FTSE Russell’s annual reconstitution of the Russell US Indexes is underway. Company market capitalization as of the close of the US market on rank day (Friday, May 8, 2020) will be used to determine Russell US Index membership. Reconstitution will be effective after the US market close on Friday, June 26 and reflected within the open deliverables on Monday, June 29.
TIMING OF ANNOUNCEMENTS AND DELIVERABLES
Projected reconstitution-related index changes: On Friday, June 5 at approximately 6 p.m. ET, projected 2020 reconstitution-related index membership changes will be announced and reflected in the daily cumulative change files posted to DDS (data.ftse.com) and Product Portal.
Daily notification of corrections to preliminary lists: Each day from June 8-11 at around 7 p.m. ET, clients will be notified via email of any corrections to the preliminary lists that are not related to corporate actions. If there are no corrections, a notification will be sent to that effect. A technical notice will also be issued for any membership corrections for the Russell 3000 and Russell Microcap indexes.
Corporate action-driven changes to the preliminary indexes: Russell Premier Level subscribers will have access to corporate action-driven changes to the preliminary Russell US Indexes via the reconstitution daily holdings files and the reconstitution daily cumulative change files, which will be posted to DDS and Product Portal.
Timing of deliverables: We expect to deliver all files on June 26 according to their normal schedules, except for the June 29 open holdings files. We expect the open files dated June 29 to be available by 9 a.m. ET, Saturday, June 27.
Please note that due to several additional processes that run on the first business day following reconstitution (Monday, June 29), we anticipate delayed publication of some deliverables on this date.
IMPORTANT REMINDERS
Corporate actions between May 8,2020 and June 12,2020 impacting reconstitution index membership: As a reminder, companies involved in a merger or spin-off between May 8 (rank day) and June 12 (end of query period) will be assigned to the appropriate market capitalization-based index according to their new market capitalization. This includes newly merged companies as well as both the child and parent companies involved in a spin-off transaction. Companies deleted from the index due to mergers will not be replaced, and additions to the index due to mergers or spin-offs will not impact the rank or index membership of other companies. All other corporate actions occurring during this time period do not impact index membership.
Stocks Suspended during the Reconstitution Period: Securities which are suspended on Friday 12 June 2020* will not have their scheduled reconstitution changes implemented regardless of a resumption of trade prior to the reconstitution effective date. The scheduled changes will be implemented T+2 after the reconstitution effective date, at the earliest, upon resumption of trade. Scheduled reconstitution changes will only occur if there is an active market on Friday 26 June 2020; otherwise, the changes will be postponed and implemented with notice, upon resumption of trade.
*If there is a confirmed resumption of trade date which occurs prior to the reconstitution effective date, the reconstitution changes will proceed as scheduled.
Long Term Suspended Stocks: Constituents that have been suspended for 60 or more days on or before Friday 22 May 2020, will be deleted from the index in conjunction with the reconstitution (at zero price). However, if the constituent subsequently resumes trading on or prior to Friday 12 June 2020 the deletion will be rescinded and the constituent will remain within the index if otherwise eligible with any reconstitution changes proceeding. If the constituent resumes trading on or after Monday 15 June 2020, it will still be removed in conjunction with the reconstitution (at market price if an active replicable market exists - otherwise it will be removed at zero).
Equity Offerings: In accordance with standard methodology, primary and secondary offerings will continue to be applied with two days’ notice when discovered after the review announcement date. However, offerings which would ordinarily become effective at the open on the Tuesday - Friday prior to the reconstitution will instead be implemented simultaneously in conjunction with the reconstitution effective date on 29 June 2020 (open). Offerings discovered on the Thursday and Friday prior to the review will be implemented with two days’ notice and therefore subsequent to the review.
Pricing of securities if there is an exchange disruption: In the event that market has an unexpected partial day closure on June 26, FTSE Russell will review the impact on a case-by-case basis, taking into account the duration of the outage, the time of day and whether the affected market publishes an official closing price. If applicable, FTSE Russell will preannounce any change to the index reconstitution implementation schedule. For additional information, please review the INDEX POLICY FOR TRADING HALTS AND MARKET CLOSURES
Exchange closure during reconstitution: In the event of a market closure during reconstitution, the portion of the rebalanced index impacted by the closure will not be implemented until FTSE Russell can determine the restoration of normal market function and provide appropriate communication to clients.
Alternatively weighted indexes: FTSE Russell's alternatively weighted indexes based on the Russell US Indexes (e.g., Russell Equal Weight Index Series) will follow the parent index reconstitution date of June 26. Index changes will be announced as per their normal schedule before the effective date. A detailed schedule of index deliverables can be found in the Reconstitution Calendar available on DDS and Product Portal.
Weekend support starting June 5: FTSE Russell Client Service will monitor email for any urgent issues over the weekends falling between June 5 and June 21 as needed. Additional support will be available Saturday, June 27 and Sunday, June 28, which is when the final reconstitution deliverables become available. Please email info@ftserussell.com to ensure the quickest response for weekend support.
Please refer to the March 2, 2020 technical notice for additional details.
