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FTSE Bursa Malaysia 9 June 2011 |
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The FTSE Bursa Malaysia Advisory Committee has approved the change of the liquidity criteria in the Ground Rules of the FTSE Bursa Malaysia Index Series. The change under Ground Rule 3.3.3 will be applicable to all indices in the FTSE Bursa Malaysia Index Series (except for FTSE Bursa Malaysia Flegling Index and FTSE Bursa Malaysia ACE Index), effective from the December 2011 Annual Index Review. As a result of the change, Ground Rule 3.4 Liquidity - Median Liquidity Screening Methodology for the FTSE Bursa Malaysia Asian Palm Oil Plantation Indices will be removed as it will be covered under the new rule 3.3.3. Current Rule: 3.3.3 Liquidity This rule is applicable only to indices on the Main Market (except for the FTSE Bursa Malaysia Fledgling Index). Securities which do not turnover at least 10% of their shares in issue, after the application of any free float restrictions, in the twelve months prior to the semi-annual review in June and December by the FTSE Bursa Malaysia Advisory Committee, will not be eligible for inclusion in the indices until the next semi-annual review. An existing constituent failing to trade at least 10% of its shares in issue, after the application of any free float restrictions, in the twelve months prior to the semi-annual review will be removed after the close of the index calculation on the third Friday in June and December. A security that is excluded because it fails the liquidity requirement will be excluded from all other indices for the period until the next semi-annual review. In the case of demutualisations qualifying for early entry under Rule 5.3.1 where, on listing, the entire free float is immediately transferred to private shareholders, the addition to the FTSE Bursa Malaysia KLCI will be deferred for 20 trading days after official non-conditional trading has commenced, providing the securities have a turnover of a minimum of 0.83% of their shares in issue, after the application of any free float restrictions, during this period (1 / 12 * 10% = 0.83%). In assessing liquidity, data on trading volume will be obtained from Bursa Malaysia. In exceptional market conditions, if trading volumes are very low, the FTSE Bursa Malaysia Advisory Committee may reduce the percentage figure stated in this rule in order to avoid a large number of constituents being removed from the FTSE Bursa Malaysia EMAS Index. This discretion may not be applied to individual securities. There is no liquidity requirement for constituents of the FTSE Bursa Malaysia Fledgling Index and the FTSE Bursa Malaysia ACE Index. New Rule: 3.3.3 Liquidity This rule is applicable to all indices in the FTSE Bursa Malaysia Index Series (except for the FTSE Bursa Malaysia Fledgling Index and the FTSE Bursa Malaysia ACE Index). Securities which do not turnover at least 0.05% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month in ten of the twelve months prior to the semi-annual review, will not be eligible for inclusion in the Index. Each security will be tested for liquidity by calculation of its median daily trading per month. The median trade is calculated by ranking each daily trade total and selecting the middle ranking day. Daily totals with zero trades are also included in the ranking; therefore a security that fails to trade for more than half of the days in a month will have a zero median trade. a) A non-constituent which does not turnover at least 0.05% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month for at least ten of the twelve months prior to the semi-annual review, will not be eligible for inclusion in the Index. b) An existing constituent which does not turnover at least 0.04% of its shares in issue (after the application of any investability weightings) based on its median daily trade per month for at least eight of the twelve months prior to the semi-annual review will be removed. c) New issues which do not have a twelve month trading record must have a minimum 20 days trading record when reviewed. They must turnover at least 0.05% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month in each month since their listing. This rule will not apply to new issues added under Rule 5.3. d) At the sole discretion of the FTSE Bursa Malaysia Advisory Committee, the above percentage figures may be adjusted by up to 0.01% at a market review so that, in the Committee’s opinion, the index better reflects the liquid investable market of the region. This discretion may only be exercised across the whole of a region and may not be applied to individual securities or countries. e) 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 FTSE Bursa Malaysia Advisory Committee will take into account factors such as risk and time zone difference For index related enquiries or further information about FTSE please contact:
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