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SD-13.5 — Benchmark & Index Data Management

Business Domain: BD-13 Investment Data & Reporting (Cross-cutting — data) · Applies: BOTH

Purpose

Manages benchmarks and indices as a data asset — the index header, the effective-dated constituent membership and weights, the index level series, and the cross-reference to private-markets peer universes. A benchmark is meaningless as a comparator unless its composition is known through time; SD-13.5 is the Service Domain that holds it and keeps it current through rebalances and reconstitutions. It is the data-management side of benchmarks — distinct from SD-09.4 Benchmark Management, which selects and constructs the benchmark a portfolio is measured against. SD-09.4 decides which benchmark and defines any custom one; SD-13.5 holds and maintains the underlying data. A custom benchmark SD-09.4 constructs becomes an E-10 record SD-13.5 then maintains.

Service Operations

  • Index-header onboarding — create and maintain the benchmark / index record: what the index is, its provider, its methodology, its currency and its calculation variant (price, total-return, net-total-return).
  • Index-constituent loading — load the effective-dated constituent membership and weight rows as the index provider publishes them, so the index composition is queryable as it was on any historical date.
  • Rebalance and reconstitution processing — apply the index provider’s periodic rebalances (weight changes) and reconstitutions (constituent additions and removals), maintaining the effective-dated history rather than overwriting.
  • Index-level series management — maintain the index level / return time series used to compute benchmark-relative performance.
  • Custom-benchmark maintenance — once SD-09.4 has constructed a custom or blended benchmark, hold and maintain its definition and constituent data as a managed E-10 record alongside the vendor indices.
  • Benchmark cross-reference — maintain the mapping of benchmarks and private-markets peer universes (e.g. vintage-cohort peer sets) so that a portfolio’s assigned comparator resolves to the right data asset.
  • Index-data validation — check constituent feeds for completeness and weight-sum integrity, and reconcile index levels against the provider’s published values.

Inputs and outputs

  • Inputs: index-provider constituent and level feeds (sourced through SD-13.4’s vendor-feed machinery); the custom-benchmark definitions constructed by SD-09.4; private-markets peer-universe data.
  • Outputs: the maintained benchmark and index data asset — consumed by SD-09.1 (benchmark-relative return), SD-09.2 (attribution decomposes return against the constituent set), SD-09.3 (appraisal), SD-09.4 (the data behind the benchmark it assigns), SD-05.7 Model Portfolio & Sleeve Management (index-replicating mandates), and SD-13.10 reporting.

Entities

  • Owns: E-10 Benchmark / Index (the index header and managed reference data) and PB-09 Index Constituent (the effective-dated membership and weight rows that make a market_index benchmark replicable); PM-12 Benchmark Cross-Reference (the private-markets peer-universe mapping).
  • Consumes: E-02 Instrument / Asset (each constituent is an instrument, resolved against the SD-13.1 master); E-09 Asset Class; the custom-benchmark definitions constructed by SD-09.4; the SD-13.4 index-provider constituent and level feeds.
  • Note: SD-13.5 owns the benchmark data; SD-09.4 owns the benchmark decision (selection, custom construction, assignment). The two are deliberately split — see the BD-13 README non-overlap section.

Standards

  • Index-provider methodologies — the constituent weighting and reconstitution rules are the index provider’s; SD-13.5 records the resulting composition rather than re-deriving it.
  • GIPS — GIPS requires a benchmark be defined and disclosed for each composite; the benchmark data SD-13.5 maintains is what makes that disclosure verifiable, governed alongside SD-09.6.
  • IOSCO Principles for Financial Benchmarks and the EU Benchmarks Regulation — the regulatory frame governing administered benchmarks; relevant where the institution relies on or itself administers a benchmark.

Open extensions

  • The custom-benchmark handoff from SD-09.4 — how a constructed benchmark becomes a maintained E-10 record.
  • The private-markets peer-universe model (PM-12) to full depth.
  • Index-level reconciliation tolerances as a configurable rule set.

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