I don't think Ensembl produces this file but there are several ways you could produce one:

• with the API: extract the chromosome slice between gene start and gene end.
• get gene coordinates from the GTF file and extract the corresponding sequence from the DNA file
• use Ensembl's biomart

Hi,

There's a python module for working with Ensembl annotations and sequences that can save you a lot of time. It's called pyGeno, and those few lines should do the trick :

from pyGeno.Genome import *

ref = Genome(name = "GRCh37.75")

#For a specific transcript you can do:
trans = ref.get(Transcript, id = "ENST...")
print trans.cDNA

If you want the sequences for all the transcripts of the genome:

for trans in ref.iterGet(Transcript) :
   print trans.id, trans.cDNA

But first you'll have to import the human reference genome

import pyGeno.bootstrap as B
B.importHumanReference()

pyGeno: https://github.com/tariqdaouda/pyGeno

Cheers