Changes to FTSE Ground Rules
In order to reflect that share trading records may now be derived from multiple trading venues and not necessarily on an “exchange”, the FTSE Policy Group has approved the following change…
Extract from UK Index Series Ground Rule 4.10 c (section D) and Global Equity Index Series 6.5 (section D)
Previous Rule:
• D - In assessing liquidity, data will be obtained from the exchange in the country in which the company is classified by FTSE. Where there is more than one exchange in the country of classification, trading volumes will be aggregated. If the company fails the liquidity screen on this basis, data may also be obtained from Depository Receipt (DR) trades. For the purpose of this rule, where the majority of trading is in the DR, 100% of DR trading will be aggregated with 50% of the trades in the country of classification. Where the majority of trading is in the country of classification, 50% of DR trading will be aggregated with 100% of the trades in the country of classification. Trading volumes from other markets will not normally be considered unless the majority of the liquidity is met from the constituent’s exchange in the country in which the company is classified. When considering whether to include liquidity from other markets, the Committee will take into account factors such as currency risk and time zone difference.
New Rule:
• D - In assessing liquidity, data will be aggregated from trading volume in the country in which the company is classified by FTSE and from any other trading venues, as approved by FTSE, operating in a similar time zone. If the company fails the liquidity screen on this basis, data may also be obtained from Depository Receipt (DR) trades. For the purpose of this rule, where the majority of trading is in the DR, 100% of DR trading will be aggregated with 50% of the trades in the country of classification. Where the majority of trading is in the country of classification, 50% of DR trading will be aggregated with 100% of the trades in the country of classification.
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