each individual client account, FundApps will create client accounts represented as portfolios or umbrellas. To manage this exception, FundApps have Position Limits rules which aggregate at the portfolio level for assets listed on the Korea Exchange. To learn more, you can contact support at email@example.com.