FTSE JSE Africa Index Series Ground Rules v3.0x

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1.3.9 Namibia Indices Namibia Indices will comprise of 2 Headline Indices (Local and Overall Index), 10 Industry Group Indices and 40 Sector Indices. 1.3.10 Capped Indices Capped Indices can be based on any index category of the FTSE/JSE African Index Series. It assumes the same rules for construction (shares in issue, quarterly review and corporate actions) except that the weighting is applied on a quarterly basis as per Appendix B. 1.3.11 Shareholder Weighted Indices Shareholder Weighted (SWIX) Indices are each based on an existing FTSE/JSE market capitalisation weighted index. However all constituents are down-weighted in the SWIX indices by applying an alternate free float, called the SWIX free float. The SWIX free float represents the proportion of a constituent’s share capital that is held in dematerialised form and registered on the South African share register. The SWIX free float will not exceed the FTSE/JSE company free float. Refer to Appendix C for a full description of how the SWIX free float is calculated. 1.3.12 Style Indices The primary purpose of these indices is to provide investors with a measure of the performance of value and growth companies which are constituents of the FTSE/JSE All-Share Index. There are two indices representing Value and Growth portfolios. The FTSE/JSE Value index is designed to reflect portfolios focusing on the price and value characteristics of securities, weighted towards those companies with identifiable value characteristics. The FTSE/JSE Growth index is designed to reflect portfolios focusing on earnings and revenue growth, weighted towards those companies with identifiable growth characteristics. Detail is provided in Appendix D. 1.3.13 FTSE/JSE Preference Share Index The FTSE/JSE Preference Share Index is a market capitalisation weighted index consisting of non-convertible, non-redeemable, floating rate preference shares schedule. (Please refer to Appendix F). 1.3.14 FTSE/JSE Equally Weighted Indices FTSE/JSE Equally Weighted Indices are market capitalisation weighted indices consisting of stocks that are weighted equally at each quarterly review. 1.4 The FTSE/JSE Africa Index Series will be published on a frequency determined by FTSE and JSE in consultation with the FTSE/JSE Advisory Committee. 1.5 Total Return Indices are published at the end of each working day. The Total Return Indices are based on ex dividend adjustments. 1.6 The FTSE/JSE Africa Index Series is calculated in real time and may exist in the following states: 1.6.1 Firm The indices are calculated on actual trades generated by the JSE trading system during the trading hours of the JSE. The Official Closing Index is the last index value calculated at the end of the firm period using the closing price from the JSE. Ground Rules for the Management of the FTSE/JSE Africa Index Series 4 Version 3.1 July 2013
1.6.2 Closed 1.6.3 Held The indices have ceased all calculations for the day. The message 'CLOSE' will be displayed against the index value calculated by FTSE. During Official JSE Market Hours, an index has exceeded pre-set operating parameters and the calculation has been suspended pending resolution of the problem. The message 'HELD' will be displayed against the last index value calculated by FTSE. 1.6.4 Indicative 1.6.5 Part If there is a system problem or situation in the market that is judged to affect the quality of the constituent prices at any time when an index is being calculated, the index will be declared indicative (e.g. normally where a 'fast market' exists in the equity market). The message 'IND' will be displayed against the index value calculated by FTSE. If an index is being calculated during the normal Official Index Period hours, but there are less than 75% of the constituents by capitalisation available with firm prices, then the index will be displayed with the message 'PART' to indicate that only a proportion of the securities prices are included. With the exception of the message 'PART', the index will continue to be calculated and displayed as if it were firm. 1.7 The official opening and closing hours of the FTSE/JSE Africa Index Series are in line with the trading hours on the JSE SETS Trading system. Variations to the official hours of the indices are published by FTSE/JSE as appropriate. 1.8 The FTSE/JSE Africa Index Series is calculated on all days when the JSE is open for trading. Ground Rules for the Management of the FTSE/JSE Africa Index Series 5 Version 3.1 July 2013
Page 1 and 2: Ground Rules for the Management of
Page 3: 1. Introduction 1.1 This paper sets
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

FTSE JSE Africa Index Series Ground Rules v3.0x

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