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Informative Notice – 20241125 Market Consultation FTSE_JSE All Property Index Expansion
Market Consultation
To: Market Participants
From: FTSE/JSE Indices
Date: 4 November 2024
Subject: FTSE/JSE All Property Index Expansion
1. Introduction
The methodology of the FTSE/JSE All Property Index (ALPI) has come under scrutiny from various portfolio
managers in the property sector. The main theme has been to consider the inclusion of property companies that
fall outside of the broader All Share Index (i.e. constituents of the FTSE/JSE Fledgling Index – J204). Due to the
reduction in the number of All Share companies, together with the evolving dynamics of the listed property sector,
there are a number of property companies that may be considered investable in a listed property mandate that
are not currently included in the ALPI. The purpose of this paper is to propose an expansion of the ALPI
methodology to de-link the eligibility criteria from the broader All Share benchmark.
2. Background
In 2016, FTSE/JSE published a Market Consultation which consisted of a proposal to decommission the SAPY (J253)
and Capped Property Index (J254) and replace these two indices with three new property indices. The three new
property indices include:
• The All Property Index (J803/ALPI) to serve as a broad benchmark for the overall listed property sector. It
includes all eligible property companies in the All Share Index (J203).
• The Tradable Property Index (J800) to serve as product-focused index. It includes all eligible property
companies in the Large & Mid Cap Index.
• The SA REIT Index (J805) which would serve as a specialist benchmark restricted to listed property
companies with an SA REIT status.
Following the responses received to the Market Consultation, FTSE/JSE introduced the above-mentioned property
indices in October 2017. However, feedback from The Regulator indicated that the Tradable Property Index could
not be treated as a designated successor for the SAPY and that a ballot process would most likely be required to
amend existing index products. As such, FTSE/JSE did not terminate the SAPY and PCAP indices at that stage.
Over the years, FTSE/JSE has observed more market interest in the ALPI compared to the J800 and J805. With the
declining number of property companies in the ALSI, the constituents in the ALPI have reduced from 33
constituents at launch date in 2017 to 20 constituents currently. Over the same period, the number of constituents
in the ALSI has reduced from 166 to 123.
The ALPI is designed to be referenced as an asset class benchmark for the listed property sector. There are some
practical benefits to basing this benchmark selection on the All Share universe related to the size and liquidity of
the constituents.
Page 1 of 5 ANNEXURE C
In particular, mandates that exclude off-benchmark allocations have become restrictive for efficient access to this
sector, since a number of property companies outside of the All Share universe are nonetheless potential asset
allocations for bespoke property funds.
3. Current Methodology
According to Section 4.5.15X of the Ground Rules, the ALPI consists of all constituents of the FTSE/JSE Shareholder
Weighted All Share Index (SWIX ALSI/J403), which belong to the ICB real estate industry 35. This means that when
selecting the constituents of the ALPI, every SWIX ALSI constituent in the Real Estate Industry gets automatic
inclusion into the ALPI. The index is capped quarterly at 15%. It is worth noting that although the Ground Rules
specifically mention the SWIX ALSI, the All Share Index is identical to the J403 post Phase 1 of the Index
Harmonisation project which was implemented in March 2024.
From the above paragraph, it can be noted that the first requirement of being in the ALPI is to meet the
requirements of the SWIX All Share Index. The requirements are quite broad and mainly include:
• Free Float screen: a minimum global free float of 5%
• Minimum Size screen: an investable market cap that is 0.5% or greater than the investable market
capitalisation of the FTSE/JSE Small Cap Index on review cut date
• Liquidity screen: non constituents must turnover at least 0.5% of their shares in issue, after the application of
any free float restrictions, per month in at least 10 of the 12 months prior to a semi-annual review
• Cumulative Market Representation screen: eligible companies must rank within the top 98.5% of the index
universe by full market capital value (i.e. before the application of any investability weightings)
The below table shows the 20 constituents that currently make up the ALPI:
Alpha Instrument Free Float Liquidity Benchmark Index
NRP NEPI Rockcastle N.V. PASS PASS ALSI All Property Index
SHC Shaftesbury Capital plc PASS PASS ALSI All Property Index
GRT Growthpoint Prop Ltd PASS PASS ALSI All Property Index
HMN Hammerson plc PASS PASS ALSI All Property Index
SRE Sirius Real Estate Ltd PASS PASS ALSI All Property Index
RDF Redefine Properties Ltd PASS PASS ALSI All Property Index
FFB Fortress Real Est Inv B PASS PASS ALSI All Property Index
RES Resilient REIT Limited PASS PASS ALSI All Property Index
VKE Vukile Property Fund Ltd PASS PASS ALSI All Property Index
LTE Lighthouse Properties plc PASS PASS ALSI All Property Index
MSP MAS P.L.C PASS PASS ALSI All Property Index
HYP Hyprop Inv Ltd PASS PASS ALSI All Property Index
EQU Equites Prop Fund Ltd PASS PASS ALSI All Property Index
ATT Attacq Limited PASS PASS ALSI All Property Index
FTB Fairvest Limited B PASS PASS ALSI All Property Index
SAC SA Corp Real Estate Ltd PASS PASS ALSI All Property Index
SSS Stor-Age Prop REIT Ltd PASS PASS ALSI All Property Index
BTN Burstone Group Limited PASS PASS ALSI All Property Index
EMI Emira Property Fund Ltd PASS PASS ALSI All Property Index
PHP Primary Health Prop PLC PASS PASS ALSI All Property Index
Table 1: List of ALPI constituents as at November 2024
Page 2 of 5 ANNEXURE C
4. Proposed Methodology
The proposed methodology is aimed to keep the bulk of the All Property requirements as is, with the exception of
the All Share requirement. This means that listed property constituents of the Fledgling Index (J204), which pass
liquidity, would also qualify for inclusion into the ALPI.
The proposed change to the wording in the Ground Rules is in bold italics below:
4.5.15X. FTSE/JSE All Property Index (J803)
The FTSE/JSE All Property Index consists of all constituents of the FTSE/JSE Shareholder Weighted All Share Index
and FTSE/JSE Fledgling Index (that pass the liquidity requirement) which belong to the ICB real estate industry
35. Constituent weights will be capped at 15% on a quarterly basis after the application of corporate actions. The
capping methodology is detailed in appendix B (except for the capped percentage that may be different).
The below table shows 41 instruments that are listed on the main board which belong to the Real Estate Industry.
Alpha Instrument Free Float Liquidity All Share ALPI
NRP NEPI Rockcastle N.V. PASS PASS ALSI ALPI
SHC Shaftesbury Capital plc PASS PASS ALSI ALPI
GRT Growthpoint Prop Ltd PASS PASS ALSI ALPI
HMN Hammerson plc PASS PASS ALSI ALPI
RDF Redefine Properties Ltd PASS PASS ALSI ALPI
SRE Sirius Real Estate Ltd PASS PASS ALSI ALPI
PHP Primary Health Prop PLC PASS PASS ALSI ALPI
GTC Globe Trade Centre S.A. PASS FAIL
FFB Fortress Real Est Inv B PASS PASS ALSI ALPI
RES Resilient REIT Limited PASS PASS ALSI ALPI
VKE Vukile Property Fund Ltd PASS PASS ALSI ALPI
LTE Lighthouse Properties plc PASS PASS ALSI ALPI
HYP Hyprop Inv Ltd PASS PASS ALSI ALPI
MSP MAS P.L.C PASS PASS ALSI ALPI
EQU Equites Prop Fund Ltd PASS PASS ALSI ALPI
ATT Attacq Limited PASS PASS ALSI ALPI
FTB Fairvest Limited B PASS PASS ALSI ALPI
FTA Fairvest Limited A PASS FAIL
SAC SA Corp Real Estate Ltd PASS PASS ALSI ALPI
SSS Stor-Age Prop REIT Ltd PASS PASS ALSI ALPI
BTN Burstone Group Limited PASS PASS ALSI ALPI
EMI Emira Property Fund Ltd PASS PASS ALSI ALPI
DKR Deutsche Konsum REIT-AG PASS FAIL FLED
DIB Dipula Income Fund B PASS PASS FLED Addition
EXP Exemplar REITail Ltd PASS FAIL FLED
CRP Capital & Regional plc PASS FAIL FLED
ACS Acsion Limited PASS FAIL FLED
CPP Collins Property Grp Ltd PASS FAIL FLED
OCT Octodec Invest Ltd PASS PASS FLED Addition
SEA Spear REIT Limited PASS PASS FLED Addition
SCD Schroder European REIT PASS PASS FLED Addition
SAR Safari Investments RSA Ltd PASS FAIL FLED
TEX Texton Property Fund Ltd PASS FAIL FLED
BWN Balwin Properties Ltd PASS FAIL FLED
APF Accelerate Prop Fund Ltd PASS FAIL FLED
TMT Trematon Capital Inv Ltd PASS FAIL FLED
Page 3 of 5 ANNEXURE C
Alpha Instrument Free Float Liquidity All Share ALPI
APO aReit Prop Limited PASS FAIL FLED
DLT Delta Property Fund Ltd PASS FAIL FLED
REB Rebosis Property Fund Ltd PASS FAIL
REA Rebosis Property Fund Ltd A PASS FAIL
PPR Putprop Ltd PASS FAIL FLED
Table 2: List of Real Estate Industry ordinary share listed in the main board as at the September 2024 Review. Companies highlighted in red are
suspended
Of the 41 instruments above, 20 met the requirements of the ALSI and thus qualified for the ALPI. Under the new
proposal, any company which is listed on the main board; belongs to the ALSI or Fledgling Index (J204) and meets
the liquidity requirement, will automatically be included in the ALPI. In the above table, 24 securities met the
requirements of the new proposal therefore an implementation thereof would result in the addition of four
Fledgling constituents into the ALPI.
It is worth noting that due to the current design of the ALPI and the selection criteria that is based on the Real
Estate ICB Industry, this index is similar to the existing Real Estate (JI0035) and SWIX Real Estate (JW0035) ICB
Industry indices. The constituents are identical however the ALPI is capped at 15% quarterly where the two Real
Estate Indices are not capped. Any index user who wishes to get exposure to the Real Estate companies in the ALSI,
can therefore use the JI0035. Access to the JI0035 index data is already included in the All Share data subscription.
Table 3 shows the expected weight changes in the ALPI using the current methodology vs the proposed
methodology, based on the four constituent additions referenced above. The combined weighting of the new
constituents is in the region of 2.8%.
Constituent name Current Proposed
J803 Weight Uncapped Weight J803 Weight Uncapped Weight
NEPI Rockcastle N.V. 15.74% 25.88% 15.72% 25.24%
Growthpoint Prop Ltd 14.31% 13.93% 14.30% 13.59%
Redefine Properties 12.22% 10.52% 11.74% 10.26%
FORTRESS REAL EST INV B 8.37% 7.20% 8.04% 7.03%
Vukile Property Fund 7.02% 6.04% 6.75% 5.90%
Resilient REIT Ltd 6.15% 5.30% 5.91% 5.17%
Hyprop Investments Ltd 5.76% 4.95% 5.53% 4.83%
Equites Property Fund 4.06% 3.50% 3.90% 3.41%
Sirius Real Estate Ltd 3.28% 2.83% 3.15% 2.76%
Attacq Limited 3.44% 2.96% 3.30% 2.89%
MAS PLC 3.21% 2.76% 3.08% 2.69%
Lighthouse Properties plc 2.69% 2.32% 2.59% 2.26%
SA Corporate Real Estate Fund 2.55% 2.20% 2.45% 2.14%
Fairvest Limited B 2.26% 1.94% 2.17% 1.90%
Stor-Age Property REIT 2.17% 1.87% 2.08% 1.82%
Burstone Group Limited 2.04% 1.76% 1.96% 1.71%
Hammerson Plc 1.69% 1.46% 1.63% 1.42%
Shaftesbury Capital 1.37% 1.18% 1.31% 1.15%
Primary Health Properties 0.76% 0.65% 0.73% 0.63%
Emira Property Fund 0.90% 0.77% 0.86% 0.75%
Dipula Income Fund (B) 1.45% 1.26%
Octodec Investments 0.69% 0.60%
Spear REIT Limited 0.64% 0.56%
Schroder European REIT 0.03% 0.03%
Table 3: Difference in weight between current methodology and proposed methodology
Page 4 of 5 ANNEXURE C
5. Impact of the change
The current implementation of the proposed methodology would introduce four new constituents to the
benchmark, contributing around 2.8% of the new benchmark weight. Note that this also implies a once-off index
churn of around 2.8% associated with implementing this change. Of this weight contribution, just over half is as a
result of the largest addition, namely Dipula Income Fund (DIB). Interesting to note is that DIB's weight is higher
than three of the ALPI constituents, namely Shaftesbury Capital, Primary Health Properties and Emira Property
Fund. The only reason that DIB isn't in the ALPI is purely due to the constituent belonging to the Fledgling Index.
For index users who use the ALPI to define their investable universe, this brings an increase from 20 companies to
24, an increase of 20%. This will provide increased flexibility to portfolio construction. At the same time more listed
property companies would gain access to index-based investors which may bring second round benefits to the
industry.
6. Responding to the Consultation
The proposed implementation date for this proposal is in Q1 of 2025, effective with the March 2025 Quarterly
Review.
FTSE/JSE requests feedback from market participants on the proposed changes included in this paper. Please
provide us with your comments and suggestions by 17:00 on Monday 25 November 2024 to the following email
address: indices@jse.co.za
FTSE/JSE would also like to meet with market participants to discuss any further comments, suggestions or
concerns. Please contact the indices team should you wish to arrange a meeting in this regard. All feedback
received by 25 November 2024 will be carefully considered before making any final decisions.
Page 5 of 5 ANNEXURE C
Date: 04-11-2024 02:00:00
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