FTSE Short and Leveraged Indexes

FTSE offers short and leveraged indexes on a selection of global, regional and domestic indexes. The indexes are calculated assuming a defined leverage multiple, either long or short, is applied to the underlying reference index. The leverage is reset daily. The index series applies stop losses in the event the market moves by a certain amount following which the index is reset. For more details on the stop loss levels please refer to the relevant index rules.

The Daily Leveraged indexes reflect five aspects of the performance of leveraged indexes:

  • Capital gains associated with the underlying index
  • Cash dividends paid by the underlying securities net of withholding tax (as applied to the underlying index)
  • The financing costs of leverage based on the annualised overnight unsecured lending rate
  • The spread between overnight interest rates and the longer term 12 month interest rate, in order to reflect the reality of wider spreads between the interbank and the swap market rates post June 2007
  • Index rebalancing costs that arise where stamp duty or other costs are applicable to changes in the underlying reference index

The Daily Short indexes take into account the five components of the performance of short indexes:

  • Capital gains associated with the underlying index
  • Cash dividends paid by securities in the underlying index
  • The interest income on capital associated with the short sale of the underlying index
  • Stock borrowing costs associated with short stock positions
  • Index rebalancing costs that arise where stamp duty or other costs are applicable to changes in the underlying reference index