FTSE UK Index Series Index Review Reference Data cut-off dates: Changes from March 2014 FAQ

Transcription

1 FTSE FAQ Document October 2013 FTSE UK Index Series Index Review Reference Data cut-off dates: Changes from March FAQ Overview FTSE is extending the implementation notice period for the FTSE UK Index Series to provide clients a longer notice period to prepare for the trades involved following each review. FTSE is making this change in response to feedback from market practitioners, and after ratification by the FTSE Policy Group at their meeting on 24 September The changes will be effective from the March index review. Currently, FTSE rebalance files provide a maximum of T+7 notice for index review changes. The notice period of review files for the FTSE UK Index Series will be extended to provide an extra 5 business days notice, from T+7 to T+12. To accommodate this change, the FTSE Europe, Middle East & Africa Regional Committee meeting dates have been moved back by a week. The reference data-cut-off dates used for determining the rebalance changes in the FTSE UK Index Series have also been moved back by a week.

2 1. What s changing in the UK Index Review process? Existing meeting schedule The FTSE Europe, Middle East & Africa Regional Committee meets quarterly to review the constituents of the FTSE 100, FTSE 250, FTSE 350 and the FTSE Small Cap indices. The meetings are held on the Wednesday after the first Friday in March, June, September and December. New meeting schedule The committee meetings to approve rebalance changes from March will be moved back by a week to the Wednesday before the first Friday in March, June, September and December. 2. Will this impact the rebalance effective date? No, the effective date will remain unchanged as the Monday following the third Friday of March, June, September and December (as per existing rule below) Any constituent changes will be implemented on the next trading day following the expiry of the LIFFE futures and options contracts, which normally takes place on the third Friday of the same month. 3. Why is FTSE making this change? The committee meeting and index review reference data dates have been moved back by a week in order to address client requests for a longer notice period between the announcement and effective dates of rebalance changes. The change is effectively providing an extra 5 business days notice from T+7 to T How was this decision made? This decision was taken following consultation and approval from the FTSE Europe, Middle East & Africa Regional Committee and subsequent ratification by the FTSE Policy Group. 2

3 5. What is the FTSE Policy Group? The Policy Group is made up of leading investment market professionals from around the world who serve in a personal capacity. Members of the FTSE Policy Group are chosen for their ability to provide strategic input to the development of FTSE indices and are typically Chief Investment Officer level or equivalent. 6. Will this impact the data cut off dates used in the ranking process? Yes, the market capitalisation cut-off date used in the ranking process to determine rebalance changes at index reviews will move back by one week to the Tuesday before the first Friday in March, June, September and December. For illustration purposes: the market capitalisation cut-off date for the March quarterly review will now take place at close of business on Tuesday 4 March (instead of Tuesday 11 March ). The rebalance changes will be announced after close Wednesday 5 March. 7. When will the change take place? The changes will become effective from the March index review. The December 2013 quarterly review schedule remains unchanged. 8. Will the annual liquidity testing period change? No, there will be no change to the annual testing period. The annual liquidity test in June will continue to be carried out over a period starting from the 1 st working day in May of the previous year to last working day in April of the current year. For illustration purposes: Liquidity testing period for the June review will be from 1 May 2013 to 30 April. 9. Will there be any impact to the liquidity requirement for new issues? New issues will continue to be required to have a minimum 20 day trading record when reviewed. 3

4 However in line with the new market capitalisation cut-off date, the 20 day trading period will now run up to the Tuesday before the first Friday in March, June, September and December. 10. Will there be any impact to the scheduling of the FTSE Nationality Committee meetings? The FTSE Nationality Committee currently meets 20 business days before the FTSE UK Index Series market capitalisation cut-off date. In line with the new market capitalisation cut-off date, the FTSE Nationality Committee meetings will move back by one week, effective from February (see table below). Review Month Nationality Committee Meeting March Tuesday, 4 February June Tuesday, 6 May September Tuesday, 5 August December Tuesday, 4 November 11. Will there be any other data cut-off changes? Yes, FTSE will introduce a cut-off for quarterly 1% shares in issue and free float changes. The cut-off will be the third Wednesday of the month prior to March, June, September and December. For illustration purposes: for the March review, the cut off date for 1% shares in issue and free float changes will be Wednesday 19 February. This aims to provide greater transparency of prospective index review rebalance changes. 4

5 12. What will be the timing of free float and share changes which breach the 3%/10%/USD2bn rules if announced after the above cut-off date? Any corporate event driven free float or share change (e.g. resulting from equity offering or secondary placing) will be processed as follows: Where T+5 implementation falls before the index review committee meeting date (i.e. Wednesday before first Friday of the review month) Implemented on date as per T+5 notice Where T+5 implementation falls after the index review committee meeting date but before the index review effective date (i.e. after close of third Friday in the review month) Implemented on index review effective date However, in exceptional circumstances FTSE may use its discretion to reduce the notice period to the minimum T+5 Where T+5 implementation falls after the index review effective date (i.e. after close of third Friday in the review month) Implemented on date as per T+5 notice However, in the event that T+5 is in close proximity to an index review, FTSE may use its discretion to reduce the notice period to a minimum T+2 in order to apply the change at the index review date 5

6 13. FTSE UK INDEX SERIES REVIEW SCHEDULE Quarterly Review - March Annual Review - June Quarterly Review - September Quarterly Review - December Index Rebalance Market Cap data cut-off 4 March 3 June 2 September 2 December Quarterly Free float changes cut-off (only updates captured up to this date will be processed at the index review) 19 February 21 May 20 August 19 November Quarterly 1% SII changes cut-off (only updates captured up to this date will be processed at the index review) 19 February 21 May 20 August 19 November Release of Indicative Files (FF & 1% SII updates) 26 February 28 May 27 August 26 November Release of Final Files (FF & 1% SII updates) - incorporates any revisions to indicative file 5 March 4 June 3 September 3 December Annual Liquidity Screen Period n/a 1 May 2013 to 30 April n/a n/a New Issues cut-off in order to meet 20 day minimum trading requirement 4 February 6 May 5 August 4 November FTSE Nationality Committee Meeting 4 February 6 May 5 August 4 November FTSE Europe, Middle East & Africa Regional Committee Meeting 5 March 4 June 3 September 3 December FTSE Notice of Rebalance Changes Circulated (after UK market close) 5 March 4 June 3 September 3 December Review Products circulated 5 March 4 June 3 September 3 December Review Effective Date 24 March 23 June 22 September 22 December 6

7 If you have any questions and would like to speak to a client services individual directly, please do not hesitate to contact us on the numbers below, or via at info@ftse.com. Hong Kong London +44 (0) Milan New York FTSE (3873) Sydney +61 (2) Tokyo +81 (3) F TSE International Limited ( F TSE ) The F TSE UK Index Series is calculated by F TSE International Limited ( F TSE ) or its agent. A ll rights in the F TSE UK Index Series v est in F TSE. FTSE is a trade mark of the London Stock Exchange Group companies and is used by F TSE under licence. A ll-share is a trade mark of F TSE. A ll information is prov ided for information purposes only. Ev ery effort is made to ensure that all information giv en in this publication is accurate, but no responsibility or liability can be accepted by F TSE or its licensors for any errors or for any loss from use of this publication. Neither F TSE nor any of its licensors makes any w arranty or representation w hatsoev er, expressly or impliedly, either as to the use of the F TSE UK Index Series or the fitness or suit ability of the Index for any particular purpose to w hich it might be put. No part of this information may be reproduced, stored in a retriev al sy stem or transmitted in any form or by any means w ithout prior w ritten permission of F TSE. 7