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Informative Notice – 20230123 FTSE JSE Ground Rule Update Alignment of Review Cut-off dates
FTSE JSE Africa Index Series: Ground Rule Updates
23 January 2022
FTSE/JSE would like to inform clients of the following Ground Rule updates to the FTSE/JSE Africa Index
Series Ground Rules. This is to align the shares and free float review cut-off dates across the FTSE Russell
indices, to support a simplified index review calendar and provide greater transparency during the index
review process. These changes will be introduced to the FTSE/JSE Index Series from the June 2023 index
review and going forward.
Section 4: Index Construction
New Rule
4.3 Free Float
4.3.6 Free Float Review
Free float will be calculated using available published information rounded to 12 decimal places. Underlying
data for the calculation of free float is collected on an ongoing basis, and the detailed free float percentage
as maintained by the JSE is updated accordingly.
June Updates
In June, a constituent’s free float will be updated regardless of size. No buffers are applied .
March, September and December Updates
At the March, September and December quarterly updates, a constituent with a free float of greater than
15% will have their free float updated if it moves by more than 3 percentage points above or below the
existing free float. For example, Company A on a free float of 30% would trigger a change if its free float
moved to above 33% or below 27%.
A constituent with a free float of 15% or below will be subject to a 1 percentage point threshold. For
example, Company B on a free float of 8% would trigger a change if its free float moved to above 9% or
below 7%.
For SWIX constituents and constituents treated as foreign in the Index Series, the Strate register number
will be updated regardless of size. The 1% and 3% thresholds, as set out above, will not be applicable.
Quarterly updates to free float will be applied after the close of business on the third Friday of
March, June, September and December. The data cut-off for these quarterly changes will be the
close of business on the last business day of the month on January, April, July, and October,
respectively.
Old Rule
4.6 Free Float
4.3.6 Free Float Review
Free float will be calculated using available published information rounded to 12 decimal places. Underlying
data for the calculation of free float is collected on an ongoing basis, and the detailed free float percentage
as maintained by the JSE is updated accordingly.
June Updates
In June, a constituent’s free float will be updated regardless of size. No buffers are applied . The data cut-
off for the June changes will usually be at the close of business on the Friday five weeks prior to the
implementation date. Any change to this cut-off date will be subject to advanced notification.
March, September and December Updates
At the March, September and December quarterly updates, a constituent with a free float of greater than
15% will have their free float updated if it moves by more than 3 percentage points above or below the
existing free float. For example, Company A on a free float of 30% would trigger a change if its free float
moved to above 33% or below 27%.
A constituent with a free float of 15% or below will be subject to a 1 percentage point threshold. For
example, Company B on a free float of 8% would trigger a change if its free float moved to above 9% or
below 7%.
For SWIX constituents and constituents treated as foreign in the Index Series, the Strate register number
will be updated regardless of size. The 1% and 3% thresholds, as set out above, will not be applicable.
Quarterly updates to free float will be applied after the close of business on the third Friday of March, June,
September and December. The data cut-off for these quarterly changes will be the close of business on the
Friday five weeks prior to the implementation date in March, September and December
Section 6: Changes to Constituent Companies
New Rule
6.6 Changes to Constituent Weightings
6.6.3 Quarterly Updates
In June, a constituent’s shares are updated regardless of size. No buffers are applied.
In March, September, and December, share changes greater than 1% will be updated.
The data cut-off for the March, June, September, and December changes will be the close of
business on the last business day of the month in January, April, July, and October, respectively.
Quarterly updates to shares are applied after the close of business on the third Friday of March, June,
September and December.
Old Rule
6.6 Changes to Constituent Weightings
6.6.3 Quarterly Updates
In June, a constituent’s shares is updated regardless of size. No buffers are applied. The data cut-off for
the June changes will usually be at the close of business on the Friday five weeks prior to the
implementation date. Any change to this cut-off date will be subject to advanced notification.
In March, September and December share changes greater than 1% will be updated.
The data cut-off for the March, September, and December changes will be the close of business on the
Friday five weeks prior to the implementation date.
Quarterly updates to shares are applied after the close of business on the third Friday of March, June,
September and December.
An updated copy of the FTSE JSE Africa Index Series Ground Rules (Version 8.1) is now available from
FTSE Russell: mailto:info@ftserussell.com
For further information please contact FTSE Russell Client Services at info@ftserussell.com or call:
Australia +1800 653 680
Hong Kong +852 2164 3333
Japan +81 3 6441 1440
London +44 (0) 20 7866 1810
New York +1866 551 0617
Alternatively please visit our website at www.ftserussell.com
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Date: 24-01-2023 07:05:00
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