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Index Change Advice – 20170619b FTSE JSE Ground Rules Shares Maintenance
FTSE/JSE Africa Index Series
Ground Rule Update: Shares Maintenance
26 May 2017
FTSE/JSE would like to inform clients of the following updates to the FTSE/JSE Africa Index Series
Ground Rules effective from the June 2017 review:
The Ground Rules have been updated to reflect the new methodology for the maintenance of shares and
float numbers.
An illustrative rule update for the FTSE/JSE Africa Index Series is provided for convenience below.
8.0 Changes to Constituent Companies
8.1 Corporate Actions and Events
Full details of changes to constituent companies due to corporate actions and events can be
accessed in the Corporate Actions and Events Guide using the following link:
Corporate_Actions_and_Events_Guide.pdf
A Corporate ‘Action’ is an action on shareholders with a prescribed Ex Date. The share price will
be subject to an adjustment on the Ex Date. These include the following:
* Capital Repayments
* Rights Issues/Entitlement Offers
* Stock Conversion
* Splits (sub-division) / Reverse splits (consolidation)
* Scrip issues (Capitalisation or Bonus Issue)
A Corporate ‘Event’ is a reaction to company news (event) that may impact the index depending
on the index rules. For example, a company announces a strategic shareholder is offering to sell
their shares (secondary share offer) - this could result in a free float weighting change in the
index. Where an index adjustment is required FTSE Russell will provide notice advising of the
timing of the change.
8.6 Changes to Constituent Weightings
8.6.1 For the purposes of computing the FTSE/JSE Africa Index Series and to prevent a large number of
insignificant weighting changes only shares and float changes occasioned by primary or
secondary offerings will be updated outside of the quarterly update cycle WHERE:
* There is a USD 1bn investable market cap change related to a primary/secondary offering;
OR
* There is a resultant 5% change in index shares related to a primary or secondary offerings
AND a USD 250m investable market cap change.
These changes will be implemented after the close on the day that the subscription period closes,
assuming two days’ notice can be provided; if two days’ notice cannot be provided prior to the
end of the subscription period, the change will still proceed with two days’ notice and will be
implemented at the earliest opportunity.
For example: Subscription close is Monday 4 April and discovery of the event is Friday 1 April.
Therefore, implementation will occur with two days’ notice, effective on Wednesday 6 April (i.e.
close of business Tuesday 5 April).
If discovery of the event occurs more than two days after the close of the subscription period, the
changes will be deferred until the quarterly review cycle.
For example: Subscription close is Monday 4 April and discovery of the event is Wednesday 6
April. Therefore, implementation will occur with two days’ notice, effective on Monday 11 April
(i.e. close of business Friday 8 April). However, if discovery occurred after Wednesday 6 April, the
update will be deferred until the next quarterly review.
Please note:
• Index shares is defined as the number of shares in issue x free float.
• The market close price on the day prior to discovery (converted, if necessary, using the
WM/Reuters 4pm spot rates from the day prior to discovery) will be used to calculate whether
the intra-quarter thresholds have been triggered. Any change to the market price between this
date and index implementation will not result in a cancellation of the change. Similarly, if
discovery occurs at the beginning of the subscription period and it does not achieve the
triggers for intra-quarter implementation; but during the subscription period, the market price
moves upwards and the thresholds are consequently triggered, the event will not be
implemented and it will be deferred until the quarterly index review.
• The share and free float change triggers are calculated from an international investor stance.
In the event that an index constituent is represented both in a global and domestic index (e.g.
FTSE/JSE Top 40 and FTSE Global Equity Index Series), the update will only be implemented if
the parameters are breached at global level. Such a situation may arise where a constituent is
subject to a foreign ownership restriction in the global index.
8.6.2 Adjustments to reflect a major change in the amount or structure of a constituent company's
issued capital must be made before the start of the index calculation on the day on which the
change takes effect (e.g. the Ex Date for a rights or capitalisation issue). Announcements of
corporate events, which are made after the close of the index calculation, are normally deemed
to be made on the following day.
8.6.3 Quarterly Updates
In June, a constituent’s shares will be updated regardless of size. No buffers are applied.
In March, September and December share changes greater than 1% will be updated.
Quarterly updates to shares 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 third Wednesday of February, May, August and November.
8.6.4 Free float and share changes resulting from corporate events will not be subject to the buffers as
detailed in 8.6.1 and 8.6.3 and will be implemented in line with the event.
An updated copy of the FTSE/JSE Africa Index Series (v5.1) Ground Rules document is now available on
the FTSE Russell and JSE websites :
www.ftserussell.com
https://www.jse.co.za/
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 3581 2764
London +44 (0) 20 7866 1810
New York +1866 551 0617
Alternatively please visit our website at www.ftserussell.com
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