There are some regimes that require reporting based on the settlement date rather than the trade date and often a requirement to represent holding quantities using a mix of trade date and settlement dates. For example, in Australia, purchasing a position should be reported on the trade date, and the selling should be reported on the settlement date. This means that the number of positions is calculated differently than simply a count of holdings on the trade date. For such regimes, we use the term straddle position to denote this.

The information covering whether to look at trade or settlement dates (or a combination) is usually found in Section A.6 of the aosphere memo. Here is an example from Australia:

If the seller has a “relevant interest” in the shares (which it will have if it is the holder of the shares or if it can exercise/control the exercise of the voting rights attached to the shares or the sale of the shares), the buyer will have a “relevant interest” in those shares upon entry into the spot contract under section 608(8). Where the disclosure threshold is satisfied, disclosure by the buyer under section 671B(1) is required.

Upon settlement the seller will be a bare trustee in respect of the shares until registration when it ceases to be the holder of the shares and consequently ceases to have a “relevant interest” in the shares under section 608(1). Where the disclosure threshold is satisfied, disclosure by the seller is required.

If the buyer made a disclosure upon entry into the spot contract, no further disclosure is required.

If the buyer did not make a disclosure upon entry into the spot contract, and where the disclosure threshold is satisfied, disclosure by the buyer is required under section 671B(1) on settlement as the buyer becomes the beneficial owner of the shares and has a “relevant interest” under section 608(1).

Upon settlement, the seller will be a bare trustee in respect of the shares until registration, when it ceases to be the holder of the shares and consequently ceases to have a “relevant interest” in the shares under section 608(1). Where the disclosure threshold is satisfied, disclosure by the seller is required.

So, as we can see, the buyer reports based on the trade date and the seller on the settlement date.

We understand that some clients may opt to still report via trade date only, often due to the fact that they cannot readily obtain settlement date data and reconcile this with trade date positions. However, we want to ensure our rules capture this information if it can be supplied. In order to cater to this, we have created a new input property called `QuantityStraddle`, which, if provided, will be the data point we use in the rules that we have implemented for.

If this new input property is not provided, the rule will default to using ‘Quantity’ (the standard trade date quantity) as normal.

`QuantityStraddle` will be the sum of all purchases on the trade date minus any settled sold positions.

In contrast to ‘Quantity’ which would be your purchases minus any sales for that given trade date.

Take this example

Day 1:

Buy 100

Sell 50 (Settles in T+2)

Quantity will be 50

QuantityStraddle will be 100 as the sale hasn’t been settled

Day 3: (Assuming it takes two days to settle)

Quantity will be 50

QuantityStraddle will be 50

Now the sale has been settled the QuantityStraddle value can be reduced to 50.

Day 1:
​Short Sale of 100 on the market (settles in T+2)
Quantity in the file will be -100
Quantity Straddle will be 0
​
​Day 3: (Assuming it takes two days to settle)
Quantity will be -100
Quantity straddle will be -100

We have yet to perform a full analysis of quantity straddling for derivative assets. As such, we would suggest that clients not define QuantityStraddle for derivative assets in most cases or define it to be the same as Quantity. If there is a reason for you to define QuantityStraddle for derivative assets, we would be happy to discuss this further with you. Please contact your Client Success Manager or get in touch with our Support team.

Following the above in the case of derivative options, QuantityStraddle will, therefore, only become relevant on exercise/ maturity of the derivative option when it converts into the underlying asset. The underlying asset should reflect trade date purchases and settlement date sales as per the way defined by QuantityStraddle (i.e. buyer reports based on the trade date and the seller on the settlement date).

Assuming Put Option on Equity has a Contract Size of 2, where 10 Contracts are traded (relating to 20 underlying shares).

​On the Writing of the Option

On Exercise of the Option

On Settlement of the Shares addressed by the Option

Note: Physically settled call options will work similarly, just on the converse. It is always the seller of shares who has a delay in reflecting the position for `QuantityStraddle`.

We are supporting this for the following Major regimes: