13F List Option CUSIP Matching
It is well known throughout the world of shareholding disclosure that the 13F list provided by the SEC does not come in a user-friendly format.
However, via smart technology, this is a problem that we have managed here at FundApps. All FundApps users can benefit from the list being automatically sourced and formatted.
Complexity arises in regards to the CUSIPs related to options listed on the 13F list, as the option CUSIPs do not reflect actual CUSIPs. This article describes how FundApps matches CUSIPs for options that are disclosable under schedule 13F. In summary, the 13F rule code checks whether an option's underlying security is disclosable and uses that as the basis for inclusion in the results.
First things first. Below is a small section of the 13F list, displaying all disclosable assets related to EURONAV NV.
The * indicates that options relating to shares of EURONAV NV are also disclosable under 13F. In FundApps, the same section looks like the following.
The problem that FundApps faces when trying to match CUSIPs provided by our customers with CUSIPs on the 13F list, is that some CUSIPs in the list do not reflect CUSIPs that actually exist on the market. This is the case for all options on the list.
This is unfortunate since we can't rely on our customers to be able to provide these "fake" CUSIPs for their options positions. So how do we deal with this issue?
The first thing we do is filter the 13F list for all CUSIPs where options also must be disclosed. This filtering produces a list called US13FOptions that looks like the following and includes all equity CUSIPs with an * attached.
In the EURONAV NV. case, it is demonstrated that the true CUSIP for the EURONAV NV. equity is included in the list.
Our generic rule algorithm now has to include all options where underlying CUSIP is found on the US13FOptions list. This happens through the following statement:
Options13F.Where((Quantity > 0) and InList(ULCUSIP,US13FOptions))
Where the matching happens is in the last statement. InList(ULCUSIP,US13FOptions) looks for all options where the CUSIP of the underlying equity is on the US13FOptions list and hence has options that are disclosable under schedule 13F.
To ensure that FundApps correctly performs the 13F check, it is only required to provide the actual CUSIPs of the underlying equity of options that are listed on the official 13F list, everything else is taken care of by FundApps.