Wednesday, September 19, 2012

Financial Products News #2012 - 65
NASDAQ OMX to Begin Dissemination of Nine New CRSP Indexes on GIDS Effective October 1, 2012

Markets Impacted:

  • All Markets

Data Feeds Impacted:

  • Global Data Index Service (GIDS and GIDS 2.0)

Contact Information:

What you need to know:

  • NASDAQ OMX®, through its data dissemination relationship with Interactive Data Pricing & Reference Data, Inc., has been chosen by Chicago Booth's Center for Research in Security Prices (CRSP) as their index dissemination provider.
  • Effective Monday, October 1, 2012, NASDAQ OMX will disseminate nine new CRSP indexes on Global Index Data Service (GIDS).

What are the new CRSP indexes?

The new CRSP Indexes blend advancements in academic research with current commercial practice under the premise that an index must reflect the way that money managers actually invest. CRSP's new series of transparent and investable real-time indexes provide the necessary foundation for the development of related research products. They are relevant to practitioners, academicians, and commercial entities.

CRSP is continuing to build out its real-time index offering with the addition of nine new value and growth style indexes. Similar to the recently released CRSP US market cap and industry sector indexes, these new indexes were developed with an objective and transparent rules-based methodology that maintains style purity while minimizing turnover, and thereby transaction costs. All of CRSP's indexes utilize breakpoints that are based on cumulative market capitalization.

How will the indexes be disseminated in GIDS 2.0?

Effective Monday, October 1, 2012, data recipients will receive real-time index information from the proprietary GIDS 2.0 data feed.

NASDAQ OMX will identify the indexes via the following data elements in GIDS 2.0:

Instrument ID Instrument Name Currency Frequency FP Type Brand
CRSPMEG1 CRSP US Mega Cap Growth Index USD "1S" "I" "GA"
CRSPMEV1 CRSP US Mega Cap Value Index USD "1S" "I" "GA"
CRSPLCG1 CRSP US Large Cap Growth Index USD "1S" "I" "GA"
CRSPLCV1 CRSP US Large Cap Value Index USD "1S" "I" "GA"
CRSPMIG1 CRSP US Mid Cap Growth Index USD "1S" "I" "GA"
CRSPMIV1 CRSP US Mid Cap Value Index USD "1S" "I" "GA"
CRSPSCG1 CRSP US Small Cap Growth Index USD "1S" "I" "GA"
CRSPSCV1 CRSP US Small Cap Value Index USD "1S" "I" "GA"
CRSPSX1 CRSP US Small Cap ex-REIT Index USD "1S" "I" "GA"
  • Equities Summary (Message Type F): Disseminated at the end of the U.S. and European trading session to relay the summary of the current trading day's activity for an equity index.
  • Index Directory (Message Type R): Disseminated at the start of each day to relay basic index information.

How will the indexes be disseminated on GIDS?

Data recipients will receive real-time index information from the proprietary GIDS data feed. The index will be identified as NASDAQ OMX U.S. Family (Originator ID of "Q") in the message header field.

In addition to the real-time tick messages, NASDAQ OMX will support the following directory messages on GIDS:

  • Index End of Day Summary (Category A - Type B): Disseminated at the end of the U.S. and European trading session to relay closing index summary data.
  • Index Directory (Category A - Type C): Disseminated at the start of each day to relay basic index information.

Where can I find additional information?


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About the NASDAQ OMX Group:
The NASDAQ OMX Group, Inc. is the world's largest exchange company. It delivers trading, exchange technology and public company services across six continents, with more than 3,600 listed companies. NASDAQ OMX offers multiple capital raising solutions to companies around the globe, including its U.S. listings market, NASDAQ OMX Nordic, NASDAQ OMX Baltic, NASDAQ OMX First North, and the U.S. 144A sector. The company offers trading across multiple asset classes including equities, derivatives, debt, commodities, structured products and exchange-traded funds. NASDAQ OMX technology supports the operations of over 70 exchanges, clearing organizations and central securities depositories in more than 50 countries. NASDAQ OMX Nordic and NASDAQ OMX Baltic are not legal entities but describe the common offering from NASDAQ OMX exchanges in Helsinki, Copenhagen, Stockholm, Iceland, Tallinn, Riga, and Vilnius. For more information about NASDAQ OMX, visit www.nasdaqomx.com.

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