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NFEMOM - Index Replacement and the Appointment of Index Provider
NEWFUNDS (RF) (PROPRIETARY) LIMITED
(Registration number 2005/034899/07)
(“NewFunds” or “the Company”)
NEWFUNDS EQUITY MOMENTUM ETF
Share code: NFEMOM
ISIN: ZAE000162236
(“NewFunds Momentum ETF”)
Portfolios in the NewFunds Collective Investment Scheme in Securities registered as such in terms of the
Collective Investment Schemes Control Act, 45 of 2002 (the “Act”) and managed by NewFunds
Proprietary Limited (Registration Number 2005/034899/07)
INDEX REPLACEMENT AND THE APPOINTMENT OF INDEX PROVIDER
Currently Barclays Risk and Indexation Services (“BRAIS”) is the provider and calculation agent of the
indexes used in the NewFunds Momentum ETF of the Collective Investment Scheme portfolios in
NewFunds. As part of a strategic realignment of its business by Barclays Plc (“Barclays”), BRAIS is in the
process of being sold to a third party with certain indexes still to be retained by Barclays.
Accordingly, NewFunds has been notified that BRAIS will discontinue the provision and calculation of the
NewFunds Momentum ETF index (the “Index”) with effect from 9 August 2016.
Investors are advised that NewFunds has investigated an alternative and is of the opinion that the
NewFunds Risk-Controlled WITS SA-Momentum Index is a suitable replacement for the NewFunds
Momentum ETF index as it is based on the same investment philosophy and on substantially the same
underlying universe of stocks.
The NewFunds Risk-Controlled WITS SA-Momentum Index was designed in partnership with WITS
University using their FinDataTM database and in consultation with A+ Pty (Ltd). This index measures the
performance of securities in the South African equity market that exhibit persistence or momentum in their
performance. The index selects its constituents from the top-60 most liquid stocks (with the highest value
traded) on the JSE Limited (“JSE”). From the top 60 most liquid stocks, it chooses the 20 stocks that
exhibit the highest absolute price momentum, using a rolling 12-month price return ranking. S&P Dow
Jones Indices will act as the calculating agent for the NewFunds Risk-Controlled WITS SA-Momentum
Index.
There will be no change to the name of the fund, ISIN code and JSE code.
Given that BRAIS discontinues its services on 9 August 2016 and the process of amending the index and
the appointment of a new index provider will not be finalised by that date, NewFunds proposes that in
order to ensure that investors are not disadvantaged in any way, the fund continues to reference the
existing index (as rebalanced on 15 June 2016) from 10 August 2016 until the effective date of the
replacement index, being 31 August 2016 (“the window period”). During the window period, all corporate
events in relation to the portfolio will be closely monitored by NewFunds, the independent fund
administrator and the asset manager, Absa Alternative Asset Management (“AAM”) to ensure that any
corporate event that may take place during the window period are reflected in the fund. Any corporate
event will be implemented in accordance with the details as set out below –
- AAM, the investment manager of the NewFunds Equity Momentum Exchange Traded Fund
Portfolio will employ a unit held static rebalance methodology, priced daily using the end of day
close for each constituent. Should there be no trade of a specific instrument on a given day AAM
will use the last traded price of the instrument. The unit’s market value will be held in proportion to
the rebalance weights as specified by the current rebalance.
- An index divisor will be calculated on last day of rebalance and AAM will run a parallel exercise
keeping the divisor static. AAM will ensure that the divisor value keeps the unit price consistent with
the current unit valuation.
- AAM will adjust the divisor on a specific corporate event should this be required over the interim
period. AAM will utilise Bloomberg AIM as well other systems for corporate actions and should any
of these corporate actions require amendments to be made on the basket of securities these will be
executed by AAM. Dividend flows will be assumed reinvested as per the current Barclays
Capital/Absa Capital South Africa Equity Momentum Index methodology. Any amendments that
have been made due to specific corporate actions and the impact that these have on the calculated
benchmark will be communicated to investors over the Stock Exchange News Service of the JSE.
- The net asset value (“NAV”) of the fund will be reconciled daily with the values obtained from
Maitland Administration Ltd as the outsourced administrator of Newfunds and published on the
Newfunds’s website.
NewFunds has made application to both the Financial Services Board and the JSE with regards to
obtaining the necessary regulatory approvals for the replacement of the Index and the appointment of the
new index provider. In principle approval has been granted by both regulators and final approval is
subject to the outcome of the investor ballot.
A circular and ballot form, setting out the amendments, the balloting process and timetable will be
submitted to investors today.
The signed and completed ballot form must be scanned and e-mailed directly to the auditors at
newfunds.ballot2016@za.ey.com. on or before midnight on Tuesday, 23 August 2016.
The applicable index rule book is available for viewing via the Absa CIB ETF website,
http://etfcib.absa.co.za.
For further information, please contact
AbsaCIB ETFs
Tel: +27 11 895 5517
11 July 2016
Sponsor
Absa Bank Limited (acting through its Corporate and Investment Bank division)
Date: 11/07/2016 04:49:00 Produced by the JSE SENS Department. The SENS service is an information dissemination service administered by the JSE Limited ('JSE').
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