Price or Replicate MSCI Indices Intraday
The MSCI Market Open Index files help clients price or replicate MSCI indices more efficiently intraday and at market close. The files are delivered at the close of the day prior to market open and contain new data points, such as index divisors, index and security dividend points and intraday number of shares. ”Interim index constituents” are also included to capture the impact of corporate events on the index, eliminating the need for clients to refer to Price Adjustment Factors (PAFs) for index calculation. Intraday changes to index composition are communicated via email throughout the day.
The MSCI Market Open Index files are complementary to the current MSCI files and are available at no additional cost to clients that are licensed to receive the corresponding MSCI Data Modules.
Facilitates index replication— Disseminated after market close (t-1), the market open index file gives a complete description of the index constituents for the next day’s (t) market open and intraday in a consistent and easy to use format. It also provides a list of index changes effective as of the next market close (t) for the following market open (t+1).
Enhances index pricing procedures— New data points such as index divisors help value MSCI indices intraday while dividend points show index dividends expressed as a fraction of the index level.
Enables efficient accounting for intraday corporate events— Certain intraday corporate events are captured as “interim index constituents” that explicitly show the impact of the event on the index level. Formerly, although such corporate events influenced index performance, they required the use of price adjustment factors (PAF) to calculate index levels.
If you would like to start receiving the MSCI Market Open Index File, contact us.
