Master data precision specification. Release 1.0. Boerse Stuttgart AG Börsenstraße Stuttgart to be referred to as Boerse Stuttgart

Transcription

1 Master data precision specification Release 1.0 Boerse Stuttgart AG Börsenstraße Stuttgart to be referred to as Boerse Stuttgart precision specification - bonds - release 1 0.doc page 1 of 14

2 Document information Information classification public Reference documents Document title Version Date precision specification - bonds - release 1 0.doc page 2 of 14

3 Content 1 Introduction Purpose of the document Structure of the document Data transport Introduction Scope and assignment Data packages Basis-package Premium-package Distribution ways and times Adjustments of valuations Data sets (content) Basis-package CSV-File financial instrument master data for bonds Premium-package financial instrument market data to bonds Value range (content) Value range 13 active attributes Value range 23 periodicity of the termination Value range 25 additional interest information CashFlow Value range 26 interest dependency CashFlow Value range 27 day-count convention Value range 36 trading segment Value range 36 trade initiative Value range 50 market segment precision specification - bonds - release 1 0.doc page 3 of 14

4 1 Introduction 1.1 Purpose of the document This document specifies the financial instrument master data feed for bonds of Boerse Stuttgart in the version 1.0 from January 2014 as follows: The scope of the financial instrument master data feed of the Basis-/Premiumpackage for bonds The respective field contents The field formats The data transport 1.2 Structure of the document This document contains 3 main chapters: Chapter 2 with the description of the data transports (files) Chapter 3 with the data content separated of the two data sets Chapter 4 with the value ranges of the individual TAGs / fields precision specification - bonds - release 1 0.doc page 4 of 14 < Boerse Stuttgart AG>

5 2 Data transport 2.1 Introduction The financial instrument master data feed which is included in the Basis-package is implemented in a CSV-file. 2.2 Scope and assignment This financial instrument master data feed contents only the financial instruments master data for bonds which are traded at the Stuttgart stock exchange for which an instrument traded at the Stuttgart stock exchange is set as an underlying. 2.3 Data packages The financial instrument master data feed consist of the packages. The contents are explained in chapter Basis-package The Basis-package covers the following CSV-file Premium-package Currently not available. precision specification - bonds - release 1 0.doc page 5 of 14

6 2.4 Distribution ways and times The financial instrument master data of Boerse Stuttgart is currently only distributed by a file-based infrastructure. FTP(s) server infrastructur (File-based) An infrastructure which distributes the data file-based and which is easily accessible over the internet. The data sets of the financial instrument master data feed are supplied concerning the following. Time (approximately) Several times a day (Times are not fixed) Description > 10:00 CET Start of delivery > 6:03 CET End of delivery Server und Struktur The CSV-file will be made available on the FTP server, currently in the following sequence: ca. 10:03 AM, ca. 3:03 PM, ca. 6:03 PM Server: myftp.boerse-stuttgart.de Encryption over TLS (User / Password) File structure: Bond_yyyymmdd_hhmm precision specification - bonds - release 1 0.doc page 6 of 14

7 2.5 Adjustments of valuations Because of market caused, new characteristics for the value ranges can occur near-term. The Stuttgart Stock Exchange tries to announce the new characteristics at least one week before the first use and provide the appropriate information with the new characteristics. Therefore, Boerse Stuttgart created the web-area for its customers, which can be found under the following link: The access to the web area can be requested by Boerse Stuttgart under As soon as new information will be posted in the web area, all registered users will be informed. precision specification - bonds - release 1 0.doc page 7 of 14

8 3 Data sets (content) 3.1 Basis-package CSV-File financial instrument master data for bonds The CSV-file includes financial instrument master data of the respective bond. The data is clearly identified by the ISIN which is primary key of the financial instrument (column 1). In this file 51 columns are supplied. The CSV-file bond_yyyymmdd_hhmm is composed as follows: Column Field Type Description 01 ISIN String (12) Explicit international securities identification number (ISIN) of the instrument 02 WKN String (6) Explicit German security identification number of the instrument 03 Marketing name of the bond String (256) Includes the name of the product which is determined by the issuer 04 Interest loan Dec (18,9) Contains the current coupon 05 Nominal value Dec (20,5) Parity value of the bond 06 Nominal currency String(3) Currency of the parity value 07 Smallest buyable amount Dec (20,5) Smallest buyable amount stated as parity value or amount. 08 Name of issuer String (100) Official name of the issuer 09 English name of the issuer String (100) Official name of the issuer in english. Will only be filled if different from the german name. Otherwise the field is blank. 10 URL of the issuer String 60 Issuer URL for bonds for requests i. e Start of subscription period String (10) Date on which the subscription period starts 12 End of subscription period String (10) Date of the end of the subscription period (if applicable: early). 13 Active status String(1) Includes the active attribute of the bond on the Stuttgart stock exchange. See value range 13: Active status 14 Issue price Dec (18,9) Issue price (pre-tax) 15 Issue volume Dec (20,5) Issue volume (absolute amount) 16 Flag of issue status String(1) a announced initial public offering, before the first trading day n initial public offering starting at the first trading day, persists ca. 7 days 17 Introduction date String (10) If field 16 flag of issue status is filled with a, the date of introduction is mentioned precision specification - bonds - release 1 0.doc page 8 of 14

9 Column Field Type Description here 18 First trading day String (10) First trading day at Boerse Stuttgart 18 Maturity date String (10) Maturity date. If the value is , a perpetual is assumed 19 Date of next interest payment String (10) Includes the date for the next interest payment. 20 Date of next interest String (10) Includes the date of the next interest modification 21 Periodicity of interest modification String (1) modification. Includes the periodicity of which the interest modification is applied. See value range 23: Periodicity of interest modification/termination 22 First termination date String (10) Includes the date of the first possible termination date for the recipient. The following termination dates result from the periodicity. 23 Periodicity of termination String (1) Includes the periodicity of the possible termination date. See value range 23: Periodicity of interest modification/termination 24 Product classification code Numeric (9) Numerical code of the classification on the lowest hierarchical level 25 Additional interest information Cash - Flow 26 Interest dependencies Cash- Flow String (1) String (1) Includes additional information for the arrangement of interest information. See value range 25: Additional interest information Cash - Flow Interest dependencies See value range 26: Interest dependencies Cash-Flow 27 Interest calculation method String (15) Specifies the method who the interest days are estimated. See value range 27: Interest calculation method 28 Kind of price notation String (1) Possible values: S = Quoted in units P = Quoted in percent 29 Flat notice String (1) Indicates if a flatnotice is applicable Possible values: J = Yes N = No 30 Step-Up/Step-Down in case of rating modifications String (1) Indicates if a Step-Up or Step-Down because of a rating modification is possible. Possible values: J = Yes N = No 31 Step-Up conditioned for issue String (1) Indicates if a Step-Up is conditioned for issue. precision specification - bonds - release 1 0.doc page 9 of 14

10 Column Field Type Description Possible values: J = Yes N = No 32 Step-Down conditioned for issue String (1) Indicates if a Step-Down is conditioned for issue. Possible values J = Yes N = No 33 Bond can be terminated by issuer premature String (1) Indicates if the bond can be terminated oremature by the issuer. Possible values: J = Yes N = No 34 Subordinated String (1) Indicates if the bond is subordinated Possible Values: J = Yes N = No 35 Additional information String (4000) The additional information (free text) can (theoretical) include up to 4 textblocks. Every textblock starts with the assignment to the corresponding string. For example Besonderheiten (#BESO:) and Wichtige Handelsinfo (#REST:). 36 Trading segment String (10) Trading segment for the trading place Stuttgart at which the bond is traded during the official trading times. See value range 36: Trading segment 37 Number of ticks (Segment) String (3) Max. bid/ask-spread in base points. The field contains either the amount of base points or / for a blank field. 38 Market Maker 1 String (30) Abbrevation of the market maker for the trading segment; Example: LBBW. This field is always filled. 39 Trading hours 1 String (12) Trading hours in which Market Maker 1 (field 38) is providing the quotes. Example: 09:00 AM 05:00 PM 40 Market Maker 2 String (30) Abbrevation of the second market maker for the trading segment; Example: LBBW. This information is optional. 41 Trading hours 2 String (12) Trading hours in which Market Maker 2 (field 40) is providing the quotes. Example: 09:00 AM 05:00 PM 42 Trading initiative String (15) See value range 42: Trading initative This information is optional. 43 Number of ticks (Initiative) String (3) Max. bid/ask-spread in base points. The field contains either the amount of base points or / for a blank field. 44 Market Maker 3 String (30) Abbrevation of the market maker for the trading initiative; Example: LBBW precision specification - bonds - release 1 0.doc page 10 of 14

11 Column Field Type Description 45 Trading hours 3 String (12) Trading hours in which Market Maker 3 (field 44) is providing the quotes. Example: 09:00 AM 05:00 PM. 46 Flag of Compensation String (1) The compensation quotes are price indications (not actual prices), which are provided on inquiry through other banks. Compensation quotes are inquired if banks perform an intern book-entry transfer. If a line is marked with J, such case is applicable. Possible values: J = Yes N = No 47 Periodicity for interest payment String (1) Includes the periodicity for interest payment date. See value range 23: Periodicity for interest payment/termination 48 Date of interest payment String (10) Includes the starting date for charging the interest. 49 Date of first interest payment String(10) Includes the first interest payment date. 50 Market segment String(2) Includes the information about the market- (stock-) segment. See value range 50: Market segment 51 Issue surcharge Number(18,9) Includes the issue surcharge for initial public offerings in %. If no value is existent, the value 0 is delivered. Example: "CH ";"A1G2B0";"CHF CSG FLR 22";"7.125";"5000";"CHF";"5000";"Credit Suisse";;;;;"T";"101";" ";;" ";" ";" ";;" ";;;;"175";"0";"F";"30/360";"P";"N";"N";"N";"N";"N ";"N";"#BESO:Fremdwà hrungsanleihe: Schweizer Franken (CHF). Floater Kupon: 7,125% bis , danach SFSW5 + 6,685%.";;;;;;;;;;;"N";"Y";" ";" ";"FV";"0" 3.2 Premium-package financial instrument market data to bonds Currently not available precision specification - bonds - release 1 0.doc page 11 of 14

12 4 Value range (content) 4.1 Value range 13 active attributes D Eingestellt No trade anymore E Kein Handel aber Pricing No trading but pricing T Handel Trade Z In Zeichnung In subscription V In Vorbereitung In preparation 4.2 Value range 23 periodicity of the interest payment/termination Y Jährlich Annually S Halbjährlich Every 6 months M Monatlich Monthly Q Quartalsweise Quarterly D täglich daily T Dritteljährlich Every 4 months O Einmalig One-time U Speziell; stellt den Wert Specific; equals the value irregular unregelmäßig dar Z Nicht verfügbar Not available 4.3 Value range 25 additional interest information Cash-Flow B Bonusanleihe Bonus bond S Zinsstruktur Interest rate structure C Credit Linked Note Credit linked note W Wandelanleihe Convertible bond I Inflationsindexierter Zins Inflation linked interest Z Zerobonds Zero bonds 0 Defaultwert, wenn nichts zutrifft Default value if nothing is applicable precision specification - bonds - release 1 0.doc page 12 of 14

13 4.4 Value range 26 interest dependency Cash-Flow A Staatsgarantie Government guarantee F Floater Floater G Tier und Floater Tier and floater H High Yield High yield L IHS Banken IHS banks I Inflationsindexiert Kapital und Zins Inflation linked capital and interest T Tier- / Hybridanleihen Tier/hybrid bond Y Floater und High Yield Floater and high yield 0 Defaultwert, wenn nichts zutrifft Default value if nothing is applicable 4.5 Value range 27 day-count convention ACT/360 ACT/360 ACT/360 ACT/365 ACT/365 ACT/365 ACT/ACT ACT/ACT ACT/ACT 30/360 30/360 30/360 ACTw/252 ACTw/252 ACTw/252 ACT/364 ACT/364 ACT/364 ACT/366 ACT/366 ACT/ / / /365 30/365 30/365 30/365 Description Explanation ACT/360 Euro day count convention (also known as the 'French' convention): Interest is calculated on the basis of the actual number of days, with a year having 360 days. ACT/365 English day count convention Interest is calculated on the basis of the actual number of days, with a year having 365 days. ACT/ACT Convention based on the exact number of days (also known as the 'effective interest method'). Interest is calculated on the basis of the actual number of days, with a year having 365 or 366 days. 30/360 German day count convention: Interest is calculated on the basis of 30 days in a month, with a year having 360 days. ACTw/252 Method using an 'interest calendar': Interest is calculated on the basis actual working days in a month, with a year having 252 working days. ACT/364 Interest is calculated on the basis of the actual number of days, with a year having 364 days (52 weeks times 7 days). ACT/366 Interest is calculated on the basis of the actual number of days, with a year having 366 days. 365/365 Interest is calculated on the basis of the actual number of days (excluding 29 February in a leap year), with a year having 365 days. 30/365 Interest is calculated on the basis of 30 days in a month, with a year having 365 days. precision specification - bonds - release 1 0.doc page 13 of 14

14 4.6 Value range 36 trading segment Bondx Qualitätssegment für Anleihen Quality segment for bonds Bondm spezielles Handelssegment für specific trading segment for corporate Unternehmensanleihen bonds kein keine none 4.7 Value range 42 trade initiative Bondbox Handelsinitiative für Anleihen, die über eine hohe Liquidität und Popularität verfügt. BondXXL BondxXL ist eine Handelsinitiative, die den Stuttgarter Anleihenhandel neben den Privatanlegern auch für institutionelle und semi-professionelle Anleger noch attraktiver macht. keine keine none Trading initiative with high liquidity and popularity for bonds BondxXL is a trading initiative, which is making the Stuttgart Bond Trade attractive for not only the private investors but also the institutional and semiprofessional investors. 4.8 Value range 50 market segment RM Regulierter Markt Regulated market FV Freiverkehr Non regulated market precision specification - bonds - release 1 0.doc page 14 of 14