Ground Rules

May 2024

FTSE Green Revenues
Index Series
v3.2

lseg.com/en/ftse-russell

FTSE Green Revenues Index Series, v3.2, May 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 5
Section 3 FTSE Russell index policies ............................................................................................................................... 6
Section 4 Eligible securities ................................................................................................................................................ 8
Section 5 ESG data inputs .................................................................................................................................................. 9
Section 6 Index construction ............................................................................................................................................. 11
Section 7 Periodic review of constituents ......................................................................................................................... 14
Section 8 Changes to constituent companies................................................................................................................... 16
Section 9 Corporate actions and events ........................................................................................................................... 17
Section 10 Index calculation method ................................................................................................................................ 18
Appendix A Conduct-related and product-related exclusions........................................................................................... 20
Appendix B Further information ........................................................................................................................................ 22

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Section 1

Introduction

1.

Introduction

1.1

This document sets out the Ground Rules for the construction and management of the FTSE Green
Revenues Index Series. Copies of the Ground Rules are available from www.lseg.com/en/ftse-russell/.

1.2

The FTSE Green Revenues Index Series is designed to increase exposure to companies engaged in thetransition to a Green Economy.

1.3

The FTSE Green Revenues Index Series takes account of ESG factors in its index design. Please see
further details in Section 4 and 5.

1.3.1

If a tilting approach is used for an ESG data input, the objective is for the index methodology to overweight
and/or underweight constituents according to specific ESG criteria. This approach will not remove allcompanies with exposure to a specific ESG activity or sector.

1.4

Price, Total Return and Net of Tax Indices will be calculated on an end of day basis.
Total return indices include income based on ex dividend adjustments. All dividends are applied
as declared.

1.5

A series of net of tax Total Return Indices are also calculated based on the maximum withholding tax rates
applicable to dividends received by institutional investors who are not resident in the same country as theremitting company and who do not benefit from double taxation treaties.
Withholding tax rates used in the net-of-tax indices can be accessed using the following link:
Withholding_Tax_Service
Please also refer to the FTSE Russell Withholding Tax Guide which can be accessed using thefollowing link:
FTSE_Russell_Withholding_Tax_Guide.pdf

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1.6

All indices are calculated in US Dollars (USD) and local currency. The index values are also published inEuros (EUR), British Pounds (GBP) and Japanese Yen (JPY).

1.7

FTSE Russell
FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt
Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and FTSE Fixed
Income Europe Limited), FTSE Fixed Income LLC, FTSE (Beijing) Consulting Limited, Refinitiv Benchmark
Services (UK) Limited, Refinitiv Limited and Beyond Ratings.

1.8

FTSE Russell hereby notifies users of the Index Series that it is possible that circumstances, including
external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, theIndex Series and therefore, any financial contracts or other financial instruments that reference the IndexSeries or investment funds which use the Index Series to measure their performance should be able towithstand, or otherwise address the possibility of changes to, or cessation of, the Index Series.

1.9

Index users who choose to follow this Index Series or to buy products that claim to follow this Index Series
should assess the merits of the index’s rules-based methodology and take independent investment advice
before investing their own or client funds. No liability whether as a result of negligence or otherwise isaccepted by FTSE Russell for any losses, damages, claims and expenses suffered by any person as aresult of:– any reliance on these Ground Rules, and/or– any errors or inaccuracies in these Ground Rules, and/or– any non-application or misapplication of the policies or procedures described in these Ground Rules,
and/or– any errors or inaccuracies in the compilation of the index series or any constituent data.

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Section 2

Management responsibilities

2.

Management responsibilities

2.1

FTSE International Limited (FTSE)

2.1.1

FTSE is the benchmark administrator of the index series.1

2.1.2

FTSE is responsible for the daily calculation, production and maintenance of the FTSE Green Revenues
Index Series and will:– maintain records of the index weightings of all constituents;– make changes to the constituents and their weightings in accordance with the Ground Rules;– carry out the periodic index reviews of the index series and apply the changes resulting from the reviews
as required by the Ground Rules;– publish changes to the constituent weightings resulting from their ongoing maintenance and theperiodic reviews;– disseminate the indices.

2.1.3

These Ground Rules set out the methodology and provide information about the publication of the FTSE
Green Revenues Index Series.

2.2

Amendments to These Ground Rules

2.2.1

These Ground Rules shall be subject to regular review (at least once a year) by FTSE Russell to ensure thatthey continue to best reflect the aims of the index series. Any proposals for significant amendments to theseGround Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders
if appropriate. The feedback from these consultations will be considered by the FTSE Russell Index
Governance Board before approval is granted.

2.2.2

As provided for in the Statement of Principles for FTSE Russell Equity Indices, where FTSE Russell
determines that the Ground Rules are silent or do not specifically and unambiguously apply to the subject
matter of any decision, any decision shall be based as far as practical on the Statement of Principles. Aftermaking any such determination, FTSE Russell shall advise the market of its decision at the earliest
opportunity. Any such treatment will not be considered as an exception or change to the Ground Rules, or to
set a precedent for future action, but FTSE Russell will consider whether the Ground Rules should
subsequently be updated to provide greater clarity.

1

The term administrator is used in this document in the same sense as it is defined in Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on
indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (the European Benchmark Regulation) and The
Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 (the UK Benchmark Regulation).

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Section 3

FTSE Russell index policies

3.

FTSE Russell index policies
These Ground Rules should be read in conjunction with the following policy documents which can beaccessed using the links below:

3.1

FTSE Global Equity Index Guide to Calculation Methods

3.1.1

The aim of the guide is to describe how the indices are calculated, to facilitate users replication of theindices in order to support their investment and trading activities and to assist users in understanding thefactors which influence the performance of the indices.
FTSE_Global_Equity_Index_Series_Guide_to_Calc.pdf

3.2

Corporate Actions and Events Guide

3.3

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the Corporate Actions and Events Guide for Non Market Cap Weighted Indices using the following link:
Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf

3.4

Statement of Principles for FTSE Russell Equity Indices (the Statement of Principles)

3.4.1

Indices need to keep abreast of changing markets and the Ground Rules cannot anticipate every
eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE Russell will
determine the appropriate treatment by reference to the Statement of Principles which summarises theethos underlying FTSE Russell’s approach to index construction. The Statement of Principles is reviewed
annually and any changes proposed by FTSE Russell are presented to the FTSE Russell Policy Advisory
Board for discussion before approval by the FTSE Russell Index Governance Board.
The Statement of Principles can be accessed using the following link:
Statement_of_Principles.pdf

3.5

Queries and Complaints

3.5.1

FTSE Russell’s complaints procedure can be accessed using the following link:
Benchmark_Determination_Complaints_Handling_Policy.pdf

3.6

Index Policy for Trading Halts and Market Closures

3.6.1

Guidance for the treatment of index changes in the event of trading halts or market closures can be foundusing the following link:
Index_Policy_for_Trading_Halts_and_Market_Closures.pdf

3.7

Index Policy in the Event Clients are Unable to Trade a Market or a Security

3.7.1

Details of FTSE Russell’s treatment can be accessed using the following link:
Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market_or_a_Security.pdf

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3.8

Recalculation Policy and Guidelines

3.8.1

The FTSE Green Revenues Index Series are recalculated whenever inaccuracies occur that are deemed tobe significant. Users of the FTSE Green Revenues Index Series are notified through appropriate media.
For further information refer to the FTSE Russell Recalculation Policy and Guidelines document which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Recalculation_Policy_and_Guidelines_Equity_Indices.pdf

3.9

Recalculation Policy and Guidelines – ESG Data and Scores
Where an inaccuracy in ESG data is identified, FTSE Russell will follow the guidelines set out in thisdocument when determining if a ESG Data Product should be recalculated.
Recalculation_Policy_and_Guidelines_Sustainable_Investment.pdf

3.10

Policy for Benchmark Methodology Changes

3.10.1

Details of FTSE Russell’s policy for making benchmark methodology changes can be accessed using thefollowing link:
Policy_for_Benchmark_Methodology_Changes.pdf

3.11

FTSE Russell Governance Framework

3.11.1

To oversee its indices, FTSE Russell employs a governance framework that encompasses product, service
and technology governance. The framework incorporates the London Stock Exchange Group’s three lines ofdefence risk management framework and is designed to meet the requirements of the IOSCO Principles for
Financial Benchmarks2, the European benchmark regulation3 and the UK benchmark regulation4. The FTSE
Russell Governance Framework can be accessed using the following link:
FTSE_Russell_Governance_Framework.pdf

3.12

Real Time Status Definitions

3.12.1

For indices that are calculated in real time, please refer to the following guide for details of real time status
definitions:
Real_Time_Status_Definitions.pdf

23

4

IOSCO Principles for Financial Benchmarks Final Report, FR07/13 July 2013.
Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or tomeasure the performance of investment funds.
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019.

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Section 4

Eligible securities

4.

Eligible securities

4.1

The following FTSE Green Revenues Indices are available:
Index

Underlying Index

Russell 1000 Green Revenues 50 Index

Russell 1000 Index

FTSE Green Revenues Select Infrastructure
and Industrials Index

FTSE Global All Cap Index

Review Schedule
June, December
5

March, September

Note: Russell US related indices migrated to the new ICB classification system in September 2020 and FTSE related indices migrated in March 2021.

4.2

All constituent securities of the underlying indices are eligible for inclusion in the FTSE Green Revenues
Index Series.

4.2.1

The FTSE Green Revenues Select Infrastructure and Industrials Index will obtain its constituents from thefollowing Industry Classification Benchmark (ICB) classifications.
– Industrials (50)
– Basic Materials (55)
– Utilities (65)

4.3

Multiple lines

4.3.1

For the FTSE Green Revenues Select Infrastructure and Industrials Index:
1. If a company consists of multiple lines, only one eligible line is included.
2. The eligible line is the line with the highest average of traded dollar volume (ADDTV) within 60 days.
A minimum number of 30 days of daily observations are required to calculate ADDTV.
3. If a line has less than the minimum number of days required of daily observations when calculating the
ADDTV, the line is excluded.
4. If all lines have no ADDTV, the line with the highest free float market cap is selected.

4.4

Excluded companies

4.4.1

The FTSE Green Revenues Select Infrastructure and Industrials Index applies an exclusion list as defined inAppendix A.

4.4.2

Exclusion lists are reviewed quarterly in March, June, September, and December. Any changes to the
exclusion lists are applied using data as at the cut-off date determined by the data source. For more
information on data cut-off dates, please see the Guide to FTSE and Third Party ESG Data used in FTSE
Indices.

5

The FTSE Green Revenues Select Infrastructure and Industrials Index changed its underlying universe from FTSE Developed All Cap ex Korea Index to the FTSE Global All Cap
Index, effective at the March 2023 index rebalance.

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Section 5

ESG data inputs

5.

ESG data inputs

5.1

ESG Data Inputs

5.1.1

The following ESG datasets are used in the construction of indices in the FTSE Green Revenues IndexSeries.

ESG data inputs

Details

FTSE Green
Revenues

FTSE Russell’s Green Revenues data model identifies companies providing
green products and services and classifies associated revenues based on theGreen Revenues Classification System (GRCS). GRCS is a taxonomy used todefine and measure the industrial transition to a Green Economy.

Used for selection,weighting or
exclusion6
WeightingMore information can be found here:
ftse-green-revenues-classification-system.pdf

5.1.2

Product related data Sustainalytics

Sustainalytics Product Involvement data identifies the nature and extent of acompany’s involvement in a range of product and business activities. Moreinformation can be found here: https://www.sustainalytics.com/investorsolutions/esg-research/esg-screening/esg-criteria

Exclusion

Conduct related data Sustainalytics

Sustainalytics Global Standards Screening (GSS) assess companies’ impact
on stakeholders and the extent to which a company causes, contributes or islinked to violations of international norms and standards. More information canbe found: https://www.sustainalytics.com/investor-solutions/esg-research/esgscreening/global-compact-norms-based-screening

Exclusion

Minimum Set of
Exclusions for ESG
Indices

The minimum set of exclusions applied to this Index Series with effect from
June 2023. Details of the minimum exclusions can be found in Section 8 of the
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf .

Exclusion

Further information on ESG data provided by FTSE Russell and third parties used in this index (index
series) can be found in the following guide:
Guide_to_FTSE_and_Third_Party_ESG_Data_used_in_FTSE_Russell_IndicesThis includes information on the data and standards used for these ESG data inputs. These data sets may
include estimated data.

6

Definitions
Selection - ESG data is used to select or rank constituents, or calculate minimum scores or thresholds.
Weighting - ESG data is used to calculate the weight of a constituent in an index.
Exclusion - ESG data is used to exclude companies from the index.

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5.2

ESG Metrics

5.3

Please see the FTSE Russell ESG Metrics website for the scores and values of the environmental, socialand governance (ESG) factors listed in Annex II to Delegated Regulation (EU) 2020/1816.
Further details on the metrics methodology and calculation are available using the following links:
Sustainability and ESG data
ESG Disclosures Methodology and Calculation Guide

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Section 6

Index construction

6.

The FTSE Green revenues data model

6.1

The FTSE Green Revenues data model helps investors understand the global industrial transition to a green
and low carbon economy with consistent, transparent data and indices.
Companies are analyzed and categorised using the FTSE Green Revenues Classification System (GRCS),a unique industrial taxonomy for green goods, products, and services that covers 10 sectors, 64 subsectors,
and 133 micro-sectors. For companies classified in one or more of the green subsectors, a total
percentage(s) of revenue from green products is provided.

6.2

The FTSE Green Revenues data model was enhanced in September 2020 (“Green Revenues 2.0”) to
provide point estimate data using a quantitative estimation model and introduce a green tiering system
based on the level of net environmental impact.

6.2.1

The Green Revenues 2.0 data is assessed and measured under one of three categories:– Disclosed information when a company has sufficient disclosure to measure green revenues.
– Company-specific estimates when a company has limited revenue disclosures but there is additional
non-revenue data (e.g. production volumes) or relevant market or peer data (e.g. market share of a
product) that can form a reasonable basis for estimating green revenues.
– Sector-specific estimates when a company has insufficient disclosure to generate company-specificestimates. A quantitative estimation model is used to estimate green revenues using disclosed andcompany-specific data from sector peers.
At the company activity level, each of the 133 micro-sectors is mapped to one of three tiers, defined as
the following:– Tier 1 covers activities (micro sectors) with significant and clear environmental benefits (e.g. EG.08.0
Energy Generation – Solar).
– Tier 2 covers activities (micro sectors) with more limited but net positive environmental benefits (e.g.
WI.08.0 Water Utilities).
– Tier 3 covers activities (micro sectors) which have some environmental benefits but are overall net
neutral or negative (e.g. EG.06.0 Energy Generation – Nuclear).

6.2.2

For further information on the FTSE Green Revenues Classification System, please use the following link:
FTSE_Green_Revenues_Classification_System.pdf

6.3

Data collection

6.3.1

To construct the FTSE Green Revenues dataset:

6.3.2

Information is collected from publicly available reports by FTSE Russell analysts. Companies are also
invited to provide more detailed public information where the subsegmental revenue breakdown in theirannual reports is not granular enough to facilitate the green revenues assessment.

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6.3.3

To ensure data quality, new green revenues assessments are reviewed by senior analysts and automatedchecks are applied.

6.4

Russell 1000 Green Revenues 50 Index

6.4.1

The Russell 1000 Green Revenues 50 Index applies the Green Revenues percentage from the FTSE Green
Revenues 2.0 data model and excludes any green revenues from Tier 3 activities, as defined in Section 6.2.1.
All activities defined in Section 6.2.1. are examples of Tier 3 activities.

6.5

FTSE Green Revenues Select Infrastructure and Industrials Index

6.5.1

The FTSE Green Revenues Select Infrastructure and Industrials Index captures eligible infrastructure andindustrials solutions that aim to support energy efficiency and emissions mitigation, pollution reduction orland and resource optimisation. The index applies the Green Revenues percentage from the FTSE Green
Revenues 2.0 data model, where a company is eligible for inclusion if its eligible Green Revenues is 40% orabove, calculated as the following:– Aggregate Green Revenues percentage from eligible infrastructure and industrials GRCS micro-sectors(see Section 6.5.2) for a company, which is the portion of green revenues as classified by the FTSE
Green Revenues Classification System to total company revenue.
– Green Revenues application excludes Tier 3 activities, as defined in Section 6.2.1.
– Company assessments using sector-specific estimates of green revenues are not used for determining
index eligibility.

6.5.2

The following GRCS micro-sectors relate to energy efficiency and emissions mitigation, which includes
clean transportation and freight, emissions mitigation, and energy efficiency.
Table 3: Eligible GRCS micro-sectors related to energy efficiency and emissions mitigation
GRCS Micro-sector NameGRCS Micro-sector CodeAviation (General)

TE.01.0

Bus and Coach Manufacturers

TE.03.3

Shipping (General)

TE.04.0

Trains (Electric/Magnetic)

TE.02.2

Carbon Capture & Storage

EQ.03.1

Particles & Emission Reduction Devices (General)

WP.04.0

Cogeneration Equipment (General)

EQ.02.0

Controls (General)

EM.02.0

Energy Management Logistics & Support (General)

EM.03.0

Power Storage (Pumped Hydro)

EM.07.2

Smart & Efficient Grids (General)

EM.08.0

The following GRCS micro-sectors relate to pollution reduction, which includes air pollution reduction, cleanwater, and land pollution reduction.
Table 4: Eligible GRCS micro-sectors related to pollution reduction
GRCS Micro-sector NameGRCS Micro-sector CodeAir Decontamination Services & Devices

WP.02.1

Industrial Pollution Reduction

WP.04.1

Transport Pollution Reduction

WP.04.2

Advanced Irrigation Systems & Devices (General)

WI.01.0

Flood Control (General)

WI.03.0

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GRCS Micro-sector NameGRCS Micro-sector CodeSea & Water Decontamination Services & Devices

WP.02.3

Water Infrastructure (General)

WI.06.0

Water Treatment Equipment

WI.07.2

Water Utilities (General)

WI.08.0

Decontamination Services & Devices (General)

WP.02.0

Hazardous Waste Management

WP.07.1

Land & Soil Decontamination Services & Devices

WP.02.2

The following GRCS micro-sectors relate to land and resource optimisation, which includes environmental
impact minimisation, recycling, and resource use optimisation.
Table 5: Eligible GRCS micro-sectors related to land and resource optimisation

6.5.3

GRCS Micro-sector NameGRCS Micro-sector CodeDesalination (General)

WI.02.0

Environmental Consultancies (General)

ES.01.0

Environmental Testing & Gas Sensing (General)

WP.03.0

Recycling Equipment (General)

WP.05.0

Recycling Services (General)

WP.06.0

Smart City Design & Engineering (General)

ES.03.0

To reduce index turnover, a buffer threshold will also be employed. At reviews of the index, new constituentswill only be eligible for inclusion if they have 40% or more eligible Green Revenues. In addition, at reviews of
the index, current constituents will only be removed if they fall below 35% in eligible Green Revenues.

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Section 7

Periodic review of constituents

7.

Periodic review

7.1

Each FTSE Green Revenues Index except the Russell 1000 Green Revenues 50 Index and the FTSE
Green Revenues Select Infrastructure and Industrials Index is reviewed using the following process:

7.1.1

Constituents with exposure to the Green Economy and non-zero Green Revenues have their investable
market capitalisation weights increased by(𝟏 + 𝑮𝑹𝑹𝒊 ), where 𝐺𝑅𝑅𝑖 is the FTSE Green Revenues ratio.

7.1.2

Constituents with exposure to the Green Economy via a stated range with a minimum of zero Green
Revenues retain their investable market capitalisation weights.

7.1.3

Constituents with no exposure to the Green Economy have their investable market capitalisation weights
reduced in proportion to investable market capitalisation to reflect the aggregate overweighting achieved inRule 7.1.1.

7.2

In the event that the aggregate investable market capitalisation of constituents with no exposure to theGreen Economy is less than the aggregate overweighting achieved in Rule 6.1.1 the following adjustment
is made:Constituents with exposure to the Green Economy via non-zero Green Revenues have their investable
market capitalisation weights increased by a factor (1 + α × 𝐺𝑅𝑅𝑖 ), where α is a ratio that reflects the level ofover weighting that is feasible:
𝛼=∑𝑗∈𝐺 ∗ 𝑤𝑗 ′∑𝑖∈𝐺 𝑤𝑖 ′ × 𝐺𝑅𝑅𝑖

where 𝑤𝑖′ (𝑤𝑗′ ) is the market capitalisation weight of stock 𝑖 (𝑗) in the underlying universe and G is
the collection of constituents with Green Revenues and G* is the collection of constituents with noGreen Revenues.
7.2.1

Constituents with exposure to the Green Economy via a stated range with a minimum of zero Green
Revenues retain their investable market capitalisation weights.

7.2.2

Constituents with no exposure to the Green Economy have their investable market capitalisation weights set
to zero.

7.3

Russell 1000 Green Revenues 50 Index Review

7.3.1

All constituents in the underlying index will be ranked by the industry demeaned GRR from largest to
smallest and the top 50 companies will be included in the index. Constituents with missing GRR data will beassigned a negative average industry GRR before ranking.

7.3.2

To reduce turnover and enhance index stability, a 10-company selection buffer will be applied at eachindex review.

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Constituents in the underlying index are ranked by their industry demeaned GRR in descending order. If
constituents have the same industry demeaned GRR, the constituent with the larger company float adjusted
market capitalisation will be given the higher rank. Multiple lines of the same company will have the samerank. The companies ranked within the top 40 will be included in the Index. Existing companies not includedin the previous step that rank at or within 60 are then successively added until the number of companies
reaches 50. If the number of companies is below 50 after this step, the remaining companies in theunderlying index with the highest rank are added until the number of companies in the index reaches 50.
7.3.3

The 50 selected companies are weighted by market capitalisation weight * (1 + GRR)2, and final weights
are capped as following:– Maximum company weights are capped at 10%.
– Minimum company weights are brought to 50bps if less than 50bps.
– The weight differences of each industry between the index and the underlying index cannot be greaterthan 15%.

7.4

FTSE Green Revenues Select Infrastructure and Industrials Index Review

7.4.1

The FTSE Green Revenues Select Infrastructure and Industrials Index will be weighted by free float adjusted
market capitalisation. The free float adjustments are in line with the corresponding Underlying Index.

7.4.2

Companies with less than USD 100 million free float adjusted market capitalisation will not be eligible
for inclusion.

7.4.3

The index will use a capping methodology every quarter to reduce concentration for constituents that areconsidered over-weighted in the index. Constituents of the Index will be capped as the following:– Maximum company weights are capped at 6%.
– Issuer weights over 4.5% must sum up to no more than 45% of index weight.
– For details, see Capping_Methodology_Guide.pdf.

7.4.4

Capping will be implemented quarterly after the close of business on the third Friday in March, June,
September, and December.

7.4.5

Each security will be eligible for inclusion with a minimum of USD 1 million average daily trading volume inthe last 60 trading days. A minimum of 30 trading days must exist to calculate average daily trading volume.
Security with insufficient data will not be eligible for inclusion.

7.5

Review dates

7.5.1

The review of FTSE Green Revenues Indices derived from an underlying FTSE index will be implemented
after the close of business on the third Friday of the review month (Table in Rule 4.1),

7.5.2

The review of FTSE Green Revenues Indices derived from an underlying Russell index will be implemented
on the same date as the Russell annual reconstitution in June and after the close of business on the third
Friday of the review month in December (Table in Rule 4.1),

7.5.3

For details of the implementation dates of Russell indices, please refer to the Russell U.S. Equity Indices
Construction and Methodology which can be accessed using the following link:
Russell-US.

7.6

Data cut off dates

7.6.1

The reviews will be conducted using prices as at close of business on the last business day in the monthprior to the index review (with the exception of FTSE Green Revenues Select Infrastructure and Industrials
Index), with shares-in-issue and free float adjustment information as at the review effective date.
For the FTSE Green Revenues Select Infrastructure and Industrials Index, the reviews will be conductedusing prices as at close of business on the Wednesday before the first Friday of the review month.

7.6.2

The data cut-off dates for ESG data inputs are in the Guide to FTSE and Third Party ESG Data used in
FTSE Russell Indices. The data cut-off date for the calculation of the FTSE Green Revenues ratio is theclose of business on the last business of the month preceding the month of the review implementation date.

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Section 8

Changes to constituent companies

8.

Changes to constituent companies

8.1

Intra-review additions

8.1.1

Additions into the FTSE Global Equity Index Series and Russell 1000 Indices will be considered forinclusion in the relevant FTSE Green Revenues Indices at the next review of the relevant FTSE Green
Revenues Index.

8.2

Intra-review deletions
A constituent will be removed from the FTSE Green Revenues Index Series if it is also removed from its
corresponding underlying index. If the index is a Russell derived FTSE Green Revenues Index a minimumof 2 days notice will be provided and its weight will be distributed pro-rata amongst the remaining
constituents in the relevant index. If the index is a FTSE derived FTSE Green Revenues Index the deletion
will be concurrent with the deletion from the underlying index and its weight will be distributed pro-rata
amongst the remaining constituents in their respective FTSE Green Revenues Index.

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Section 9

Corporate actions and events

9.

Corporate actions and events

9.1

If a constituent of a FTSE Green Revenues Index has a stock split, stock consolidation, rights issue, bonus
issue, a change in the number of shares in issue or a change in free-float (with the exception of tender
offers), the constituent’s weighting in the relevant index remains unchanged pre and post such an event.

9.2

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the Corporate Actions and Events Guide for Non Market Capitalisation Weighted Indices using thefollowing link:
Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf
Note: the FTSE Green Revenues Select Infrastructure and Industrials Index follows the Corporate Actions
and Events Guide for Market Capitalisation Weighted Indices
Corporate_Actions_and_Events_Guide.pdf
A Corporate ‘Action’ is an action on shareholders with a prescribed ex date. The share price will be subject
to an adjustment on the ex date. These include the following:– Capital Repayments– Rights Issues/Entitlement Offers– Stock Conversion– Splits (sub-division)/Reverse splits (consolidation)– Scrip issues (Capitalisation or Bonus Issue).
A Corporate ‘Event’ is a reaction to company news (event) that may impact the index depending on theindex rules. For example, if a company announces a strategic shareholder is offering to sell their shares(secondary share offer), this could result in a free float weighting change in the index. Where an index
adjustment is required, FTSE Russell will provide notice advising of the timing of the change.

9.3

Takeovers, mergers and demergers
The treatment of takeovers, mergers and demergers can be found within the Corporate Actions and Events
Guide for Non Market Capitalisation Weighted Indices.

9.4

Suspension of dealing
Suspension of dealing rules can be found within the Corporate Actions and Events Guide for Non Market
Capitalisation Weighted Indices.

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Section 10

Index calculation method

10.

Index calculation method

10.1

Prices

10.1.1The FTSE Green Revenues Index Series uses actual closing mid-market or last trade prices, whereavailable, for securities with local market quotations. Further details can be accessed using thefollowing link:
Closing_Prices_Used_For_Index_Calculation.pdf

10.2

Calculation frequency

10.2.1The Index Series will be calculated on an end of day basis.

10.3

Index calculation

10.3.1The Index Series is calculated using the algorithm described below:N( pi  ei  si  f i  ci )

i =1

d


Where,– i=1,2,…,N– N is the number of securities in the index.
– pi is the latest trade price of the component security (or the price at the close of the index on theprevious day).
– ei is the exchange rate required to convert the security’s currency into the index’s base currency.
– si is the number of shares in issue used by FTSE Russell for the security, as defined in theseGround Rules.
– fi is the Investability Weighting Factor to be applied to a security to allow amendments to its weighting,expressed as a number between 0 and 1, where 1 represents a 100% free float. This factor is published
by FTSE Russell for each security in the underlying index.
– ci is the Weight Adjustment Factor to be applied to a security to correctly weight that security in theindex. This factor maps the investable market capitalisation of each stock to a notional market
capitalisation for inclusion in the index.

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ci =

̂i
W
𝑊𝑖

̂ i are the constituent index weights as calculated in Section 6 and Wi are the underlying eligible
where W
universe investable market capitalisation index weights as at the most recent review date.
– d is the divisor, a figure that represents the total issued share capital of the Index at the base date. The
divisor can be adjusted to allow changes in the issued share capital of individual securities to be madewithout distorting the index.

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Appendix A

Conduct-related and product-related
exclusions

At every quarter, FTSE Russell will exclude companies from the underlying eligible universe of each Index that meetthe criteria in the table below. This data is provided by third party data vendor, Sustainalytics.
Conduct-related Exclusions

Involvement Threshold for Exclusion

UN Global Compact (UNGC) violation
Companies responsible for egregious and severe violations of commonly accepted international
norms related to human rights, labour rights, the environment and business ethics

All companies deemed to be non-compliant

Product-related Exclusions
Weapons: Anti-personnel mines, nuclear weapons, cluster weapons, biological andchemical weapons, depleted uranium, and white phosphorus munitions
Companies providing core weapon systems or components/services of the core weapon system
for these weapons.

Greater than 0% of revenues

Companies having significant corporate ownership in core weapon systems
or components/services of the core weapon system for these weapons.

Equal to or greater than 20% of revenues

Small arms
Companies manufacturing and selling assault weapons to civilian customers.

Greater than 0% of revenues

Companies manufacturing and selling key components of small arms.

Greater than 0% of revenues

Companies involved in retail and/distribution of assault weapons.

Equal to or greater than 5% revenues

Companies involved in retail and/or distribution of non-assault weapons.

Equal to or greater than 5% revenues

Companies producing and selling non-assaults weapons to civilian customers.

Greater than 0% of revenues

TobaccoCompanies manufacturing tobacco products

Greater than 0% of revenues

Companies supplying tobacco-related products/services

Equal to or greater than 5% revenues

Companies involved with distribution and/or retail sales of tobacco products

Equal to or greater than 5% revenues

Oil Sands
Oils sands extraction

Equal to or greater than 5% for oil sands

Coal
Thermal coal extraction

Equal to or greater than 5% revenues

Companies generating electricity from thermal coal

Equal to or greater than 5% revenues

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These Ground Rules may contain Sustainalytics proprietary information that may not be reproduced, used,disseminated, modified nor published in any manner without the express written consent of Sustainalytics. Nothing
contained in these Ground Rules shall be construed as to make a representation or warranty, express or implied,regarding the advisability to invest in or include companies in investable universes and/or portfolios. The information
is provided “as is” and, therefore Sustainalytics assumes no responsibility for errors or omissions. Sustainalytics
cannot be held liable for damage arising from the use of these Ground Rules or information contained herein in any
manner whatsoever.

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Appendix B

Further information
A Glossary of Terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
Glossary_-_ESG.pdf
The FTSE Russell ESG Metrics website can be found using the following link: ESG Metrics.
Further information on the FTSE Green Revenues Index Series is available from FTSE Russell.
For contact details please visit the FTSE Russell website or contact FTSE Russell client services at
info@ftserussell.com.
Website: www.lseg.com/en/ftse-russell/

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”), (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.
The FTSE Green Revenues Index Series is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. FTSE International Limited is authorised and regulatedby the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark Services (UK) Limited is authorised and regulated by the Financial Conduct Authority as abenchmark administrator.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”,“WMR™”, “FR™”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or
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either as to the accuracy, timeliness, completeness, merchantability of any information or LSEG Products, or of results to be obtained from the use of LSEG products, including but notlimited to indices, rates, data and analytics, or the fitness or suitability of the LSEG products for any particular purpose to which they might be put. The user of the information assumes
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No responsibility or liability can be accepted by any member of LSEG nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or inpart caused by, resulting from, or relating to any inaccuracy (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing,transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential
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