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Informative Notice – 20210820 Market Consultation Capping Factor Adjustment for Capped SWIX Indices
Capping Factor adjustment for Capped SWIX indices
FTSE/JSE Africa Index Series
20 August 2021
On 6 July 2021, FTSE/JSE re-opened the consultation into the capping methodology applied in the
FTSE/JSE Africa Index Series. Comments, submissions and responses were requested to be submitted
to the JSE on or before 20 July 2021. FTSE/JSE is appreciative of all the responses and input received
during this consultative process.
Responses to this consultation request indicate that there has been an increased convergence of opinion
amongst index users around the most appropriate approach to take to the capping methodology. In
particular, a significantly high proportion of index users consider Naspers and Prosus jointly when
evaluating concentration risk in their portfolios. However, some arguments require further consideration
before a permanent solution can be determined, as well as a careful consideration for unintended
consequences.
FTSE/JSE further takes note of the announcement by Prosus on 13 August 2021 declaring their exchange
offer to Naspers shareholders unconditional. Under the current capping methodology, this will see the
combined weighting of Naspers and Prosus increase in the capped SWIX indices by around half their
current weight. After careful consideration of all the facts, information and submissions, FTSE/JSE is of
the view that it is important to avoid a temporary structural dislocation in index weightings. In these
circumstances, FTSE/JSE will apply an interim adjustment from the September 2021 index review to
maintain the current equilibrium.
With effect from the September 2021 index review, the capping level for the following two indices only
will change from 10% to 6%:
J433 – FTSE/JSE Capped SWIX All Share Index
J430 – FTSE/JSE Capped SWIX Top 40 Index
This interim measure is intended to align the combined weighting of the two companies in these indices
to the prevailing weights.
In order to reach a permanent solution as quickly as possible, FTSE/JSE will publish a white paper to the
market in August 2021 that presents the arguments received during both consultation processes,
concerns around unintended short-term consequences, and a numerical assessment of the situation.
FTSE/JSE will invite discussion or written submissions from interested parties to engage on any of the
white paper content.
For further information please contact FTSE Russell Client Services at info@ftserussell.com or indices@jse.co.za or call:
Australia +1800 653 680
Hong Kong +852 2164 3333
Japan +81 3 4563 6346
London +44 (0) 20 7866 1810
New York +1866 551 0617
JSE Limited +27 11 520 7000
Alternatively please visit our website at www.ftserussell.com or www.ftsejse.co.za
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Date: 20-08-2021 05:30:00
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