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Long NDR Future

Long Stock

Short NDR Future

Short Stock

Day ActionPrevious Close / Cost BasisCloseDaily RealizedNet RealizedDaily RealizedNet RealizedDaily RealizedNet RealizedDaily RealizedNet Realized
D1Enter Position @ 32.1032.1032.00-10-1000+10+1000

D2

...32.0032.38

+38

+2800-38-2800
D3...32.3832.40+2

+30

00

-2

-3000
D4

Ex-Date

  • (0.50 dividend)
*31.90 = 32.40 - 0.50

31.75

-15+1500+15-1500
D5Exit Position @ 31.9031.7531.90+15+30-20-20-15-30+20+20
D9

Pay Date

  • (Long receives)
  • (Short pays in lieu)




+50

+30



-50

-30


Total 


+30
+30
-30
-30

When There is a Loss of Dividend

For long stock holders, the unavoidable loss of divided exists when entering a short position in a same-day expiring NDR T+1 SSF on dividend ex-date. This is due to the difference in settlement cycles between the DTCC transfer of stock (T+2) and the transfer triggered by the maturation of a T+1 SSF. Once a company declares a dividend it establishes a record date (a date used to determine which shareholders are entitled to receive the dividend). The equity exchanges then set an ex-dividend date. If a stock purchase takes place on its ex-dividend date or after, the purchaser will not receive the next dividend payment and instead, the seller receives the dividend. Typically the ex-dividend date for stocks is set one business day before the record date. With a T+2 settlement cycle for stock transactions, the stock must be purchased on the day before ex-date in order receive the stock by record date.

In the case of an expiring T+1 SSF sold on ex-date, the seller will transfer stock to the buyer on record date this results in the loss of the dividend for any seller with a long stock position prior to the sale of the future.