What is changing?

Nasdaq is updating its proprietary data feeds specifications to support Exchanged Traded Managed Funds (ETMF), a new asset class to be introduced in the 4^th quarter of 2015.

Updated 6/30/2015: Nasdaq no longer plans on the addition of a sale condition modifier for proxy price transactions on Nasdaq Last Sale / Nasdaq Last Sale Plus.

What is an ETMF?

Approved by the SEC in November 2014, ETMFs are a new type of investment vehicle combining features of open-end mutual funds and exchange- traded funds (ETFs). ETMFs will support actively managed investment strategies, while offering the performance advantages and tax efficiencies of ETFs.

Nasdaq is working with Navigate Fund Solutions (NFS) on the ETMF initiative. At time of launch, Nasdaq expects ETMFs will carry the NFS brand “NextShares” in the instrument name. For more information, please visit the NextShares website at www.nextshares.com.

What is a NAV-based trading model?

ETMFs will trade on Nasdaq using a new trading protocol called ‘‘NAV-Based Trading.’’ In NAV-Based Trading, all bids, offers, and execution prices will be expressed as a premium/discount (which may be zero) to the ETMF’s next-determined net asset value (NAV). Executions using NAV-Based Trading will be binding at the time orders are matched on Nasdaq’s facilities, with the transaction prices contingent upon the determination of the ETMF’s NAV at the end of the business day.

To address format limitations for order and trade systems, Nasdaq will represent that ETMF’s next-determined NAV via a proxy price (e.g., $100.00) and a premium/discount of a stated amount to the next-determined NAV. This will be represented by the same increment/decrement from the proxy price used to denote NAV (e.g., NAV-$0.01 would be represented as $99.99; NAV+$0.01 as $100.01).

What data elements will Nasdaq support for ETMFs?

As part of the normal trading process, Nasdaq will support the net order imbalance, order, quotation and trade data for ETMFs in proxy price on its exchange data feeds. In addition, Nasdaq will disseminate the NAV premium / discount amount for vendor display purposes on QBBO, NLS and NLS Plus.

As a reference point, Nasdaq will disseminate Intraday Indicative Values (IIVs) for ETMFs via the Nasdaq Global Index Data Service (GIDS) data feed on a 15-minute basis intraday. At the end of each trading day, Nasdaq will disseminate the daily NAV from the fund accounting firm via the Mutual Fund Dissemination Service (MFDS) data feed.

What data feed format changes will Nasdaq be making for ETMFs?

Nasdaq has summarized its proprietary data feed changes in the table below. For feeds which will have new versions (NLS, NLS Plus, and QBBO), the planned parallel period for the 2.0 and 2.1 versions will be October 1, 2015 – January 29, 2016. The 2.0 versions will be turned down at the end of the day on January 29, 2016.

How does Nasdaq recommend market data vendors display ETMF data?

Nasdaq and NFS request that market data vendors display ETMF orders, quotations and trades in NAV-based format, if at all possible. For display use, Nasdaq is including the NAV premium / discount amount data points on QBBO, NLS and NLS Plus for this purpose. Firms may also calculate the NAV premium / discount amount from proxy price field by deducting $100 from the disseminated value.

If firms decide to display ETMF data in proxy price format, Nasdaq and NFS are asking firms to add an indicator to the display so consumers to understand that this value is not the actual execution price for the trade/quote.

Will ETMFs be supported on UTP SIP data feeds?

Since ETMFs are Regulation NMS eligible securities, the UTP SIP is expected to support best bid and offer quotations and trade executions for the new asset class in proxy price format. Nasdaq is working with the UTP Operating Committee (UTPOC) to determine the ETMF messaging formats for the UTP SIP data feeds.

When will ETMFs be launched?

Nasdaq plans to begin listing and trading ETMFs in the fourth quarter of 2015.

Where can I find additional information?

• Refer to ETMF Frequently Asked Questions (FAQ) document.
• Refer to NextShares website at www.nextshares.com.
• Refer to the Nasdaq proprietary data feed specifications
• Contact Nasdaq Global Data Products at +1 301 978 5307 (Option 3).