NAV in Share Class Base Currency for Given ISIN
Hi,
I try to request in Python via Codebook NAV in shareclass base currency and shares outstanding for chosen ISIN.
I tried with ISIN: IE00B3XXRP09 which base currency is USD.
In very first try I used code:
instrument = 'IE00B3XXRP09'
fields = ['TR.CompanySharesOutstanding','TR.NETASSETVAL']
history = rd.get_history(
universe=instrument,
fields=fields,
interval='1D',
start='2015-01-01',
end='2024-06-17'
It returned NAV in GBP. After contacting support they advise me to change the code to:
rd.open_session()
instrument = 'IE00B3XXRP09'
fields = ['TR.CompanySharesOutstanding','TR.NETASSETVAL(Curn=USD)']
history = rd.get_history(
universe=instrument,
fields=fields,
interval='1D',
start='2015-01-01',
end='2024-06-17'
)
In that case indeed, i get very close bot not exactly same numbers. I compared value as of 14 June from this request with Vanguard official number from their website:
Vanguard website: 102.89
Refinitv extract: 102.826815
Where this difference coming from? NAV in USD is sourced directly from vanguard or it is just converted from GBP with some FX that rise this difference?
Most important how can I source NAV in shareclass base currency, that match official Vanguard NAV?
Best Answer
-
Hi @b.igla , If you want official data from the fund management companies (not exchanges), better use data sourced from Lipper. i.e., use functions with name starts with "TR.Fund".
Below is a sample code to get the official NAV reported by fund house in the fund's denominated currency (USD in this case).
import refinitiv.data as rd
rd.open_session()
df = rd.get_data(
universe = ['IE00B3XXRP09'],
fields = [
'TR.FundNAV(SDate=20240613, EDate=20240619, Curn=Native)',
'TR.FundNAV(SDate=20240613, EDate=20240619, Curn=Native).date'
]
)
display(df)You should have the results shown as:
Instrument NAV Date
0 IE00B3XXRP09 102.9139 2024-06-13
1 IE00B3XXRP09 102.8947 2024-06-14
2 IE00B3XXRP09 103.6935 2024-06-17
3 IE00B3XXRP09 103.9576 2024-06-18
4 IE00B3XXRP09 103.9576 2024-06-190
Answers
-
Hi @b.igla
With parameter (Curn=USD) the values are recalculated using the close price from the FX RIC code. In this example it would be GBP=. Please note that those are OTC prices, so the value may be different across different vendors and snapping time. See below and compare.
instrument = 'IE00B3XXRP09,GBP='
fields = ['TR.CompanySharesOutstanding','TR.NETASSETVAL(Curn=USD)','TR.NETASSETVAL(Curn=USD)','TR.BIDPRICE']
history = rd.get_history(
universe=instrument,
fields=fields,
interval='1D',
start='2015-01-01',
end='2024-06-17'
)0 -
As I assumed, thats FX difference. So how to extract NAV in base currency without converting it from GBP? So it match official nav delivered by Issuer.0
-
Hi @b.igla
If you want to get a quote without currency quotation done by LSEG you need to find a RIC code that corresponds to an entity that is trading with selected currency. If you are uisng Codebook then you have access either to Eikon or Refinitiv Workspace. You can open app AllQuotes (AQ) to see all the quotations and choose the one you are interested in. In case of content specific questions, please reach out to our content support via
MyRefinitiv.com0
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