PSI 20 2021 selection improvement

Introduction

At present the PSI 20 Administrator has concerns regarding the development of index seeing inclusion of companies with less absolute liquidity and/or size in terms of free float market capitalization.

This development means that in future the index may be no longer representative for the Blue Chip companies of Portugal or may lose its attractiveness for index based products and asset managers.

That is why the Administrator is exploring several paths for development of the selection rules. The main proposal is to replace the minimum number of constituents by a minimum size criterion for which a variation could be applied for the entry and continued inclusion level.

Euronext welcomes the view of all stakeholders and will treat all feedback confidentially. 

Timelines

This Consultation will be open from 23 April until 31 May. A decision on this topic will follow in the meeting of the PSI Committee either in June or September.

Implementation of the changes is foreseen for March 2022.

Statistics

As an indication the data from the last quarterly factsheet (31 March 2021) are shown as well as the data relevant for the review that were gathered on the cut off date of the last annual review.

Market Capitalisation EUR bil
Full 65.4
Free float 30.1
% of PSI All-Share Index 98.0%

 

Component (full) EUR bil
Average 3.64
Median 1.45
Largest 19.31
Smallest 0.10

 

Components Weights (%)
Largest 12.7
Smallest 0.34
Top 10 87.18

 

Name

Free Float Factor

 FF Mcap (at Cut-Off)    

 

EDP

75%

        14,163,429,734

 

GALP ENERGIA-NOM

65%

          4,758,974,105

 

J.MARTINS,SGPS

40%

          3,272,324,744

 

EDP RENOVAVEIS

10%

          1,730,659,393

 

B.COM.PORTUGUES

50%

              941,601,574

 

REN

55%

              849,501,274

 

SONAE

45%

              620,100,000

 

THE NAVIGATOR COMP

30%

              598,395,000

 

NOS, SGPS

40%

              561,319,840

 

CORTICEIRA AMORIM

30%

              434,112,000

 

ALTRI SGPS

30%

              369,237,010

 

CTT CORREIOS PORT

70%

              257,775,000

 

SEMAPA

25%

              247,873,500

 

MOTA ENGIL

35%

              119,203,830

if set at 100 mln

PHAROL

70%

                79,323,426

 

IBERSOL,SGPS

35%

                65,268,000

 

NOVABASE,SGPS

40%

                48,358,147

 

RAMADA

25%

                32,436,446

 
Questions
1. Would you support letting go the minimum number of constituents in favor of an absolute minimum of free float market capitalization?
At present the PSI 20 is made up of at least 18 companies and maximum 20 companies. Companies with more than 100 mln free float market capitalization are selected by default while companies that have less free float market capitalization will be selected if there are less than 18 eligible companies.
 
2. If a minimum free float market capitalization is applied, at what level should this be set for the PSI 20 for companies that could be added to the index (entry level) ?

3. Exit level determination

Current companies could be maintained in the index if they fulfill a certain minimum free float market capitalization threshold. This threshold could either be identical to the current entry level or lower in order to give current constituents room for recovery. At what level would you prefer to set the exit level:
At annual reviews:
At quarterly reviews (June, September, December):
4. In exceptional circumstances, do you think the PSI Committee should have the possibility to maintain constituents although they have fallen below the exit level.
5. Introduction of the new rules. Euronext proposes to introduce the new set up at the annual review in March 2022.
6. The PSI 20 name is well known in the investment community. Do you think the name can be maintained in a situation where the number only refers to the maximum number of constituents.
Your details
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