Market Consultation

FTSE/JSE Index Harmonisation
Proposal

ftserussell.com

October 2022

Evolving the FTSE/JSE Index Series

Consultation
The Johannesburg Stock Exchange (JSE) and FTSE Russell are seeking the views of index users on the
proposal to ‘harmonise’ the indices within the FTSE/JSE Index Series. Harmonising the series would involvethe following:i)

Aligning the free float calculation specified in the methodology (ground rules) for each index in
the series to ensure that the index treatment for all companies is consistent and the indicesrepresent the underlying market accurately.

ii)

Ensuring the series meets the needs of index users and does not include indices that are
surplus to requirements, indices which are duplicates in relation to methodology or other factors,
and indices for which usage has decreased significantly.
a. To achieve this objective, FTSE Russell and the JSE would aim to decommission any
indices carrying the FTSE/JSE Shareholder Weighted ‘SWIX’ label and incorporate theexisting SWIX weighting methodology into the FTSE/JSE All Share, Top 40, South African
Sector and ICB indices, as relevant.

FTSE Russell

2Responding to the consultation
The proposals set out in this consultation document are included in order to seek market feedback
and may or may not result in changes to FTSE Russell indices or data solutions.
Index users and other stakeholders are invited to respond by 08 November 2022. The responses will
be reviewed by the FTSE Russell Index Governance Board and an update on FTSE Russell’s
proposed approach will be communicated in due course.
Please submit your response to the questions included in this consultation online athttps://www.surveymonkey.co.uk/r/FTSEJSEIndexHarmonisation
All responses will be treated as confidential. FTSE Russell may publish a summary of theconsultation results, but no individual responses will be published and no respondents will be named.
If you have any questions about this survey, or if you encounter any technical issues, please contact
committeesecretary@ftserussell.com.

FTSE Russell

3Proposals and Supporting Data
Please see the appendix for the consultation proposal and supporting data.

FTSE Russell

4Consultation Questions
1. Do you agree that the FTSE/JSE All Share Index (J203) and SWIX All Share Index (J403) shouldbe merged? This would entail updating the FTSE/JSE All Share Index and FTSE/JSE Top 40 Index(J200) methodologies to reference the SWIX weight (determined at the constituent level and may
diverge from the standard FTSE free float weight) and decommissioning the SWIX All Share (J403, seequestion two). Full details are available in the appendix.

☐ Yes
☐ No
☐ Other – please use the comment box to provide your answer.
Please enter your comments here:

2. Do you agree that all FTSE/JSE indices with a SWIX label should be decommissioned, effective
March 2024? Full details are available in the appendix.

☐ Yes
☐ No
☐ Other – please use the comment box to provide your answer.
Please enter your comments here:

FTSE Russell

53. Do you agree that the Depositary Receipt adjustments should no longer be reflected in the free
float calculation for the FTSE/JSE All Share Index (J203) and FTSE/JSE Top 40 Index (J200)? Fulldetails are available in the appendix.

☐ Yes
☐ No
☐ Other – please use the comment box to provide your answer.
Please enter your comments here:

4. Do you agree that a lower capping level should be introduced for all FTSE/JSE non-property
indices, and a higher capping level should be made available within capped versions of the
FTSE/JSE All Share and Top 40 indices? Full details are available in the appendix.

☐ Yes
☐ No
☐ Other – please use the comment box to provide your answer.
Please enter your comments here:

FTSE Russell

65. Do you agree that the JSE and FTSE Russell should launch new indices to meet the diverse andspecialist demands of index users? These indices, in chief, would comprise the FTSE/JSE Global
Investor Index and the FTSE/JSE South African Investor Index. Full details are available in the appendix.

☐ Yes
☐ No
☐ Other – please use the comment box to provide your answer.
Please enter your comments here:

FTSE Russell

7

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9

1.

To:

Market Participants

From:

FTSE/JSE Index TeamDate:

23 September 2022

Subject:

FTSE/JSE Index Harmonisation Market Proposal

Introduction
The observed evolution of the FTSE/JSE benchmark indices has sparked conversation around a view into theharmonisation of the methodology for their construction. FTSE/JSE believes that a harmonisation of the existing
benchmark index design, in collaboration with market participants, will ensure that the FTSE/JSE Africa IndexSeries methodology is aligned with evolving market requirements and continues to be relevant on a forwardlooking basis. The aim of this paper is to present an implementation proposal to the broader market that sets out
the steps, as well as the timelines, that could be followed to harmonise the market indices, and therefore to enable
market participants to provide meaningful feedback.

2.

Roadmap
The purpose of Index Harmonisation is two-fold. The first is to have one broad-based market capitalisation
weighted index methodology that treats all companies consistently and appropriately, particularly with regards tothe calculation of free float. The second is to reduce the number of closely similar or overlapping indices in theseries and, if necessary, to introduce new specialist and differentiated indices that are aligned with market
demand. FTSE/JSE anticipates that this project will follow the steps and timelines set out below:

This proposal means that from March 2024, FTSE/JSE will no longer offer any indices with a SWIX label, and all
benchmark indices will use the historic SWIX weighting methodology. Effective June 2023, the vanilla1 indices willswitch to the SWIX Methodology to determine free float and index weight. All indices that currently have twovariants – a Vanilla and SWIX one will harmonise into a single variant that retains the vanilla index code and name,but references the SWIX methodology.

1

Vanilla means the existing All Share (J203), Top 40 (J200), SA Sector and ICB Indices as well as their capped variants.
Page 1 of 10

Note that the Responsible Investment and Property indices introduced in 2015 and 2017 respectively will not be
impacted as these indices do not have an equivalent vanilla version – they have always been based on the SWIX
Methodology.
For further clarity, a Capped All Share (J303) and Capped SWIX All Share (J433) Index example will be used. All
clients making use of the Capped All Share Index (J303) will be affected through a methodology change to SWIX
weightings. No changes will be made to the J433 until March 2024 when the SWIX Indices will be decommissioned.

A full list of the indices that would be decommissioned as part of this proposal can be found in Appendix 1 withthe full list of EOD products found in Appendix 2.

3.

Rationale for Harmonising
Prior to 25 October 2011, Inward Foreign Listings (IFL) were not eligible for FTSE/JSE index inclusion. This was
because a trade in such a company counted toward an investor’s foreign portfolio allowance in South Africa. After
October 2011, all Inward Listed equities on the JSE traded and settled in Rands (ZAR), were reclassified as domestic
for the purpose of trading on the JSE and its indices. Although these IFL’s were now eligible for inclusion to the
FTSE/JSE indices, they were only included on the condition that their index free float could not exceed the
proportion of their shares held on the South African share register. In other words, they were eligible for inclusion
to the vanilla indices, but only using their SWIX free float. This is still the case today, and the rules covers companies
like British American Tobacco, Anheuser Busch InBev, Glencore, Prosus and others.
When this Inward Listing rule was introduced in 2011, it was agreed that a small number of companies that werealready index constituents would be “Grandfathered” and excluded from the treatment. Therefore some,seemingly, foreign companies are not deemed as Inward Listings on the JSE for the purposes of free float
determination. Examples of these included Anglo American, BHP Billiton, Reinet, Mondi and Richemont. These
companies, even after 2011, continued to be treated as local for all index purposes, and therefore has a different
free float in the vanilla indices compared to the SWIX indicesIn 2004, FTSE/JSE launched the SWIX All Share Index. The SWIX Methodology introduced a free float calculation
based on the minimum between the portion of shares held on the local South African register and the free float
calculated using publicly available information such as annual reports and SENS announcements. For all local
companies and IFL’s listed after October 2011, the free float in the All Share Index (J203) as well as the SWIX All
Page 2 of 10

Share (J403) was identical. The exception however was with the “Grandfathered” companies as detailed above
where in the J203, the free float is based on the company breakdown and in the J403, this is based on the Strate
Register.
Over the years, the JSE has observed a decline in the number of “Grandfathered” companies in the All Share Index,
with the latest example being BHP Billiton as a result of the unification corporate action. The challenge faced now
is that there are currently two benchmark indices, whose constituent weights have converged over time, with thedifference in constituent weights mainly due to the remaining “Grandfathered” companies.
The table below shows the latest list of companies that are still classified as “Grandfathered”:
Alpha

ISIN

Instrument

J203 FF

J403 FF

Reason

AGL
CFR
INP
MNP

GB00B1XZS820
CH0045159024
GB00B17BBQ50
GB00B1CRLC47

Anglo American
Compagnie Financiere Richemont AG
Investec Plc
Mondi Plc

90.9%
97.8%
95.1%
99.8%

30.7%
13.5%
51.4%
37.7%

Grandfathered
Grandfathered
Grandfathered
Grandfathered

Table 1: List of “Grandfathered” companies in the FTSE/JSE Indices

The treatment for grandfathered companies is not consistent with the index treatment for other foreigncompanies, and in short these companies are inappropriately upweighted relative to comparable companies. The
table below shows the ten largest differences in weightings between the Top 40 and SWIX 40 indices, due largely
to the impact of these grandfathered companies:
Alpha

Instrument

Free Float

SWIX FFTop 40 Weight

SWIX 40 Weight

CFR
AGL
NPN
FSR
MTN
PRX
MNP
SBK

Compagnie Financiere Richemont AG
Anglo American
Naspers
Firstrand Limited
MTN Group
ProsusMondi Plc
Standard Bank Group

97.8%
90.9%
48.7%
88.4%
95.5%
10.4%
99.8%
79.1%

13.5%
30.7%
48.7%
88.4%
95.5%
10.4%
37.7%
79.1%

15.95%
11.47%
8.42%
5.23%
3.87%
3.66%
2.39%
3.21%

2.92%
Weight5.15%
11.19%
6.94%
5.14%
4.86%
1.20%
4.27%

BTI
SOL

British American Tobacco PLC
Sasol

10.5%
88.6%

10.5%
88.6%

3.02%
2.92%

4.01%
3.87%

Table 2: List of Top 40 and SWIX Top 40 Weights

Another challenge is the duplication of indices, such as the Technology Index (JI0010) and the SWIX Technology
Index (JW0010), where there are no “Grandfathered” constituents, thus the free floats used as well as weights foreach constituent are identical in both indices.
A final challenge is around complexity of messaging. To maintain two parallel sets of indices (including All Share,
Top 40 and sector indices) that have such similar weightings and methodology creates unnecessary complexity inindex selection and provides almost no meaningful diversification between the two indices in return. Thisfragments liquidity, and introduces unnecessary complexity in benchmark selection and analysis.

Page 3 of 10

4.

Proposal
In order to address the above-mentioned challenges, FTSE/JSE sought guidance from the market. In December
2018, a Market Consultation was published to solicit feedback on how index users currently use the J203, the J403
as well as their capped versions. A few other questions were asked, including the appropriate notice period thatwould be required to allow index users sufficient time to adjust their mandates, in the event that changes are
made to the benchmark indices. Based on the feedback received from market participants, a large number of
respondents were in favour of the SWIX Methodology as the headline index approach. This is also supported bysurveys done by external parties which found that a large number of fund managers use the J403 as a benchmark,and in particular, the capped version thereof, the capped SWIX ALSI (J433).

4.1

Methodology change for existing Vanilla indicesWith this in mind, the JSE proposes a harmonisation of the J203 and J403 indices such that only one benchmark
index exists. In order to harmonise the two indices and have one benchmark index in future, the first step is asfollows:
Step 1: Change the weighting methodology of the “vanilla” core indices to reference a SWIX weight. The Market
Notice for the methodology change will be published in December 2022 in order to give a six-month notice period
for the implementation to coincide with the June 2023 review. Once this is implemented, the vanilla indices suchas the J203 and J200 will have the same free float and constituent weights as the J403 and J400 respectively.
This methodology change will impact the All Share Index and the Top 40 index, and their capped variants. It will
also impact the existing SA Sector Indices, ICB Industry Indices and ICB Sector Indices, and any tradable variants.
The full list of impacted indices is available in Appendix 1.

4.2

Depositary Receipts adjustment
One of the changes that will be made to the SWIX benchmark index is the removal of the Depositary Receipts
adjustments in the SWIX Free Float calculation. Currently, when performing the Quarterly SWIX Free Float Review,
FTSE/JSE excludes all securities deemed not available to the local register. This includes holdings confirmed toback a listed, sponsored Depositary Receipt (DR) program. The DR data has previously been sourced from a third
party data vendor. However, in 2021, the data vendor advised that in light of certain POPIA provisions which hadcome into effect, they were no longer able to provide this data as it was deemed confidential. Several alternative
avenues were explored to source this data, including requesting the data from the companies directly andcontacting the Exchanges that the DR’s are listed in however none were successful, mainly due to the regulatory
requirement to protect client information. Due to the unavailability of accurate data, and the intention toharmonise the SWIX and vanilla index methodologies, the proposal is to no longer exclude DR data in the SWIX
Free Float calculation.

4.3

Decommissioning of SWIX Indices
The final step is to decommission all the SWIX Indices. The proposed implementation date is with the March 2024
Review and FTSE/JSE intends to publish the decommission notice in December 2022 thereby giving the market atPage 4 of 10

least a one-year notice period. A confirmatory Decommission Notice will be published in September 2023. All
associated EOD products, real-time calculations and tracking mandates will no longer be available to clients witheffect from March 2024.
4.4

Shift to a multi-cap environment
To ensure that capping levels are more precisely aligned with client requirements, FTSE/JSE will shift away fromthe current default level approach of 12% for non-property indices. This will see the introduction of a lower
capping level and a higher capping level available to capped index subscribers, since the level of 12% is not optimalfor either preference.
During the first quarter of 2023, FTSE/JSE will launch a 15% capped version of the SWIX All Share Index and of the
SWIX Top 40 Index as new indices in order to meet demand from clients that prefer a higher cap.
There are currently five indices that are subject to the 12% capping level. This will shift to a 10% capping level at
the June 2023 review and also follow the methodology harmonisation approach referenced above.
Alpha

Instrument

June 2023

J141
J300
J303

FTSE/JSE Capped Shariah Top 40
FTSE/JSE Capped Top 40
FTSE/JSE Capped All Share

Implement SWIX Free Float and cap at 10%
Implement SWIX Free Float and cap at 10%
Implement SWIX Free Float and cap at 10%

J430
J433

FTSE/JSE Capped Shareholder Weighted Top 40 Index
FTSE/JSE Capped Shareholder Weighted All Share Index

Cap at 10%
Cap at 10%

March 2024

Decommission
Decommission

Table 3: List of FTSE/JSE Indices to have capping level changes

4.5

Introduction of new specialist IndicesMarket consultation has confirmed that there is some demand for more specialist market indices that deviate
from the broadly used SWIX methodology. Two approaches have emerged that appear to have support fromseveral market participants:



The Global Investor Index is based on the principle that all dual listed shares are fungible and therefore
a down-weighting based on local register holdings is inappropriate. The approach makes no adjustment
for the Strate register and weights all dual listed companies on their global free float.



The SA Investor Index is based on the concern that foreign holdings are excluded for dual listedcompanies but included for domestic-only companies, resulting in domestic companies being overweight
relative to their dual listed peers. The approach excludes foreign holdings for all constituents regardlessof register. In addition to the consistency, it is also a better match to the “typical” South African portfolio
and therefore has parallels to a peer-based approach

Both variants will be introduced as specialist indices rather than broad country benchmarks and will be released
with a weighting cap and a fixed number of constituents.

Page 5 of 10

5.

Next Steps
The implementation plan above, including any indicative dates, is presented as a proposal and all market
participants are invited to comment before a final approach can be agreed. Following the publication of this note,
the FTSE/JSE would like to meet with any interested index client or other market participant to work through thedetail of the proposal, provide any required supporting information, or discuss alternative approaches. Should it
be necessary to perform a more structured polling process after these engagements to tackle specific preferences,a targeted questionnaire will be used to solicit this feedback.
The FTSE/JSE team will engage directly with a selection of existing index clients to invite discussion on the topic.
However, any interested party is invited to request a meeting in this regard, or to provide any written submission
by e-mail on or before 31 October 2022 to indices@jse.co.za.

Page 6 of 10

*Appendix 1: List of Indices to be decommissioned
Index CodeIndex Name

Proposal

J400
J403
J430
J433
JN43
JN430
JN433

Shareholder Weighted Top 40
Shareholder Weighted All Share
Capped Shareholder Weighted Top 40 Index
Capped Shareholder Weighted All Share Index
Shareholder Weighted All Share Net TRI
Capped Shareholder Weighted Top 40 Net TRI
Capped Shareholder Weighted All Share Net TRI

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JNX4
JSZ0
JSZ1
JSZ2
JSZ3
JSZ4
JSZ5
JSZ6

SWIX 40 Net TRI
SWIX Resource 10
SWIX Industrial 25
SWIX Financial 15
SWIX Financial and Industrial 30
SWIX SA Resources
SWIX SA Industrials
SWIX SA Financials

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JSZ7
JW0010
JW0015
JW0020
JW0030
JW0035
JW0040

SWIX SA Financials and Industrials
SWIX Technology
SWIX Telecommunications
SWIX Health Care
SWIX Financials
SWIX Real Estate
SWIX Consumer Discretionary

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JW0045
JW0050
JW0055
JW0060
JW0065
JX1011
JX1012JX1511

SWIX Consumer Staples
SWIX Industrials
SWIX Basic Materials
SWIX Energy
SWIX Utilities
SWIX Software and Computer Services
SWIX Technology Hardware and Equipment
SWIX Telecommunications Equipment

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JX1512JX2011JX2012JX2013JX3011JX3021JX3022JX3023SWIX Telecommunications Service Providers
SWIX Health Care Providers
SWIX Medical Equipment and Services
SWIX Pharmaceuticals and Biotechnology
SWIX Banks
SWIX Finance and Credit Services
SWIX Investment Banking and Brokerage Services
SWIX Mortgage Real Estate Investment Trusts

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JX3024
JX3031
JX3032
JX3511
JX3512JX4011
JX4021

SWIX Closed End Investments
SWIX Life Insurance
SWIX Non-life Insurance
SWIX Real Estate Investment and Services
SWIX Real Estate Investment Trusts
SWIX Automobiles and Parts
SWIX Consumer Services

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JX4022
JX4023
JX4024
JX4031
JX4041

SWIX Household Goods and Home Construction
SWIX Leisure Goods
SWIX Personal Goods
SWIX MediaSWIX Retailers

Decommission
Decommission
Decommission
Decommission
Decommission

Page 7 of 10

Index CodeIndex Name

Proposal

JX4051
JX4511
JX4512

SWIX Travel and Leisure
SWIX Beverages
SWIX Food Producers

Decommission
Decommission
Decommission

JX4513
JX4521
JX5011
JX5021
JX5022
JX5023
JX5024
JX5025SWIX Tobacco
SWIX Personal Care, Drug and Grocery Stores
SWIX Construction and Materials
SWIX Aerospace and Defense
SWIX Electronic and Electrical Equipment
SWIX General Industrials
SWIX Industrial Engineering
SWIX Industrial Support Services

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JX5026
JX5511
JX5512
JX5513
JX5521
JX6011
JX6012

SWIX Industrial Transportation
SWIX Industrial Materials
SWIX Industrial Metals and Mining
SWIX Precious Metals and Mining
SWIX Chemicals
SWIX Oil, Gas and Coal
SWIX Alternative Energy

Decommission
Decommission
Decommission
Decommission
Decommission
Decommission
Decommission

JX6511
JX6512
JX6513SWIX Electricity
SWIX Gas, Water and Multi-utilities
SWIX Waste and Disposal Services

Decommission
Decommission
Decommission

Table 4: List of Indices to be decommissioned

Page 8 of 10

*Appendix 2: List of affected Index products
Index

Index Name

Tracker 5dayTracker OpenConstituent Constituent IndicReview Valuation

J400
Code
J403
JN43
J430
J433
JN430
JN433

SWIX Top 40
SWIX All Share
SWIX All Share Net TRI
Capped SWIX Top 40 Index
Capped SWIX All Share Index
Capped SWIX Top 40 Net TRI
Capped SWIX All Share Net TRI

jstd
jstd
yobht
js3ct
js4ct
js3cntjs4cnt

JNX4
JSZ0
JSZ1
JSZ2
JSZ3
JSZ4
JSZ5
JSZ6

SWIX 40 Net TRI
SWIX Resource 10
SWIX Industrial 25
SWIX Financial 15
SWIX Financial and Industrial 30
SWIX SA Resources
SWIX SA Industrials
SWIX SA Financials

JSZ7
JW0010
JW0015
JW0020
JW0030
JW0035
JW0040
JW0045
JW0050
JW0055
JW0060
JW0065
JX1011
JX1012JX1511JX1512JX2011JX2012JX2013JX3011JX3021JX3022JX3023
JX3024
JX3031
JX3032
JX3511
JX3512
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SWIX SA Financials and Industrials
SWIX Technology
SWIX Telecommunications
SWIX Health Care
SWIX Financials
SWIX Real Estate
SWIX Consumer Discretionary

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SWIX Consumer Staples
SWIX Industrials
SWIX Basic Materials
SWIX Energy
SWIX Utilities
SWIX Software and Computer
Services
SWIX Technology Hardware andEquipment
SWIX Telecommunications
Equipment
SWIX Telecommunications Service
Providers
SWIX Health Care Providers
SWIX Medical Equipment andServices
SWIX Pharmaceuticals andBiotechnology
SWIX Banks
SWIX Finance and Credit Services

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SWIX Investment Banking andBrokerage Services
SWIX Mortgage Real Estate
Investment Trusts
SWIX Closed End Investments
SWIX Life Insurance
SWIX Non-life Insurance
SWIX Real Estate Investment andServices

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SWIX Real Estate Investment Trusts

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IndexIndex NameJX4011Code
JX4021
JX4022

SWIX Automobiles and Parts
SWIX Consumer Services
SWIX Household Goods and Home
Construction
SWIX Leisure Goods
SWIX Personal Goods
SWIX MediaSWIX Retailers
SWIX Travel and Leisure

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SWIX Beverages
SWIX Food Producers
SWIX Tobacco
SWIX Personal Care, Drug andGrocery Stores
SWIX Construction and Materials

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JX5023
JX5024SWIX Aerospace and Defense
SWIX Electronic and Electrical
Equipment
SWIX General Industrials
SWIX Industrial Engineering

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JX5025
JX5026
JX5511
JX5512
JX5513
JX5521
JX6011
JX6012

SWIX Industrial Support Services
SWIX Industrial Transportation
SWIX Industrial Materials
SWIX Industrial Metals and Mining
SWIX Precious Metals and Mining
SWIX Chemicals
SWIX Oil, Gas and Coal
SWIX Alternative Energy

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JX6511
JX6512
JX6513SWIX Electricity
SWIX Gas, Water and Multi-utilities
SWIX Waste and Disposal Services

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JX4023
JX4024
JX4031
JX4041
JX4051
JX4511
JX4512
JX4513
JX4521
JX5011
JX5021
JX5022

Tracker 5dayTracker OpenConstituent Constituent IndicReview Valuation

Table 5: List of EOD products to be discontinued*Both Appendices are indicative and subject to formal notification

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