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S&P Dow Jones Indices Float Adjusted Liquidity Ratio Clarification for Certain U.S. Indices

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S&P Dow Jones Indices has clarified the float-adjusted liquidity ratio (FALR) eligibility criteria for U.S. Indices. The clarification specifies that FALR is calculated using the annual dollar value traded divided by float-adjusted market capitalization, utilizing composite pricing and all publicly reported U.S. consolidated volume (excluding dark pools). For the S&P Total Market Index, FALR must be greater than or equal to 0.1, with current constituents having no minimum requirement. The clarification affects major indices including the S&P Composite 1500, S&P 500, S&P 400, S&P 600, and Dow Jones U.S. Total Stock Market Index. The update is effective December 9, 2024, with no constituent changes occurring.

S&P Dow Jones Indices ha chiarito i criteri di idoneità per il rapporto di liquidità rettificato per flottante (FALR) per gli Indici statunitensi. La chiarificazione specifica che il FALR è calcolato utilizzando il valore annuale in dollari trattato diviso per la capitalizzazione di mercato rettificata per flottante, utilizzando prezzi compositi e tutto il volume consolidato statunitense pubblicamente riportato (escludendo i dark pools). Per l'S&P Total Market Index, il FALR deve essere maggiore o uguale a 0,1, con i componenti attuali che non hanno requisiti minimi. La chiarificazione influenza indici principali tra cui l'S&P Composite 1500, l'S&P 500, l'S&P 400, l'S&P 600 e il Dow Jones U.S. Total Stock Market Index. L'aggiornamento entra in vigore il 9 dicembre 2024, senza alcuna variazione nei componenti.

S&P Dow Jones Indices ha aclarado los criterios de elegibilidad para la relación de liquidez ajustada por flotante (FALR) para los Índices de EE. UU. La aclaración especifica que el FALR se calcula utilizando el valor anual en dólares negociado dividido por la capitalización de mercado ajustada por flotante, utilizando precios compuestos y todo el volumen consolidado de EE. UU. reportado públicamente (excluyendo los dark pools). Para el S&P Total Market Index, el FALR debe ser mayor o igual a 0.1, sin que los componentes actuales tengan requisitos mínimos. La aclaración afecta a índices importantes, incluidos el S&P Composite 1500, S&P 500, S&P 400, S&P 600 y el Dow Jones U.S. Total Stock Market Index. La actualización será efectiva el 9 de diciembre de 2024, sin cambios de componentes.

S&P 다우 존스 지수는 미국 지수를 위한 유동성 비율 조정 기준(FALR)에 대한 자격 기준을 명확히 했습니다. 이 명확화에서는 연간 거래된 달러 가치가 유동성 조정 시장 자본으로 나눠져 FALR이 계산된다고 명시하며, 복합 가격 및 모든 공개적으로 보고된 미국 통합 거래량(다크 풀 제외)을 사용합니다. S&P 토탈 마켓 지수의 경우 FALR은 0.1 이상이어야 하며 현재 구성 종목에는 최소 요구 사항이 없습니다. 이 명확화는 S&P Composite 1500, S&P 500, S&P 400, S&P 600다우존스 미국 전체 주식 시장 지수를 포함한 주요 지수에 영향을 미칩니다. 업데이트는 2024년 12월 9일부터 시행되며, 구성 종목의 변경은 없습니다.

S&P Dow Jones Indices a clarifié les critères d'éligibilité pour le ratio de liquidité ajusté en fonction de la flottation (FALR) pour les indices américains. La clarification précise que le FALR est calculé en utilisant la valeur annuelle en dollars échangée divisée par la capitalisation boursière ajustée en fonction de la flottation, en utilisant des prix composites et tout le volume consolidé américain rapporté publiquement (à l'exclusion des dark pools). Pour le S&P Total Market Index, le FALR doit être supérieur ou égal à 0,1, les constitutifs actuels n'ayant aucune exigence minimale. La clarification affecte des indices majeurs tels que le S&P Composite 1500, le S&P 500, le S&P 400, le S&P 600 et le Dow Jones U.S. Total Stock Market Index. La mise à jour entre en application le 9 décembre 2024, sans changements de constitutifs.

S&P Dow Jones Indices hat die Kriterien für die Zulässigkeit des float-adjustierten Liquiditätsverhältnisses (FALR) für US-Indizes klargestellt. Die Klarstellung gibt an, dass der FALR unter Verwendung des jährlich gehandelt Wertes in Dollar, geteilt durch die float-adjustierte Marktkapitalisierung, unter Verwendung von kompositen Preisen und dem gesamten öffentlich berichteten konsolidierten Handelsvolumen in den USA (außer Dark Pools) berechnet wird. Für den S&P Total Market Index muss der FALR größer oder gleich 0,1 sein, wobei die aktuellen Mitglieder keine Mindestanforderung haben. Die Klarstellung betrifft wichtige Indizes wie den S&P Composite 1500, den S&P 500, den S&P 400, den S&P 600 und den Dow Jones U.S. Total Stock Market Index. Das Update tritt am 9. Dezember 2024 in Kraft, ohne dass Änderungen bei den Mitgliedern vorgenommen werden.

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Insights

This clarification of the float-adjusted liquidity ratio (FALR) methodology represents a significant technical update for index composition calculations. The key modification specifies that "all publicly reported U.S. consolidated volume" will be used in FALR calculations, providing greater transparency in how stocks qualify for major indices like the S&P 500, S&P 400 and S&P 600.

While no immediate constituent changes will occur, this clarification could impact future index inclusion decisions, particularly for companies near the liquidity threshold of 0.1 FALR. The specification that dark pool trading volume is excluded from calculations maintains the focus on publicly visible trading activity, which is important for index integrity and transparency.

For institutional investors and index funds tracking these benchmarks, this technical clarification provides better visibility into index methodology and could influence portfolio rebalancing strategies. The impact on SPGI's business model is neutral, as this update represents a clarification rather than a fundamental change to their index operations.

NEW YORK, Dec. 9, 2024 /PRNewswire/ -- S&P Dow Jones Indices ("S&P DJI") is clarifying the float-adjusted liquidity ratio (FALR) eligibility criteria used in the S&P U.S. Indices and Dow Jones U.S. Total Stock Market Indices Methodologies. No constituent changes for any U.S. companies currently in the S&P Composite 1500 indices or Dow Jones U.S. Total Stock Market indices will occur, as this simply clarifies and provides more transparency to the existing FALR rule.

Current

Updated

A float-adjusted liquidity ratio (FALR), defined as the annual dollar value traded divided by the float-adjusted market capitalization (FMC), is used to measure liquidity. Using composite pricing and U.S. consolidated volume (excluding dark pools), annual dollar value traded is defined as the average closing price multiplied by the historical volume over the 365 calendar days prior to the evaluation date.

A float-adjusted liquidity ratio (FALR), defined as the annual dollar value traded divided by the float-adjusted market capitalization (FMC), is used to measure liquidity. Using composite pricing and all publicly reported U.S. consolidated volume (excluding dark pools), annual dollar value traded is defined as the average closing price multiplied by the historical volume over the 365 calendar days prior to the evaluation date.

The below excerpt is the full U.S. Liquidity criteria language, including the clarification:

Liquidity. A float-adjusted liquidity ratio (FALR), defined as the annual dollar value traded divided by the float-adjusted market capitalization (FMC), is used to measure liquidity. Using composite pricing and all publicly reported U.S. consolidated volume, annual dollar value traded is defined as the average closing price multiplied by the historical volume over the 365 calendar days prior to the evaluation date. This is reduced to the available trading period for IPOs, spin-offs or public companies considered to be U.S. domiciled for index purposes that do not have 365 calendar days of trading history on a U.S. exchange. In these cases, the dollar value traded available as of the evaluation date is annualized. Eligibility differs depending on the index:

  • S&P Total Market Index
    • Liquidity requirements are reviewed during the quarterly rebalancings.
    • The price (corporate action adjusted) as of the evaluation date, and the shares outstanding and Investable Weight Factor as of the rebalancing effective date are used to calculate the FMC.
    • The evaluation date is five weeks prior to the rebalancing effective date.
    • FALR must be greater than or equal to 0.1.
    • Current constituents have no minimum requirement.

IMPACTED INDICES

Index Name

Index Codes

S&P Composite 1500 Index

1500

S&P 500

500

S&P 400

400

S&P 600

600

Dow Jones U.S. Total Stock Market Index

DWCF

IMPLEMENTATION TIMING

The clarification is effective today, Monday, December 9, 2024.

Please note that the S&P U.S. Indices Methodology and Dow Jones U.S. Total Stock Market Indices Methodology on S&P DJI's website are updated with the clarified language.

For more information about S&P Dow Jones Indices, please visit www.spglobal.com/spdji.

ABOUT S&P DOW JONES INDICES

S&P Dow Jones Indices is the largest global resource for essential index-based concepts, data and research, and home to iconic financial market indicators, such as the S&P 500® and the Dow Jones Industrial Average®. More assets are invested in products based on our indices than products based on indices from any other provider in the world. Since Charles Dow invented the first index in 1884, S&P DJI has been innovating and developing indices across the spectrum of asset classes helping to define the way investors measure and trade the markets.

S&P Dow Jones Indices is a division of S&P Global (NYSE: SPGI), which provides essential intelligence for individuals, companies, and governments to make decisions with confidence. For more information, visit www.spglobal.com/spdji.

FOR MORE INFORMATION:

S&P Dow Jones Indices
index_services@spglobal.com

Media Inquiries
spdji.comms@spglobal.com

Cision View original content:https://www.prnewswire.com/news-releases/sp-dow-jones-indices-float-adjusted-liquidity-ratio-clarification-for-certain-us-indices-302326759.html

SOURCE S&P Dow Jones Indices

FAQ

What is the new FALR requirement for S&P Total Market Index as of December 9, 2024?

The FALR requirement for the S&P Total Market Index must be greater than or equal to 0.1, while current constituents have no minimum requirement.

Which major indices are affected by the FALR clarification announced by S&P DJI (SPGI)?

The FALR clarification affects the S&P Composite 1500 Index, S&P 500, S&P 400, S&P 600, and Dow Jones U.S. Total Stock Market Index.

How is the FALR calculated according to the December 2024 clarification?

FALR is calculated by dividing the annual dollar value traded by the float-adjusted market capitalization, using composite pricing and all publicly reported U.S. consolidated volume, excluding dark pools.

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