NYSE EURONEXT ETF MASTERFILE CLIENT SPECIFICATION

Transcription

1 Document title NYSE EURONEXT ETF MASTERFILE Version Date Oct NYSE Euronext. All rights reserved. No part of this material may be copied, photocopied or duplicated in any form by any means or redistributed without the prior written consent of NYSE Euronext. All third party trademarks are owned by their respective owners and are used with permission. NYSE Euronext and its affiliates do not recommend or make any representation as to possible benefits from any securities or investments, or third-party products or services. Investors should undertake their own due diligence regarding securities and investment practices. This material may contain forward-looking statements regarding NYSE Euronext and its affiliates that are based on the current beliefs and expectations of management, are subject to significant risks and uncertainties, and which may differ from actual results. NYSE Euronext does not guarantee that its products or services will result in any savings or specific outcome. All data is as of October 12, NYSE Euronext disclaims any duty to update this information.

2 PREFACE DOCUMENT HISTORY The following table provides a description of all changes to this document. VERSION NO. DATE Oct 2012 Initial draft CHANGE DESCRIPTION CONTACT INFORMATION For technical support, please contact the NYSE Technologies Service Desk: service.desk@nyx.com FURTHER INFORMATION For additional product information please visit Master-File NYSE Euronext ETF Masterfile/ V1.0 2

3 CONTENTS 1. INTRODUCTION ETF Package FILE SPECIFICATIONS File Availablility File Format File Name Structure ETF Files ETV and ETN Files ETF Liquidity Providers Files General Information FTP Pull Directory Structure on FTP Server Daily Batch and Daily Delta Historical Files NYSE Euronext ETF Masterfile/ V1.0 3

4 1. INTRODUCTION NYSE Euronext Master Files provide comprehensive referential data information on securities traded on NYSE Euronext markets in Europe. 1.1 ETF PACKAGE The ETF package available for subscription carries referential data for all Exchange Traded Funds (ETFs), Exchange Traded Vehicles (ETVs) and Exchange Traded Notes (ETN)s /traded on the NYSE Euronext cash markets. The product includes two types of files: A daily batch that provides information on all ETFs, ETVs and ETNs on Euronext markets. A daily delta file that provides only information on changes to the daily batch. The changes can be additions or deletions of instruments and modifications to the characteristics of instruments that are currently. Clients can access the daily files and also historical files. NYSE Euronext ETF Masterfile/ V1.0 4

5 2. FILE SPECIFICATIONS 2.1 FILE AVAILABLILITY The files are provided for NYSE Euronext European markets on trading days at 5h15am CET. 2.2 FILE FORMAT The files are provided in TXT (pipe-delimited), Excel and XML formats. 2.3 FILE NAME All ETFs, ETVs and ETNs traded on the NYSE Euronext cash markets in Europe. Daily batch: /ETF_EU_ENXT_REF_MASTER_BOD /ETV_EU_ENXT_REF_MASTER_BOD /ETF_LP_EU_ENXT_REF_MASTER_BOD Daily delta: /ETF_EU_ENXT_REF_MASTER_BOD delta /ETV_EU_ENXT_REF_MASTER_BOD delta 2.4 STRUCTURE ETF Files The files contain the following records: n x ETF where n is the number of ETFs traded on the NYSE Euronext cash markets in Europe. Table 1 File Records Listing_Date ETF s Listing Date Date 0 ETF_Name ETF s Designation ETF_Trading_Name ETF s Short Designation ISIN ETF s ISIN Code Alpha 25 Euronext_Code ETF s Euronext Code Alpha 25 CFI_code ETF s Classification Code of Financial Instrument defined by the ISO standard Symbol ETF s Trading Symbol Alpha 25 Bloomberg_Ticker ETF s Bloomberg Specific Ticker Alpha 25 Bloomberg_Symbol ETF s Bloomberg Specific Symbol Alpha 35 Global_Identifier ETF s Bloomberg Global Security Identifier Alpha 25 NYSE Euronext ETF Masterfile/ V1.0 5

6 Parseable_Description ETF s Bloomberg Parseable_Description (results from the concatenation of Bloomberg Ticker with Asset Type) Alpha 35 BSID ETF s Bloomberg Security ID Alpha 25 inav_name ETF s inav Designation inav_isin_code ETF s inav ISIN Code inav_symbol ETF s inav Symbol inav_bloomberg_ticker ETF s inav Bloomberg Specific Ticker Underlying_Index ETF s Underlying Index Designation Underlying_Index_Return ETF s Underlying Index Return Type ( Price / Total Return and Net / Gross) Underlying_Index_Leverage ETF s Intended Leverage Factor Underlying_Index_Bloomberg_ Ticker ETF s Underlying Index Bloomberg Specific Symbol Index_Provider ETF s Underlying Index Provider Exposition_Type Segmentation_Level1 Segmentation_Level2 Segmentation_Level3 ETF s Underlying Replication Type : in specie (physical replication) or swap (synthetic replication) ETF s 1st Segmentation Level (Commodities, Equity, Fixed Income, Multi-Asset) ETF s 2nd Segmentation Level (Aggregate, Agriculture, Broad, Commodities, Corporate Bonds, Covered Bonds, Credit, Energy, Geographic Equity, Government Bonds, Industrial Metals, Inflation Bonds, Money Market, Sectorial, Size, Strategy, Style, Theme) ETF s 3rd Segmentation Level (Agriculture, Basic Materials, Buy-Write, Carbon, Clean Energy, Commodities, Consumer Goods, Consumer Services, Countries, Covered Call, Diversified Broad, Energy, Environment, Financials, Flexible, Fundamental, Future Dividend, Growth, Health Care, Industrial Metals, Industrials, Infrastructure, Large, Leveraged Long, Leveraged Short, Livestock, Mid, Nuclear, Oil and Gas, Precious Metals, Private Equity, Quantitative, Real Estate, Regions, Select Dividend, Shariah Compliant, S hipping, Sh NYSE Euronext ETF Masterfile/ V1.0 6

7 Segmentation_Level4 ETF s 4th Segmentation Level (Active, Africa, Asia, Australia, Basket, Belgium, Brazil, BRIC, Canada, Chile, China, Eastern Europe, Emerging Markets, Europe, Eurozone, France, Germany, Global, Greece, Iberia, India, Italy, Japan, Latin America, Malaysia, Mexico, Middle East, Netherlands, North America, Portugal, Russia, Single, South Africa, South Korea, Spain, Switzerland, Taiwan, Turkey, United Kingdom, USA, Vietnam) Issuer ETF s Issuer Designation Fund_manager Fund s Manager Designation LP_Family Spread_Requirement Size_Requirement Indicates the product type for which the Liquidity Provider obligations have been defined Maximum Bid / Ask Spread on the order book that the Liquidity Provider committed to guarantee Minimum Bid / Ask Size of a Liquidity Provider order TER ETF s Total Expense Ratio Dividend_Frequency ETF s Dividend Frequency PEA SRD Listing_Venue1 Listing_Venue2 Listing_Venue3 Market_of_Reference Settlement_Platform ETF s Eligibility to Personal Savings Plan (Plan d Epargne Actions). Currently applicable in France only. ETF s Eligibility to Deferred Settlement Service (Service de Reglement Differe). Currently applicable in France only. Primary Euronext market on which the ETF is. Should be the same as Market_of_Reference Secondary Euronext market on which the ETF is Secondary Euronext market on which the ETF is Primary Euronext market on which the ETF is Name of the CSD where the trades on the ETF are settled NYSE Euronext ETF Masterfile/ V1.0 7

8 Trading_Currency ETF s Trading Currency Base_Currency ETF s Base Currency Trading_Group Designates the group of instruments to which the ETF belongs. Tick_Size Smallest price increment of the ETF s price Trading_Thresholds Limit beyond which trading is halted due to a price variation (in %) Outstanding_Shares Amount of the ETF Outstanding Shares Alpha 25 NAV ETF s Net Asset Value Alpha 25 NAV_Base_Currency ETF s Net Asset Value Base Currency AUM ETF s Asset Under Management Valuation_Date Calculation date of the ETF s NAV Date 0 Domiciliation Country of Registration for Sale UCITSIII_compliant UCITS Compliant Flag Trading_Date Price/Trading Statistics Date Date 0 Open_Price ETF s Open Price on Trading Date Alpha 10 High_Price ETF s High Price on Trading Date Alpha 10 Low_price ETF s Low Price on Trading Date Alpha 10 Closing_Price ETF s Closing Price on Trading Date Alpha 10 Nr_Trades ETF s Nr of Trades on Trading Date Volume ETF s Volumes on Trading Date Turnover ETF s Turnover on Trading Date TSpread ETF s Trading Spread on Trading Date Variation_D-1 Nr_Trades_MTD ETF s Price Variation Trading Date/Trading Date- 1 (in %) ETF s Accumulated number of trades Month to Date Volume_MTD ETF s Volume Month to Date Turnover_MTD ETF s Turnover Month to Date TSpread_MTD ETF s Average Month to Date Bid /Ask spread of the ETF (in %) Variation_MTD ETF s Price Variation Month to Date (in %) NYSE Euronext ETF Masterfile/ V1.0 8

9 Nr_Trades_YTD ETF s Accumulated number of trades Year to Date Volume_YTD ETF s Volume Year to Date Turnover_YTD ETF s Turnover Year to Date TSpread_YTD ETF s Average Year to Date Bid /Ask spread of the ETF (in %) Variation_YTD ETF s Price Variation Year to Date (in %) Nr_Liquidity_Providers ETF s Number of active liquidity providers Alpha ETV and ETN Files The files contain the following records: n x ETV and ETN where n is the number of ETV and ETN traded on the NYSE Euronext cash markets in Europe. Table 2 File Records Listing_Date ETV s Listing Date Date 0 ETV_Name ETV s Designation ETV_Trading Name ETV s Short Designation ETV_ISIN ETV s ISIN Code Alpha 25 ETV_Euronext_Code ETV s Euronext Code Alpha 25 ETV_CFI_Code ETV s Classification Code of Financial Instrument defined by the ISO standard ETV_Symbol ETV s Trading Symbol Alpha 25 ETV_Bloomberg_Symbol ETV s Bloomberg Specific Symbol Alpha 35 ETV_Global_Identifier ETV s Bloomberg Global Security Identifier Alpha 25 ETV_Parseable_Description ETV s Bloomberg Parseable_Description (results from the concatenation of Bloomberg Ticker with Asset Type) Alpha 35 ETV_BSID ETV s Bloomberg Security ID Alpha 25 Underlying_Index ETV s Underlying Index Designation Underlying_Index_Return ETV s Underlying Index Return Type ( Price / Total Return and Net / Gross) Underlying_Index_Leverage ETV s Intended Leverage Factor NYSE Euronext ETF Masterfile/ V1.0 9

10 Underlying_Index_Bloomberg_ Symbol ETV s Underlying Index Bloomberg Specific Symbol Secured Segmentation_Level2 Segmentation_Level3 Segmentation_Level4 Indicates if the ETV is secured by any means of collateral. ETV s 2nd Segmentation Level (Aggregate, Agriculture, Broad, Commodities, Corporate Bonds, Covered Bonds, Credit, Energy, Geographic Equity, Government Bonds, Industrial Metals, Inflation Bonds, Money Market, Sectorial, Size, Strategy, Style, Theme) ETV s 3rd Segmentation Level (Agriculture, Basic Materials, Buy-Write, Carbon, Clean Energy, Commodities, Consumer Goods, Consumer Services, Countries, Covered Call, Diversified Broad, Energy, Environment, Financials, Flexible, Fundamental, Future Dividend, Growth, Health Care, Industrial Metals, Industrials, Infrastructure, Large, Leveraged Long, Leveraged Short, Livestock, Mid, Nuclear, Oil and Gas, Precious Metals, Private Equity, Quantitative, Real Estate, Regions, Select Dividend, Shariah Compliant, Shipping, Sh ETV s 4th Segmentation Level (Active, Africa, Asia, Australia, Basket, Belgium, Brazil, BRIC, Canada, Chile, China, Eastern Europe, Emerging Markets, Europe, Eurozone, France, Germany, Global, Greece, Iberia, India, Italy, Japan, Latin America, Malaysia, Mexico, Middle East, Netherlands, North America, Portugal, Russia, Single, South Africa, South Korea, Spain, Switzerland, Taiwan, Turkey, United Kingdom, USA, Vietnam) Alpha 25 Issuer ETV s Issuer Designation Security_Manager Equivalent to the ETF s fund manager. LP_Family Spread_Requirement Size_Requirement Indicates the product type for which the Liquidity Provider obligations have been defined Maximum Bid / Ask Spread on the order book that the Liquidity Provider committed to guarantee Minimum Bid / Ask Size of a Liquidity Provider order NYSE Euronext ETF Masterfile/ V1.0 10

11 TER ETV s Total Expense Ratio PEA SRD Listing_Venue1 Listing_Venue2 Listing_Venue3 Market_of_Reference Settlement_Platform ETV s Eligibility to Personal Savings Plan (Plan d Epargne Actions). Currently applicable in France only. ETV s Eligibility to Deferred Settlement Service (Service de Reglement Differe). Currently applicable in France only. Primary Euronext market on which the ETV is Secondary Euronext market on which the ETV is Secondary Euronext market on which the ETV is Primary Euronext market on which the ETV is Name of the CSD where the trades on the ETV are settled Trading_Currency ETV s Trading Currency Base_currency ETV s Base Currency Trading_Group Designates the group of instruments to which the ETV belongs. Tick_Size Smallest price increment of the ETV s price Outstanding_Shares Amount of the ETV Outstanding Shares Alpha 25 Creation_Settlement_Value Equivalent to an ETF s NAV. Alpha 25 AUM ETV s Asset Under Management Valuation_Date Calculation date of the ETV s Creation & Settlement Value Alpha 25 UCITSIII_compliant UCITS Compliant Flag Trading_Date Price/Trading Statistics Date Date 0 Open_Price ETV s Open Price on Trading Date Alpha 10 High_Price ETV s High Price on Trading Date Alpha 10 Low_price ETV s Low Price on Trading Date Alpha 10 Closing_Price ETV s Closing Price on Trading Date Alpha 10 Nr_Trades ETV s Nr of Trades on Trading Date Alpha 10 NYSE Euronext ETF Masterfile/ V1.0 11

12 Volume ETV s Volumes on Trading Date Alpha 10 Turnover ETV s Turnover on Trading Date TSpread ETV s Trading Spread on Trading Date Variation_D-1 Nr_Trades_MTD ETV s Price Variation Trading Date/Trading Date-1 (in %) ETV s Accumulated number of trades Month to Date Alpha 10 Volume_MTD ETV s Volume Month to Date Turnover_MTD ETV s Turnover Month to Date TSpread_MTD ETV s Average Month to Date Bid /Ask spread of the ETV (in %) Variation_MTD ETV s Price Variation Month to Date (in %) Alpha 10 Nr_Trades_YTD ETV s Accumulated number of trades Year to Date Volume_YTD ETV s Volume Year to Date Turnover_YTD ETV s Turnover Year to Date TSpread_YTD ETV s Average Year to Date Bid /Ask spread of the ETV (in %) Variation_YTD ETV s Price Variation Year to Date (in %) Alpha 10 Nr_Liquidity_Providers ETV s Number of active liquidity providers Alpha ETF Liquidity Providers Files The files contain the following records: n x ETF where n is the number of ETFs traded on the NYSE Euronext cash markets in Europe. Table 3 File Records z_etf_isin ETF s ISIN Code Alpha 25 z_etf_symbol ETF s Trading Symbol Alpha 25 z_etf_trading_name ETF s Short Designation z_market_of_reference Primary Euronext market on which the ETF is z_lp_code Code of the liquidity provider for the ETF Alpha 25 z_liquidity_provider_name Name of the liquidity provider for the ETF NYSE Euronext ETF Masterfile/ V1.0 12

13 z_lp_role_start_date Commencement date of the liquidity provider agreement for the ETF Alpha GENERAL INFORMATION The NYSE Euronext ETF Masterfile are offered via FTP pull via the internet. 2.6 FTP PULL The customer can download the files with ftp from the following FTP server: ftp2.nyxdata.com NYSE Euronext will provide a User ID and a password to the customer that will remain valid until the subscription to the product is cancelled. 2.7 DIRECTORY STRUCTURE ON FTP SERVER Daily Batch and Daily Delta ftp2.nyxdata.com Historical Files \ETF_EU_ENXT_REF_MASTER_BOD ftp2.nyxdata.com \ ETF_EU_ENXT_REF_MASTER_BOD \ETF_EU_ENXT_REF_MASTER_BOD_YYYY \ETF_EU_ENXT_REF_MASTER_BOD_YYYYMM NYSE Euronext ETF Masterfile/ V1.0 13