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To: Market Participants
From: FTSE/JSE Index Team
Date: 12 October 2023
Subject: FTSE/JSE Index Harmonisation FAQ
1. What is Index Harmonisation?
This is a project that was initiated by FTSE/JSE through client consultations commencing in 2019. The project will
ultimately collapse the vanilla and SWIX indices into one set of benchmark indices, significantly simplifying the
current benchmark complexity and overlap, and centralising liquidity. The project will be implemented in two
phases, with the first effective from the March 2024 review.
2. What are the “vanilla” indices and the SWIX indices?
The vanilla indices include the FTSE/JSE All Share Index (J203) and FTSE/JSE Top 40 Index (J200), as well as all of
their industry, sector, total return and capped variants. For each vanilla index, there is also currently a SWIX
(Shareholder Weighted) variant, such as the FTSE/JSE SWIX All Share Index (J403) and FTSE/JSE SWIX 40 Index
(J400).
3. How will Phase 1 of Index Harmonisation be implemented in March 2024?
The implementation will be done through the free float change of any constituent that uses a different free float
in the vanilla and SWIX indices. The constituent free floats in the vanilla indices will be changed to the same value
that’s used in the SWIX indices, resulting in weighting changes to the vanilla indices and no change to the SWIX
indices. Post the methodology alignment, the free float calculation will be standard across all the indices and will
be based on the lesser of the company breakdown and shares on the local Strate register. This means that all
constituents will use their SWIX Free Float.
There will be no change to any index codes or index names, nor will any indices be terminated or rebased in March
2024.
4. Why harmonise the methodology of the indices?
The process of harmonisation has been naturally occurring over the last few years. FTSE/JSE has observed a decline
in the number of “Grandfathered” companies in the All Share Index, with the latest events being BHP Billiton as a
result of the unification corporate action and Compagnie Richemont as a result of the termination of the South
African Depository Receipts (SADR) programme. The challenge faced now is that there are currently two
benchmark indices, whose constituent weights have converged over time, with the difference in constituent
weights mainly due to the remaining “Grandfathered” companies. The treatment for grandfathered companies is
not consistent with the index treatment for other foreign companies, and in short, these companies are
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inappropriately upweighted relative to comparable companies. The harmonisation project is designed to address
these challenges.
5. Which constituents will be affected by Index Harmonisation?
All constituents that use a different free float in the All Share Index (ALSI) and Shareholder Weighted All Share
Index (SWIX ALSI). The affected constituents are provided in the table below, however these may change closer
to the implementation date of the methodology change.
Alpha ISIN Instrument J203 FF J403 FF
AGL GB00B1XZS820 Anglo American 90.68% 29.90%
*ANG ZAE000043485 Anglogold Ashanti 99.96% 96.82%
ATT ZAE000177218 Attacq Limited 93.40% 93.37%
INP GB00B17BBQ50 Investec PLC 87.92% 53.32%
MNP GB00B1CRLC47 Mondi Plc 99.83% 41.65%
NTC ZAE000011953 Netcare 99.94% 99.59%
TGA ZAE000296554 Thungela Resources 97.55% 75.44%
Table 1: List of companies using a different free float in the ALSI and SWIX ALSI Indices
* ANG will be treated as foreign for index purposes and will use the Shareholder Weighted free float in all the FTSE/JSE indices effective from
the December 2023 review.
6. What impact will the methodology change have on vanilla index users?
The full list of the impact to each index is included in Appendix A however for illustrative purposes, the RESI10 will
be used to demonstrate the impact. If a client tracks or uses the J210 for any other purpose, this is what their
portfolio is estimated to look like before and after the March 2024 review:
Alpha ISIN Instrument J210 FF Weight JSZ0 FF Weight Weight Change
AGL GB00B1XZS820 Anglo American 90.68% 41.0% 29.90% 18.7% -22.3%
GFI ZAE000018123 Gold Fields 98.45% 13.2% 98.45% 18.3% 5.1%
SOL ZAE000006896 Sasol 90.95% 9.5% 90.95% 13.1% 3.6%
ANG GB00BRXH2664 AngloGold Ashanti Plc 99.96% 9.3% 96.82% 12.5% 3.2%
BHG AU000000BHP4 BHP Group Ltd 3.77% 6.6% 3.77% 9.2% 2.6%
GLN JE00B4T3BW64 Glencore 5.49% 5.6% 5.49% 7.7% 2.1%
SSW ZAE000259701 Sibanye Stillwater 98.83% 4.9% 98.83% 6.8% 1.9%
IMP ZAE000083648 Impala Platinum Hlds 88.95% 4.7% 88.95% 6.5% 1.8%
NPH ZAE000298253 Northam Platinum Holdings 90.76% 2.6% 90.76% 3.6% 1.0%
AMS ZAE000013181 Anglo American Platinum 21.25% 2.5% 21.25% 3.5% 1.0%
Table 2: Impact of methodology change on RESI10 constituent weights
7. What impact will the methodology change have on SWIX index users?
There will be no impact to users of the SWIX indices in March 2024.
8. What happens to an index tracker of both a vanilla index and its SWIX variant?
For the March 2024 phase of the project, there will be no impact to users of the SWIX Indices as well as indices
that use the SWIX Free Float, e.g. the Responsible Investment Index (J113). Clients that track the vanilla indices
will see slightly more free float changes in March 2024 as a result of a select few companies switching their current
free float to a SWIX Free Float. Index trackers of vanilla and SWIX variant indices will therefore have identical
indices in terms of constituents, constituent weights and index returns from March 2024.
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9. Will there be an alignment of index values?
No, the vanilla index values won’t be aligned to the SWIX index values in March 2024, nor will the SWIX index
values be aligned to the vanilla index values.
10. Are the churn / turnover numbers expected to be high in March 2024?
It is unlikely that the churn numbers will reach record levels for the methodology change. This is because a large
number of companies have already switched to using their SWIX Free Float due to recent corporate actions. The
most notable turnover numbers were seen when Compagnie Financière Richemont (CFR) terminated their SADR
programme and secondary listed ‘A shares’ on the JSE. The table below shows some of the historical churn
numbers. The December 2023 churn numbers as a result of the December review and ANG corporate action will
be published in the Notes from the December 2023 Advisory Committee meeting.
Largest Largest Projected Max 1 Way
Index Additions Deletions
Up* Down* Weight Churn
All Share AGL (1.43%) BHG (11.21%) AGL (12.33%) 11.28%
Large Cap AGL (2.42%) BHG (14.21%) AGL (16.32%) 14.21%
Large and Mid Cap DRD AGL (1.57%) BHG (11.65%) AGL (12.89%) 11.77%
Top 40 ANH SPP AGL (1.89%) BHG (12.77%) AGL (14.34%) 13.20%
Table 3: March 2022 Index churn due to BHG corporate action
Largest Largest Projected Max 1 Way
Index Additions Deletions
Up* Down* Weight Churn
All Share AGL (2.01%) CFR (17.98%) AGL (10.74%) 17.98%
Large Cap AGL (3.81%) CFR (23.21%) AGL (15.26%) 23.21%
Large and Mid Cap AGL (2.22%) CFR (18.73%) AGL (11.33%) 18.73%
Top 40 AGL (2.64%) CFR (20.12%) AGL (12.46%) 20.12%
Table 4: June 2023 Index churn due to CFR corporate action
The next table shows the estimated churn for the methodology change in the above-mentioned indices, assuming
only six free float changes (excluding ANG):
Largest Largest Projected Max 1 Way
Index Additions Deletions
Up* Down* Weight Churn
All Share NPN (0.94%) AGL (6.61%) NPN (10.47%) 8.42%
Large Cap NPN (1.98%) AGL (9.49%) NPN (15.97%) 11.45%
Large and Mid Cap NPN (1.06%) AGL (6.99%) NPN (11.18%) 8.90%
Top 40 NPN (1.28%) AGL (7.64%) NPN (12.39%) 9.64%
Table 5: Estimated March 2024 Index churn due to methodology change
11. What happens if there is a difference in constituents in tradable indices between now and
March 2024?
Currently, the vanilla indices and their SWIX variants have the same set of constituents. In the event that a vanilla
index has a different set of constituents to its SWIX variant, FTSE/JSE will make a once off adjustment to align the
vanilla constituents to the SWIX constituents. As an example, if the Resources 10 Index (RESI10) and Shareholder
Weighted Resources (SWIX RESI10) have a different set of constituents between now and March 2024, there will
be an adjustment made to the RESI10 to delete the constituent that’s not in the SWIX RESI 10 and add the one in
the SWIX RESI 10 in order to align the constituents. This means that effective from the March 2024 review, all
constituents and constituent weights in the vanilla indices and their SWIX variants will be identical.
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12. Will FTSE/JSE introduce new indices with different capping levels?
No, at this stage there are no intentions to introduce new indices with different capping levels. Furthermore, the
capping levels in the current indices will remain as is until such a time that a change is deemed necessary. FTSE/JSE
will provide sufficient notice should this be the case.
13. How can I access additional reading material on the project?
There are a number of documents that have been published regarding the Index Harmonisation project. Please
see the links to the documents below:
FTSE/JSE Market Index Design on 14 December 2018:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20190131%20Market%20Consultation%20FTSEJSE%20Market%20Index%20Design.pdf
FTSE/JSE Index Harmonisation Market Proposal on 23 September 2022:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20221031%20FTSE_JSE%20Index%20Harmonisation%20Market%20Proposal.pdf
Index Harmonisation Update Informative Notice on 5 December 2022:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20221205%20Index%20Harmonisation%20Update%20Informative%20Notice.pdf
Index Harmonisation Consultation Feedback Informative Notice on 7 February 2023:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20230207%20Index%20Harmonisation%20Consultation%20Feedback%20Informative%20Notice.pdf
Index Harmonisation Update Informative Notice on 27 March 2023:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20230327%20Index%20Harmonisation%20Update%20Informative%20Notice.pdf
Index Harmonisation Methodology Change Informative Notice on 30 June 2023:
https://clientportal.jse.co.za/Content/ICANoticeItems/FTSE-JSE-
Africa/20230630%20Index%20Harmonisation%20Methodology%20Change%20Informative%20Notice.pdf
14. Who can I contact for additional information?
For additional information, please email the Indices Team on this email address: indices@jse.co.za or you can call
+27 11 520 7000.
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Appendix 1: List of affected indices and constituents
Index code Index name AGL ATT INP MNP NTC TGA
J110 Responsible Investment Top 30 Index X X
J113 Responsible Investment Index X X
J140 Shariah Top 40 X X
J141 Capped Shariah Top 40 X X
J143 Shariah All Share X X X
J200 Top 40 X X X
J201 Mid Cap X X X
J202 Small Cap X
J203 All Share X X X X X X
J203CF All Share Comprehensive Factor Index X X X X X
J203DF All Share Yield Factor Index X X X X X X
J203LF All Share Low Volatility Focused Factor Index X X X X X
J203MF All Share Momentum Factor Index X X X X X
J203QF All Share Quality Factor Index X X X X X X
J203SF All Share Size Factor Index X X X X X X
J203VF All Share Value Factor Index X X X X X X
J203VOF All Share Volatility Factor Index X X X X X
J205 Large Cap X X
J206 Large and Mid Cap X X X X X
J210 Resource 10 X
J211 Industrial 25 X X
J212 Financial 15 X
J213 Financial and Industrial 30 X X
J250 SA Financials and Industrials X X X X
J253 SA Listed Property X
J254 Capped Property X
J257 SA Industrials X X
J258 SA Resources X X
J259 Dividend+ X X X
J260 RAFI 40 X X X
J263 Rafi All Share X X X X X X
J283 RAFI All Share Capped Index X X X X X X
J2EQ Equally Weighted Top 40 X X X
J300 Capped Top 40 X X X
J303 Capped All Share X X X X X X
J310 Capped Resource 10 X
J311 Capped Industrial 25 X X
J330 Value X X X X X X
J3EQ Equally Weighted Resource 10 X
J4EQ Equally Weighted Financial 15 X
J580 SA Financials X X
J5EQ Equally Weighted Industrial 25 X X
J700 Minimum Variance Top 40 X X
J703 Minimum Variance All Share X X X X X
J803 All Property Index X
J805 SA REIT Index X
JA00 All Africa 40 X
JA0R All Africa 40 Rand X
JI0020 Health Care X
JI0030 Financials X
JI0035 Real Estate X
JI0040 Consumer Discretionary
JI0050 Industrials X
JI0055 Basic Materials X
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Index code Index name AGL ATT INP MNP NTC TGA
JI0060 Energy X
JS2011 Health Care Providers X
JS3011 Banks X
JS3512 Real Estate Investment Trusts X
JS5023 General Industrials X
JS5512 Industrial Metals and Mining X
JS6011 Oil, Gas and Coal X
Table 6: List of indices with Free Float changes (the impact to the NET TRI versions of the Indices is the same as that of the related ordinary
index, eg the All Share constituents are identical to the All Share Net TRI constituents therefore the free float change will occur in both indices)
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Appendix 2: Impact of methodology change on FTSE/JSE Indices
Index code Index Methodology change impact
J110 Responsible Investment Top 30 Index FF change
J113 Responsible Investment Index No impact
J140 Shariah Top 40 FF change
J141 FTSE/JSE Capped Shariah Top 40 FF change
J143 Shariah All Share FF change
J200 Top 40 FF change
J201 Mid Cap FF change
J202 Small Cap FF change
J203 All Share FF change
J203CF FTSE/JSE All Share Comprehensive Factor Index FF change
J203DF FTSE/JSE All Share Yield Factor Index FF change
J203LF FTSE/JSE All Share Low Volatility Focused Factor Index FF change
J203MF FTSE/JSE All Share Momentum Factor Index FF change
J203QF FTSE/JSE All Share Quality Factor Index FF change
J203SF FTSE/JSE All Share Size Factor Index FF change
J203VF FTSE/JSE All Share Value Factor Index FF change
J203VOF FTSE/JSE All Share Volatility Factor Index FF change
J204 Fledgling FF change
J205 Large Cap FF change
J206 Large and Mid Cap FF change
J210 Resource 10 FF change
J211 Industrial 25 FF change
J212 Financial 15 FF change
J213 Financial and Industrial 30 FF change
J232 Alternative Exchange FF change
J233 ALT X 15 FF change
J250 SA Financials and Industrials FF change
J251 Preference Share No impact
J253 SA Listed Property FF change
J254 Capped Property FF change
J257 SA Industrials FF change
J258 SA Resources FF change
J259 Dividend+ FF change
J260 RAFI 40 FF change
J263 Rafi All Share FF change
J283 Capped Rafi All Share FF change
J2DV Top 40 Dividend FF change
J2EQ Equally Weighted Top 40 FF change
J300 Capped Top 40 FF change
J303 Capped All Share FF change
J310 Capped Resource 10 FF change
J311 Capped Industrial 25 FF change
J330 Value FF change
J331 Growth FF change
J3EQ Equally Weighted Resource 10 FF change
J400 Shareholder Weighted Top 40 No impact
J403 Shareholder Weighted All Share No impact
J430 FTSE/JSE Capped Shareholder Weighted Top 40 Index No impact
J433 FTSE/JSE Capped Shareholder Weighted All Share Index No impact
J4EQ Equally Weighted Financial 15 FF change
J580 SA Financials FF change
J5EQ Equally Weighted Industrial 25 FF change
J700 FTSE/JSE Minimum Variance Top 40 FF change
J703 FTSE/JSE Minimum Variance All Share FF change
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Index code Index Methodology change impact
J800 FTSE/JSE Tradable Property Index No impact
J803 FTSE/JSE All Property Index No impact
J805 FTSE/JSE SA REIT Index FF change
JA00 All Africa 40 FF change
JA0R All Africa 40 Rand FF change
JA30 All Africa 30 ex South Africa No impact
JA3R All Africa 30 ex South Africa Rand No impact
JI0010 Technology FF change
JI0015 Telecommunications FF change
JI0020 Health Care FF change
JI0030 Financials FF change
JI0035 Real Estate FF change
JI0040 Consumer Discretionary FF change
JI0045 Consumer Staples FF change
JI0050 Industrials FF change
JI0055 Basic Materials FF change
JI0060 Energy FF change
JI0065 Utilities FF change
JN23 All Share Net TRI FF change
JN43 Shareholder Weighted All Share Net TRI No impact
JN430 Capped Shareholder Weighted Top 40 Net TRI No impact
JN433 Capped Shareholder Weighted All Share Net TRI No impact
JN51 Preference Share Net TRI No impact
JNR4 RAFI 40 Net TRI FF change
JNS4 Shariah 40 Net TRI FF change
JNX4 SWIX 40 Net TRI No impact
JS1011 Software and Computer Services FF change
JS1012 Technology Hardware and Equipment FF change
JS1511 Telecommunications Equipment FF change
JS1512 Telecommunications Service Providers FF change
JS2011 Health Care Providers FF change
JS2012 Medical Equipment and Services FF change
JS2013 Pharmaceuticals and Biotechnology FF change
JS3011 Banks FF change
JS3021 Finance and Credit Services FF change
JS3022 Investment Banking and Brokerage Services FF change
JS3023 Mortgage Real Estate Investment Trusts FF change
JS3024 Closed End Investments FF change
JS3031 Life Insurance FF change
JS3032 Non-life Insurance FF change
JS3511 Real Estate Investment and Services FF change
JS3512 Real Estate Investment Trusts FF change
JS4011 Automobiles and Parts FF change
JS4021 Consumer Services FF change
JS4022 Household Goods and Home Construction FF change
JS4023 Leisure Goods FF change
JS4024 Personal Goods FF change
JS4031 Media FF change
JS4041 Retailers FF change
JS4051 Travel and Leisure FF change
JS4511 Beverages FF change
JS4512 Food Producers FF change
JS4513 Tobacco FF change
JS4521 Personal Care, Drug and Grocery Stores FF change
JS5011 Construction and Materials FF change
JS5021 Aerospace and Defense FF change
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Index code Index Methodology change impact
JS5022 Electronic and Electrical Equipment FF change
JS5023 General Industrials FF change
JS5024 Industrial Engineering FF change
JS5025 Industrial Support Services FF change
JS5026 Industrial Transportation FF change
JS5511 Industrial Materials FF change
JS5512 Industrial Metals and Mining FF change
JS5513 Precious Metals and Mining FF change
JS5521 Chemicals FF change
JS6011 Oil, Gas and Coal FF change
JS6012 Alternative Energy FF change
JS6511 Electricity FF change
JS6512 Gas, Water and Multi-utilities FF change
JS6513 Waste and Disposal Services FF change
JSZ0 SWIX Resource 10 No impact
JSZ1 SWIX Industrial 25 No impact
JSZ2 SWIX Financial 15 No impact
JSZ3 SWIX Financial and Industrial 30 No impact
JSZ4 SWIX SA Resources No impact
JSZ5 SWIX SA Industrials No impact
JSZ6 SWIX SA Financials No impact
JSZ7 SWIX SA Financials and Industrials No impact
JW0010 SWIX Technology No impact
JW0015 SWIX Telecommunications No impact
JW0020 SWIX Health Care No impact
JW0030 SWIX Financials No impact
JW0035 SWIX Real Estate No impact
JW0040 SWIX Consumer Discretionary No impact
JW0045 SWIX Consumer Staples No impact
JW0050 SWIX Industrials No impact
JW0055 SWIX Basic Materials No impact
JW0060 SWIX Energy No impact
JW0065 SWIX Utilities No impact
JX1011 SWIX Software and Computer Services No impact
JX1012 SWIX Technology Hardware and Equipment No impact
JX1511 SWIX Telecommunications Equipment No impact
JX1512 SWIX Telecommunications Service Providers No impact
JX2011 SWIX Health Care Providers No impact
JX2012 SWIX Medical Equipment and Services No impact
JX2013 SWIX Pharmaceuticals and Biotechnology No impact
JX3011 SWIX Banks No impact
JX3021 SWIX Finance and Credit Services No impact
JX3022 SWIX Investment Banking and Brokerage Services No impact
JX3023 SWIX Mortgage Real Estate Investment Trusts No impact
JX3024 SWIX Closed End Investments No impact
JX3031 SWIX Life Insurance No impact
JX3032 SWIX Non-life Insurance No impact
JX3511 SWIX Real Estate Investment and Services No impact
JX3512 SWIX Real Estate Investment Trusts No impact
JX4011 SWIX Automobiles and Parts No impact
JX4021 SWIX Consumer Services No impact
JX4022 SWIX Household Goods and Home Construction No impact
JX4023 SWIX Leisure Goods No impact
JX4024 SWIX Personal Goods No impact
JX4031 SWIX Media No impact
JX4041 SWIX Retailers No impact
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Index code Index Methodology change impact
JX4051 SWIX Travel and Leisure No impact
JX4511 SWIX Beverages No impact
JX4512 SWIX Food Producers No impact
JX4513 SWIX Tobacco No impact
JX4521 SWIX Personal Care, Drug and Grocery Stores No impact
JX5011 SWIX Construction and Materials No impact
JX5021 SWIX Aerospace and Defense No impact
JX5022 SWIX Electronic and Electrical Equipment No impact
JX5023 SWIX General Industrials No impact
JX5024 SWIX Industrial Engineering No impact
JX5025 SWIX Industrial Support Services No impact
JX5026 SWIX Industrial Transportation No impact
JX5511 SWIX Industrial Materials No impact
JX5512 SWIX Industrial Metals and Mining No impact
JX5513 SWIX Precious Metals and Mining No impact
JX5521 SWIX Chemicals No impact
JX6011 SWIX Oil, Gas and Coal No impact
JX6012 SWIX Alternative Energy No impact
JX6511 SWIX Electricity No impact
JX6512 SWIX Gas, Water and Multi-utilities No impact
JX6513 SWIX Waste and Disposal Services No impact
Table 7: List of indices with methodology change (FF = Free Float)
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