ETF PORTFOLIO SERVICE A DTCC DATA SERVICES OFFERING

Transcription

1 ETF PORTFOLIO SERVICE A DTCC DATA SERVICES OFFERING EXCHANGE TRADED FUNDS (ETF) ETF DEALER BENCHMARKS REPORT FILE SPECIFICATION APRIL 24, 2018

2 Copyright 2018 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, nontransferable, non-sublicensable 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. Disclaimer: The services described herein are provided under the DTCC brand name by certain affiliates of The Depository Trust & Clearing Corporation ( DTCC ). DTCC itself does not provide such services. Each of these affiliates is a separate legal entity, subject to the laws and regulations of the particular country or countries in which such entity operates. Please see for more information on DTCC, its affiliates and the services they offer. Publication Code: DS162 Service: ETF Portfolio Service Title: Exchange Traded Funds (ETF) ETF Dealer Benchmarks Report File Specification

3 TABLE OF CONTENTS 1. Field Layout 4 2. Aggregation Types 7 3. Concentration Per ETF 8 4. General 9

4 1. FIELD LAYOUT Note that the layout presented in Table 1 is to be used in delivery to broker dealers using a specific NSCC ID. Different historic reports can be generated, but on a recurring basis the Daily view will be generated for the prior trading day. When there are U.S. stock exchange holidays, no files are generated. All of the fields labeled Tier 1, Peer Group, or Industry are various Aggregation Categories. Fields within these categories must have a minimum of 5 unique brokers per date, symbol, and transaction type. If there are less than 5 brokers for any aggregation, all fields in the aggregation category will appear as N/A (see Reference Code on page 6). Note The display is transposed for viewing purposes. The data listed below 'field name' will appear as columns in the file output. Each row will represent a security and trade date. Table 1 Field Layout Field Name Label Format Description rpt_time_period_1 Report Time Period Type: char Width: 9 isin_cusip_1 ISIN Type: char Width: 12 cusip Cusip Type: char Width: 9 ticker Ticker Type: char Width: 4 client_volume Client Volume Width: 12 client_trade_count Client Trade Count Time period of report produced. Date is prefixed with "D" for Daily 12-character ISIN A unique 9-character alphanumeric identifier assigned to the Equity security The unique ticker symbol for trading. Total Client Sum of Shares Total Client Trade Count client_marketshare_1 Client Market Share tier1_volume_1 Tier1 Volume tier1_rank_1 Tier 1 Client Rank Type: pct Width: 6 Dec: 2 Total Client Marketshare as a Percentage of Total Market. This field will be blank if t1_unq_brokers_1 is blank Total Tier 1 Sum of Shares (Top 10 Trading Brokers) This field will be blank if the t1_unq_brokers_1 field is blank. Client Rank against Tier 1 List This field will be blank if t1_unq_brokers_1 is blank I if rank is greater than 10. Field Layout 4

5 Table 1 Field Layout (continued) Field Name Label Format Description tier1_trade_count_1 Tier1 Trade Count Total Tier 1 Trade Count if t1_unq_brokers_1 is blank. t1_unq_brokers_1 Tier 1 Unique Brokers t1_conc_1 Tier 1 Concentration peer_volume_1 Peer Volume Width: 6 Dec: 4 # of Unique IDs of Tier 1 Participants This field will be blank if less than 5 brokers are trading; can be 6,7,8,9 and 10. Summation of Tier 1 Broker's Market Share Squared: (total client shares/total tier 1 shares)^2. See Concentration Per ETF on page 8 for Concentration calculations per ETF. Total Peer Group Sum of Shares peer_rank_1 Peer Client Rank Client Rank Against Peer Group List peer_trade_count_1 Peer Trade Count Total Peer Group Trade Count peer_unq_brokers_1 Peer Unique Brokers # of Unique IDs of Peer Group Participants peer_conc_1 Peer Concentration Width: 6 Dec: 4 Summation of Peer Group Broker's Market Share Squared: (total client shares/total peer shares)^2. See Concentration Per ETF on page 8 for Concentration calculations per ETF. ind_volume_1 Industry Volume Total Industry Sum of Shares industry_rank_1 Industry Client Rank Client Rank Against Total Industry ind_trade_count_1 Industry Trade Count Total Industry Trade Count ind_unq_brokers_1 Industry Unique Brokers Total Industry Broker Count Field Layout 5

6 Table 1 Field Layout (continued) Field Name Label Format Description industry_conc_1 Industry Concentration Width: 6 Dec: 4 refcode RefCode Type: char Width: 2 Summation of Industry Broker's Market Share Squared: (total client shares/total industry shares)^2. See page Concentration Per ETF on page 8 for Concentration calculations per ETF. Case(s) where the number of brokers in an aggregate group is less than 5 will have a value of N/A Note: This category appears blank and is identified in the refcode column as N/A. While ISIN, CUSIPs, and Tickers are presented, all calculations are based on unique ISIN codes. Each unique ISIN will be present in two (2) distinct views of data that represent Buy and Sell (which includes Sell, Short Sell, and Sell Short Exempt). The recipient client must have at least one (1) transaction of their own for the different transaction types to have values for such trade type to appear. Field Layout 6

7 2. AGGREGATION TYPES 1. Tier 1: Tier 1 will be defined by the top 10 brokers in terms of share quantity traded. The individual client activity will be excluded from this row if the client is a tier 1 broker activity for the ISIN in question. 2. Peer Group: Peer Group will be defined as a fixed group of brokers that share common characteristics. The individual client must be a member of this group to have data included. Peer Groups will vary based on the characteristics of the subscribing client. 3. Industry: Industry will be defined as all trades for the symbol in question. Aggregation Types 7

8 3. CONCENTRATION PER ETF The Concentration outlined in Table 1 is per a specific ETF. Concentration is completed for all three groups (tier1, pier, and industry). Table 1 Concentration Per ETF Broker Sum of Shares Bought on Trade Date Total Shares Traded in the Market* Market Share Market Share Squared * Total Share in the market: Total shares traded for that entire group, regardless of ETF. Concentration Concentration Per ETF 8

9 4. GENERAL tier1_client_rank will be blank if tier1_rank_1 is greater than 10. client_rank will be blank if peer1rank is greater than 10. The Tier1 and Client Rank values could be However, for Industry, these values can go as high as the number of clients trading in the ETF. General 9

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