This may help avoid the need to trade cash index baskets with potentially volatile prices. Company Symbol Sector WAVE LIFE SCIENCES LTD WVE Health Care WHITING PETROLEUM CORP WLL Energy XPEL INC XPEL Consumer Discretionary FTSE Russell | Preliminary index Adds 4 Reconstitution ... 6/19/2020 … The “Big Got Bigger and the Small Got Smaller.” 8, The market cap breakpoint separating small-caps (Russell 2000 Index) and large-caps (Russell 1000 Index) decreased by more than 16%, and the smallest US company falls below $100 million for first time since 2009.9. FTSE Russell is wholly owned by the London Stock Exchange Group. CME Group, the Globe Logo, CME, Globex, E-Mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc.  CBOT is a trademark of the Board of Trade of the City of Chicago, Inc.  NYMEX is a trademark of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc. Russell 1000® and Russell 2000® are trademarks and service marks of the Frank Russell Company, used under license. The information within this communication has been compiled by CME Group for general purposes only. -. The event … The 8 week process begins in May, with the preliminary Russell U.S. reconstitution portfolio. Technology dominates the top five. FTSE Russell evaluates the 10,000 publicly traded U.S. companies and ranks the largest companies to be included within the Russell’s cap-weighted Indexes and subsequently revaluated for investment style indexes. Qualifying equity offerings on the Tuesday, Wednesday, Thursday or Friday of the final week of the Russell reconstitution period will enter the indexes at this year’s reconstitution effective Monday, June 29. The 2020 Russell US Index reconstitution calendar is as follows: Friday, May 8 – “rank day” – Russell US Index membership eligibility for 2020 reconstitution determined from constituent market capitalization at … The largest 3,000 become members of the Russell 3000® Index. Companies are required to have greater than 5% of the company’s voting rights (aggregated across all of its equity securities including, where identifiable, those securities that are not listed or trading) in the hands of unrestricted shareholders or they will not be deemed eligible for inclusion at this year’s reconstitution. The 2020 reconstitution on June 26 was expected to be one of the largest on record, and it did not disappoint. For current information on margin credits that CME Clearing applies to intra-market calendar spread positions, visit:https://www.cmegroup.com/clearing/margins/intras.html#pageNumber=1&sortField=exchange&sortAsc=true&exchange=CME§or=EQUITY+INDEX&clearingCode=RTY. But that's actually going back to the Russell reconstitution. Share. Market participants are beginning to gear up preparations for the annual reconstitution by FTSE Russell of its indexes at the end of June. FTSE Russell today announced the 2020 schedule for its annual reconstitution of its Russell US Indexes. KBW analyst Melissa Roberts updates her expectations for Russell Index's annual reconstitution in May 2020. Current rules should be consulted in all cases concerning contract specifications. Rather than having to execute trades across 2,000 or more individual names, an investor could simply trade CME E-mini Russell 2000 Index (RTY) Futures contracts in lieu of stocks. © 2020 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). Evaluate your cleared margin requirements using our interactive margin calculator. Russell US Indexes Review Timetable - March 2020 and Annual Reconstitution Timetable - June 2020 10 January 2020 The Russell US Indexes March 2020 Review will be implemented in accordance with the below timetable: Friday 14 February 2020: Cut-off date for new information.Information available prior to the end of day on 14 Russell US Indexes – Annual Reconstitution 2019 01 March 2019 In accordance with the announcement on 14th January 2019, the reconstitution of the Russell US Indexes will take place after the market close on 28 June 2019.Performed annually, reconstitution ensures that the Russell US Access real-time data, charts, analytics and news from anywhere at anytime. Expect a ‘Record-Breaking’ Russell Reconstitution, ... Dec 01, 2020. FTSE Russell today announced the 2019 schedule for the annual reconstitution of its Russell US Indexes. In a year in which total US market capitalization decreased by 1%, the market cap of the 10 largest US companies increased by more than 23%. Expect a ‘Record-Breaking’ Russell Reconstitution, BofA Says. It is a critical process for our indexes, particularly the widely followed U.S. large-cap Russell 1000 Index and U.S. small-cap Russell 2000 Index, and the transparent rules based methodology used to maintain and reconstitute the Russell indexes is designed to ensure that the process runs smoothly for investors. Understand how CME Group can help you navigate new initial margin regulatory and reporting requirements. The Exchange’s listings include companion options on RTY futures, enabling a wide array of option spread strategies and Russell 2000 Index volatility plays. Breakpoints. More than $15 trillion is currently benchmarked to FTSE Russell indexes. Global research head says market cap has been concentrated, sees central bank policy as indicator of future performance By David Kitai. As investors have steadily increased their exposure to passive equity instruments, the amount of assets that either track or are benchmarked to the Russell indices has also increased. When the Russell rebalance concludes in late June, the entire family of Russell US indexes will be recast to reflect changes in the U.S. equity markets over the last year.”. 1www.ftserussell.com/press/ftse-russell-announces-2020-russell-us-indexes-reconstitution-schedule, 2https://www.ftserussell.com/press/ftse-russell-begins-32nd-annual-russell-us-indexes-reconstitution, 3https://www.ftserussell.com/indexes/index-linked-products/ftse-russell-etfs. Latest insights, research papers and event information for the topics you are interested in. © 2021 CME Group Inc. All rights reserved. Search our directory for a broker that fits your needs. In the run-up to the reconstitution, investors managing assets benchmarked to the Russell 1000 Index or Russell 2000 Index, and receiving subscription and redemption flows, may find it easier to use E-mini Russell 1000 Index (RS1) futures, the Russell 1000 Total Return Index futures or the E-mini Russell 2000 Index (RTY) futures, respectively, to manage equitization of those cash flows. Credit Suisse estimates that the 2020 FTSE Russell changes will generate almost $100 billion of index trading, ... the annual Russell reconstitution is usually a relatively orderly close. 4All BTIC transactions must be executed in accordance with CME Rule 524.B. (“Basis Trade at Index Close (“BTIC”) Transactions”), the Market Regulation Advisory Notice concerning Rule 524 and the provisions in the applicable product chapter. Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX. A trader can enter a calendar spread, for example, by buying September RTY contracts and selling an equivalent exposure in December RTY contracts, if an opportune price discrepancy emerges between the two delivery months.11. Nasdaq traded roughly 1.6 billion shares with a notional value of almost $57 billion. Many investors consider the Russell 2000 Index to be the most comprehensive indicator of the US economy due to its breadth of industries as well as its constituents central exposure to the United States. The Russell 2000 Index reconstitution is a major event in the US equity calendar, which presents risk management challenges for some and potential alpha trade opportunities for others. In either case, an offsetting BTIC or TACO trade in RTY futures offers a convenient tool for the investor who wants to remain hedged, whether in notional exposure terms or in beta exposure terms. 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