PB-09 — Index Constituent

A membership of an instrument in a market index — the instrument, its weight, and the period that membership and weight were effective, as the index rebalances and reconstitutes.

Specialises: E-10 Benchmark / Index. E-10 carries the benchmark header — what the index is, its provider, its methodology. PB-09 is the constituent sub-structure E-10 names but leaves to the public-markets pack: the effective-dated membership and weight rows that make a market_index benchmark actually replicable.

Purpose

A market index is meaningless as a comparator unless its composition is known through time. PB-09 is the entity that holds it: one row per (index, instrument, effective period). It exists because index membership and weight change — quarterly rebalances adjust weights, periodic reconstitutions add and drop constituents — and a portfolio measured against an index needs the index’s composition as it was on any date, not just today. The constituent rows are also what a passive or index-aware mandate replicates, and what performance attribution (SD-09.2) decomposes return against. The weight is most often float-adjusted market capitalisation, but the methodology is the index provider’s, so PB-09 records the resulting weight rather than re-deriving it.

Attribute schema

Column	Type	Definition
`index_constituent_id`	varchar	Primary key — one row per (index, instrument, effective period).
`benchmark_id`	varchar (FK → E-10)	The index this is a constituent of — an E-10 record of kind `market_index`.
`instrument_id`	varchar (FK → E-02)	The constituent instrument — a PB-01 listed equity or PB-02 debt instrument.
`effective_from`	date	The date this membership and weight became effective (a rebalance / reconstitution effective date).
`effective_to`	date	The date the membership or weight was superseded; null for the currently-effective row.
`index_weight`	float	The constituent’s weight in the index over the effective period.
`weight_basis`	varchar	How the weight is set — `float_market_cap` / `full_market_cap` / `price` / `equal` / `fundamental` / `capped`.
`shares_in_index`	decimal	The constituent’s index share count — the divisor-adjusted quantity the weight is built from.
`capping_applied`	boolean	Whether a methodology weight cap (e.g. a single-name or aggregate cap) bound this constituent’s weight.
`inclusion_event`	varchar	What put the row in effect — `rebalance` / `reconstitution` / `corporate_action` / `initial`.
`provider`	varchar	The index provider whose methodology set the weight (e.g. the index family operator).

Notes

PB-09 is bi-temporally honest by construction: the effective_from / effective_to pair records when a weight was true in the index, which is exactly the E-12 effective-time pattern. A date-ranged query reconstructs the index as it stood on any past date.
Index weights are the index provider’s output, computed from its own methodology (float-adjusted market cap, capping rules, buffer zones). OpenIM records the constituent and weight; it does not re-run the provider’s methodology — consistent with referencing FIBO and external standards rather than reinventing them.
A corporate action on a constituent (a split, a merger) can trigger an off-cycle weight change; inclusion_event = corporate_action distinguishes it from a scheduled rebalance.
PB-09 is the public-markets counterpart of PM-12 Benchmark Cross-Reference: PB-09 is the constituents of a replicable index; PM-12 is the mapping of a private fund into a non-replicable peer universe. Both specialise E-10, on opposite sides of the replicable / non-replicable line.
The sum of index_weight across an index’s currently-effective constituents is 1.0 — a validation invariant.

Out of scope

The index header — what the index is, its provider, its methodology — that is E-10 Benchmark / Index, which PB-09 specialises; PB-09 is the constituent sub-structure E-10 leaves to the pack.
The provider’s weighting methodology — float-adjustment, capping, buffer zones — OpenIM records the resulting weight, it does not re-run the provider’s methodology.
The mapping of a private fund into a non-replicable peer universe — that is PM-12 Benchmark Cross-Reference, the opposite side of the replicable / non-replicable line.
The constituent instrument itself — that is PB-01 Listed Equity or PB-02 Debt Instrument, referenced through instrument_id.

Owned and consumed by

Owned by: SD-13.5 Benchmark & Index Data Management.
Populated via: SD-13.4 Market & Reference Data Management (index-provider constituent feeds).
Consumed by: SD-09.2 Performance Attribution, SD-09.4 Benchmark Management, SD-05.1 Portfolio Construction, SD-05.7 Model Portfolio & Sleeve Management, SD-07.4 Concentration & Exposure Risk (active-weight vs index).

Open extensions

The relationship between PB-09 and PB-01 / PB-02 for constituent-level look-through of index exposure.
The pending-rebalance state — announced future composition before its effective date.
Multi-currency and total-return / price-return index variants on the same constituent set.