FTSE JSE Africa Index Series Ground Rules v3.0x

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6.2.7 If a constituent of any other index with a fixed number of constituents is split so as to form two or more companies, then the resulting companies will be eligible for inclusion as index constituents in the relevant index based on their respective full market capitalisation(s), i.e. before the application of any investability weightings, and if they qualify in all other respects. If a constituent of any other index with a fixed number of constituents splits into two companies, one or both of these companies may remain in the relevant index. Where both of the new companies remain in the relevant index, the smallest constituent will be deleted from the relevant index. 6.3 New Issues 6.3.1 If, in the view of the FTSE/JSE Advisory Committee, a new issue is so large (i.e. its full market capitalisation amounts to 1.0% or more of the full capitalisation of the FTSE/JSE All-Share Index, before the application of individual constituent investability weightings) that the effectiveness of the index as a market indicator would be significantly and adversely affected by its omission, the FTSE/JSE Advisory Committee will normally decide to include the new issue as a constituent of the FTSE/JSE Africa Index Series that it qualifies for after the close of business on the first day of official trading. In all cases, advance notification confirming the timing of the inclusion of the new constituent will be given accordingly. The security, which is the lowest ranking constituent of the index, will be selected for removal and related indices adjusted in accordance with Rule 6.1. The fast entry rule is not applicable to the FTSE/JSE Specialist Property Indices. 6.3.2 For the purpose of this rule, a company which is relisted following suspension or is reorganised or renamed or which arises from a demerger or complex reorganisation of another company which is not an existing constituent, shall not be considered to be a new issue. However, an Initial Public Offering (IPO) which arises from a demerger shall be considered as a new issue. 6.3.3 If the FTSE/JSE Advisory Committee decides to include a new issue as a constituent security other than as part of the normal periodic review procedure, this decision must be publicly announced at the earliest practicable time. 6.3.4 New issues, including demutualisations, which do not qualify as early entrants to the FTSE/JSE Africa Index Series as defined under Rule 6.3.1 will become eligible for inclusion at the next quarterly review of constituents providing they have, since the commencement of official nonconditional trading, a minimum trading record of at least 20 trading days prior to the date of the review and turnover of a minimum of 0.5% of their shares in issue, after the application of any free float restrictions, per month in each month that the share traded. 6.3.5 The inclusion of early entries as defined under Rule 6.3.1, excluding demutualisations, will not require a minimum trading record. 6.4 Suspension of Dealing 6.4.1 If a constituent is suspended on its home exchange it may remain in the FTSE/JSE Africa Index Series, at the price at which it is suspended, for up to 20 business days. During this time FTSE and the JSE may delete the constituent immediately at zero value in cases it is expected that the constituent will not commence trading. In the case of a FTSE/JSE Africa Index that has a constant number of constituents, replacement of constituents will be handled according to Rule 6.1. This change will be effected after the close of the index calculation and prior to the start of the index calculation on the following day. Removing a constituent at zero indicates that the stock is believed to be valueless. 6.4.2 When a suspension of a constituent lasts beyond noon on the twentieth business day (and the option to remove the constituent has not been exercised), the constituent will normally be deleted from the index on the twenty-first trading day at zero value. Where suspension is for a reason not to the detriment of the constituent and its suspension is expected to be shortterm, it may be retained at its suspension price. In the case of a FTSE/JSE Africa Index that has a constant number of constituents, replacement of constituents will be handled according to Rule 6.1. Ground Rules for the Management of the FTSE/JSE Africa Index Series 22 Version 3.1 July 2013
6.5 Relisting of Suspended Constituents 6.5.1 If a company relists then it will be eligible for inclusion in the FTSE/JSE Africa Index Series at the next quarterly review providing it meets the eligibility criteria as defined in Section 4. 6.6 Changes to Constituent Weightings 6.6.1 For the purposes of computing the FTSE/JSE Africa Index Series and to prevent a large number of insignificant weighting changes, the number of shares in issue for each constituent security is amended only when the total shares in issue held within the calculation system changes by more than 10% on a cumulative basis or when an accumulated share change represents USD 2bn of a company’s total market capitalisation. 6.6.2 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. 6.6.3 Changes of shares in issue not arising from corporate actions, amounting to less than 10% of the number of shares in issue but more than 1% will be made quarterly after the close of business on the third Friday of March, June, September and December. 6.6.4 All adjustments are made before the start of the index calculation on the day concerned unless market conditions prevent this. 6.6.5 Corporate actions in non-market capitalisation indices, that bring about a change to the shares in issue, free float or price of a constituent, will be treated with a corresponding change to the constituent weighting factor in that index, resulting in both the weight of the constituent in the index, and the index divisor itself being unchanged. This is relevant to the following indices: Index Code Index Name J2EQ Equally Weighted Top 40 J3EQ Equally Weighted Resource 10 J4EQ Equally Weighted Financial 15 J5EQ Equally Weighted Industrial 25 J259 Dividend+ J260 RAFI 40* J263 RAFI All Share* J283 Capped RAFI All Share* J261 RAFI 40 - QSR* J265 RAFI All Share - QSR* * Please note that capital reductions are not treated on a market capitalisation neutral basis and will result in a price adjustment. Ground Rules for the Management of the FTSE/JSE Africa Index Series 23 Version 3.1 July 2013
Page 1 and 2: Ground Rules for the Management of
Page 3 and 4: 1. Introduction 1.1 This paper sets
Page 5 and 6: 1.6.2 Closed 1.6.3 Held The indices
Page 7 and 8: 2.2 FTSE/JSE Responsibilities 2.2.1
Page 9 and 10: 4. Index Construction 4.1 Eligible
Page 11 and 12: A constituent’s free float will a
Page 13 and 14: 4.5.7 FTSE/JSE Industrial 25 Index
Page 15 and 16: d) FTSE/JSE Venture Capital Market
Page 17 and 18: q) FTSE/JSE Equally Weighted Financ
Page 19 and 20: 5.3.6 A constant number of constitu
Page 21: 6.2.2 If a constituent company in t
Page 25 and 26: 8. Index Calculation 8.1 Index Algo
Page 27 and 28: 10. Appendix B - Methodology for Ca
Page 29 and 30: 11. Appendix C - Methodology for Sh
Page 31 and 32: Growth Measures • 3 Year Historic
Page 33 and 34: The methodology gives rise to certa
Page 35 and 36: The index is subject to a liquidity
Page 37: 15. Appendix G - FTSE/JSE Net of Ta

FTSE JSE Africa Index Series Ground Rules v3.0x

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