ftseguide_v0.13[1]

The FTSE/JSE Africa Index Series

A Comprehensive Guide

BACKGROUND The FTSE/JSE Africa Index Series is the result of an exciting joint venture between the JSE Securities Exchange South Africa (JSE) and the FTSE Group (FTSE). The Series brings with it a change in the philosophy and methodology for calculating indices and classifying sectors. It forms a strong foundation for JSE’s vision “to be recognized for providing world class primary markets, secondary markets and services facilitated by strategic affiliations while providing a Gateway integrating Southern Africa into global financial markets”.

NATURE OF THE DEAL The FTSE/JSE Africa Index Series has a number of advanced design features, the most topical being the move from indices based on full market capitalization to free float adjusted indices. FTSE initially implemented free float indices in June 2001 and is the market leader in this area. Since then, a number of international players have followed suite, including MSCI, DOW Jones and Stoxx. In addition to free float indices, the FTSE/JSE Africa Index Series reclassifies securities into sectors that embrace world standards by following the FTSE Global Classification System. In a nutshell, what this deal means for South Africa is that although the JSE still owns the index information and is responsible for its dissemination, the responsibility for calculating the indices and marketing them globally falls to FTSE. The JSE and FTSE work together in the development of new indices in response to market needs.

THE BENEFITS The FTSE/JSE Africa Index Series holds numerous benefits for the JSE and its market. For instance, it:

Allows the JSE to leverage FTSE’s global reach;

Ensures transparency through the index structure and ground rules; Gives a proper perspective on the investible share base by adjusting for free float; Achieves world-class index standards; Leverages leading technology; Provides live index calculations; Facilitates more frequent index value dissemination; Provides a familiar system for international players; and Enables the creation of new indices to meet the needs of the industry.

This guide is designed to provide an overview of the FTSE/JSE Africa Index Series and how it works. The Ground Rules for the Management of the FTSE/JSE Africa Index Series provides a more detailed view of the process and should be consulted by those requiring more comprehensive information of the series. This document is available from the JSE or from the website www.ftsejse.co.za.

www.ftsejse.co.za of 16

http://www.ftsejse.co.za/


A Comprehensive Guide SECURITIES ELIGIBLE FOR THE FTSE/JSE AFRICA INDEX SERIES The following securities are eligible for entry into the FTSE/JSE Africa Index Series:

All sufficiently liquid ordinary shares in issue belonging to companies that have a listing on the JSE Securities Exchange South Africa;

Where a single company has a number of different equity securities, all sufficiently liquid securities that have a full market value (before free float weightings are applied) of more than 25% of the company’s main security; and Securities of companies whose business is that of holding equity and other investments (e.g. Investment Trusts) with some exceptions mentioned below.

Securities which are not included in the FTSE/JSE Africa Index Series are those that do not fall into any of the above categories, as well as:

Exchange Traded Funds (ETFs) and funds whose prices are a direct derivation of underlying holdings (e.g. Unit Trusts, Mutual Funds); Securities of companies classified as Pyramid companies; Investment funds that have been assessed by the FTSE Global Classification Committee as being ineligible, that is that they have been classified in Sector 89 (Investment Entities); and Securities falling in the Economic Group Specialist Securities (A0) (e.g. Kruger Rands).

Shares belonging to companies that have a listing on the Namibian Stock Exchange (NSX) are included in the FTSE/JSE Africa Index Series and fall into the FTSE/JSE Africa Namibia Indices category.

RATING SHARES FOR LIQUIDITY When rating a security’s overall liquidity, the following guidelines will be used:

An accurate and reliable price must exist for the purposes of determining the market value of the company; and A security must turnover at least 0.5% of its shares in issue (after free float weightings are applied) per month in at least ten of the twelve months prior to being reviewed in order to be eligible for inclusion in the indices. Any period when a share is suspended will be excluded from this calculation.

Liquidity reviews occur annually each December, this means that securities, which are not eligible on the basis of liquidity, will be excluded from the indices for a full year (until the next review in the following December). Note that there are no liquidity requirements for constituents of both the FTSE/JSE Africa Fledgling Index and the FTSE/JSE Africa Namibia Indices.

CALCULATING MARKET CAPITALISATION Two types of market capitalization are calculated in the FTSE/JSE Africa Index Series: Full Market Capitalization is calculated by taking the entire listed share issue of a security (including shares which are issued partly, or nil paid where the call dates are already determined and known) and multiplying this by the share’s current price. Convertible preference shares and loan stocks are excluded from this calculation until such time as they are converted. It is important to note that the entire share issue



A Comprehensive Guide as described here is subject to a one percent rule which states that to prevent a large number of insignificant weighting changes, the number of shares in issue for each company is amended only when the total shares in issue changes by more than 1% on a cumulative basis. Free Float Market Capitalization is the adjusted market capitalization used to determine the weighting of securities in different indices and is calculated by applying the free float banding percentage to the full market capitalization.

FREE FLOAT: WHAT IT IS AND HOW IT’S USED Free float is the amount of shares freely available to investors. It excludes those shares where shareholding is restricted to specific individuals or groups of individuals. The use of free float weightings when calculating indices benefits investors by giving a more representative view of what is available in the market. Free float weightings allow investors to track an index more closely and invest accordingly. Shares that are considered to be restricted, and therefore not part of free float, include:

Trade investments in an index constituent either by another constituent (i.e. cross-holdings) or non-constituent company or entity;

Significant long term holdings by founders, their families and/or directors; Employee share schemes; Government holdings; Foreign ownership limits; and Portfolio investments subject to a lock-in clause, for the duration of that clause.

All other share holdings are not considered as restricted free float, including:

Portfolio investments; Nominee holdings; and Holdings by investment companies.

The quantity of free float shares is calculated for all companies eligible to be included in the FTSE/JSE Africa Index Series. Because the number of free float shares varies regularly and is often difficult to calculate exactly, FTSE and the JSE use a banding structure to apply the free float weighting. This banding structure works by rounding off the free float figure upwards, and serves the dual purpose of insulating the market from minor fluctuations in available free float and reflecting the change only when it has a significant impact on share availability.

Free Float Calculation Result Applied Free Float Band Free float greater than 5% but less than or equal to 15% Next highest whole %

Free float greater than 15% but less than or equal to 20% 20% Free float greater than 20% but less than or equal to 30% 30% Free float greater than 30% but less than or equal to 40% 40% Free float greater than 40% but less than or equal to 50% 50% Free float greater than 50% but less than or equal to 75% 75% Free float greater than 75% 100%




Companies with a free float greater than 5% but less than or equal to 15% will be rounded up to the next highest whole number, but will only be eligible for the Index if the market capitalization of their available float is greater than the average company’s free float capitalization within the Index.

SECTOR CLASSIFICATION OF SECURITIES Securities are classified according to the FTSE Global Classification System first into economic groups and then into sectors and sub-sectors.

Listed Companies

Venture Capital Main Board Development Capital

Economic Group 00 Economic Group 10 Economic Group 20

Sector 11 Sector 13

Sub sector 131 Sub Sector 137

The FTSE Global Classification Committee performs this classification. The areas of the FTSE Global Classification System pertaining to the FTSE/JSE Africa Index Series are shown overleaf. For the purposes of the FTSE/JSE Africa Index Series, the Mining Sector (04) has been developed to include additional sub-sectors for Coal (042), Platinum (044) and Diamonds (046).




Chemicals (11) (J011) Steel & Other Metals (18) (J018)Forestry & Paper (15) (J015)Construction & Building Materials(13) (J013)

Aerospace & Defence (21) (J021) Electronic & Electrical Equipment(25) (J025)

Diversified Industrials (24) (J024) Engineering & Machinery (26)(J026)

Beverages (41) (J041)

Tobacco (49) (J049)

Pharmaceuticals & Biotechnology(48) (J048)

Personal Care & HouseholdProducts (47) (J047)

Food Producers & Processors(43) (J043)

Health (44) (J044)

General Retailers (52) (J052)

Media & Photography (54) (J054)

Transport (59) (J059)Leisure, Entertainment & Hotels(53) (J053)

Support Services (58) (J058)

Food & Drug Retailers (63) (J063) Telecommunication Services (67) (J067)

Household Goods & Textiles (34) (J034)Automobiles & Parts (31) (J031)

Information Technology Hardware (93) (J093)

Unit Trust (A4) (n/a)

Preference Shares (A3) (n/a)

Corporate Debt (A2) (n/a)

Kruger Rands (A1) (n/a)

Software & Computer Services (97) (J097)

Investment Products (A6) (n/a)

Warrants (A5) (n/a) Exchange Traded Funds (A7)(n/a)

Banks (81) (J081) Real Estate (86) (J086)

Investment Companies (85)(J085)

Speciality & Other Finance (87) (J087)

Life Assurance (84) (J084)

Insurance (83) (J083)

Investment Entities (Ineligible)(89) (n/a)

Electricity (72) (J072) Water (78) (J078)Gas Distribution (73) (J073)

Asset Managers (871)Consumer Finance (873)Investment Banks (875)

Water (780)

Forestry (153)Paper (156)

Builders Merchants (131)Building and Construction

Materials (132)House Building (134)Other Construction (137)

Commercial Vehicles &Trucks (263)

Engineering - Contractors(264)

Engineering Fabricators (266)Engineering - General (267)

Automobile (311)Auto Parts (313)

Health MaintenanceOrganisations (443)

Hospital Management & LongTerm Care (444)

Business Support Services(581)

Education, Business Training& Employment Agencies(583)

Environmental Control (584)Funerals & Cemeteries (585)Laundries & Cleaners (586)Security & Alarm Services

(588)

Computer Services (972)Internet (974)

Fixed-Line TelecommunicationServices (673)

Gas Distribution (730)

Insurance Brokers (833)Insurance Non-life (834)Re-Insurance (837)Other Insurance (839)

Life Assurance (840)

Investment Companies (850)

Real Estate Holding &Development (862)

Property Agencies (864)

Exchange Traded Funds (A71)

Investment Entities Ineligiblefor Inclusion in FTSE (890)

Investment Products (A61)

Warrants (A51)

Unit Trust (A41)

Preference Shares (A31)

Corporate Debt (A21)

Kruger Rands (A11)

Computer Hardware (932)Semiconductors (936)

Banks (810)

Electricity (720)

Food & Drug Retailers (630)

Discount & Super Stores &Warehouses (524)

Retailers eCommerce (525)Retailers - Hardlines (526)Retailers - Multi Department

(527)Retailers - Soft Goods (528)

Beverages - Brewers (415)Beverages - Distillers &

Vintners (416)Soft Drinks (418)

Clothing & Footwear (341)Furnishings & Floor Coverings

(342)Household Appliances &

Housewares (345)

Aerospace (215)Defence (216)

Chemicals - Commoditiy (113)Chemicals - Advanced

Materials (116)Chemicals - Speciality (118)

Pharmaceuticals (480)Biotechnology (482)

Tobacco (490)

Electrical Equipment (252)Electronic Equipment (253)

Non-Ferrous Metals (186)Steel (188)

Diversified industrials (240)

Gaming (532)Home Entertainment (535)Hotels (536)Leisure Facilities (538)Restaurants & Pubs (539)

Farming & Fishing (433)Food Processors (435)

Broadcasting Contractors(542)

Cable & Satellite (543)Media Agencies (545)Photography (546)Publishing & Printing (547)

Airlines & Airports (591)Rail, Road & Freight (596)Shipping & Ports (597)

Household Products (475)Personal Products (477)

Mining (04) (J004) Oil & Gas (07) (J007)Oil Gas - Exploration &

Production (073)Coal (042) (J151)Gold Mining (043) (J150)Platinum (044) (J153)

Mining Finance (045) (J155)Diamond (046) (J152)Other Mineral Extractors and

Mines (048) (J154)

Oil - Services (075)Oil - Integrated (078)

Leisure Equipment (347)Other Textiles & Leather

Goods (349)

Tyres & Rubber (317)Vehicle Distribution (318)

Wireless TelecommunicationServices (678)

TelecommunicationsEquipment (938)

Software (977)

EconomicGroup Sector and Sub-Sector

InformationTechnology

(90)(J090)

Financials(80)

(J080)

Utilities(70)

(J070)

Non CyclicalServices

(60)(J060)

CyclicalServices

(50)(J050)

Non CyclicalConsumer

Goods(40)

(J040)

CyclicalConsumer

Goods(30)

(J030)

GeneralIndustrials

(20)(J020)

BasicIndustries

(10)(J010)

SpecialistSecurities

(A0)(n/a)

Resources(00)

(J000)

Medical Equipment &Supplies (446)

Other Health Care (449)

Mortgage Finance (877)Other Financial (879)



A Comprehensive Guide THE INDICES OF THE FTSE/JSE AFRICA INDEX SERIES The FTSE/JSE Africa Index Series may be roughly grouped into five categories; FTSE/JSE Africa Headline indices, FTSE/JSE Africa Tradable indices, FTSE/JSE Africa Sector indices, FTSE/JSE Africa Secondary Market indices and FTSE/JSE Africa Specialist indices. In addition, indices are calculated for the Namibian Stock Exchange (NSX). These indices are divided into similar, but fewer, categories in correlation to the size of the market.

FTSE/JSE Africa Headline Indices All eligible listed companies are included in at least one of the FTSE/JSE Africa Headline Indices. The eligible companies are ranked by full market capitalization (before free float weightings are applied). The top 99% of all companies are included in the FTSE/JSE Africa All Share Index with the remaining 1% forming the FTSE/JSE Africa Fledgling Index. The FTSE/JSE Africa All Share Index is further divided into the FTSE/JSE Africa Top 40 Index containing the forty highest-ranking companies, the FTSE/JSE Africa Mid Cap Index containing the sixty highest-ranking companies outside of the FTSE/JSE Africa Top 40 (i.e. companies ranked 41-100), and the FTSE/JSE Africa Small Cap Index containing the remaining companies. The structure of the FTSE/JSE Africa Headline Indices is summarized below: Determining the FTSE/JSE Africa Headline Indices’ Constituents

Apply liquidity screen to determine eligibility Rank all companies by full market capitalization Of the top 99%, separate into Top Cap, Mid Cap and Small Cap Apply Free Float Weighting

Reserve lists are kept of the five highest-ranking non-constituents of the FTSE/JSE Africa Top 40 Index and the ten highest-ranking non-constituents of the FTSE/JSE Africa Mid Cap Index. The appropriate reserve list is used in the event that one or more constituents is deleted from the either of these indices. The FTSE/JSE Africa Headline Indices are as follows: Index Code

Alpha Code

Index Name Disseminated Description

J200 TOPI Top 40 15 seconds The top forty companies which are constituents of the FTSE/JSE Africa All Share Index ranked by full market capitalization (before free float weightings are applied)

J203 ALSH All Share 60 seconds The top 99% of eligible listed companies ranked by full market capitalization (before free float weightings are applied)

J201 MIDC Mid Cap 60 seconds The sixty companies which are constituents of the FTSE/JSE Africa All Share Index ranked 41-100 by full market capitalization (before free float weightings are applied)

J202 SMLC Small Cap 60 seconds The companies included in the FTSE/JSE Africa All Share Index but not included in the FTSE/JSE Africa Top 40 or FTSE/JSE Africa Mid Cap Indices



A Comprehensive Guide Index Code

Alpha Code


J204 FLED Fledgling EOD The bottom 1% of eligible listed companies ranked by full market capitalization (before free float weightings are applied)

* EOD – End of Day

FTSE/JSE Africa Tradable Indices There are six tradable indices in the FTSE/JSE Africa Index Series: Index Code

Alpha Code


J200 TOPI Top 40 15 seconds The top forty companies which are constituents of the FTSE/JSE Africa All Share Index ranked by full market capitalization (before free float weightings are applied)

J150 GLDX Gold Mining 15 seconds All companies which are constituents of both the FTSE/JSE Africa All Share Index and the gold mining sub-sector

J210 RESI Resource 20 15 seconds The top twenty companies which are constituents of the resources economic group ranked by full market capitalization (before free float weightings are applied)

J211 INDI Industrial 25 15 seconds The top twenty-five companies which are constituents of either the basic industrial or general industrial economic groups ranked by full market capitalization (before free float weightings are applied)

J212 FINI Financial 15 15 seconds The top fifteen companies which are constituents of the financial economic group ranked by full market capitalization (before free float weightings are applied)

J213 FNDI Financial and Industrial 30

15 seconds The top thirty companies which are constituents of either the financial, basic industrial or general industrial economic groups ranked by full market capitalization (before free float weightings are applied)

FTSE/JSE Africa Sector Indices The Sector Indices can be divided into Economic Group Indices, Sector Indices and Sub-Sector Indices. Inclusion in these indices is based on the liquidity of the security and on the sector classification of the listed company according to the FTSE Global Classification System as applied at the JSE. All Sector Indices are disseminated every 60 seconds.




Alpha Code

Index Name

Economic Group Indices

J000 RESO Resources 60 seconds J010 BIND Basic Industries 60 seconds J020 GIND General Industries 60 seconds J030 CCGD Cyclical Consumer

Goods 60 seconds

J040 NCCG Non Cyclical Consumer Goods

60 seconds

J050 CSEV Cyclical Services 60 seconds J060 NCSV Non Cyclical Services 60 seconds J070 UTIL Utilities 60 seconds J080 FIN Financials 60 seconds J090 ITCH Information

Technology 60 seconds

All companies which are constituents of both the FTSE/JSE Africa All Share Index and the economic group after which the index is named. Where no eligible companies exist in an economic group no index value will be disseminated.

Sector Indices

J004 MNNG Mining 60 seconds J007 OLGS Oil & Gas 60 seconds J011 CHEM Chemicals 60 seconds J013 CBDM Construction &

Building Materials 60 seconds

J015 FRPP Forestry & Paper 60 seconds J018 STMT Steel & Other Metals 60 seconds J021 AEDF Aerospace & Defence 60 seconds J024 DIND Diversified Industrials 60 seconds J025 EEEQ Electronic & Electrical

Equipment 60 seconds

J026 EGMC Engineering & Machinery

60 seconds

J031 AUTO Automobiles & Parts 60 seconds J034 HGTX Household Goods &

Textiles 60 seconds

J041 BEVE Beverages 60 seconds J043 FPPS Food Producers &

Processors 60 seconds

J044 HLTH Health 60 seconds J047 PCHP Personal Care &

Household Products 60 seconds

J048 PBIO Pharmaceuticals and Biotechnology

60 seconds

J049 TBCO Tobacco 60 seconds J052 GENR General Retailers 60 seconds J053 LEHT Leisure, Entertainment

& Hotels 60 seconds

J054 MDPT Media & Photography 60 seconds J058 SSEV Support Services 60 seconds J059 TRNS Transport 60 seconds J063 FDRT Food & Drug Retailers 60 seconds

All companies which are constituents of both the FTSE/JSE Africa All Share Index and the sector after which the index is named. Where no eligible companies exist in a sector no index value will be disseminated.



A Comprehensive Guide J067 TLSV Telecommunication

Services 60 seconds

J072 ELEC Electricity 60 seconds J073 GASD Gas Distribution 60 seconds J078 WATR Water 60 seconds J081 BNKS Banks 60 seconds J083 INSR Insurance 60 seconds J084 LFEA Life Assurance 60 seconds J085 INVC Investment Companies 60 seconds J086 RLST Real Estate 60 seconds J087 SPOF Speciality & Other

Finance 60 seconds

J093 ITHD Information Technology Hardware

60 seconds

J097 SCSV Software & Computer Services

60 seconds

All companies which are constituents of both the FTSE/JSE Africa All Share Index and the sector after which the index is named. Where no eligible companies exist in a sector no index value will be disseminated.

Sub-Sector Indices

J150 GLDX Gold Mining 15 seconds J151 COAL Coal Mining 60 seconds J152 DIAM Diamond Mining 60 seconds J153 PLAT Platinum Mining 60 seconds J154 METL Other Mineral

Extractors & Mines 60 seconds

J155 MINF Mining Finance 60 seconds

All companies which are constituents of both the FTSE/JSE Africa All Share Index and the sub-sector after which the index is named. Where no eligible companies exist in a sub-sector no index value will be disseminated.

FTSE/JSE Africa Secondary Market Indices Two indices form the FTSE/JSE Africa Secondary Market Indices: Index Code

Alpha Code


J230 DEVC Development Capital EOD Small to medium size companies with limited profit history requiring start-up investment capital.

J231 VENC Venture Capital EOD Companies specializing in the holding of portfolio investments in venture capital projects and/or single venture companies.

*EOD – End of Day

FTSE/JSE Africa Specialist Indices The FTSE/JSE Africa Specialist Indices allow for the creation of indices based on criteria independent of market capitalization and classification. These criteria may include both business and socio-economic factors. A number of specialist indices are currently available as part of the FTSE/JSE Africa Index Series and several others are under development.




Alpha Code


J250 ALEX Financial and Industrial

60 seconds All companies which are constituents of the FTSE/JSE Africa All Share Index excluding those classified in the resources economic group.

J255 PUTS Property Unit Trust 60 seconds Companies without share capital that have invested in the shares of property owning companies and in approved securities.

J256 PULS Property Loan Stock 60 seconds Companies engaged primarily in the ownership of property or property owning companies and which have listed linked or unlinked debentures or loan stock.

J257 ASIN Industrials 60 seconds All companies which are constituents of both the FTSE/JSE Africa All Share Index and either the basic industrial or general industrial economic groups

FTSE/JSE Africa Namibia Indices The FTSE/JSE Africa Namibia Indices differ from all other indices in the series in that they are not subject to liquidity requirements and are not reviewed by the FTSE/JSE Advisory Committee. The day-to-day management and review of these indices is controlled by the NSX with new products collaboratively developed by both the JSE and the NSX. Index Code

Alpha Code


Namibia Headline Indices

N099 LOCL Local Index 60 seconds All companies which are primary listed on the Namibian Stock Exchange

N098 OVRL Overall Index 60 seconds All companies listed on the Namibian Stock Exchange

Namibia Economic Group Indices

N000 NRES Resources 60 seconds N010 NBND Basic Industries 60 seconds N020 NGND General Industrials 60 seconds

N030 NCCR Cyclical Consumer Goods

60 seconds

N040 NNCG Non Cyclical Consumer Goods

60 seconds

N050 NSEV Cyclical Services 60 seconds N060 NNCS Non Cyclical Services 60 seconds N070 NUTI Utilities 60 seconds N080 NFIN Financials 60 seconds

N090 NITC Information Technology

60 seconds

All companies listed on the Namibian Stock Exchange, which are also constituents of the economic group after which the index is named. Where no eligible companies exist in an economic group no index value will be disseminated.




Alpha Code


Namibia Sector Indices

N004 NMNN Mining 60 seconds N007 NOLG Oil & Gas 60 seconds N011 NCHE Chemicals 60 seconds

N013 NCBD Construction & Building Materials

60 seconds

N015 NFRP Forestry & Paper 60 seconds N018 NSTM Steel & Other Metals 60 seconds N021 NAED Aerospace & Defence 60 seconds N024 NDIN Diversified Industrials 60 seconds

N025 NEEQ Electronic & Electrical Equipment

60 seconds

N026 NEGM Engineering & Machinery

60 seconds

N031 NAUT Automobiles and Parts 60 seconds

N034 NHGT Household Goods & Textiles

60 seconds

N041 NBEV Beverages 60 seconds

N043 NFPP Food Producers & Processors

60 seconds

N044 NHLT Health 60 seconds

N047 NPCH Personal Care & H/hold Prods

60 seconds

N048 NPBI Pharmaceuticals and Biotech

60 seconds

N049 NTBC Tobacco 60 seconds

All companies listed on the Namibian Stock Exchange, which are also constituents of the sector after which the index is named. Where no eligible companies exist in a sector no index value will be disseminated.

N052 NGEN General Retailers 60 seconds

N053 NLEH Leisure, Entertainment & Hotels

60 seconds

N054 NMDP Media & Photography 60 seconds N058 NSSE Support Services 60 seconds N059 NTRN Transport 60 seconds N063 NFDR Food & Drug Retailers 60 seconds

N067 NTLS Telecommunication Services

60 seconds

N072 NELE Electricity 60 seconds N073 NGAS Gas Distribution 60 seconds N078 NWAT Water 60 seconds N081 NBNK Banks 60 seconds N083 NINS Insurance 60 seconds N084 NLFE Life Assurance 60 seconds

N085 NINV Investment Companies

60 seconds

N086 NRLS Real Estate 60 seconds

N087 NSPO Speciality & Other Finance

60 seconds

N093 NITH Information Technology Hardware

60 seconds

All companies listed on the Namibian Stock Exchange, which are also constituents of the sector after which the index is named. Where no eligible companies exist in a sector no index value will be disseminated.




Alpha Code


N097 NSCS Software & Computer Services

60 seconds

CALCULATING THE INDICES All indices in the FTSE/JSE Africa Index Series are calculated between 09h00 and 17h00 on all days when the JSE is open for trading. All indices in the series are calculated using the formula:

Index = Sum of Free Float Market Capitalization of All Constituent Companies Latest Index Divisor

Where:

the free float market capitalization of each company is calculated by multiplying the most recent share price by the number of shares after the free float weighting has been applied; and

the Index Divisor is an arbitrary number chosen at the starting point of the index, which is adjusted when capitalization amendments are made to the constituents of the index allowing the index value to remain comparable over time.

For a more detailed explanation of this and other calculations used when calculating indices refer to the Guide to Calculation Methods for the FTSE/JSE Africa Index Series available from the JSE, from FTSE, or from the website www.ftsejse.co.za.

DISPLAYING THE INDICES Indices in the FTSE/JSE Africa Index Series are identified with an alphanumeric reference such as J010, J020 etc. through to J999. Each index is disseminated according to its specific requirements either, every 15 seconds, every minute or at the close of business for the day. All indices also display a current state:

Firm (Firm) - The index is calculated on trades generated by the JSE trading system, JSE SETS. This is the most common state and takes place during the hours of the Official Index Period. The Official Closing Index is the last index value calculated at the end of the firm period using the closing price from the JSE;

Closed (Close) - The index has ceased calculation for the day; Held (Held) – If, during official JSE market hours, an index has exceeded pre-set operating parameters and the calculation has been suspended pending resolution of the problem; or Indicative (Ind) - 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.




A Comprehensive Guide ADMINISTRATION OF THE INDICES FTSE and the JSE are responsible for the day-to-day management of and operation of the indices. The FTSE/JSE Advisory Committee has been established to oversee the operation and management of the FTSE/JSE Africa Index Series. The purpose of the Committee is to:

Ensure that global standards are contained in the ground rules which govern the indices;

Oversee the ongoing management of the indices and the corporate actions that affect them; and Advise on the construction and methodology of new indices.

No member of the Advisory Committee is on the Advisory Committee to represent that member’s employer but rather is there because of that person’s specific expertise and to represent the interests of the industry generally.

REVIEW OF INDICES The constituents of the FTSE/JSE Africa Index Series are reviewed quarterly, in March, June, September, and December in accordance with the FTSE/JSE Africa Index Series ground rules. Insertion and deletion of constituents of the indices is not restricted to the quarterly review and may be done at any time that a corporate event occurs which would impact the indices. Rules for Insertion and Deletion of Securities The rules for inserting and deleting companies at the quarterly review are designed to provide stability in the selection of constituents of the FTSE/JSE Africa Index Series while ensuring that the indices continue to be representative of the market by including or excluding those companies which have risen or fallen significantly. Some of the more common rules have been listed here, for a more comprehensive look at these rules please refer to the Ground Rules for the Management of the FTSE/JSE Africa Index Series available from FTSE, the JSE or on the official FTSE/JSE Africa Index Series website, www.ftsejse.co.za.

To prevent a large number of insignificant weighting changes, the number of shares in issue for each company is amended only when the total shares in issue changes by more than 1% on a cumulative basis (commonly referred to as the one percent rule);

A constituent’s free float will only be changed if its actual free float is more than 5 percentage points above the minimum or 5 percentage points below the maximum of an adjacent band. This 5-percentage points threshold does not apply to the 15% limit; An existing constituent failing to trade at least 0.5% of its shares in issue per month for more than four of the twelve months will be deleted; A security will be included in the FTSE/JSE Africa Top 40 Index if it is ranked 35th or above when the eligible securities are ranked by full market capitalization; A security will be removed from the FTSE/JSE Africa Top 40 Index if it is ranked 46th or below when the eligible securities are ranked by full market capitalization; A security will be included in the FTSE/JSE Africa Mid Cap Index if it is ranked 85th or above when the eligible securities are ranked by full market capitalization; A security will be removed from the FTSE/JSE Africa Mid Cap Index if it is ranked 116th or below when the eligible securities are ranked by full market capitalization; A constant number of constituents will be maintained for the FTSE/JSE Africa Top 40 Index and the FTSE/JSE Africa Mid Cap Index with deleted constituents being replaced by the highest-ranking company on the reserve list;




A Comprehensive Guide New issues where the full market capitalization of the security amounts to 1.0% or more of the full

capitalization of the FTSE/JSE Africa All Share Index (before the application of individual constituent free float weightings) will be included as a constituent of the FTSE/JSE Africa Top 40 Companies Index after the close of business on the first day of official trading;

Where a constituent is the subject of a merger, restructuring, complex take-over or split, the industry sector classification of the resulting constituent(s) will be determined by FTSE and the JSE and eligibility for all indices will be reviewed; Suspended constituents of the FTSE/JSE Africa Index Series will normally be deleted from the index between one and ten days after suspension depending on the circumstances around the suspension and the indices to which the security belongs. These securities will be considered for re-entry if re-listed.

DISSEMINATION OF THE INDICES The FTSE/JSE Africa Index Series is available in the following ways:

Live Intraday Data – Indices are calculated real-time and disseminated every 15 seconds; Delayed Intraday Data – Indices are calculated live and disseminated every 15 seconds to vendors who delay the onward dissemination to clients by 15 minutes; End of Day Products – A series of files sent out at the close of business each trading day containing:

Indices Products Valuation: A file of all indices with data relating to these indices (e.g. closing value); Constituents: A file of all eligible instruments with relating data (e.g. indices to which it is a constituent, closing price, number of shares in issue (subject to the 1% rule)); Tracker: A file containing all changes to both indices and constituents that will be affected prior to the following business day. This file comprises three sections; Index Level Data, Stock Level Weighting Amendments and Stock Level Ex-Dividend Changes; and

Equities Products Equity information: A file containing information such as close price, high for the day and low for the day for all JSE instruments and products.

Users are able to subscribe separately to each of these products depending on their requirements. In addition to the standard dissemination of Indices, FTSE and the JSE also provide historic data of these indices for the period July 1995 to December 2001. As the FTSE/JSE Africa Index Series was not yet in existence during this period, the historic data has been recreated retrospectively for statistical purposes and may be purchased from the JSE New Business Data Services Department. Historic data for the period January 2002 to 21 June 2002 is available free of charge on the website www.ftsejse.co.za.

FUTURES CLOSEOUT Along with the introduction of the FTSE/JSE Africa Index Series and the move to the new Equities Trading Systems, JSE SETS, the JSE introduced a new Futures Closeout procedure. Futures closeout occurs quarterly on the third Thursday of March, June, September and December. The closeout averaging process is as follows:

The averaging period lasts for one hour and forty minutes beginning at 14h00 and ending at 15h40;




A Comprehensive Guide Price monitoring on the JSE SETS trading platform is suspended during the averaging period thus

preventing the onset of volatility auctions; A price snapshot of each index constituent is taken on every minute (i.e. from 14h01 to 15h40). This snapshot is the last traded price reflected in automated trade on the JSE SETS trading platform;

A total of 100 iterations of the constituent’s price are taken; The average price of each index constituent is calculated as follows:

Settlement Price of Single Stock Future = The Sum of the Price Iterations Taken

The Number of Iterations Taken (i.e. 100)

Average prices are only required for constituents of the FTSE/JSE Africa Tradable Indices. Futures on those individual shares that are not constituents of the FTSE/JSE Africa Tradable Indices are settled at the official JSE closing price;

Index averages are based on their constituent instrument averages and are calculated as follows:

Settlement Price of Index = The Sum of the Free Float Market Capitalization of Each Index Constituent

Divisor of the Index

Where the Free Float Market Capitalization is calculated as the average price of the constituent multiplied by the free float percentage; and the divisor of the index is an arbitrary number chosen at the starting point of the index, which is adjusted when capitalization amendments are made to the constituents of the index allowing the index value to remain comparable over time;

The average prices of both instruments and indices are disseminated to the market by the JSE’s Trading Department.

Note that the FTSE/JSE Africa Index Series is not rebased on average prices, the indices continue to be calculated as normal during and after the futures closeout. The rebasing calculation is performed on the same day as the Futures Closeout but uses the closing price of the constituent instruments. The average instrument price also plays no role in the review of constituents of the index; this is based on the closing price of the instrument for the day.


of 16



GENERAL CONTACT INFORMATION The following documents provide more information on the FTSE/JSE Africa Index Series and are available from the JSE, from FTSE, or through the website www.ftsejse.co.za:

Ground Rules for the Management of the FTSE/JSE Africa Index Series Guide to Calculation Methods for the FTSE/JSE Africa Index Series FTSE/JSE Africa Index Series Master Code List FTSE/JSE Africa Index Series Product Specification FTSE/JSE Global Classification System

Further information on the FTSE/JSE Africa Index Series is available from the JSE or FTSE, who will also welcome comments on this Guide and on the Index Series. Enquiries should be addressed to:

JSE Securities Exchange South Africa Indices Department New Business Data Services Department One Exchange Square One Exchange Square 2 Gwen Lane 2 Gwen Lane Sandown Sandown Sandton Sandton Tel: 27 (0) 11 520 7702 Tel: 27 (0) 11 520 7029 Fax: 27 (0) 11 520 8608 Fax: 27 (0) 11 520 8608 E-mail: [email protected] e-mail: [email protected]

FTSE Group Client Services FTSE St Alphage House Podium Floor 2 Fore Street London EC2Y 5DA Tel: 44 (0) 20 7448 1810 Fax: 44 (0) 20 7448 1804 E-mail: [email protected] Web site: www.ftsejse.co.za

www.ftsejse.co.za

The FTSE Global Class ica ion Sys em is compiled and operated by FTSE International Limited. All rights in and to the FTSE GlobalClassification System vest in FTSE.

t

r r r

t

if t t

© FTSE International Limited (“FTSE”) and the JSE Securi ies Exchange South Africa (“JSE”) 2002. All rights reserved. No part of this publication may be rep oduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical,photocopying, recording or otherwise, without p ior written permission of the JSE and FTSE. All information p ovided is for information purposes only. Every effort has been made to ensure that all information given is accurate, but no responsibility or liability can be accepted by the JSE or FTSE for errors or omissions or for any losses arising from the use of this information.

"FTSE™®”, "FT-SE®" and "Footsie®" are trade marks of the London Stock Exchange plc and The Financial Times Limi ed and are used by FTSE International Limited under license."


mailto:[email protected]



ftseguide_v0.13[1]

Documents

ftsejse africa index

index information

index structure

southern africa

worldclass index standards

free float indices

live index calculations

liquid securities