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JSE
GEN
Gen - FTSE/JSE Africa Series - Ground rules changes treatment of
unbundlings
FTSE/JSE Africa Series Ground Rules Changes
Treatment of Unbundlings
FTSE/JSE Africa Index Series
28 September 2007
Following approval by the FTSE/JSE Advisory Committee and meeting the
market requirement to improve the rule on the treatment of unbundlings in
the indices, it has become necessary to update the Ground Rules with
immediate effect.
Background
When the rule for the treatment of the unbundling in the indices was
reviewed in order to avoid the possibility of a tracking error, it did
not cater for situations where the unbundled entity did not qualify for
the universe of the index. Since the purpose of the unbundling rule is to
avoid a tracking error in all situations it has become necessary to
update the Ground Rules
Current Rule:
6.2.3 If a constituent company is split so as to form two or more
companies, then the resulting companies will be eligible for
inclusion as index constituents in the appropriate FTSE/JSE
African Indices based on their respective full market
capitalisations i.e. before the application of any
investibility weightings and if they qualify in all other
respects, e.g. a FTSE/JSE Top 40 Index constituent split into
two companies may result in one or both of these companies
remaining in the FTSE/JSE Top 40 Index. Where both of these
companies remain in the FTSE/JSE Top 40 Index, the smallest
FTSE/JSE Top 40 Index constituent will become a constituent of
the FTSE/JSE Mid Capitalisation Index and the lowest ranking
constituent in the FTSE/JSE Mid Capitalisation Index will, in
turn, become a constituent of the FTSE/JSE Small Capitalisation
Index. Companies resulting from a split that are smaller than
the lowest ranking FTSE/JSE Mid Capitalisation Index
constituent, will become a constituent of the FTSE/JSE Small
Capitalisation Index if their respective full market
capitalisations are equal or greater than 0.1% of the full
market value of the FTSE/JSE Small Cap index i.e. before the
application of any investibility weightings. If smaller than
0.1% they will be added to the FTSE/JSE Fledgling index.
6.2.4 Index constituent changes resulting from the split will be
determined based on the market values at close on day one of
trading and applied using market values close on day two of
trading, following the split becoming effective. Consequently
the Top 40 or any other index with a fixed number of
constituents may have an extra company for 2 days.
Amended Rule:
6.2.4 In case of an unbundling the new constituents will be added to
all the indices that the original company belonged to for a
period of 2 days. Index constituent changes resulting from the
split will be determined based on the market values at close on
day one of trading and applied using market values at close on
day two of trading, following the date that the split becomes
effective. Consequently the Top 40 or any other index with a
fixed number of constituents may have an extra company for 2
days or a Resources index may have a non- resources company for
2 days.
For FTSE / JSE index enquiries or further information about FTSE / JSE
please contact:
Client Services in UK: Tel: +44 (0) 20 7866 1810
Client Services in US: Tel: +1 888 747 FTSE (3873) or
+1 212 641 6165
Client Services in Asia Pacific: Tel: +852 2230 5803 or +65 6223
3738 or +81 3 3581 2811
JSE Limited: Tel: (27 11) 520 7137 or +520
7777
Or, email your enquiries to info@ftse.com, indices@jse.co.za or visit our
website at www.ftse.com or www.ftsejse.co.za
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Date: 02/10/2007 07:33:24 Produced by the JSE SENS Department.
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