How to Set ExecutionVenue
The Asset Property ExecutionVenue signifies the specific trading venue/market (Market identification code (MIC)) on which all of a particular position (given by a specific snapshot of quantity for a given AssetID) has been executed. All shares of the position need to share this venue, otherwise one must split out the positions so that each is venue-specific. Setting this property allows you to take advantage of an exclusion to the disclosure obligation under 13F for securities that are executed on a non-U.S. trading venue and avoid false positives for the Short Selling Australia rules that rely on execution venue to determine if a short sale is made on the ASX or an ASX operated exchange.
If you are unable to source this information for your positions, you may leave it blank. The functionality of the 13F rule will not be impacted (as this provides a potential exclusion) and the Short Selling Australian rules will conservatively assume the position was traded on an ASX exchange.
This property should be distinguished from similar properties that you may be familiar with in FundApps, such as Market or MarketsListedIn. While those are related to markets or exchanges where a particular instrument is listed generally, the property ExecutionVenue relates to the precise venue where a tranche of shares (position) is executed. This means that ExecutionVenue is what we call an asset property (or property of the resulting position itself) as it relates to a specific quantity of shares. The full quantity declared in one line of your position file will need to share an execution venue. If quantities/tranches of securities are executed on multiple venues, they will need to be split into different asset entries in your positions file to denote the appropriate execution venues.
Client approaches to sourcing ExecutionVenue
We have found that determining the execution venue for a specific asset (position) can be difficult for clients to source, or source in time to upload into your FundApps position file. This is likely due to the fact that execution venue data is inherently an attribute of specific transactions made which result in an end/start-of-day position snapshot and means that one must reconcile execution information with resulting positions. If you cannot source this information we suggest a risk-based approach with the understanding that if you provide incorrect information you may be at risk for underreporting for rules that use execution venue. Whatever method you chose, it should fit your firm's risk tolerance in relation to the rules that are affected by ExecutionVenue.
Most Conservative: Do not provide Execution Venue. The rules will default to the most conservative stance. This method will lead to false positives and over-reporting.
Most Accurate: Provide the correct ExecutionVenue.
Risk Based Method: Provide the MIC where you expect your brokers to have traded the positions. Clients who have standing instructions or an understanding with their brokers to always use the primary MIC for a given cusip/sedol/ticker may wish to default to the primary MIC for that cusip/sedol/ticker. If you can be confident that your brokers would execute trades on the primary MIC for each cusip/sedol/ticker you may want to default ExecutionVenue to the primary MIC for that security. This method can be further refined by establishing your own inclusion logic to incorporate trading volume or country of incorporation. For example, you might be confident that all US-listed large-cap equities with trading volume over x# will be traded on the primary MIC. Using such a heuristic to approximate the execution venue may be easier to implement and reduce false positives. If any assumptions made (e.g. that your firm only trades a given cusip/sedol/ticker on the primary MIC) prove to be false however, you may be at risk for under reporting.
Default method: Default ExecutionVenue to the primary MIC of the class of security without regard to cusip/sedol/ticker. This is the riskiest approach and may lead to under reporting.
Is13FExecutionVenueExemption is a Global setting that clients can set by contacting firstname.lastname@example.org, by default this property is set to True. If set to True, 13F securities executed on non-US trading venues are excluded from 13F reporting. If set to False, 13F securities executed in any trading venue are in scope for 13F rule. If you are not providing ExecutionVenue, all 13F securities are included by default.