FTSE JSE Africa Index Series Ground Rules v3.0x

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Section Subject Table of Contents 1. Introduction .......................................................................................................... 3 2. Management of the Indices .................................................................................. 6 2.1 FTSE/JSE Advisory Committee .............................................................................. 6 2.2 FTSE/JSE Responsibilities ..................................................................................... 7 3. Management of the Ground Rules ........................................................................ 8 3.1 Amendments and Exceptions ................................................................................ 8 4. Index Construction ............................................................................................... 9 4.1 Eligible Securities .................................................................................................. 9 4.2 Secondary Lines .................................................................................................... 9 4.3 Free Float .............................................................................................................. 9 4.4 Liquidity .............................................................................................................. 11 4.5 Index Qualification Criteria ................................................................................. 12 5. Periodic Review of Constituent Companies ........................................................ 18 5.1 Review Dates ...................................................................................................... 18 5.2 Responsibilities and Reporting ........................................................................... 18 5.3 Rules for Insertion and Deletion at the Quarterly Review ................................. 18 5.4 Monitoring of Eligible Companies ....................................................................... 19 5.5 Reserve Lists ....................................................................................................... 19 6. Changes to Constituent Companies .................................................................... 20 6.1 Removal and Replacement.................................................................................. 20 6.2 Mergers, Restructuring and Complex Takeovers ................................................ 20 6.3 New Issues .......................................................................................................... 22 6.4 Suspension of Dealing ......................................................................................... 22 6.5 Relisting of Suspended Constituents .................................................................. 23 6.6 Changes to Constituent Weightings.................................................................... 23 7. Industry Classification Benchmark ..................................................................... 24 7.1 Classification of Constituents within Industries and Sectors ............................. 24 7.2 Changes to Industry Classification of Constituents ............................................ 24 7.3 Industry Classification Benchmark Committee .................................................. 24 8. Index Calculation ................................................................................................ 25 8.1 Index Algorithm .................................................................................................. 25 9.-15. Appendices ..................................................................................................... 26-37 Ground Rules for the Management of the FTSE/JSE Africa Index Series 2 Version 3.1 July 2013
1. Introduction 1.1 This paper sets out the Ground Rules for the management of the FTSE/JSE Africa Index Series. Copies of the Ground Rules are available from FTSE, the JSE Limited (JSE) (see Appendix A) and on the websites www.ftse.com and www.ftsejse.co.za. 1.2 The FTSE/JSE Africa Index Series is designed to represent the performance of Southern African companies, providing investors with a comprehensive and complementary set of indices, which measure the performance of the major capital and industry segments of the African market. 1.3 There are different categories under which the FTSE/JSE Africa Index Series belong. The indices may be grouped into the following categories: 1.3.1 Headline Indices There are five indices making up the headline series (the FTSE/JSE All-Share Index, the FTSE/JSE Top 40 Index, the FTSE/JSE Mid Capitalisation Index, the FTSE/JSE Small Capitalisation Index and the FTSE/JSE Fledgling Index). 1.3.2 Tradable Indices In addition to the FTSE/JSE Top 40 Index, there are 5 other derivative indices based on the classification of companies under the Industry Classification Benchmark. The FTSE/JSE Tradable Indices are calculated in real time and published every fifteen seconds. 1.3.3 All-Share Industry Indices The Industry Classification Benchmark consists of 4 levels of classification and at the highest level there are ten industries. The classification of the FTSE/JSE All-Share Index constituents at industry level will be used to calculate an index for each of the 10 Industries. 1.3.4 All-Share Supersector Indices There are no indices at the Supersector level. 1.3.5 All-Share Sector Indices The third level of the Industry Classification Benchmark is Sectors. The classification of the FTSE/JSE All-Share Index at Sector level will be used to calculate the Sector Indices. 1.3.6 All-Share Subsector Indices The final level of the classification is Subsector. Using the classification of the FTSE/JSE All- Share Index at Subsector level, the 5 Subsectors that make up the Mining Sector will be calculated. 1.3.7 Secondary Markets Indices The South African Market has three separate secondary markets: • Development Capital, • Venture Capital, and • the Alternative Exchange Indices will be calculated for these secondary markets. 1.3.8 Specialist Indices A number of Specialist Indices are included. Their constituents are not limited to the All-Share or any specific industry sector. The detail index qualification criteria are listed in Rule 4.5.16. Ground Rules for the Management of the FTSE/JSE Africa Index Series 3 Version 3.1 July 2013
Page 1: Ground Rules for the Management of
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 and 22: 6.2.2 If a constituent company in t
Page 23 and 24: 6.5 Relisting of Suspended Constitu
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

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