Notice: FTSE UK Index Series - Free Float Methodology Change
FTSE has announced that it will move to use actual free float (rounded up to the next 1%) in the FTSE UK Index Series with effect from the June 2012 review. This decision has been approved by the FTSE EMEA Regional Committee and the FTSE Policy Group and has been taken in response to feedback received from recent client consultations.
To ensure there is transparency in the free float figures used in the UK Index Series, FTSE proposes to make these available in advance to subscribing clients. Floats for FTSE 100 stocks will be published in March 2012, FTSE 250 stocks in April and Small Cap stocks in May. At initial implementation, the free float of UK index constituents will move to accurate float (rounded up to the nearest 1%) unless the actual float is within a 3% buffer of the constituent’s current banded float. Subsequent changes to free float will be made at the quarterly reviews if the revised float is more than 3% from the current figure.
Changes to floats between reviews will be made in response to corporate events, secondary offerings or significant changes to shares in issue. A follow-up notice will be released to clients in May with links to the revised UK Index Series Ground Rules. A separate notice will be released later in the year detailing FTSE’s intentions with regard to its other index series including the FTSE Global Equity Index Series.
- FTSE 100 Index
This index comprises the 100 most highly capitalised blue chip companies, representing approximately 81% of the UK market. It is used extensively as a basis for investment products, such as derivatives and exchange-traded funds.
- FTSE 250 Index
The FTSE 250 comprises mid-capitalised companies not covered by the FTSE 100, and represents approximately 15% of UK market capitalisation.
- FTSE All-Share Index
Representing 98-99% of UK market capitalisation, FTSE All-Share is the aggregation of the FTSE 100, FTSE 250 and FTSE Small Cap Indices.
- FTSE 100 Declared Dividend Index
The FTSE 100 Declared Dividend Index represents the cumulative value of ordinary cash dividends paid by the individual constituents of the underlying FTSE 100 Index, calculated on the ex dividend (xd) date and expressed in terms of index points. All dividends are as declared by companies and no witholding tax adjustments are made. The FTSE 100 Declared Dividend Index runs for a one-year period from the trading day following the third Friday in December to the following third Friday in December.
- FTSE 100 Dividend Index - RDSA Withholding
The FTSE 100 Dividend Index - RDSA Withholding represents the cumulative value of ordinary declared cash dividends by the individual constituents of the underlying FTSE 100 Index, calculated on the ex dividend (xd) date and expressed in terms of index points. All dividends are as declared by companies and no withholding tax adjustments are made with the exception of dividends paid by Royal Dutch Shell A Shares from which a 15% witholding tax is deducted in accordance with the Luxembourg Treaty Rate, as explained in the FTSE Technical Notice 'Royal Dutch Shell PLC Dividend Treatment in FTSE Indices' issued on 17 May 2011. The FTSE 100 Dividend Index - RDSA Withholding runs for a one-year period from the trading day following the third Friday in December to the following third Friday in December.
- FTSE UK Capped Index Series
The FTSE UK Capped 5% Indices are based on the underlying constituents of the FTSE 100 Index and FTSE All-Share Index. At the UK quarterly reviews companies that have a weight in their respective index of greater than 5% are capped. The series is made up of the following:
- FTSE 100 Capped 5% Index
- FTSE All-Share Capped 5% Index
The FTSE UK Capped 5% Indices were created to allow UK investors to monitor and track the impact of reducing the size of the UK’s largest companies within FTSE’s flagship indices. The indices reduce the weight of the largest companies in both the FTSE 100 and FTSE All-Share Index and allow for a more diversified index.
The FTSE All-Share is also available capped at 4%. Visit www.ftse.com/4capped for more information.
- FTSE UK Dividend+ Index
The FTSE UK Dividend+ Index is a yield weighted index designed to select and measure the performance of higher yielding stocks within the universe of the FTSE 350 Index, excluding investment trusts. The FTSE UK Dividend+ Index selects the top 50 stocks by one-year forecast dividend yield. The constituents’ weightings within the index are determined by their dividend yield as opposed to market capitalisation.
The FTSE UK Dividend+ Index was created to allow investors to capture the long-term effect of higher compounding returns, and benefit from the lower correlations to traditional market cap weighted indices.
The dividend information for the FTSE UK Dividend+ is provided by Markit Group Limited (“Markit”), the leading industry source for independent mark-to-market pricing, asset valuations, dividend forecasting and index services.
- FTSE 350 Supersectors Index
The FTSE 350 Supersector Indices provide investors with a new view of one of the world's most important markets. The 18 highly tradeable real-time sector indices are derived from the blue chip companies in the FTSE 100 and FTSE 250 indices.
- FTSE UK Style Index
The FTSE UK Style Index provides investors with a measure of the performance of value and growth companies within the FTSE 350.
- FTSE Expiry Index
The FTSE Expiry Indices facilitate the calculation of the Exchange Delivery Settlement Price ("EDSP") for the FTSE 100 and FTSE 250 Index Contracts on Euronext.liffe and Turquoise (FTSE100 only).
- FTSE 100 Expiry Index (Code: UKXSP)
- FTSE 250 Expiry Index (Code: MCXSP)
The EDSP Intra-Day Auction Schedule is used to determine the final index value for the FTSE Expiry Indices. This final index value is called the Expiry Value. This Expiry Value is used by Euronext.liffe and Turquoise to produce the EDSP. The two new indices will only be calculated on the expiry days of the FTSE 100 and FTSE 250 Index Contracts as follows:
- FTSE 100 Expiry Index: Third Friday of each month.
- FTSE 250 Expiry Index: Third Friday of March, June, September and December.
- FTSE SmallCap Index
The FTSE SmallCap consists of companies outside of the FTSE 350 Index and represents approximately 2% of the UK market capitalisation.
- FTSE Fledgling Index
The FTSE Fledgling is for UK companies listed on the main market of the London Stock Exchange that are too small to be included in the FTSE All-Share.
- FTSE All-Small Index
The FTSE All-Small Index consists of all the companies in the FTSE SmallCap and FTSE Fledging indices.
