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Since the introduction of median liquidity methodology to the FTSE UK Index Series in 2008, the FTSE EMEA Index Advisory Committee has exercised its discretion to adjust the liquidity rule percentage thresholds by 0.01% as afforded by the index rules.
In light of this FTSE announces the following rule revision with immediate effect:
New Rule
c) Liquidity - Each security will be tested for liquidity annually in June by calculation of its median daily trading per month*. Liquidity will be tested from the first business day in May of the previous year to the last business day of April. The median trade is calculated by ranking each daily trade total and selecting the middle ranking day. Daily totals with zero trades are 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. Any period of suspension will not be included in the test. The liquidity test will be applied on a pro-rata basis where the testing period is less than 12 months.
* When calculating the median of daily trades per month of any security, a minimum of 5 trading days in each month must exist, otherwise the month will be excluded from the test.
A - Securities which do not turnover at least 0.025% 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 annual index review, will not be eligible for inclusion in the FTSE UK Index Series until the next annual review.
B - An existing constituent which does not turnover at least 0.015% 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 annual index review will be removed and will not be eligible for inclusion in the FTSE UK Index Series until the next annual review.
C - New issues which do not have a twelve month trading record must have a minimum 20 day trading record when reviewed. They must turnover at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month since listing. This rule will not apply to new issues added under the Fast Entry Rule expect for demutualisations (see Rules 8.3.1 and 8.3.4).
An updated version of the FTSE UK Index Series Ground Rules is now available on the FTSE website.
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