EXCHANGE TRADED FUNDS (ETF)

Transcription

1 EXCHANGE TRADED FUNDS (ETF) RECORD LAYOUT: ENHANCED ETF CREATE AND REDEEM INSTRUCTION PRINT IMAGE REPORT: AUTOROUTE PRODUCTION /PSE JANUARY 25, 2018

2 Copyright 2018 by The Depository Trust & Clearing Corporation ("DTCC"). All rights reserved. This work (including, without limitation, all text, images, logos, compilation and design) is proprietary and protected by copyright, and is for the exclusive use of users authorized by DTCC. If this work is received from DTCC in any electronic medium, authorized users of this work are granted a limited, non-exclusive, non-transferable, nonsublicensable and freely revocable license to make reproductions and transmissions necessary for downloading and storage of this work on the users' computers and to print one or more paper copies from the electronic version for their own use. Other than to this limited extent, no part of this work (including any paper copies thereof or print versions thereof) may be printed, copied, altered, modified, posted, reproduced, displayed, published, sold, licensed, used or distributed (including by transmission) in any form or by any means, or stored in any information storage and retrieval system, without DTCC's prior written permission. All product or service names are the property of their respective owners. Publication Date: January 25, 2018 Publication Code: ETF117 Service: Equities Clearing Title: Exchange Traded Funds (ETF) Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report: AutoRoute Production /PSE

3 Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report The following table shows the record layout for the Enhanced ETF Create and Redeem Instructions Print Image report for AutoRoute Production /PSE Enhanced Create/Redeem Instruction Print Image Report for AutoRoute Production /PSE Header NATIONAL SECURITIES CLEARING CORPORATION Display for the report header. Header CREATE/REDEEM ETF BLOTTER REPORT Name of the report. Header PAGE: Display label for PAGE. Header Page Number Value Display the page number for the ETF. Header Trade Date Display for the report header. Header Trade Date Value Displays the trade date for the Instruction in the format MM/DD/YYYY Header Settlement Date Display for the report header. Header Settlement Date Value Displays the settlement date for the Instruction in the format MM/DD/YYYY Header Blank Line Display for the Header section for readability. Header MEMBER NO Display for the report header. Header Member Number Value Firm that is receiving this report. Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 3

4 Break Hyphens (-) in all positions in a row delineates a break between the Header, the Rejected Instructions, each Accepted Instructions section, SI Instructions section, and the Trailer Additionally, hyphens in all positions in a row also provides a break between the column headers for the Rejected Instructions, Accepted Instructions, and SI Instructions sections. Lines 5, 6, 7, 8, and 9 will repeat as a header for each subsequent page for the respective instruction. Instruction NSCC PORTFOLIO: Display for the Report Instruction/ Portfolio Description Instruction ETF TRADING: Display for the Report Instruction/ Portfolio Description Instruction SYMBOL: Display for label for ETF Trading Symbol. Instruction NSCC Portfolio Symbol Value Value of the Symbol for the NSCC Portfolio. Instruction ID: Display label for ETF Portfolio ID. Instruction NSCC Portfolio ID Value Value of the Portfolio ID for the NSCC. Instruction SYMBOL: Display label for ETF Trading Symbol. Lines 5, 6, 7, 8, and 9 will Instruction ETF Trading Symbol Value Value of the ETF Trading Symbol for the repeat as a header for Portfolio from SMD. each subsequent page for the respective Instruction ISIN/CUSIP: Display label for ETF ISIN or CUSIP. instruction. Instruction ETF Trading ISIN or CUSIP Value of the ETF ISIN o rcusip. Instruction UNIT SIZE: Display label for Creation/Redemption Unit Size. Instruction Value of Create/Redeem Unit Size Value of Create/Redeem Unit Size from SMD formatted as: 9,999,999,999 Instruction NAME: Display for Report Instruction/ Portfolio Description Instruction ETF Name value Value of the description of the ETF (from SMD). Break Hyphens (-) in each position in a row delineates a break between the Instructions and the Transaction section of the report. Instruction TRANSACTION ID: Display for Transaction Transaction Transaction ID Value Value of Transaction ID. Transaction CONTRA BROKER: Display for Transaction Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 4

5 Transaction Contra Broker Value Value of Broker on other side of the transaction. Transaction EXEC BROKER: Display for Transaction Transaction Exec Broker Value Value of the broker who executes the trade. Transaction TRANSACTION FEE: Display for Transaction Transaction Transaction Fee Value Value of Transaction Fee formatted as: 999,999, Transaction Transaction Fee DB/CR Indicator Value of DB or CR. If Major broker is an ETF agent, this value will be CR, otherwise it will be DB. Transaction TRANSACTION TIMESTAMP: Display for the Transaction Timestamp Transaction Transaction Timestamp Value HH:MM:SS.SSS format Transaction REVERSAL INDICATOR: Display for the Reversal Indicator Transaction Reversal Indicator Value Value of the Reversal indicator: NEW C/R INSTRUCTION (default) CORRECTS A PRIOR TRANSACTION REVERSES A PRIOR TRANSACTION Transaction ETF UNITS Display for the Transaction Transaction Transaction Action + : Value of CREATED or REDEEMED is displayed + : Transaction Index Receipts Value Value of Index Receipts (Create/Redeem Units) formatted as: 999,999,999 Transaction TOTAL COMPONENT VALUE Value of the TOTAL COMPONENT VALUE is Transaction Value of total Component Settlement Value Value of DEBITED or CREDITED is Debit/Credit Indicator + : Transaction Value of total Component Settlement Value Value of the sum of the settlement value of each component; formatted as: 9,999,999,999, Transaction CASH VALUE Value of CASH VALUE is Transaction Value of Cash Amount Debit/Credit Indicator + : Value of DEBITED or CREDITED is Lines 13 through 15 will be printed only if SI- COMPONENTS-ONLY = N Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 5

6 Transaction Cash Amount Value Value of Cash Amount passed by the ETF Agent - formatted as: 99,999,999,999, Transaction TOTAL ETF VALUE Value of TOTAL ETF VALUE is Transaction Value of Total ETF Value Debit/Credit Indicator + : Value of DEBITED or CREDITED is Transaction Total ETF Value Amount Value Value of the Total ETF Value (the Component Settlement value offset by the Cash Amount) formatted as: 99,999,999,999, Transaction Transaction ** SI COMPONENTS ONLY ** CURRENCY: Display for Instruction/SI-Only Display for Instruction/SI-Only Line 16 is printed only if SI-COMPONENTS- ONLY = Y. This line gets printed only if there are SI components; Transaction XXX Value of Currency otherwise, all lines after this are one less. For example, line 17 becomes line 16 and line 18 becomes line 17. Break Hyphens (-) in each position in a row delineates a break between the Instructions and the relevant sections that follow REMOVED COMPONENTS THE FOLLOWING COMPONENTS ON THE PORTFOLIO COMPOSITION FILE HAVE BEEN REMOVED FROM THIS INSTRUCTION: Display for the Blank Line Display for the SYMBOL Display for the DESCRIPTION Display for the ISIN Display for the CASH IN LIEU? Display for the CASH VALUE Display for the Lines 18 through 22 will be printed only if the exist for this instruction. Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 6

7 Blank Line Display for section for readability Value of Symbol Value of Symbol for Component ISIN (from SMD) Value of Component Description Value of Security Name for Component ISIN (from SMD) Value of ISIN Value of ISIN to be removed from instruction Value of Cash in Lieu Indicator Value of CASH-IN-LIEU Indicator for component (Y or blank) Value of Cash Value Value of Cash Value of component formatted as: 99,999,999,999, Break Hyphens (-) in each position in a row delineates a break between the Component Header and the previous Component Header *** ETF COMPONENTS *** Display for Component Header Component Header Blank Line Display for the Component Header section for readability. Component Header CNS Display for the Component Header Component Header CUST Display for the Component Header Component Header COMPONENT SHARES Display for the Component Header Component Header SHARES Value of SHARES is Component Header SYMBOL Value of SYMBOL is Component Header DESCRIPTION Value of DESCRIPTION is Component Header CUSIP/ISIN Display for the Component Header Component Header IND Display for the Component Header Component Header REO Display for the Component Header Component Header ADD Display for the Component Header Component Header Value of Component Shares Received or Delivered Indicator Value of RECEIVED or DELIVERED Lines 23 through 31 will be printed only if CASH- ONLY = N and SI- COMPONENTS-ONLY = N. Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 7

8 Component Header TO BE SETTLED Display for the Component Header Component Header SETTLING PRICE Display for the Component Header Component Header SETTLEMENT VALUE Display for the Component Header Component Header Blank Line Display for the delimiting Component Header and Component Detail sections. Component Detail Value of Component Symbol Component Detail Value of ISIN Description Component Detail Value of CUSIP/ISIN Component Detail Value of CNS IND Component Detail Value of REO Component Detail Value of CUST ADD Component Detail Value of COMPONENT SHARES RECEIVED or DELIVERED Component Detail Value of SHARE TO BE SETTLED Component Detail Value of SETTLING PRICE Value of Settling Price of component formatted as: 9,999,999, Component Detail Value of SETTLEMENT VALUE Value of Settlement Value of component formatted as: 99,999,999,999, Break Hyphens (-) in each position in a row delineates a break between the Component Header and the previous Component Totals TOTAL COMPONENT VALUE Value of the TOTAL COMPONENT VALUE is Component Totals Value of Total Component Shares Received or Delivered Component Totals Value of Total Shares to be settled Component Totals TOTAL Value of TOTAL is Component Totals Value of Total Component Settlement Value Debit or Credit indicator Value of DEBIT or CREDIT is Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 8

9 Component Totals : Value of : is Component Totals Value of Total Component Settlement Value Value of Total Component Settlement Value (sum of all Component Settlement values) formatted as: 99,999,999,999, Break Hyphens (-) in each position in a row delineates a break between the Component Totals and ETF Totals. ETF Totals Header *** ETF SHARES ISSUED *** Display for ETF Totals Header ETF Totals Header Blank Line Display for ETF Totals Header section for readability. ETF Totals Header TOTAL ETF UNITS Value of TOTAL ETF UNITS is ETF Totals Header SHARES Value of SHARES is ETF Totals Header SYMBOL Display for ETF Totals Header ETF Totals Header DESCRIPTION Display for ETF Totals Header ETF Totals Header CUSIP/ISIN Display for ETF Totals Header ETF Totals Header Value of Total ETF Units RECEIVED or Value of RECEIVED or DELIVERED is DELIVERED ETF Totals Header TO BE SETTLED Display for ETF Totals Header ETF Totals Header SETTLING PRICE Display for ETF Totals Header ETF Totals Header SETTLEMENT VALUE Display for ETF Totals Header Break Blank Line Display for delimiting ETF Totals Header section and ETF Totals Detail ETF Totals Detail Value of Total Settlement Value for ETF Value of Total ETF Settlement Value formatted as: 999,999,999, ETF Totals Detail Value of ETF Trading Symbol ETF Totals Detail Value of ETF Description ETF Totals Detail Value of ETF Trading ISIN or CUSIP ETF Totals Detail Value of ETF create/redeem size 9,999,999,999,999 NOTE: No leading zeros will be ETF Totals Detail Value of ETF create/redeem size * Number of Creation Units 9,999,999,999,999 NOTE: No leading zeros will be ETF Totals Detail TOTAL Display for ETF Totals Header ETF Totals Detail Value of Total Component Settlement Value Debit Debit or Credit indicator Credit Lines 32 through 38 will be printed only if SSI- ONLY-IND = N. Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 9

10 ETF Totals Detail : Display for ETF Totals Header ETF Totals Detail Value of Settlement Value for Component 999,999,999, Break Hyphens (-) in each position in a row delineates a break between SI Component Details and the section preceding. SI Header *** SPECIAL SETTLEMENT INSTRUCTIONS *** Value of *** SPECIAL SETTLEMENT INSTRUCTIONS *** is SI Header Blank Line Display for the SI Header SI Header COMPONENT ID Display for the SI Header SI Header COMPONENT NAME Value of COMPONENT NAME is SI Header CURRENCY Value of CURRENCY is SI Header TYPE Value of TYPE is SI Header PLACE OF SETTLEMENT Display for SI Header section SI Details Blank line Marks the beginning of each SI Component detail SI Details Value of Component ID SI Details Value of Component Name SI Details Value of Currency SI Details Value Of Place of Settlement ID Type SI Details Value of Place of Settlement ID SI Details COMPONENT QUANTITY: Value of COMPONENT QUANTITY: is SI Details Value of Component Quantity Value of Component Quantity formatted as: 9,999,999,999,999 SI Details SETTLEMENT CODE: Value of SETTLEMENT CODE: is SI Details Value of Settlement Code Formatted as 9 SI Details SETTLEMENT DATE: Value of SETTLEMENT DATE: is SI Details Value of settlement date MM/DD/YYYY SI Details : Value of 91: is SI Details PARTY QUALIFIER: Value of PARTY QUALIFIER is SI Details Value of Party Qualifier SI Details PARTY ID: Value of PARTY ID: is SI Details Value of Settlement Party ID Code Lines 39 through 46 will be printed only if SI components exist for the instruction. Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 10

11 SI Details Value of Settlement Party ID SI Details ACCT NO: Value of ACCT NO is SI Details Value of Account Number SI Details : Value of 92: is SI Details AMT QUALIFIER: Value of AMT QUALIFIER is SI Details Value of Amount Qualifier SI Details CASH AMT: Value of CASH AMT: is SI Details Sign field for Cash Amount SI Details Value for Cash Amount Cash Amount has a format of: 999,999,999, SI Details Value of Currency SI Details XRT FROM CCY: Value of XRT FROM CCY: is SI Details Value for Exchange Rate From Currency SI Details XRT TO CCY: Value of XRT TO CCY: is SI Details Value of Exchange Rate To Currency SI Details XRT: Value of XRT: is SI Details Value of Exchange Rate Value of Exchange Rate has a format of: 999,999, Record Layout: Enhanced ETF Create and Redeem Instruction Print Image Report 11

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