Mutual Fund Dissemination Service (MFDS)

Transcription

1 Mutual Fund Dissemination Service (MFDS) Web-based data access option Data format specification as of January 17, 2018 Managed by Nasdaq Global Information Services

2 Table of Contents Background... 3 Product Description... 3 Sign Up Process... 3 Web Access Option... 4 Web Site Download Option... 4 Web Service Architecture... 5 General Information... 5 Sample code calls... 5 Web Service Parameters... 6 Upcoming Release(s)... 9 Instrument Registration / Instrument Code Release June MFDS Valuation Report File Format Valuation Report Mutual Funds, Annuities, UITs, Structured Products, AIPs, NextShares, CITs, Managed Accounts, Separate Accounts, and Hedge Funds Valuation Report Money Market Funds Dividend Report All Instruments Distribution Report All Instruments Appendix A - Version Control Log Appendix B - MFQS Data Reports Updated January 17, 2018 Page 2

3 Background Product Description Nasdaq recently introduced a secured web-based delivery mechanism for MFQS daily valuation data content traditionally delivered via the Mutual Fund Dissemination Service (MFDS) data feed. Through the MFQS website ( firms may download the Valuation Reports for the current trading day or for a prior trading day within the past two or more calendar months. The MFQS web service reports outlined in this document are available for download from Monday mornings at 12:00 a.m., Eastern Time (ET) through Friday evenings at 11:00 p.m., ET. While the Valuation Reports may be accessed from MFQS website at any point in time during the day, firms should pull the file after 8:00 p.m., Eastern Time (ET), for the complete day s records. As of September 2015, the MFQS valuation reporting period runs from 8:00 a.m., ET to 8:00 p.m., ET. Sign Up Process Nasdaq requires that all users have a valid security certificate, user ID and password to access the MFDS files via secured MFQS website or web service option. Please note that the security certificate, user ID and password must all be associated with the same user account. To obtain access, the subscribing firm must complete and submit the following forms: Nasdaq Global Data Agreement (for first time Nasdaq data recipients only) Nasdaq System Application (for new MFQS applications only) Nasdaq Data Feed Request Form (for all firms) Nasdaq Web Logon Request Form (for all firms / users) For questions about the subscription process, please contact Nasdaq Global Data Operations at Updated January 17, 2018 Page 3

4 Web Access Option MFDS Web-Based Data Access Option Web Site Download Option Authorized MFDS users may download the daily valuation files via the MFQS secured website at From the top navigation bar, the Valuation Report options are located under the Reports menu option. On the Valuation Report page, users must select report format before clicking on the Get Report command button. User may also enter filters such as Instrument Type, MFQS Tier, and Report Date. Updated January 17, 2018 Page 4

5 Web Service Architecture MFDS Web-Based Data Access Option General Information The MFDS Valuation Report data files will be accessible via Secured Web Service. In order to access the files, MFDS Valuation Report users must have a valid security certificate, user ID and password from Nasdaq. MFQS web users will be prompted via to periodically update security certificate and password. Please contact Nasdaq Trading Services at if you need assistance updating your security certificate or password. Nasdaq has modified the authentication process for fetching files from the MFQS Secure Web Service. All programmatically generated calls should contain client certificate issued by Nasdaq (Nasdaq Web Security Framework). Exported ( certificate can be saved as a file and added to the request. For security reasons, Nasdaq requires that firms access the MFQS web services via POST (user credentials passed via form post) method. Sample code calls The following is an example call that can be used to retrieve files: GetFile(" ValuationReportFund&Type=pipe","YOURUSERNAME","YOURPASSWORD", PATHTOSAVEDCERT, CERTPASSWORD ); public static void GetFile (string url, string username, string password, string certpath, string certpassword) { string postdata = String.Format("username={0}&password={1}", username, password); StreamReader sr = null; HttpWebRequest request = (HttpWebRequest)HttpWebRequest.Create(url); request.method = "POST"; request.accept = "text/html"; request.useragent = "Mozilla/4.0 (compatible; MSIE 7.0; Windows NT 5.1)"; ///Exported client certificate added to the request. X509Certificate yourcert = new X509Certificate(certPath, certpassword); request.clientcertificates.add(yourcert); byte[] bytearray = System.Text.Encoding.UTF8.GetBytes(postData); request.contenttype = "application/x-www-form-urlencoded"; request.contentlength = bytearray.length; Stream datastream = request.getrequeststream(); datastream.write(bytearray, 0, bytearray.length); datastream.close(); try { using (HttpWebResponse response = (HttpWebResponse)request.GetResponse()) { Updated January 17, 2018 Page 5

6 } if ((int)response.statuscode < 400 (int)response.statuscode > 499) { sr = new StreamReader(response.GetResponseStream()); //here you can parse the stream and store in db, or write to a file //i will simply write it to the console Console.WriteLine(sr.ReadToEnd()); } else { //error in web request returned by server Console.WriteLine(response.StatusCode + ": " + response.statusdescription); } } } catch (Exception e) { Console.WriteLine(e.Message); } finally { sr.close(); } In the sample code above, clients need to make the necessary adjustments in the highlighted text. For example, client should replace username and password with their unique assigned logon credentials from Nasdaq. Clients also need to present a valid client side certificate Nasdaq Web Security Framework. Clients should replace the code report parameters as needed. Web Service Parameters To retrieve the MFDS Valuation Report, Web Service Users shall need to enter a call with the following parameters: Parameter Required Definition / Optional Reportname Required File name for the Valuation Report being requested. Allowable values are: Code ValuationReportFund Definition Daily valuation messages for Mutual Funds, Annuities, UITs, AIPs, Structured Products, NextShares, Collective Investment Trusts, Managed Accounts, Separate Accounts, and Hedge Funds. File includes current day s values and prior day corrected values reported on the given Update Date. Updated January 17, 2018 Page 6

7 ValuationReportMoneyMarket ValuationReportDIV ValuationReportDST Daily valuation messages for money market funds. File includes current day s values and prior day corrected values reported on the given Update Date. Income distributions cash dividends, stock dividends, special dividends and interest payments for all MFQS instrument types by Update Date. File includes current day s values and prior day corrected values reported on the given Update Date. Capital distributions such as capital gains, return on capital (ROC) and unallocated distributions for all MFQS instrument types by Update Date. File includes current day s values and prior day corrected values reported on the given Update Date. Type Required File format for Valuation Report being requested. Allowable values are: Code File Type CSV Comma Delimited Text File - PIPE Pipe ( ) Delimited Text File XML File with XML Headers ExcelXML MS-Excel (XML) File Date Optional Trading / update date for the MFDS report requested. Dates should be entered in MM-DD-YYYY or MM/DD/YYYY format. Nasdaq supports MFDS valuation reports for the current trading date and for trading dates up to 60 days in the past. If no date is specified, the system shall return the current trading day s file. Fundtype Optional Optional asset class filter for MFDS valuation reports. Allowable codes by report are: Code Asset Class Supported Reports MFUND Mutual Funds ValuationReportFund, ValuationReportDIV, ValuationReportDST Updated January 17, 2018 Page 7

8 UIT Unit Investment Trusts ValuationReportFund, ValuationReportDIV, ValuationReportDST ANN Annuities ValuationReportFund, ValuationReportDIV, ValuationReportDST AIP Alternative Investment Products ValuationReportFund, ValuationReportDIV, ValuationReportDST SP Structured Products ValuationReportFund, ValuationReportDIV, ValuationReportDST, MMF EM CT Money Market Funds NextShares Exchange Traded Managed Fund Collective Investment Trust ValuationReportMoneyMarket, ValuationReportDIV, ValuationReportDST ValuationReportFund, ValuationReportDIV, ValuationReportDST ValuationReportFund, ValuationReportDIV, ValuationReportDST MA Managed Accounts ValuationReportFund, ValuationReportDIV, ValuationReportDST SA Separate Accounts ValuationReportFund, ValuationReportDIV, ValuationReportDST HF Hedge Fund ValuationReportFund, ValuationReportDIV, ValuationReportDST If no filter is specified, the Valuation reports will show all MFQS asset classes include in definition. Tier Optional Optional MFQS listing tier filter for MFDS Valuation Reports. Allowable value is: Code Listing Tier Instrument Notes NML News Media List News Media List is restricted to mutual funds and money market funds that meet specified asset and shareholder criteria. If no filter is specified, the Valuation reports will show all MFQS instruments for the given Update Date. Reportingtype Optional Optional reporting type filter for ValuationReportFund and ValuationReportMoneyMarket files. Allowable values are: Updated January 17, 2018 Page 8

9 Code CURR CORR Reporting Type Current Day s Valuation data only Filter to show only those valuation records which have the same Entry Date and Update Date. Corrected Valuation Data only Filter to show only those valuation records which have a different Entry Date and Update Date. If no filter is specified, the Valuation reports will show all entries for the given Update Date. Upcoming Release(s) Instrument Type / Instrument Code Release March 2018 On or about March 26, 2018, Nasdaq will release 4 new Instrument Types and 4 new Instrument Codes. These new codes allow our customers to list Collective Investment Trust, Managed Accounts, Separate Accounts, and Hedge Funds. The new Instrument Types allow for MFQS customers to list Collective Investment Trust, Separately Managed Accounts (SMA), Unified Managed Accounts (UMA), and Separate Accounts. Code CT MA SA HF Instrument Type Collective Investment Trust (CIT) Managed Account Separate Account Hedge Fund Code Instrument Code 1 Collective Investment Trust (CIT) 2 Separately Managed Account 3 Unified Managed Account 4 Separate Account Instrument Registration / Instrument Code Release June 2017 Based on client demand, Nasdaq is modifying MFQS eligibility standards to allow both registered and non-registered instruments to use the valuation service. As a service to MFDS subscribers, Nasdaq will add a Regulation Type field to all valuation report download files on or about June 5, The new field will denote the U.S. regulatory oversight body with which the MFQS instrument is registered. The allowable values are: Code Value Description Updated January 17, 2018 Page 9

10 S U.S. Securities and Exchange Commission (SEC) Instrument is covered by SEC rules. C U.S. Commodity Futures Trading Commission (CFTC) Instrument is covered by CFTC rules. M Municipal Securities Rulemaking Board (MSRB) Instrument is covered by MSRB rules. X Exemption Instrument meets SEC or CFTC exemption requirements. N Non-Registered Funds Instrument is not covered by U.S. regulatory agency rules. As part of the June 2017 release, Nasdaq will also add two codes to the existing Instrument Code field. The new Instrument Code values are: Code Value Description Y Interval Fund An interval fund is a type of closed-end investment company that periodically offers to repurchase its shares from shareholders. Please refer to the SEC website for a more complete description. Z Business Development Company (BDC) Note: MFQS supports a footnote code of I to denote when repurchase offer periods. BDCs is a type of closed-end investment company for the purpose of making capital more readily available to small, developing, and financially troubled companies that do not have ready access to the public capital markets or other forms of conventional financing. Please refer to the SEC website for BDC rules. As of June 5, 2017, Nasdaq will also require that firms access the MFQS web services via POST (user credentials passed via form post) method. Due to security reasons, Nasdaq will no longer support the GET access method for MFQS web services. Updated January 17, 2018 Page 10

11 MFDS Valuation Report File Format Valuation Report Mutual Funds, Annuities, UITs, Structured Products, AIPs, NextShares, Collective Investment Trust, Managed Accounts, Separate Accounts, and Hedge Funds. File Name: ValuationReportFund Field Name Description / Values MFQS Symbol Reflects the Nasdaq assigned ticker symbol for the MFQS instrument. Status Instrument Name Issuer Name Instrument Type / Tier (New codes as of March 26, 2018) Note: ValuationReportFund contains at least one record for each active mutual fund, annuity, UIT, AIP and structured product instrument in the MFQS system. Denotes instrument status in MFQS system on Update Date. Allowable values are: Code Description Active Live Production Instrument: MFQS symbol was active in system on the Update Date reflected in the Valuation Report. Test Test Instrument: MFQS symbol was set up as test instrument. Reflects the instrument name as it appears in the MFQS system. MFQS instrument name is 150 bytes and may include special characters (such as commas). Reflects the Issuer Name as it appears in the MFQS system. MFQS issuer name is 150 bytes and may include special characters (such as commas). Denotes MFQS instrument type and tier associated with symbol / instrument name. The current allowable values are: Value Description AN Annuity AP Alternative Investment Product (AIP) EM NextShares Exchange Traded Managed Fund MF Mutual Fund News Media List MS Mutual Fund Standard / Supplemental List SP Structured Product US Unit Investment Trust (UIT) CT Collective Investment Trust MA Managed Accounts SA Separate Accounts HF Hedge Funds Updated January 17, 2018 Page 11

12 File Name: ValuationReportFund Field Name Description / Values Instrument Code Denotes instrument sub-type associated with symbol / instrument name. (New codes as of March Allowable values are: 26, 2018) Value Description Annuities M Annuity Variable N Annuity Equity Indexed Alternative Investment Products (AIPs) B AIP - Managed Future Funds F AIP - Fund of Hedge Funds I AIP - Non-Traded REITs J AIP - Non-Traditional Hedge Funds (Registered) K AIP - Commodity Pool Funds P AIP - Private Equity Offerings Mutual Funds C Mutual Fund - Closed End (including Exchange Traded Funds) O Mutual Fund - Open End Y Interval Fund Z Business Development Company (BDC) Structured Products R Structured Product Hybrid S Structured Product Single Stock T Structured Product Buffer / Barrier Enhanced Upside U Structured Product Principal Protected V Structured Product Commodity / FX W Structured Product Rates Enhanced L Structured Product Other Unit Investment Trusts (UITs) D Debt UIT E Equity UIT NextShares Exchange Traded Managed Funds Q NextShares Hedge Fund H Hedge Fund Collective Investment Trust 1 Collective Investment Trust Managed Accounts 2 Separately Managed Accounts (SMA) 3 Unified Managed Accounts (UMA) Separate Accounts Updated January 17, 2018 Page 12

13 File Name: ValuationReportFund Field Name Description / Values 4 Separate Accounts CUSIP Note: Nasdaq reserves the right to make Instrument Code values specific to a given Instrument Type / Tier in a future release. Reflects the financial instrument code for the instrument assigned by CUSIP Global Services (CGS) and reported to MFQS by the issuer / administrator. Notes: CUSIP is comprised of 9 alphanumeric characters and should be imported into MS-Excel and other programs as a text field. Reporting Type Firms must be authorized by CGS to receive access CUSIP data content. Nonauthorized firms will receive field as blank. Reflects the type of entry for instrument on given Update Date. Allowable values are: Value Description C Corrected value reported for the MFQS instrument for a prior MFQS business date. R I E Note: Corrections appear in file based on Update Date. Corrections should be applied to the MFQS instrument record based on Entry Date. Last entry for the MFQS instrument for the Update Date. Through July 8, 2016 Last intraday entry for the MFQS instrument for the Update Date. As of July 11, 2016 All intraday entries for the MFQS instrument for the Update Date / Update Time. No valuation record submitted for the MFQS instrument for the Update Date (as of the Update Time). Footnotes Please note that most MFQS instrument prices are remitted between 5 p.m. and 8 p.m., US Eastern Time. Reflects MFQS footnote code(s) entered for instrument on Update Date. Footnotes are used to indicate special pricing circumstances affecting the MFQS instrument. Allowable values by fund type are as follows: Updated January 17, 2018 Page 13

14 File Name: ValuationReportFund Field Name Description / Values Value Definition Instrument Type C Revaluation AIP and Structured Product D Capital gains distribution* All F Fund uses prior day prices for MFQS All reporting purposes H Deferred sales charge UIT I Repurchase offer period for Interval Mutual Fund Fund N No load fund Mutual Fund O Primary offering UIT P 12(b)1 fee Mutual Fund R Redemption fee Mutual Fund S Stock split or dividend adjustment* All W NRO indicator UIT X Cash dividend or income distribution All adjustment* Y Secondary offering UIT * Adjustments should be made on Ex-Date. See separate Dividend or Capital Distribution message for details. NAV Reflects the Net Asset Value (NAV) for instrument as reported via the MFQS system for the stated Entry Date. Offer Price Market Price Redemption Price NAV may be entered up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no NAV was remitted for instrument via the MFQS system for Entry Date. Please note that UITs report Redemption NAV (rather than NAV) via MFQS system. Reflects the Offer Price for instrument as reported via the MFQS system for the stated Entry Date. Offer Price may be reported up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no Offer Price was remitted for instrument via the MFQS system for Entry Date. Please note that closed-end funds report Market (rather than Offer) Price. Reflects the Market Price for a closed end fund instrument as reported via the MFQS system for the stated Entry Date. Market Price may be reported up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no Market Price was remitted for instrument via the MFQS system for Entry Date. Market is reported for closed end funds and ETMFs. Reflects the Redemption Price / Redemption NV for a UIT instrument as reported via the MFQS system for the stated Entry Date. Updated January 17, 2018 Page 14

15 File Name: ValuationReportFund Field Name Description / Values Wrap Price Total Net Assets Current Yield Redemption NAV may be reported up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no Redemption NAV was remitted for instrument via the MFQS system for Entry Date. Redemption NAV is currently only reported for UITs. Denotes the price that an investor would pay to purchase units if the instrument were held in an account that is managed by a financial representative for a fee. Wrap Price is valid for the stated Entry Date. Wrap may be up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no Wrap Price was remitted for instrument via the MFQS system for Entry Date. Wrap Price is typically populated for UITs. Denotes the Total Net Assets (TNA), in actual dollars, for the instrument on the stated Entry Date. TNA may be reported as up to 15 whole number digits. Field will be populated as NA if no TNA value is reported via MFQS system for Entry Date. Denotes current yield (annual rate of return on investment) for a MFQS instrument as of the stated Entry Date. Current Yield is expressed as a percentage and may be either positive or negative. Examples for pipe delimited format: 5.75% yield would be stated as % yield would be stated as ELTR Accrued Interest Daily Dividend Factor Field will be populated as NA if no current yield is entered for Entry Date. Denotes the Estimated Long Term Return (ELTR) or yield over the life of the portfolio of a UIT or other MFQS instrument as of the stated Entry Date. ETLR is expressed as a percentage and may be either positive or negative. Field will be populated as NA if no current yield is entered for Update Date. Denotes the interest accrued for a MFQS instrument since the last interest payment was made to investors. Accrued Interest may be reported up to 6 whole number and 6 decimal digits. Field will be populated as NA if no accrued interest value is entered for Entry Date. Denotes the dividend factor for a MFQS instrument that declares a daily dividend. Please refer to the Daily Dividend Adjustment Indicator to determine if the MFQS pricing agent made adjustments for weekends and holidays. Updated January 17, 2018 Page 15

16 File Name: ValuationReportFund Field Name Description / Values Daily Dividend may be reported up to two whole number and six decimal digits. Field will be populated as NA if no Daily Dividend is entered for Entry Date. Daily Dividend Adjustment Indicates if the Daily Dividend Adjustment Factor was fattened to reflect weekend, holiday or other non-reported period. Allowable values are: Indicator Value Definition Y N <space> Fat adjustment reflected in Daily Dividend Factor No fat adjustment for Daily Dividend Factor Not applicable; no Daily Dividend Factor provided Entry Date Currency Pricing Agent Update Date Update Time File Date File Time Investor Type Denotes the date associated with the price information in the MFQS Valuation record. Field population rules are: Reporting Type Expected Entry Date Value(s) C Prior Day s Date Up to 365 days in the past R or I Same as Update Date E NA (Not Applicable) Denotes the currency to be used for all MFQS valuation data for the instrument. For this field, Nasdaq will use ISO Currency alphabetic codes. MFQS default is: Value Definition USD US Dollars Denotes the name of the firm that entered the valuation entry into the MFQS system for the given symbol. Denotes the date associated with the MFQS valuation report. Update Date should match the Report Date entered by client on MFQS report request page or web service query. Denotes the time that the MFQS Valuation record was reported by the pricing agent on the given Update Date. Denotes the Date that the MFQS Valuation report was requested by client. Denotes the MFQS system time that the MFQS Valuation report file was created for client. Denotes the target investor for the given money market fund instrument. The allowable values are: Value I R <space> Definition Institutional Investors Retail Investors Not available Updated January 17, 2018 Page 16

17 File Name: ValuationReportFund Field Name Description / Values Instrument Denotes the U.S. regulatory oversight body with which the MFQS instrument Registration is registered. The allowable values are: Value C M S X N Definition U.S. Commodity Futures Trading Commission (CFTC) Municipal Securities Rulemaking Board (MSRB) U.S. Securities and Exchange Commission (SEC) Exemption Not Registered with U.S. Regulatory Agency Valuation Report Money Market Funds File Name: ValuationReportMoneyMarket Field Name Description / Values MFQS Symbol Reflects the Nasdaq assigned ticker symbol for MFQS instrument. Status Instrument Name Issuer Name Instrument Type / Tier Instrument Code Note: ValuationReportFund contains at least one record for each active mutual fund, annuity, UIT, AIP and structured product instrument in the MFQS system. Denotes instrument status in MFQS system on Update Date. Allowable values are: Code Description Active Live Production Instrument: MFQS symbol was active in system on the Update Date reflected in the Valuation Report. Test Test Instrument: MFQS symbol is set up as test instrument. Reflects the current instrument name as it appears in the MFQS system. MFQS instrument name is 150 bytes and may include special characters (such as commas). Reflects the current Issuer Name as it appears in the MFQS system. MFQS issuer name is 150 bytes and may include special characters (such as commas). Denotes MFQS instrument type and tier associated with symbol / instrument name. Allowable values are: Value Description $$ Money Market Fund News Media List $S Money Market Fund Standard / Supplemental List Denotes instrument sub-type associated with symbol / instrument name. Allowable values are: Updated January 17, 2018 Page 17

18 File Name: ValuationReportMoneyMarket Field Name Description / Values Value Description A All Purpose G Governmental Bonds X Tax-Exempt Securities CUSIP Note: Nasdaq reserves the right to make Instrument Code values specific to a given Instrument Type / Tier in a future release. Reflects the financial instrument code for the instrument assigned by CUSIP Global Services (CGS) and reported to MFQS by the issuer / administrator. Notes: CUSIP is comprised of 9 alphanumeric characters and should be imported into MS-Excel and other programs as a text field. Reporting Type Firms must be authorized by CGS to receive access CUSIP data content. Nonauthorized firms will receive field as blank. Reflects the type of entry for instrument on given Update Date. Allowable values are: Value Description C Corrected value reported for the MFQS instrument for a prior MFQS business date. R I E Note: Corrections appear in file based on Update Date / Update Time. Corrections should be applied to the MFQS instrument record based on Entry Date. Last entry for the MFQS instrument for the Update Date. Through July 8, 2016 Last intraday entry for the MFQS instrument for the Update Date. As of July 11, 2016 All intraday entries for the MFQS instrument for the Update Date / Update Time. No valuation record submitted for the MFQS instrument for the Update Date (as of the Update Time). Footnotes Please note that most MFQS instrument prices are remitted between 5 p.m. and 8 p.m., US Eastern Time. Reflects MFQS footnote code(s) entered for instrument on Update Date. Footnotes are used to indicate special pricing circumstances affecting the MFQS instrument. Allowable values by fund type are as follows: Updated January 17, 2018 Page 18

19 File Name: ValuationReportMoneyMarket Field Name Description / Values Value Definition Instrument Type A Fund s return may differ due to Money Market Fund capital gains or losses B Sales or account charges may impact Money Market Fund yield D Capital gains distribution* All F Fund uses prior day prices for MFQS All reporting purposes G Redemption gate in effect Money Market Fund L Liquidity fee in effect Money Market Fund S Stock split or dividend adjustment* All X Cash dividend or income distribution adjustment* All Average Maturity Average Life NAV Gross 7 Day Yield * Adjustments should be made on Ex-Date. See separate Dividend or Capital Distribution message for details. Denotes the average time to maturity (stated in days) of the securities held by the fund. Field will be populated as NA if no Average Maturity value was remitted for instrument via the MFQS system for Entry Date. Denotes the weighted average life (in days) of a money market fund as calculated in accordance with the SEC Money Market Reform Act. Field will be populated as NA if no Average Life value was remitted for instrument via the MFQS system for Entry Date. Reflects the Net Asset Value (NAV) for instrument as reported via the MFQS system for the stated Entry Date. NAV may be entered up to 6 whole number digits and 6 decimal digits. Field will be populated as NA if no NAV was remitted for instrument via the MFQS system for Entry Date. Denotes the gross 7 day yield for a money market fund. This yield is based on average net income earned by the securities in the fund s portfolio during the past seven days. In accordance with the SEC definition, gross 7 day yield should exclude capital changes and income other than investment income. In addition, the gross seven day yield should not reflect a deduction of shareholders fees and fund operating expenses. Gross 7 day yield is expressed as a percentage and may be either positive or negative. Examples for pipe delimited format: 5.75% yield would be stated as % yield would be stated as Field will be populated as NA if no gross yield is entered for Entry Date. Updated January 17, 2018 Page 19

20 File Name: ValuationReportMoneyMarket Field Name Description / Values Subsidized 7 Day Denotes the subsidized 7 day yield (also known as simple yield) which reflects Yield the yield calculation with expense limitation in effect. Subsidized 7 day yield is expressed as a percentage and may be either positive or negative. Examples for pipe delimited format: 5.75% yield would be stated as % yield would be stated as Effective Annualized 7 Day Yield Field will be populated as NA if no subsidized yield is entered for Entry Date. Denotes the effective annualized 7 day yield for a money market fund. In calculating the effective annualized 7 day yield, most money markets assume that any income earned is reinvested. Effective annualized 7 day yield is expressed as a percentage and may be either positive or negative. Examples for pipe delimited format: 5.75% yield would be stated as % yield would be stated as Field will be populated as NA if no effective annualized 7 day yield is entered for Entry Date. While MFQS processes effective annualized 7 day yield for all trading days, news media money market funds have traditionally reported effective yield on Wednesdays only. 30 Day Yield Denotes the 30 (thirty) day yield value based on the SEC calculation methodology with expense limitation currently in effect. 30 Day Yield is expressed as a percentage and may be either positive or negative. Examples for pipe delimited format: 5.75% yield would be stated as % yield would be stated as Field will be populated as NA if no 30 day yield is entered for Entry Date. 30 Day Yield Date Denotes the period end date for which the 30 day yield was calculated. Field will be populated as NA if no 30 day yield is entered for Entry Date. Daily Dividend Factor Denotes the dividend factor for a MFQS instrument that declares a daily dividend. Please refer to the Daily Dividend Adjustment Indicator to determine if the MFQS pricing agent made adjustments for weekends and holidays. Daily Dividend may be reported up to two whole number and six decimal digits. Field will be populated as NA if no Daily Dividend is entered for Entry Date. Updated January 17, 2018 Page 20

21 File Name: ValuationReportMoneyMarket Field Name Description / Values Daily Dividend Adjustment Indicates if the Daily Dividend Adjustment Factor was fattened to reflect weekend, holiday or other non-reported period. Allowable values are: Indicator Value Definition Y N <space> Fat adjustment reflected in Daily Dividend Factor No fat adjustment for Daily Dividend Factor Not applicable; no Daily Dividend Factor provided Total Net Assets Currency Pricing Agent Entry Date Update Date Update Time File Date File Time Calculation Time Denotes the Total Net Assets (TNA), in actual dollars, for the instrument on the stated Entry Date. TNA may be reported as up to 15 whole number digits. Field will be populated as NA if no TNA value is reported via MFQS system for Entry Date. Denotes the currency to be used for all MFQS valuation data for the instrument. For this field, Nasdaq will use ISO Currency alphabetic codes. MFQS default is: Value Definition USD US Dollars Denotes the name of the firm that entered the valuation entry into the MFQS system for the given symbol. Denotes the date associated with the price information in the MFQS Valuation record. Field population rules are: Reporting Type Expected Entry Date Value(s) C Prior Day s Date Up to 365 days in the past R or I Same as Update Date E NA (Not Applicable) Denotes the date associated with the MFQS valuation report. Update Date should match the Report Date entered by client on MFQS report request page or web service query. Denotes the time that the MFQS Valuation record was reported by the pricing agent on the given Update Date. Denotes the Date that the MFQS Valuation report was requested by client. Denotes the MFQS system time that the MFQS Valuation report file was created for client. Denotes the MFQS pricing agent calculation time from the inbound money market message format. Field will be populated in HHMMSS (military time) format for the U.S. Eastern Time (ET) zone. Examples: => 11:00 a.m., ET Updated January 17, 2018 Page 21

22 File Name: ValuationReportMoneyMarket Field Name Description / Values => 4:00 p.m., ET Investor Type Instrument Registration If no time is provided in the inbound MFQS message format, the field will be populated as NA. Denotes the target investor for the given money market fund instrument. The allowable values are: Value Definition I Institutional Investors R Retail Investors <space> Not available Denotes the U.S. regulatory oversight body with which the MFQS instrument is registered. The allowable values are: Value C M S X N Definition U.S. Commodity Futures Trading Commission (CFTC) Municipal Securities Rulemaking Board (MSRB) U.S. Securities and Exchange Commission (SEC) Exemption Not Registered with U.S. Regulatory Agency Dividend Report All Instruments File Name: ValuationReportDIV Field Name Description / Values MFQS Symbol Reflects the Nasdaq assigned ticker symbol for the MFQS instrument. Status Instrument Name Note: ValuationReportDIV will contain records for only those mutual fund, annuity, UIT, AIP and structured product instruments that reported a Dividend on the Entry Date. Denotes instrument status in MFQS system on Update Date. Allowable values are: Code Description Active Live Production Instrument: MFQS symbol was active in system on the Update Date reflected in the Valuation Report. Test Test Instrument: MFQS symbol was set up as test instrument. Reflects the instrument name as it appears in the MFQS system. MFQS instrument name is 150 bytes and may include special characters (such as commas). Updated January 17, 2018 Page 22

23 Issuer Name Instrument Type / Tier (New codes as of March 26, 2018) Instrument Code (New codes as of March 26, 2018) Reflects the Issuer Name as it appears in the MFQS system. MFQS issuer name is 150 bytes and may include special characters (such as commas). Denotes MFQS instrument type and tier associated with symbol / instrument name. The current allowable values are: Value Description AN Annuity AP Alternative Investment Product (AIP) $$ Money Market Fund News Media List $S Money Market Fund Standard / Supplemental List EM NextShares Exchange Traded Managed Fund MF Mutual Fund News Media List MS Mutual Fund Standard / Supplemental List SP Structured Product US Unit Investment Trust (UIT) CT Collective Investment Trust (CIT) MA Managed Accounts SA Separate Accounts HF Hedge Fund Denotes instrument sub-type associated with symbol / instrument name. The current allowable values are: Value Description Annuities M Annuity Variable N Annuity Equity Indexed Alternative Investment Products (AIPs) B AIP - Managed Future Funds F AIP - Fund of Hedge Funds I AIP - Non-Traded REITs J AIP - Non-Traditional Hedge Funds (Registered) K AIP - Commodity Pool Funds P AIP - Private Equity Offerings Money Market Funds A All Purpose G Governmental Bonds X Tax-Exempt Securities Mutual Funds C Closed End Funds (including Exchange Traded Funds) O Open End Funds Y Interval Fund Z Business Development Company (BDC) Updated January 17, 2018 Page 23

24 Structured Products R Structured Product Hybrid S Structured Product Single Stock T Structured Product Buffer / Barrier Enhanced Upside U Structured Product Principal Protected V Structured Product Commodity / FX W Structured Product Rates Enhanced L Structured Product Other Unit Investment Trusts (UITs) D Debt UIT E Equity UIT NextShares Exchange Traded Managed Funds Q NextShares Hedge Funds H Hedge Funds Collective Investment Trust 1 Collective Investment Trust Managed Accounts 2 Separately Managed Accounts (SMA) 3 Unified Managed Accounts (UMA) Separate Accounts 4 Separate Accounts CUSIP Note: Nasdaq reserves the right to make Instrument Code values specific to a given Instrument Type / Tier in a future release. Reflects the financial instrument code for the instrument assigned by CUSIP Global Services (CGS) and reported to MFQS by the issuer / administrator. Notes: CUSIP is comprised of 9 alphanumeric characters and should be imported into MS-Excel and other programs as a text field. Action Firms must be authorized by CGS to receive access CUSIP data content. Nonauthorized firms will receive field as blank. Denotes the type of corporate action update that is being disseminated for the stated Fund ID, Cash Distribution Type and Ex-Date combination. Allowable values are: Code N C Definition New record: Add corporate action record for stated fund ID, cash distribution type and ex-date. Corrected record: Update corporate action record for stated fund ID, cash distribution type and ex-date combination with new field values. Updated January 17, 2018 Page 24

25 Cash Distribution Type Total Cash Distribution Non-Qualified Cash Distribution Qualified Cash Distribution Tax-Free Cash Distribution Ordinary Foreign Tax Credit Qualified Foreign Tax Credit Stock Dividend Ratio X Cancelled record: Remove corporate action record for stated fund ID, cash distribution and ex-date combination. Indicates the type of cash distribution being reported in the following cash distribution fields. Allowable values are: Value Definition D Cash Dividend I Interest Income S Special Cash Dividend <space> Not applicable Denotes the total cash dividend or total interest distribution being reported for the MFQS instrument. Firms may report the breakdown of cash dividends / interest distribution in the fields that follow. The field may be populated as NA if instrument is not declaring a cash distribution. For Cash Distributions: Reflects the portion of the cash dividend or interest income that is taxed as ordinary income to the shareholder. Please note that this value should be entered as a dollar amount (not a percentage). Reporting of breakouts is optional in MFQS system. Field will be populated as NA if data element is not provided by firm. For Cash Distributions: Reflects the portion of the cash dividend or interest that is taxed as a qualified dividend to shareholder. Please note that this value should be entered as a dollar amount (not a percentage). Reporting of breakouts is optional in MFQS system. Field will be populated as NA if data element is not provided by firm. For Cash Distributions: Reflects the portion of the cash dividend or interest attributable to bonds that is not taxed to the shareholder. Please note that this value should be entered as a dollar amount (not a percentage). Reporting of breakouts is optional in MFQS system. Field will be populated as NA if data element is not provided by firm. For Cash Distributions: Reflects the portion of the cash dividend or interest from a foreign corporation that is not qualified by the IRS. Please note that this value should be entered as a dollar amount (not a percentage). Reporting of breakouts is optional in MFQS system. Field will be populated as NA if data element is not provided by firm. For Cash Distributions: Reflects the portion of the cash dividend or interest attributable to qualified foreign corporation as defined by the IRS. Please note that this value should be entered as a dollar amount (not a percentage). Reporting of breakouts is optional in MFQS system. Field will be populated as NA if data element is not provided by firm. Denotes the stock split/dividend ratio for a MFQS instrument. The field format is as follows: Updated January 17, 2018 Page 25

26 2-for-1 stock split should be reported as for-2 reverse stock split should be reported as % stock dividend would be reported as Currency Payment Date Record Date Ex Date Reinvest Date Pricing Agent Update Date Update Time File Date File Time Instrument Registration Field will be populated as NA if data element is not provided by firm. Denotes the currency to be used for all MFQS valuation data for the instrument. For this field, Nasdaq will use ISO Currency alphabetic codes. MFQS default is: Value Definition USD US Dollars Denotes the date on which dividends or interest payments will be distributed to the MFQS instrument s shareholders of record. Field will be populated as NA if data element is not provided by firm. Denotes the date on which shareholders must hold fund shares to receive dividend or interest payment. Field will be populated as NA if data element is not provided by firm. Denotes the ex-date for the dividend record. This is the date that NAV should be adjusted. Denotes the reinvestment date for the dividend. Field will be populated as NA if data element is not provided by firm. Denotes the name of the firm that entered the valuation entry into the MFQS system for the given symbol. Denotes the date associated with the MFQS valuation report. Update Date should match the Report Date entered by client on MFQS report request page or web service query. Denotes the time that the MFQS Valuation record was reported by the pricing agent on the given Update Date. Denotes the Date that the MFQS Valuation report was requested by client. Denotes the MFQS system time that the MFQS Valuation report file was created for client. Denotes the U.S. regulatory oversight body with which the MFQS instrument is registered. The allowable values are: Value C M S X N Definition U.S. Commodity Futures Trading Commission (CFTC) Municipal Securities Rulemaking Board (MSRB) U.S. Securities and Exchange Commission (SEC) Exemption Not Registered with U.S. Regulatory Agency Distribution Report All Instruments File Name: ValuationReportDST Updated January 17, 2018 Page 26

27 Field Name MFQS Symbol Status Instrument Name Issuer Name Instrument Type / Tier (New codes as of March 26, 2018) Instrument Code (New codes as of March 26, 2018) Description / Values Reflects the Nasdaq assigned ticker symbol for the MFQS instrument. Note: ValuationReportDIV will contain records for only those mutual fund, annuity, UIT, AIP and structured product instruments that reported a Dividend on the Entry Date. Denotes instrument status in MFQS system on Update Date. Allowable values will be: Code Description Active Live Production Instrument: MFQS symbol was active in system on the Update Date reflected in the Valuation Report. Test Test Instrument: MFQS symbol was set up as test instrument. Reflects the instrument name as it appears in the MFQS system. MFQS instrument name is 150 bytes and may include special characters (such as commas). Reflects the Issuer Name as it appears in the MFQS system. MFQS issuer name is 150 bytes and may include special characters (such as commas). Denotes MFQS instrument type and tier associated with symbol / instrument name. The current allowable values are: Value Description AN Annuity AP Alternative Investment Product (AIP) $$ Money Market Fund News Media List $S Money Market Fund Standard / Supplemental List EM NextShares Exchange Traded Managed Fund MF Mutual Fund News Media List MS Mutual Fund Standard / Supplemental List SP Structured Product US Unit Investment Trust (UIT) CT Collective Investment Trust MA Managed Accounts SA Separate Accounts HF Hedge Funds Denotes instrument sub-type associated with symbol / instrument name. Allowable values are: Value Description Annuities M Annuity Variable Updated January 17, 2018 Page 27

28 N Annuity Equity Indexed Alternative Investment Products (AIPs) B AIP - Managed Future Funds F AIP - Fund of Hedge Funds I AIP - Non-Traded REITs J AIP - Non-Traditional Hedge Funds (Registered) K AIP - Commodity Pool Funds P AIP - Private Equity Offerings Money Market Funds A All Purpose G Governmental Bonds X Tax-Exempt Securities Mutual Funds C Mutual Fund - Closed End (including Exchange Traded Funds) O Mutual Fund - Open End Y Interval Fund Z Business Development Company (BDC) Structured Products R Structured Product Hybrid S Structured Product Single Stock T Structured Product Buffer / Barrier Enhanced Upside U Structured Product Principal Protected V Structured Product Commodity / FX W Structured Product Rates Enhanced L Structured Product Other Unit Investment Trusts (UITs) D Debt UIT E Equity UIT NextShares Exchange Traded Managed Funds (ETMFs) Q NextShares Hedge Fund H Hedge Fund Collective Investment Trust 1 Collective Investment Trust Managed Accounts 2 Separately Managed Accounts (SMA) 3 Unified Managed Accounts (UMA) Separate Accounts 4 Separate Accounts Updated January 17, 2018 Page 28

29 CUSIP Note: Nasdaq reserves the right to make Instrument Code values specific to a given Instrument Type / Tier in a future release. Reflects the financial instrument code for the instrument assigned by CUSIP Global Services (CGS) and reported to MFQS by the issuer / administrator. Notes: CUSIP is comprised of 9 alphanumeric characters and should be imported into MS-Excel and other programs as a text field. Action Short Term Capital Gain Long Term Capital Gain Unallocated Distributions Return Of Capital Currency Payment Date Firms must be authorized by CGS to receive access CUSIP data content. Non-authorized firms will receive field as blank. Denotes the type of corporate action update that is being disseminated for the stated Fund ID, Cash Distribution Type and Ex-Date combination. Allowable values are: Code Definition N New record: Add corporate action record for stated fund ID, cash distribution type and ex-date. C Corrected record: Update corporate action record for stated fund ID, cash distribution type and ex-date combination with new field values. X Cancelled record: Remove corporate action record for stated fund ID, cash distribution and ex-date combination. Denotes the portion of the total capital gain for the MFQS instrument that is taxed to the shareholder at the short-term capital gains rate. Field will be populated as NA if data element is not provided by firm. Denotes the portion of the total capital gain for the MFQS instrument that is taxed to the shareholder at the long-term capital gains rate. Field will be populated as NA if data element is not provided by firm. Denotes the amount of unassigned term gains (or unallocated distribution) being reported for the MFQS instrument. Field will be populated as NA if data element is not provided by firm. Denotes amount of return of capital (ROC) to the MFQS instrument s shareholders. Please note that this value should be entered as a dollar amount (not a percentage). Field will be populated as NA if data element is not provided by firm. Denotes the currency to be used for all MFQS valuation data for the instrument. For this field, Nasdaq will use ISO Currency alphabetic codes. MFQS default is: Value Definition USD US Dollars Denotes the date on which the capital distribution will be paid to the MFQS instrument s shareholders of record. Field will be populated as NA if data element is not provided by firm. Updated January 17, 2018 Page 29

30 Record Date Ex Date Reinvest Date Pricing Agent Update Date Update Time File Date File Time Instrument Registration Denotes the date on which shareholders must hold fund shares to receive the capital distribution. Field will be populated as NA if data element is not provided by firm. Denotes the ex-date for the capital distribution record. This is the date that NAV should be adjusted. Denotes the reinvestment date for the capital distribution. Field will be populated as NA if data element is not provided by firm. Denotes the name of the firm that entered the valuation entry into the MFQS system for the given symbol. Denotes the date associated with the MFQS valuation report. Update Date should match the Report Date entered by client on MFQS report request page or web service query. Denotes the time that the MFQS Valuation record was reported by the pricing agent on the given Update Date. Denotes the Date that the MFQS Valuation report was requested by client. Denotes the MFQS system time that the MFQS Valuation report file was created for client. Denotes the U.S. regulatory oversight body with which the MFQS instrument is registered. The allowable values are: Value C M S X N Definition U.S. Commodity Futures Trading Commission (CFTC) Municipal Securities Rulemaking Board (MSRB) U.S. Securities and Exchange Commission (SEC) Exemption Not Registered with U.S. Regulatory Agency Updated January 17, 2018 Page 30

31 Appendix A - Version Control Log Date Change Description November 27, 2013 Initial documentation release (Version 1.0). May 1, 2014 Modified fields / field values for August 11, 2014 release: Pricing Agent field to all Valuation files Added Status field to Dividend and Capital Distribution files Updated Status field values for test symbols in Valuation files December 15, 2014 Added the following Footnote values to be supported in 2015: Value Definition Instrument Type G Redemption gate in effect Money Market Fund I Repurchase offer period for Interval Mutual Fund Fund L Liquidity fee in effect Money Market Fund March 2, 2015 Updated MFQS Footnote Code release date to April 13, March 6, 2015 Added new Instrument Type / Tier and Instrument Code values for NextShares Exchange Traded Managed Funds. For the Instrument Type/Tier field, the following code will be added in the September 2015 timeframe: Value Description EM NextShares Exchange Traded Managed Fund For the Instrument Code field, the following value will be added in the September 2015 timeframe: Value Description NextShares Exchange Traded Managed Funds Q NextShares Nasdaq is in the process of defining the MFQS symbology for ETMFs. For MFQS end-of-day valuation reporting purposes, Nasdaq is assigning 7 character symbols consisting of the exchange-listed ticker symbol and a.nx suffix. (Example: ETMFCNX) March 7, 2016 Note: Nasdaq officially introduced the first NextShares instrument in February Updated Valuation Report Money Market Fund message format to include two new fields: Investor Type Calculation Time Updated January 17, 2018 Page 31