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JSE
GEN
GEN - FTSE/JSE Africa Index Series - Notes from advisory committee meeting - 10
June 2009
The FTSE/JSE Advisory Committee (AC) met on Wednesday, 10 June 2009 to approve
the quarterly changes and discuss matters relating to the FTSE/JSE Africa Index
Series.
The items listed below were discussed during the meeting:
Quarterly Review Changes
The quarterly review changes were summarised for the AC`s approval. The AC
raised concerns regarding the significant number of constituent changes and the
churn in the Shariah Index. FTSE/JSE will contact Yasaar for an update on this
issue.
Detailed documents pertaining to the review changes have been published on the
FTSE/JSE website (www.ftsejse.co.za) and SENS. All constituent, sector, free
float and shares in issue changes will be applied after the close of business on
Friday, 19 June 2009 and will be effective on Monday, 22 June 2009.
Feedback on the FTSE/JSE Africa Index Series
FTSE/JSE reported on the following events that occurred during the quarter:
* Two Indices systems outages encountered during the quarter and corrective
action has been taken by FTSE;
* Cut-off date used for the June Index review - 29 May 2009, previously used
to be the first Friday of the review month;
* Starting this review, buffers were used for the tradable indices which
previously did not have buffers;
* A request by a market participant to cap the FTSE/JSE Rafi All Share due to
the large weights of some of its constituents;
* The reduction of rights issue subscription period from 21 to 10 business
days by the Financial Services Authority in the UK;
* The capital raising corporate event by Liberty International Plc (LBT) and
its treatment in the FTSE/JSE Indices:
* The Open offer was treated in line with the principles of a rights
offer.
* The shares from the firm placing will be added at the June quarterly
index review.
Treatment of Rights and Open Offers in the indices
The AC agreed that the current treatment of rights offers is correct.
The AC was presented with FTSE`s proposals for the treatment of open offers in
the indices.
Possible future approaches are listed below:
1 No adjustments applied on the ex date. Any resulting new shares together
with any free float change are applied after the results of take-up have
been confirmed and the new shares listed. New shares are added at the
prevailing market price.
2 Apply Open Offers in the same manner as Rights Issues (i.e. apply price and
share adjustment on the ex date).
3 As option 2 with no adjustment applied to rights and open offers where the
offer price is higher than the market price on the ex date (with shares and
free float adjusted after take-up is known).
4 As option 1 but add shares for Open Offers at issue price (rather than
market price).
The AC recommended Option 3; however FTSE will only make the final decision once
feedback has been received from global index committees.
The South African Property Index
The AC discussed concerns raised by the market participants on the current SAPY
20 index ranging from constituents with large weights, small and illiquid index
constituents and the fixed number of constituents within the index.
* The AC recommended the introduction of liquidity screening to the current
SAPY 20 index and the launch of a SAPY10.
* FTSE/JSE is investigating the implementation of the liquidity screening at
the September quarterly index review. An Index Change Advice with final
details will be published in due course. The introduction of a new index,
SAPY10, will only be confirmed after the operational aspects have been
looked into.
* The AC also noted that some property indices might fall away once the REIT
structure has been approved by the Financial Services Board.
Treatment of Treasury Shares
FTSE/JSE provided the AC with the findings from the research on the
attainability of the treasury share data from listed companies. A formal market
notification and consultation will be published in due course with a recommended
plan of action.
The FTSE/JSE Africa index Series Developments
FTSE/JSE is researching the possibility of introducing an equally
weighted index namely the Equally Weighted Top 40 Index (ETOP). FTSE/JSE
is investigating ways of dealing with corporate actions that have an impact
on the price and the factor to be used for intra-quarters constituent addition.
More details on the construction and management of the ETOP will be provided
in due course.
Next meeting will be held on Wednesday, 9 September 2009
For further information please contact Zweli Vonya (Tel: +27 11 520 7106),
Nongcebo Mthembu (Tel: +27 11 520 7137) or email indices@jse.co.za.
Date: 15/06/2009 15:47:01 Produced by the JSE SENS Department.
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