Consultation AEX Index Family Methodology

Euronext aims to ensure that the AEX Index remains suitable for use across a broad range of investment and derivatives products. One factor supporting this objective is the level of constituent concentration within the index.

Certain market frameworks relevant to derivatives products, including the U.S. Commodity Futures Trading Commission (CFTC) broad-based index framework, consider constituent concentration when evaluating an index. Under this framework, the aggregate weight of the five largest constituents should not exceed 60% for more than 45 business days within any three-month period. Alignment with this threshold may support the use of the index in certain derivatives products.

The AEX methodology currently applies a maximum weight of 15% per constituent but does not include an explicit limit on the aggregate weight of the five largest constituents. 

As a result, movements in constituent share prices have caused the aggregate weight of the five largest constituents to exceed the 60% threshold between quarterly reviews in the past.

Euronext is therefore proposing the introduction of an additional concentration limit whereby the aggregate weight of the five largest constituents would not exceed 55% at each quarterly review. The proposed change aims to reduce concentration and provide a buffer relative to the 60% concentration thresholds used in the CFTC broad-based index framework, while limiting the impact on the current index composition.

The proposed methodology would be applied as follows:

1. The existing 15% individual constituent cap is applied.
2. The aggregate weight of the five largest constituents is assessed against the proposed 55% threshold.
3. If the aggregate weight does not exceed 55%, no further adjustments are made.
4. If the aggregate weight exceeds 55%:
   • the weights of the five largest constituents are reduced proportionally until their combined weight equals 55%;
   • the resulting excess weight is redistributed proportionally across the remaining constituents; and
   • the weights of the remaining constituents are subject to a cap to ensure that no constituent exceeds either the 15% individual cap or the weight of the previously determined fifth-largest constituent, in order to preserve the constituent ranking.

This approach is intended to preserve both the constituent ranking and the proportionality of the underlying free float market capitalisation weights while ensuring compliance with the proposed aggregate 55% cap.

Current rule:

“For the AEX, the Capping Factors are calculated based on the Review Weighting Announcement Date such that the Companies included in the index have a maximum weight of 15%.”

Proposed rule (to be added in the rulebook to the current rule for Quarterly Reviews & Annual Review): 

“For the AEX, the Capping Factors are additionally calculated such that the aggregate weight of the five largest Companies included in the index does not exceed 55%. If necessary, the weighting of the remaining Companies shall be adjusted proportionally in order to satisfy this constraint.”

The proposal would be implemented as part of the existing quarterly review process and would not introduce additional extraordinary rebalancing events.

Backtesting analysis performed by Euronext indicates that a 55% threshold strikes an appropriate balance between reducing concentration and minimising changes to the current index composition.

The AEX Index Family methodology currently requires companies to have been listed for at least 30 trading days prior to the Review Cut-Off Date in order to be eligible for consideration at the next quarterly review.

As IPO activity and market dynamics evolve, Euronext would like to gather stakeholder views on whether the current 30 trading day requirement remains appropriate and whether a shorter minimum eligibility period should be considered.

At this stage, Euronext is not proposing a specific rule change. Instead, Euronext seeks feedback on the preferred minimum listing history requirement, the potential benefits and drawbacks of earlier eligibility, and any safeguards that should be considered. Any future amendment would be subject to a separate assessment of consultation feedback and approval through Euronext's governance process.

Current rule:

“Companies admitted to listing less than 30 trading days before the Review Cut-Off Date.”

Discussion Topic / Request for Feedback

The current methodology requires a minimum listing history of 30 trading days prior to the Review Cut-Off Date. Euronext would like to gather stakeholder views on whether this requirement remains appropriate and, if not, whether a shorter minimum eligibility period should be considered.

For the avoidance of doubt, any reduction in the minimum eligibility period would not result in immediate index inclusion. Eligible companies would continue to be considered only as part of the regular quarterly review process and would remain subject to all other eligibility and ranking requirements.

Stakeholders will have until the 6th of November 2026 to react to the consultation. The new rules, if validated by Index Design, are planned to be implemented as of the March 2027 review.