Key Definitions when Subscribing to ETF Portfolio Data File (Autoroute #02261256)

Header Record = 1

  • Record Type: 01 = Header Record
  • File Description: “Portfolio Composition”
  • ETF Agent: NSCC Member Number right-justified with leading zeros.
  • File Identifier: Input File Number
  • NSCC Processing Date: CCYYMMDD
  • NSCC Processing Time: HHMMSS

Portfolio Header Record = 2

  1. Record Type - 02 = Record Type 2 (one per portfolio)
  2. ETF Trading CUSIP: This is the CUSIP that represents the ETF in the secondary market. It is assigned by S&P.
  3. ETF Trading ISIN: This is the ISIN number that represents the ETF in the secondary market.
  4. NSCC Portfolio ID: NSCC-assigned Portfolio ID of the basket. This used to be referred to as the Standard Instruction CUSIP. It is used by the Authorized Participant and the ETF agent in order to create and redeem the ETF that trades in the secondary market.
  5. ETF Description: From NSCC Security Master if found, otherwise ETF Agent-supplied description is used.
  6. Portfolio Trade Date: This is the business day that pertains to the ETF’s portfolio.
  7. ETF Agent: NSCC Member Number right-justified with leading zeros.
  8. Component Count: This represents the number of components (sometimes referred to as the components) that comprise the ETFs basket portfolio.

    For Custom Only: If field 31 = C for Custom:

    Component Count: This represents the number of components (often referred to as the components) that comprise the Custom ETFs portfolio. This will be less than the number of components in a standard ETF portfolio. For example, in the S&P MidCap “MDY” there are 400 components. However, there may only be 398 components in a custom standard portfolio, with the two missing components represented in the estimated and total cash amount per creation unit.

  9. Estimated T-1 Cash Amount per Creation Unit: This figure consists of accumulated dividends less expenses through and including T-1, on a per-Creation Unit basis. This figure may include a cash in lieu amount for shares of any of the component stocks, which may be excluded from the Creation Unit on Trade Date (T) due to a prolonged trading halt or other unusual circumstance. Such shares will be priced at the close on T-1.
    • This amount may be used by traders as an “approximation” for the Total Cash Amount per Creation Unit, which is determined at the close of Trade Date. Occasionally, this amount may be a negative value if, for example, more expenses have accrued than dividends in the early part of a particular dividend accrual period.
    • Similarly, the Total Cash Amount per Creation Unit might be negative on occasion as required to equate the value of the stock plus cash in the creation unit to the Net Asset Value of the ETF on a Creation Unit basis at the market close on trade date.
    • In instances where a ETFs portfolio is all cash (and the components are not listed for informational purposes) this amount will reflect the actual value of the entire portfolio, not just the accumulated dividends any balancing amount or cash in lieu shares. This is the same value that is reported in the Total Cash Amount per Creation Unit field.
  10. Sign field for Estimated T-1 Cash Amount Per Creation Unit: “-“ indicates negative value Space = positive Value.
  11. Net Asset Value per Creation Unit: This value represents the NAV of the ETF’s Creation Unit on T-1. This value may not be published by market data vendors. NSCC does not validate this NAV value and, if an agent does not provide the information for a specific ETF portfolio, we do not calculate the value separately.

    For Custom Only: If field 31 = C for Custom:

    This value is identical to the standard portfolios NAV per creation unit.

  12. Sign field for Net Asset Value Per Creation Unit: “-“ indicates negative value Space = positive Value.
  13. Estimated T-1 Cash Amount per ETF: This figure represents the estimated cash amount that pertains to the ETF. This figure usually consists of accumulated dividends less expenses through and including T-1 on a per ETF security share basis. This figure does not include cash amounts delivered in lieu of shares excluded from the daily Creation Unit Portfolio. It can be a negative value if more expenses exist than income on T-1.

    For Custom Only: If field 31 = C for Custom:

    This figure represents the estimated cash amount that pertains to the ETF. This figure usually consists of accumulated dividends less expenses through and including T-1 on a per ETF security share basis. This figure does not include cash amounts delivered in lieu of shares excluded from the daily Creation Unit Portfolio.

    For Foreign Only: If field 32 = F for Foreign:

    For U.S. listed but foreign component based ETFs this figure represents the estimated cash amount that pertains to the ETF. This figure usually consists of accumulated dividends less expenses through and including T-1 on a per ETF security share basis. It can be a negative value if more expenses exist than income on T-1 including currency gain or loss.

  14. Sign field for Estimated T-1 Cash Amount Per ET: “-“ indicates negative value Space = positive.
  15. Net Asset Value per ETF: This value represents the NAV of the ETF on T-1. Market data vendors may publish this figure separately on Trade Date prior to the opening of trading. NSCC does not validate this NAV. value and if an agent does not provide the information for a specific ETF portfolio we do not calculate the value separately. There have been instances when the ETF agent has adjusted the NAV for distributions. In those rare instances, the unadjusted NAV is sent separately to AP, vendors and the sponsor for publication.

    For Custom Only: If field 31 = C for Custom:

    This value is identical to the standard portfolios NAV per creation unit.

  16. Sign field for Net Asset Value Per ETF: "-“ indicates negative value space = positive value.
  17. Total Cash Amount per Creation Unit: This figure represents the actual cash amount that pertains to a creation or redemption affected on trade date. For portfolios with components, it reflects the accumulated dividends less expenses through trade date, plus any balancing amount. It can be a negative value if more expenses exist than income on T. For cash-based portfolios, it is the entire value of the portfolio when the components are not listed for informational purposes.

    For Custom Only: If field 31 = C for Custom:

    This figure represents the actual cash amount that pertains to a creation or redemption affected on trade date including the value of the missing components.

  18. Sign field for Total Cash Amount per Creation Unit: “-“ indicates negative value space = positive value.
  19. Total Shares Outstanding per ETF on T-1: This figure represents the total number of ETF shares outstanding on the date the PCF is distributed (T-1).

    For Custom Only: If field 31 = C for Custom:

    This figure is identical to the total shares outstanding in the standard portfolio on the date the PCF is distributed (T-1).

  20. Dividend Amount per ETF on T-1: For those ETFs that pay dividends, this represents the net income of the fund per Index Receipt as of T-1. It can be a negative value if more expenses exist than income on T-1. Not all ETF agents provide this information.

    For Custom Only: If field 31 = C for Custom:

    This figure is identical to the dividend amount provided in the standard portfolio of the ETF.

    For Foreign Only: If field 32 = F for Foreign:

    For U.S. listed but foreign component base ETFs that pay dividends, this represents the net income of the fund per Index Receipt as of T-1. It can be a negative value if more expenses exist than income on T-1 including currency gain or loss. Not all ETF agents provide this information.

  21. Sign field for Dividend Amount Per ETF on T-1: “-“ indicates negative value space = positive value.
  22. Estimated Value of cash in lieu Components per Creation Unit: For those ETFs with components the sponsor or agent has identified as deliverable by cash-in-lieu only, on T-1.
  23. Cash Only Indicator: This identifies if the ETF’s portfolio can be created or redeemed for cash only because the components are ineligible for the automated create / redeem process. If the agent provides the components, NSCC will list the components that represent the cash for informational purposes only.
  24. ETF Expense Ratio on T-1: Expressed in basis points and should represent the percentage of the fund assets, net of reimbursements used to pay for operating expenses and management fees, administrative fees, and all other asset-based costs incurred, excluding brokerage costs. Depending upon the agent’s role with the ETF sponsor, they may be unable to provide this optional value.
  25. Total Net Asset Value of ETF Fund on T-1: This represents the funds per-share price. It is the result of dividing the ETFs total net assets by its number of shares outstanding. Depending upon the agent’s role with the ETF sponsor the agent may be unable to provide this optional value.
  26. ETF Shares Per Create/Redeem Unit: This is the number of shares that are created or redeemed for a particular ETF. For example, the S & P 400 MidCap Spider “MDY” can be created and redeemed in lots of 25,000 shares. The creation / redemption amount does not change for a custom basket even though less than 400 shares are in the portfolio.
  27. ETF Symbol: From NSCC Security Master Database that represents the trading “ticker” in the U.S. secondary market.
  28. CNS Eligibility Indicator: From NSCC Security Master Database.
  29. ETF Create Redeem Identifier:
    • Y = ETF Basket can be created or redeemed through the NSCC automated process.
    • N = ETF Basket cannot be created or redeemed through the NSCC automated process.
  30. Prior Days Portfolio being used:
    1. Y = Prior day’s portfolio.
    2. Space = Today’s portfolio.
  31. Custom or Standard:
    1. C = Custom.
    2. S = Standard
  32. Foreign or Domestic:
    1. D = Domestic.
    2. F = Foreign.
  33. NSCC New Portfolio:
    1. Y = New portfolio.
    2. Space = Existing portfolio.
  34. ETF Classification Code:
    1. Equity: Exchange traded funds (ETFs) comprised of domestic or foreign securities and/or ADRs that track the performance of an equity index or a basket of stocks.
    2. Fixed Income: Exchange traded funds that invest in fixed income products, such as corporate, municipal, US government, government agency or foreign domiciled bonds.
    3. Commodity: Exchange traded funds with underlying investments in the futures contracts (not the actual physical commodity) that track the performance of an individual commodity or commodities, such as precious metals, energy or agriculture.
    4. Mixed Asset: Exchange traded funds comprised of a combination of asset classes, such as equities, bonds, commodities, that track a particular index, or a basket of assets.
    5. Alternative: Exchange traded funds that seek to replicate the returns of a benchmark index or basket of assets through the use of futures, swaps, and other ETFs.
    6. Currency: Assets in foreign exchange (“FX”) spot or futures instruments a.k.a. Non-Deliverable Forwards.

In addition, for those ETFs that are leveraged and inverse leveraged an additional identifier will be provided identifying the number of times the ETF is levered. For example, 1X, 2X or 3X’s.