User Guide - Exchange Data International
Contents
1. Code Local or Sedol or SeclD or ISIN Date ex date Reason DIVPERIOD dividends ONLY O exchange data international 8 Exchange Data International Adjustment Factors User Guide When adjusting price data directly and there is a need to ensure that any particular event is not applied multiple times it is necessary to track which events have been applied Usually this would only be necessary on the most recent date and previous days can be ignored Either way the key in this case would comprise of Code ticker code or SeclD Date ex date Reason Status DIVPERIOD dividends ONLY Status is necessary because you need to know that a rescinded event has been applied or not rescinded events like active events should not be applied more than once Tracking adjustments is especially important when using the interim adjustment files rather than just the last published interim file which is the official file for that day Adjustment records in interim files can change significantly including being in earlier interim files and gone in later ones event cancelled during the day Suggested methodology 1 Download latest incremental file and save to disk 2 Compare recently downloaded file to previously downloaded file of same date and ascertain what is missing and handle accordingly You can either update your database directly at this point or copy the missing record into the recently downloaded file and change2. is not rescinded it is simply gone For this reason when using interim files it is especially important to track adjustments see Tracking the Adjustments Let s look at a specific example On the 12 12 2012 we published a factor for ASX JHX dividend of 0 047746370 On the 19 12 2012 the dividend changed from 0 047746370 to 0 047465 so we cancelled the original adjustment factor record by rescinding it and published a new record based on the revised information You would need to remove the old record from your database before loading in the new record gt exchange data international 11 Exchange Data International Adjustment Factors User Guide Appendix 1 Applying the adjustments example Assuming you have the following adjustments for a particular security 2007 05 22 0 87 2008 09 27 0 555 2009 11 05 1 27 2010 03 03 0 666 The usual method used to back adjust prices is to move forward in time i e start with the earliest factor and move to the most recent This is usually the only method available when receiving a daily data feed of prices and adjustments and adjusting as they come in The method is simple 1 Multiply all prices prior to 2007 05 22 by 0 87 2 Multiply all prices prior to 2008 09 27 by 0 555 including those done in point 1 3 Multiply all prices prior to 2009 11 05 by 1 27 including those done in point 2 4 Multiply all prices prior to 2010 03 03 by 0 666 including those done in p
3. In all these cases an option flag is set in the Detail field e g OPTION 1 detailing that this is option 1 or option 2 or option 3 etc Where there are multiple options you will need to choose one of the options and use that one If unsure which option to use then use OPTION 1 RULE Never apply multiple adjustments with same ex date EventID and different option flags Price Values Close is the physical close price as disseminated by the exchange provided the security traded today otherwise the close is the valuation close if provided by the exchange else it is the last traded price irrespective of how many days ago that might be Last is simply the previous close irrespective of whether it is a price or a value Open is today s open price as disseminated by exchange Relationship Generally there is a one to one relationship to the underlying corporate action however in a few circumstances this is not true 1 When a dividend delivers both cash and script the corporate action specifies this as a DivType of Both This is split into two separate adjustment records one for the cash component and the other for the script component which can be recombined later as desired When this happens the OPTION flag will be set to the same in each case RULE Where you see a script dividend adjustments and a cash dividend adjustment with the same EventID ExDate amp Option you can optionally recom
4. rights consolidation etc factored into the earlier prices Once adjusted meaningful comparisons can be made between a recent price and an earlier price e g comparing a recent price of 15 against an earlier price of 20 it would appear that the security has lost 25 of its value however after adjusting the earlier price for the 2 for 1 split factor 0 5 that happened between the two prices you can see that security has actually increased in value by 50 All per share series including prices earnings per share dividends per share assets per share cash flow per share etc need to be adjusted before meaningful conclusions can be drawn about growth rates trends etc Format File Name Convention Adjustment files follow a similar naming convention to EDI s price files Basically the country code followed by an underscore then the MIC followed by an underscore then AJ followed by the six character date yymmdd followed by sequence number if more than one file then txt For example LSE adjustment files for 1st Apr 2010 would be named GB_XLON_AJ100401 txt GB_XLON_AJ100401_02 txt GB_XLON_AJ100401_03 txt GB_XLON_AJ100401_04 txt OD exchange data international 3 Exchange Data International Adjustment Factors User Guide In the above example the _04 file is the most recent file and completely replaces all previous files Each time an adjustment file is created it uses the most rec
5. Distribution o 02 Rights in different class o 13 Bonus same class o 03 Entitlement in same class o 14 Bonus different class o 04 Entitlement in different class o 16 Capital Reduction o 05 Subdivision o 17 Cash Dividend o 06 Consolidation o 18 Script dividend same class o 09 De merger o 20 Script dividend different class o 10 Capital Return o 21 Capital Call e Factor adjustment factor e Detail text description of the event also contains flags in square brackets e g OPTION 1 e EventType code for type of event sourced from corporate action specifically the code for the type of corporate action o BON Bonus o DIV Dividend o CALL Call o ENT Entitlement o CAPRD Capital Reduction o RCAP Return of Capital o CONSD Consolidation o RTS Rights o DMRGR De merger o SD Subdivision o DIST Distribution EventID Unique identifier for this event sourced from corporate action ResSedol resultant SEDOL sourced from corporate action USCode US Code sourced from corporate action PrimeEx primary exchange sourced from corporate action Closed previous close price used in calculation of factor where applicable ResISIN resultant ISIN sourced from corporate action ResLocal resultant local code sourced from corporate action Sentiment market sentiment the market s reaction to the event Simply the previous close divided by today s open O exchange data international 5 Exchange Data Intern
6. international 14 Exchange Data International Adjustment Factors User Guide exchange data international Contact Information United Kingdom Headquarters Exchange Data International Ltd Churchill House 5t Floor 142 146 Old Street London EC1V 9BW Tel 44 207 324 0020 Fax 44 207 324 0021 United States Exchange Data International Inc 142 West 36t Street Room 1009 New York NY 10018 Tel 212 214 0825 Fax 212 214 0825 Canada Exchange Data International Inc 4th Floor 6500 TransCanada Service Rd Montreal H9R 0A5 Tel 514 755 8469 Fax 514 426 6101 South Africa Exchange Data International 11 Midhurst Way Constantia Cape Town 7806 Tel 27 0 79 553 1370 Fax 27 0 800 981 745 Morocco Bloc A Numero 46 Lotissement Azaitoune Tikiouine Agadir 80650 Tel 212 528 290 255 Fax 212 528 290 356 gt exchange data international Jonathan Bloch Chief Executive Officer Cell 44 7785 550 043 E mail j bloch exchange data com Kevin Brady Executive Director Cell 44 7880 732 374 E mail k brady exchange data com Andrew Sabourin Business Manager Tel 44 207 324 0028 E mail a sabourin exchange data com Brian James Business Manager Tel 44 207 324 0029 E mail b james exchange data com Michael Hyland Business Manager USA Cell 1 732 618 2854 E mail m hyland exchange data com David Mallette Business Manager Canada Cell 1 450 441
7. the status to R 3 Use recently downloaded file to update database Negative Factors These are rare however can happen for example when a DIV dividend is paid that is greater than the share price on the ex date or a RCAP return of capital that is also greater than the share price on the ex date This type of event can happen when a fund is being closed down and final distributions made in form of a DIV or RCAP Factors of 1 A factor of 1 can either be a valid factor or default factor where one could not be calculated Default factors are 1 0 because this is mathematically neutral and can be used as placeholders when factors cannot be calculated Reasons for not being able to calculate factors include 1 No stock close price when a stock close price required 2 Noissue open price when an issue open price required 3 Unable to perform currency conversion when required For exact nature of reason why a factor could not be calculated refer to Errors field gt exchange data international 9 Exchange Data International Adjustment Factors User Guide However factors of 1 are valid in following circumstances 1 When a RTS rights or ENT entitlement issue makes the issue available at a price that is equal to or above the current stock price issue price gt stock price 2 When a company does a RTS rights or ENT entitlement issue of options with an exercise date far in the future the impact may be o
8. 3453 E mail d mallette exchange data com Matt Quigley Business Manager South Africa Tel 27 7955 313 70 E mail m quigley exchange data co za Said Benbihi Office Manager E mail s benbihi exchange data com 15
9. 4 26 09 2008 0 4694301 53 24 8797953 27 09 2008 0 555 0 84582 30 25 3746 28 09 2008 0 84582 32 27 06624 0 84582 33 27 91206 04 11 2009 0 84582 32 27 06624 05 11 2009 1 27 0 666 41 27 306 06 11 2009 0 666 41 27 306 0 666 43 28 638 01 03 2009 0 666 44 29 304 02 03 2009 0 666 44 29 304 03 03 2009 0 666 1 28 28 04 03 2009 1 28 28 O exchange data internat Exchange Data International Adjustment Factors User Guide Support Exchange Data International offers client support from 0800 hours 2230 hours GMT Monday Friday Opening hours on UK bank holidays will be 1400 hours 2230 hours GMT except for Christmas Day and New Year s Day when we are closed All queries should be sent via the online customer support centre or via email to support exchange data com Alternatively clients can contact the support department via the main Switch Board 44 0 207 324 0020 EDI offers 24h phone support Monday to Friday for all its pricing services We aim to acknowledge all queries within an hour of receipt and answer the queries within 24 hours where possible We will send a progress report if the query is not resolved within that timeframe We resolve around 95 percent of customer queries within 24 hours All queries sent to our Support department are filtered and dispatched to the relevant department An IT staff member is engaged in the communication process to resolve complicated technical issues O exchange data
10. 4 gt exchange data international Worldwide Adjustment Factors User Guide www exchange data com V2 4 January 2014 Exchange Data International Contents TMG es Sl sche a dite a Rasdshds Option els Eeepreeeee ene tere re ry Mer aren err erent erent Price V AIUES snn Relationship rains striate 0 ass 5 orn socirniaedeleedeciadesidaands Applying the adjustment ccccssssseeeeeeees Tracking the adjustments cece Negative PAC OUS cscs re seate tetera aster cide acaieeencils Factors of orseson Reissuing adjustments Cancelling adjustments Appendix 1 Applying the adjustments example SUPPO seres ena a E ance emaeeds Contact Information ccccccceceeeeesseeeeeetseeeeeseseeeseeees OD exchange data international Adjustment Factors User Guide Exchange Data International Adjustment Factors User Guide Overview Adjustment factors are generated using price data and corporate action data supplied by Exchange Data International EDI and foreign exchange data supplied by Electronic Information Solutions EIS The following events corporate actions are supported e Bonus e De merger e Return of Capital e Call e Distribution e Rights e Capital Reduction e Dividends e Subdivision e Consolidation e Entitlement Offer One of the principal uses of adjustment factors is to back adjust EOD end of day per share price data so that the price series can be graphed with the effect of any events bonus
11. ational Adjustment Factors User Guide e Errors hexadecimal value indicating any errors encountered in calculating the factor when any of the following happen the factor is set to 1 This is a bit flag where each bit has the following meanings O O Q O O 0000 No errors detected 0001 No recent within 6 months close price found If processing primary exchange and no recent within 6 months price available then code set to 0001 and defaults to using older more stale close price If not primary exchange then will attempt to get recent close from primary exchange if available then will set error code 0020 else will set error code 0001 and use stale price if available 0002 No open price found 0004 Currency mismatch and unable to convert 0008 Issue price was equal to or greater than the stock price 0010 Issue was in the class of an option and therefore impact of little significance and or difficult to determine 0020 Last price from PrimeEx used 0040 Open price from PrimeEx used 0080 Factor from PrimeEx used Note SEDOL is a registered trademark of London Stock Exchange plc Timing Adjustment factors are provided on the ex date of the event except 1 when the corporate action is incomplete missing core fields like Ratio New etc in which case the factor will be provided as soon as the corporate action becomes complete after the ex date or 2 the factor calculation req
12. bine the two by multiplying the two factors together 2 When an event is the linked to a previous event they will be combined into a single adjustment record For example in Stockholm they often return cash to shareholders in the form of free redemption rights RDR followed by a return of capital on those redemption rights When this happens only one adjustment record will be generated for both corporate actions gt exchange data international 7 Exchange Data International Adjustment Factors User Guide Applying the adjustments Decide which type of adjustments you want to apply DIV BNS etc then use the Reason field to access only those adjustments and ignore the others Prior to using any adjustment factor check that no other adjustment record has the same EventID and ExDate if it has then check the OPTION flag you should only use one of the options for the same EventID and ExDate This is common when a shareholder has the choice of taking a dividend in multiple currencies and cash or script selection Refer description on OPTION flag for further information WARNING USCOMP adjustments are a special case where the same event can come in from multiple exchanges therefore in addition to the above you will need to select one exchange s events For example a composite security might be listed on the AMEX NASD amp NYSE when it does a subdivision you will have 3 subdivisions adjustment records you will need to choo
13. ent price file information and most recent corporate action information making earlier adjustment files obsolete Adjustment file updates happen regularly for many reasons including receipt of unconfirmed price file the receipt of confirmed price file for yesterday today and tomorrow etc The last adjustment file update for today will happen when the first price file for tomorrow business day is received therefore when downloading adjustment files always download yesterday s adjustment file with today s adjustment file 1 On receipt of today s unconfirmed price file the last adjustment file update for yesterday last business day will be generated an interim update for today s adjustment file will be generated and the first adjustment file for tomorrow next business day will be generated 2 On receipt of today s confirmed price file an interim update for today s adjustment file will be generated and an interim update for tomorrow s next business day adjustment file will be generated NOTE no update for yesterday s last business day adjustment file will be generated 3 On receipt of tomorrow s unconfirmed price file the last update for today s adjustment file will be generated an interim update for tomorrow s adjustment file will be generated and the first adjustment file for the next day will be generated 4 Adjustment file updates will be discarded if nothing changed between recent update file and pre
14. f little significance or difficult to determine due to uncertainty 3 CAPRD Capital reduction of 1 for 1 Reissuing adjustments Adjustments will be re issued and the original adjustment record rescinded if any of the corporate action key fields change after the date the adjustment was first published For example if the RatioNew or RatioOld change after the date of first publication then the original adjustment will be rescinded after March 2010 and a new adjustment will be issued NOTE Very rarely EDI might reprocess all adjustments for a specific exchange in which case you will be supplied via email or special FTP download all reprocessed adjustment files going back to 2007 You will need to remove all data loaded from the original adjustment files up to the date of the reprocess and then load all data from the newly reprocessed adjustment files The easiest way to remove the old data from your database is by using an identifying field that specifies the prefix of the filename from which they were loaded For example if loading from AU_XASX_AJyymmdd txt you would set the File field in your database record to AU_XASX Doing this will facilitate the later removal if necessary Reprocessed files are consolidated into a single file so one file replaces all incremental update files for example CC_MIC_Ajyymmdd txt replaces all below 1 CC_MIC_Ajyymmdd txt 2 CC_MIC_Ajyymmdd_02 txt 3 CC_MIC_Ajyymmdd_03 txt All excha
15. nges where reprocessed in early 2013 so history prior to 2013 should not contain any incremental update adjustment files If you do receive history that has incremental update prior to 2013 then you have received the incorrect history do not use this gt exchange data international 10 Exchange Data International Adjustment Factors User Guide Cancelling adjustments Adjustments are rescinded if the original adjustment is cancelled or re issued after the publication date usually the ex date Where an adjustment has been rescinded this will need to be removed reversed out of your system If you are loading the adjustment records into a database then you will need to remove the rescinded adjustment record from your database If you are back adjusting price series data then you will need to reverse the rescinded adjustment record from your price series data using the inverted factor to reverse the original adjustment It is recommended to process rescinded adjustment records before processing any re issued adjustment records NOTE During the day of publication if an adjustment is cancelled or re issued it is not rescinded the change is simply reflected in the next interim file For example if a dividend is cancelled on the day of publication then the interim file before cancellation will contain an adjustment record for that dividend however an interim file after the cancellation will not contain an adjustment record it
16. oint 3 An alternative method to back adjust prices is to move back in time i e start with the most recent factor and move to the earliest This can only be used when bulk adjusting a large number of historical prices however it is also the faster method The method is slightly more complex 1 Factor 1 2 Multiply all prices from most recent back to 2010 03 03 by Factor 3 Factor Factor 0 666 4 Multiply all prices from 2010 03 02 back to 2009 11 05 by Factor 5 Factor Factor 1 27 6 Multiply all prices from 2009 11 04 back to 2008 09 27 by Factor 7 Factor Factor 0 555 8 Multiply all prices from 2008 09 26 back to 2007 05 22 by Factor 9 Factor Factor 0 87 10 Multiply all prices from 2007 05 21 back to earliest prices by Factor The second method is also used when the prices are stored in a database un adjusted alongside the adjustments When loading the prices they can be back adjusted on the fly using the second method O exchange data international 12 Exchange Data International Table of unadjusted and adjusted prices Adjustment Factors User Guide Date Factor Combined Unadjusted Adjusted Price Factor Price 20 05 2007 0 408404 187 57 23 279038659 21 05 2007 0 408404187 58 23 687442846 22 05 2007 0 87 0 4694301 52 24 4103652 23 05 2007 0 4694301 53 24 8797953 0 4694301 55 25 8186555 25 09 2008 0 4694301 54 25 349225
17. se one Compare the factor to the sentiment value if available they should be roughly the same if they are significantly different then the factor should be used with caution or even modified to bring it closer to sentiment this is purely your prerogative Multiply all historical prices up to but not including the ex date by the factor Optionally divide all historical volumes up to but not including the ex date by the factor for consolidations and subdivisions only For an example of this see Appendix 1 Be prepared for corrections to come through at a later date in the form of rescinded adjustment records in which case you need to reverse or remove the original adjustment Tracking the adjustments When applying the adjustments you need to be able to identify a specific adjustment in a database or which adjustments have been applied to the price data when applying directly Using the date by itself is not sufficient because there might be multiple adjustments for same security on same date ex date In each case a key is required to uniquely identify the event For a database of events for specific exchange the key would comprise of Date ex date Reason DIVPERIOD dividends ONLY Therefore when deleting inserting or replacing you would use the key to see if a corresponding event already exists When using a database that contained all adjustments from all exchanges you would probably use a key like Exch PrimeEx
18. uires the open price of a security that has not traded yet in which case it will generate a factor as soon as the security trades The first generation of factors for a particular ex date will happen close of market the day before the ex date and the last generation of factors for a particular ex date will happen close of market the day after the ex date Every time a price file is received confirmed or unconfirmed during this period an adjustment factor file will be generated Each time an adjustment factor file is generated it is compared to the previous file of same date and if different it is published filename incremented and loaded up to EDI s servers if it is not different it is not published For example Exdate 1 CC_MIC_AJyymmdd txt Exdate 0 CC_MIC_Ajyymmdd_02 txt if different to previous file Exdate 1 CC_MIC_Ajyymmdd_04 txt if different to previous file gt exchange data international 6 Exchange Data International Adjustment Factors User Guide Option flag Often the shareholder is given the option of taking the event in a few different ways for example a dividend might be paid in USD or GBP and the shareholder needs to choose how they wish to receive it alternatively it might be paid as cash or script or a combination of both again the shareholder needs to choose how they wish to receive the dividend Also de mergers and distributions might have different options for the shareholder to consider
19. vious update file Record Format Each adjustment record consists of the following fields in a tab separated format e Secid Security identifier as used in both EDI s price files secid and corporate actions SeclD This field can be used to link the adjustment record to the price file record and the corporate action record e IssuerName Name of issuer for the security being adjusted sourced from corporate action e SectyCD Type of security being adjusted sourced from corporate action o EQS Equity o DR Depository Receipt o WAR Option Warrant e ISIN ISIN Code sourced from corporate action e Sedol SEDOL code sourced from corporate action O exchange data international Exchange Data International Adjustment Factors User Guide e Status Adjustment record status o A Apply o R Rescind remove reverse indicates that this adjustment was been cancelled or re issued after an adjustment record has already been published Note this can happen years after the ex date For further information refer Rescinding the Adjustment section e Market MIC code sourced from corporate action e Symbol code used in price files pricefilesymbol closest match to LocalCode in corporate action and often the same as the exchange s ticker symbol e ExDate ex date effective date of the event in the format of yyyymmdd e Reason 2 byte reason code o 01 Rights in same class o 11
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