Adjustment factors

The adjustment factors dataset covers global corporate actions capital events, spanning multiple currencies for the same event. Each record includes all necessary fields to identify the country, security, event, and adjustment factor.

Each record represents a unique capital event at the listing level.

• History. From to 2018-05-01 to present.
• Coverage. Global.
• Update frequency. Daily.

The primary use case for this dataset is to back-adjust end-of-day (EOD) per-share price data, allowing the price series to be graphed with the effects of various events (e.g., bonus issues, rights issues, consolidations) factored into earlier prices. Individual events can receive multiple updates both prior to and after the ex-date, seamlessly accounting for potentially messy corporate actions, changes, and cancellations.

All per-share series, including prices, earnings-per-share, dividends-per-share, assets-per-share, cash-flow-per-share, etc., need to be adjusted before meaningful conclusions can be drawn about growth rates and trends.

See also

Adjustment factors field descriptions for further details.

Exchange coverage

The adjustment factors dataset has coverage across 215 exchanges worldwide.

• primary_exchange specifies the primary exchange for the security associated with the adjustment factor event.
• operating_mic field specifies the ISO 10383 MIC of the listing exchange associated with the event.

See the EXCHANGE enum lookup table for possible values.

Tip

The operating_mic field will match the venue from the listed publishers and the Definition schema exchange field, which is an ISO 10383 Market Identifier Code (MIC).

Security continuity

The security_id maintains continuity in the following scenarios:

• Name changes. Issuer name changes which result in a ticker symbol change (e.g. Facebook: FB -> Meta Platforms: META).
• Mergers. Either where the company operates under a new name, or one of the original company names.
• Demergers. Either where the companies operate under new names, or one keeps the original company name.

The security_id do not have continuity in the following scenarios:

• Spin-offs. When the parent company continues operating (the spun on companies are new securities).
• Delistings. When the security is never relisted.

Timing

The first generation of pending factors for a particular ex-date will happen close of market the day before the ex-date.

Adjustment factors are provided on the ex-date of the event, except:

• When the corporate action is incomplete (missing core fields such as "Ratio New", etc.) in which case the factor will be provided as soon as the corporate action becomes complete after the ex-date.
• Or, the factor calculation requires the open price of a security that has not traded yet in which case a factor will be generated after the security trades.

Reason codes

Each record has a reason code which distinguishes between different event types.

Status codes

Included with each record is a single character status code which indicates how the adjustment should be handled.

Info

Note that rescinded adjustments can happen years after the ex_date for various reasons.

Option field

Often the shareholder is given the choice of taking the event in a few different ways, for example a dividend might be paid in USD or GBP and the shareholder needs to choose how they wish to receive it, alternatively it might be paid as cash or script or a combination of both, again the shareholder needs to choose how they wish to receive the dividend. Also de-mergers and distributions might have different options for the shareholder to consider.

In all cases, the option field will contain an integer value ranging from 1 to 9, representing the available choices. You must select one of these options to proceed.

If you're unsure which option to choose, default to 1.

Warning

Never apply multiple adjustments with the same ex_date, event_id and different options.

Corporate actions relationship

Generally, there is a one-to-one relationship to the underling corporate action - however in a few circumstances this is not true.

• When a dividend delivers both cash and script, the corporate action specifies this as a divdend type of "Both". This is split into two separate adjustment records, one for the cash component and the other for the script component, which can be recombined later as desired.
• When an event is linked to a previous event they will be combined into a single adjustment record.

For example in Stockholm, they often return cash to shareholders in the form of free redemption rights (RDR) followed by a return of capital on those redemption rights. When this happens only one adjustment record will be generated for both corporate actions.

Tip

Where you see both cash and script dividend adjustment records with the same event_id, ex_date and option you can optionally recombine the two by multiplying the factors together.

Applying adjustment factors

See also

Applying adjustment factors tutorial.

Decide which type of adjustments you want to apply (DIV, BON, etc) then use the reason field to access only those adjustments and ignore the others.

Prior to using any adjustment factor check that no other adjustment record has the same event_id and ex_date, if it has then check the option - you should only use one of the options for the same event_id and ex_date. This is common when a shareholder has the choice of taking a dividend in multiple currencies and cash or script selection. Refer to the description of the option field above for further information.

Compare the factor to the sentiment value, if available, they should be roughly the same if they are significantly different then the factor should be used with caution or even modified to bring it closer to sentiment (this is purely your prerogative).

Multiply all historical prices, up to but not including the ex_date, by the factor. Optionally divide all historical volumes, up to but not including the ex_date, by the factor (for consolidations and subdivisions only).

Info

Be prepared for corrections to come through, at a later date, in the form of rescinded adjustment records. In these cases you need to reverse or remove the original adjustment.

Negative factors

These are rare but can happen. For example, when a DIV (dividend) is paid that is greater than the share price, on the ex_date, or a RCAP (return of capital) that is also greater than the share price, on the ex_date.

This type of event can happen when a fund is being closed down and final distributions made in the form of a dividend or return of capital.

Factors of 1

A factor of “1” can either be a valid factor or default factor where one could not be calculated.

Default factors are 1.0 because this is mathematically neutral and can be used a placeholder when a factor cannot be calculated. Reasons for not being able to calculate factors include:

• No stock close price when a stock close price required.
• No issue open price when an issue open price required.
• Unable to perform currency conversion when required.

Factors of “1” are valid in following circumstances:

• When a RTS (Rights) or ENT (Entitlement) issue makes the issue available at a price that is equal to or above the current stock price (issue price > stock price).
• When a company does a RTS (Rights) or ENT (Entitlement) issue of options with an exercise date far in the future the impact may be of little significance or difficult to determine due to uncertainty.
• CAPRD (Capital reduction) of 1 for 1.

Reissued adjustments

Adjustments will be re-issued and the original adjustment record rescinded, if any of the corporate action key fields change after the date the adjustment was first published. For example if the ratio_new or ratio_old change, after the date of first publication, then the original adjustment will be rescinded (after March 2010) and a new adjustment will be issued.

Rescinded adjustments

Adjustments are rescinded if the original adjustment is cancelled or re-issued after the publication date (usually the ex-date).

Where an adjustment has been rescinded this will need to be removed/reversed out of your system.

If you are loading the adjustment records into a database then you will need to remove the rescinded adjustment record from your database. If you are back-adjusting price series data then you will need to reverse the rescinded adjustment record from your price series data using the inverted factor to reverse the original adjustment.

It is recommended to process rescinded adjustment records before processing any re-issued adjustment records.

Info

During the day of publication, if an adjustment is cancelled or re-issued it is not rescinded; the change is simply reflected in the next update. For example, if a dividend is cancelled on the day of publication then the interim pending record before cancellation will contain an adjustment record for that dividend. A pending record after the cancellation will not contain an adjustment record (it is not rescinded, it is simply gone).