|Long NDR Future|
|Short NDR Future|
|Day Action||Previous Close / Cost Basis||Close||Daily Realized||Net Realized||Daily Realized||Net Realized||Daily Realized||Net Realized||Daily Realized||Net Realized|
|D1||Enter Position @ 32.10||32.10||32.00||-10||-10||0||0||+10||+10||0||0|
|*31.90 = 32.40 - 0.50|
|D5||Exit Position @ 31.90||31.75||31.90||+15||+30||-20||-20||-15||-30||+20||+20|
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.