Ground Rules

September 2024

FTSE UK Index Series
v16.3

lseg.com/en/ftse-russell

FTSE UK Index Series, v16.3, September 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 5
Section 3 FTSE Russell Index policies ............................................................................................................................... 7
Section 4 Security inclusion criteria .................................................................................................................................... 9
Section 5 Determining nationality ..................................................................................................................................... 12
Section 6 Screens applied to eligible securities ............................................................................................................... 14
Section 7 Index qualification criteria ................................................................................................................................. 17
Section 8 Periodic review of constituents ......................................................................................................................... 19
Section 9 Corporate actions and events ........................................................................................................................... 26
Section 10 Treatment of dividends ................................................................................................................................... 28
Section 11 Industry Classification Benchmark (ICB) ........................................................................................................ 29
Section 12 Announcing changes ...................................................................................................................................... 30
Appendix A Index opening and closing hours................................................................................................................... 31
Appendix B Status of indices ............................................................................................................................................ 32
Appendix C FTSE 350 yield indices – review process and maintenance ........................................................................ 33
Appendix D Volume data used in liquidity screen ............................................................................................................ 35
Appendix E Further information ........................................................................................................................................ 36

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Section 1

Introduction

1.

Introduction

1.1

The FTSE UK Index Series is designed to represent the performance of the major capital and industry
segments of the UK market. The FTSE UK Index Series includes the following indices:

1.1.1

FTSE 100)

FTSE 250)

FTSE 350)

FTSE 350 Supersectors)

FTSE 350 Sectors)

FTSE Small Cap)

FTSE All-Share)FTSE Fledgling)

FTSE 350 Higher Yield)

FTSE 350 Lower Yield)

FTSE All-Share Sectors)

FTSE All-Small)

FTSE All-Small Sectors)

FTSE 350 Industry Sectors)

Real-time calculation

End-of-day calculation

The following variants are, or if requested may be, calculated for certain indices within the index series:– capital and total return indices;– net total-return indices based on specified withholding tax rates;– indices calculated in currencies other than the base currency (GBP);– currency hedged indices;– midday valuation point at 12:00pm UK time indices;– capped indices – for full details, see the FTSE Russell capping methodology guide; and– sector indices.
Additional customised variants can be calculated on request including indices with industry and sector
exclusions. Selected indices are calculated and disseminated on a real-time basis.

1.1.2

The FTSE UK Index Series does not take account of ESG factors in its index design.

1.1.3

The base currency of the benchmark is GBP. Index values may also be published in other currencies.

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1.1.4

For full details of capped indices, please see the capping methodology guide.

1.2

FTSE Russell

1.2.1

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.

1.3

Index objective and intended use

1.3.1

The indices and index statistics are intended to reflect the UK market or those tranches of the market
defined by the index titles and to facilitate their detailed analysis.

1.3.2

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 index
series 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.

1.3.3

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 due to negligence or otherwise is accepted by
FTSE Russell (or any person concerned with the preparation or publication of these Ground Rules) for any
losses, damages, claims and expenses suffered by any person as a result of:– any reliance on these Ground Rules;– any errors or inaccuracies in these Ground Rules;– 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 or any constituent data.

1.4

IOSCO

1.4.1

FTSE International Limited (FTSE) considers that the FTSE UK Index Series meets the IOSCO Principles
for Financial Benchmarks as published in July 2013.
Full details can be accessed at www.iosco.org.
Details of FTSE Russell’s Statement of Compliance with respect to the IOSCO Principles can be accessedusing the following link:
IOSCO Statement of Principles

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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 operation of the FTSE UK 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 FTSE UK Index Series and apply the changes resulting fromthe reviews as required by the Ground Rules;– publish changes to the constituent weightings resulting from their ongoing maintenance and theperiodic reviews; and– disseminate the indices.

2.1.3

FTSE is also responsible for monitoring the performance of the FTSE UK Index Series throughout the day
and will determine whether the status of each index should be firm, indicative or held (see Appendix B).

2.2

FTSE Russell external advisory committees

2.2.1

To assist in the oversight of the indices, FTSE Russell has established the following external advisorycommittees, consisting of senior market practitioners, providing guidance (as stipulated in their terms ofreference) to ensure FTSE Russell indices continue to reflect their underlying market:– FTSE Russell Europe, Middle East and Africa regional equity advisory committee;– FTSE Russell industry classification advisory committee; and– FTSE Russell policy advisory board.

2.2.2

The terms of reference of the FTSE Russell advisory committees are set out on the FTSE Russell website
and can be accessed using the following link:
Terms-of-Reference

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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2.3

Amendments to these Ground Rules

2.3.1

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.

2.3.2

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.
After making 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.

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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 UK Index Series guide to calculation methods
The aim of the guide is to describe how the indices are calculated, to facilitate users replicating the indicesto support their investment and trading activities and to assist users in understanding the factors that
influence the performance of the indices.
FTSE_UK_Index_Series_Guide_to_Calc.pdf

3.2

Corporate Actions and Events Guide

3.2.1

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the Corporate Actions and Events Guide using the following link:
Corporate_Actions_and_Events_Guide.pdf

3.3

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

3.4

Queries, Complaints and Appeals
A constituent or prospective constituent company (or professional adviser acting on behalf of the company),a national organisation or a group of no fewer than 10 users of the Indices from different organisations
acting in their professional capacity may appeal against decisions taken by FTSE Russell.
FTSE Russell’s complaints procedure can be accessed using the following link:
Benchmark_Determination_Complaints_Handling_Policy.pdf
FTSE Russell’s appeal process can be accessed using the following link:Appeals_Against_Decisions.pdf

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3.5

Index Policy for Trading Halts and Market Closures

3.5.1

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

3.6

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

3.6.1

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

3.7

Recalculation Policy and Guidelines

3.7.1

The FTSE Global Equity Index Series are recalculated whenever errors or distortions occur that are deemed
to be significant. Users of the FTSE Global Equity 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.
Equity_Index_Recalculation_Policy_and_Guidelines.pdf

3.8

Policy for Benchmark Methodology Changes

3.8.1

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

3.9

FTSE Russell Governance Framework

3.9.1

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

3.10

Real Time Status Definitions

3.10.1

For indices which 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

Security inclusion criteria

4.

Security inclusion criteria

4.1

Eligible securities

4.1.1

Only equity shares listed on the Equity Shares (commercial companies) or Closed-ended investment fundcategories, as defined by the Financial Conduct Authority in its Listing Rules Sourcebook, which have been
admitted to trading to the London Stock Exchange with a Sterling denominated price on SETS, are eligible
for inclusion in the FTSE UK Index Series.
For the avoidance of doubt, sovereign controlled commercial companies listed on the Equity Shares(commercial companies) category are eligible.
Equity shares listed on the following categories are not eligible:•

Equity Shares (international commercial companies secondary listing)•

Equity Shares (transition)•

Equity Shares (shell companies)•

Non-Equity Shares and Non-Voting Equity Shares

4.1.2

Eligible securities are required to pass screens as detailed in Section 6 before being included in the FTSE
UK Index Series (see section 6).

4.1.3

All securities are assigned a nationality in accordance with the rules as set out in section 5.

4.1.4

Multiple lines
Quarterly review
Where there are multiple lines of listed equity capital in a company, all are included and priced separately,
provided that the secondary line’s full market capitalisation (i.e. before the application of any investability
weightings), is greater than 25% of the full market capitalisation of the company’s principal line and thesecondary line satisfies the eligibility rules and screens in its own right in all respects (including the minimum
market capitalisation screen, see rule 8.3.5).
Should the investable market capitalisation of a secondary line, which is already a constituent of the FTSE
All-Share Index, fall below the minimum investable market capitalisation threshold for two consecutive
quarters, it will be deleted from the relevant index at that review.
Annual review
Should the full market capitalisation of a secondary line, which is already a constituent of the FTSE AllShare Index, fall below 20% of the full market capitalisation of the company’s principal line at an annual
review, the secondary line will be deleted from the relevant index unless its full market capitalisation remains
above the qualification level for continued inclusion as a constituent of the FTSE All-Share Index at that review.

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Should the investable market capitalisation of a secondary line, which is already a constituent of the FTSE
All-Share Index, fall below the minimum investable market capitalisation threshold for two consecutive
quarters, it will be deleted from the relevant index at that review.
Note: there is no minimum qualification level for the FTSE Fledgling, therefore should the full market
capitalisation of a secondary line, which is already a constituent of the FTSE Fledgling Index, fall below
20% of the full market capitalisation of the company’s principal line at an annual review, the secondary line
will remain in the index subject to continuing to satisfy the eligibility rules and screens in its own right inall respects.
For the avoidance of doubt, there is no minimum investable market capitalisation requirement for the FTSE
Fledgling Index.

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4.1.5

Partly paid shares
Where a company’s shares are issued partly or nil paid and the call dates are already determined andknown, the market price will, for the purposes of calculating its market capitalisation, be adjusted to include
all such calls (i.e. the fully paid price).

4.2

Ineligible securities

4.2.1

The following investment entities are regarded as ineligible:– companies whose business is classified by the Industry Classification Benchmark as open end andmiscellaneous investment vehicles (30205000). This includes cash shells and split capital investment
trusts where instead of the use of a single class of ordinary share, the structure is split into separate
income and capital classes in which the two (or more) classes have different residual entitlements toassets and/or income after meeting the requirements of any other classes or borrowings (note: this does
not include split capital trusts with ordinary shares accompanied by zero dividend preference shares,
whereby the ordinary share remains eligible in the same manner as a conventional investment trust);– venture capital trusts (VCTs); and– convertible preference shares and loan stocks will be excluded until converted into eligible equity shares.
Where a unit comprises equity and non-equity it will not be eligible for inclusion.

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Section 5

Determining nationality

5.

Nationality

5.1.1

A company will be allocated to a single country. A company that has been assigned UK nationality by
virtue of these Ground Rules will also be assigned UK nationality in the FTSE Global Equity Index Series.
However, a company assigned UK nationality under the FTSE Global Equity Index Series will not be
automatically eligible for UK nationality under these rules.

5.1.2

If a company is UK incorporated, FTSE will allocate the company UK nationality provided:– the company has its sole listing in the UK; and– the company has a minimum free float of 10% 5.

5.1.3

If a company is not incorporated in the UK, the company must meet the following conditions to beconsidered eligible for UK nationality assignment:– the company must publicly acknowledge adherence to the principles of the UK Corporate Governance
Code, pre-emption rights and the UK Takeover Code as far as practicable; and
–

5.1.4

the company must have a minimum free float of 25% 5.

In circumstances other than those of rule 5.1.2, FTSE will base its recommendation on its assessment ofvarious factors including but not necessarily limited to the following:– the investor protection regulations present in the country of incorporation;– the country in which the company is domiciled for tax purposes;– the location of its factors of production;– the location of its headquarters;– the location of company meetings;– the composition of its shareholder base;– the membership of its board of directors;– the currency denomination of the company’s shares; and– the perception of investors.
In certain circumstances, outlined in rules 5.1.5 to 5.1.8, consideration will also be given to the relativeliquidity of trading in those countries where the company’s shares trade. In calculating the liquidity
associated with a country, trading volumes will be amalgamated from all venues which have admitted
the shares to trading based on a listing conferred by that country’s listing authority. Trades taking placeon multi-lateral trading facilities will be included in the calculation and assigned to the country that conferred
the listing to the company provided that the country of listing and the multi-lateral trading facility operate
within a similar time zone.

5

For the purposes of rules 5.1.2 and 5.1.3, the calculation of the minimum free float will be based on the ordinary share capital issued by the company and may include shares thatwould otherwise be excluded solely because they are subject to a lock-in clause of twelve months or less from their first day of trading, but that would in all other respects beconsidered part of a company’s free float.

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5.1.5

If a company is incorporated in the UK, has a listing in the UK and listings in other countries on an eligible
exchange (as classified within the FTSE Global Equity Index Series), FTSE will normally assign the country
to the UK provided the liquidity in the UK passes FTSE’s liquidity test for index inclusion.

5.1.6

If a company is incorporated in a developed country other than the UK, is listed on an eligible exchange inthat country and in the UK (and potentially other developed countries), FTSE will normally only assign UK
nationality if the company fails FTSE’s liquidity tests in its country of incorporation, passes the liquidity tests
in the UK, and liquidity is higher in the UK than any other country.

5.1.7

If a company is incorporated in a developed country other than the UK, has no listing in that country but islisted in the UK and potentially other countries on an eligible exchange, FTSE will normally only assign UK
nationality if liquidity is highest in the UK.

5.1.8

If a company is incorporated in a country other than a developed country, it will not be eligible for UK
nationality unless the country of incorporation is a country that is internationally recognised as having a low
taxation status and that has been approved by FTSE. For companies incorporated in approved low taxation
countries, FTSE may assign UK nationality if liquidity in the UK is higher than in any other country. A current
list of the approved low taxation jurisdictions can be accessed using the following link:
Low_Taxation_Jurisdictions.pdf

5.1.9

Once a company has been assigned a UK nationality by virtue of the liquidity tests in rules 5.1.6 to 5.1.8,
if it subsequently fails the liquidity test in the UK or if there is a country with greater liquidity for two
consecutive annual reviews, FTSE will review the company’s nationality assignment.

5.1.10

Other than meeting the conditions of rule 5.1.2 or 5.15, should a company make a change to its
circumstances (such as a change in incorporation or adoption of an additional listing), FTSE may defer
the consideration of whether to change a company’s nationality assignment for a minimum period of threemonths up to a maximum period of up to 12 months; this will allow FTSE to properly assess the subsequentevolution of its trading liquidity and of the other criteria listed in rule 5.1.4. If following such an assessment
period, FTSE decides to change a company’s nationality assignment, the change will become effective at
the index quarterly review following publication of the decision.

5.2

Where a company’s nationality has been determined as UK, if the shares are traded in Crest Depository
Interest (CDI) form, the CDI will be considered as eligible subject to meeting all other index eligibility criteria.

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Section 6

Screens applied to eligible securities

6.

Screens applied to eligible securities

6.1

Eligible securities are required to pass the following screens before being added to the FTSE UK
Index Series.

6.2

Price
There must be an accurate and reliable price for the purposes of determining the market value ofa company.

6.3

Minimum voting rights

6.3.1

Companies assigned a developed market nationality are required to have greater than 5% of thecompany’s voting rights (aggregated across all its equity securities, including, where identifiable, those thatare not listed or trading) in the hands of unrestricted shareholders or they will be deemed ineligible forindex inclusion.
The voting rights screen is applied to any potential new constituents on a quarterly basis and existing
constituents will be tested on an annual basis in conjunction with the June review.

6.3.2

The minimum voting rights screen was introduced in 2017, at the time any existing constituents witha developed market nationality who did not meet the above requirement were afforded a five-year
grandfathering period to comply. If subsequently they continued to fail the minimum voting rights
screen, they were removed from FTSE Russell indices at the September 2022 review.

6.3.3

The percentage of a company’s voting rights in public hands is calculated as:
The number of votes in the hands of shareholders that are unrestricted as determinedby the application of FTSE Russell free float definitions
The total number of votes conferred by the shares oustanding of all the company ′ svoting securities including those that have not been admitted to trading on a regulated venue
For example, company A has 100m eligible listed class A shares each conferring one vote, free float is65%. It also has 300m unlisted class B shares each conferring 10 votes.
The test to assess whether the listed class A line has the required greater than 5% of the company’s voting
rights is as follows:
65m (i. e. 100m class A voting rights ∗ 65% float)
3.1bn (i. e. 100m class A + 3bn class B)= 2.097% of the company ′ s voting rights in public hands

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6.3.4

For a company with a dual class share structure (DCSS) with a specified weighted voting rights share classwith enhanced voting power which applies in specific shareholder votes, the enhanced voting ratio will be
used for the purposes of the minimum voting rights calculation (see illustrative example below).
FTSE Russell will conduct an annual review of existing constituents in June each year based on data as ofthe last business day in April. Any constituent deemed to be failing the minimum voting rights’ requirement
because of increased voting power, will be removed from the FTSE UK Index Series in conjunction withthe annual index review in June. Illustrative example:
Company A has 100m eligible listed ordinary shares each conferring one vote with a free float of 100%. It
also has 25m unlisted specified weighted voting rights shares each conferring 10 votes in shareholder votes
for items that the enhanced voting power applies..
100m (i.e. 100m ord voting rights x 100% float
350m (i.e. 100m ord voting rights + 250m unlisted specified weighted voting rights)
100m/350m = 28.57% of the company’s voting rights are in public hands.
Please note: Although the enhanced voting power may only be applicable to certain voting items, for the
purposes of the minimum voting rights test, the maximum voting rights ratio is used.

6.4

Investability weightings
A. Initial weighting
Constituents of the FTSE UK Index Series are adjusted for free float and foreign ownership limits (whereapplicable to UK investors).
Free float is calculated using available published information rounded to 12 decimal places.
To be eligible for inclusion in the FTSE UK Index Series, a security must have a minimum free float of 10%
if the issuing company is UK incorporated and a minimum free float of 25% if it is non-UK incorporated.
However, a new company may be initially included in the FTSE UK Index Series with a free float below
the above parameters (provided it is above 5%*) where the free float is expected to meet the minimum
requirements within 12 months of the company’s first day of trading (refer to rules 5.1.2 and 5.1.3).
*New companies with an initial free float of 5% or below are not eligible for inclusion in the FTSE UK
Index Series.
Details on free float restrictions can be accessed using the following link:
Free_Float_Restrictions.pdf

6.5

Foreign ownership restrictions and minimum headroom requirement

6.5.1

For the avoidance of doubt, a security that restricts the number of shares that a UK investor can hold may
be included in the FTSE UK Index Series with an investability weight equal to the foreign ownership limit(see foreign ownership restrictions and minimum foreign headroom requirement tule B). However, the actual
calculated free float will be referenced to determine if the security meets the minimum free float criteria forindex eligibility. For example, company A (non-UK incorporated) has a calculated free float of 62% and aforeign ownership limit (which imposes a limit on UK investors) of 49%. Company A is deemed to meet theminimum free float requirement but will be included in the index with an investability weight of 49%.
Further details of the foreign ownership restrictions can be accessed using the following link:
FTSE UK Index Series – Foreign Ownership Restrictions andMInimum_Foreign_Headroom_Requirement.pdf

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6.6

Size
To determine index membership, all companies with eligible securities will be ranked by their full market
capitalisation (i.e. before the application of any investability weightings).
Only the listed equity shares of a company will be included in the calculation of its market capitalisation.
Where a company has two or more classes of listed equity shares, the secondary lines will be included in
the calculation of the market capitalisation of the company, based on the market price of that secondary line.
For the avoidance of doubt, for companies with a dual class share structure, the unlisted specified weighted
voting rights shares will not be included in the calculation of the company’s full market capitalisation for
ranking purposes.

6.7

Liquidity
For full details of the liquidity screening please refer to the FTSE UK Index Series – Guide to Calculation
Method for the Median Liquidity Test, which can be accessed using the following link:
Guide_to_Calculation_Methods_for_UK_Liquidity.pdf

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Section 7

Index qualification criteria

7.

Index qualification criteria

7.1

FTSE 100

7.1.1

The FTSE 100 will consist of the largest 100 UK companies by full market capitalisation (i.e. before theapplication of any investability weightings) which qualify for inclusion in the index.

7.2

FTSE 250

7.2.1

The FTSE 250 will consist of the next 250 UK companies ranked by full market capitalisation (i.e. before theapplication of any investability weightings) outside the FTSE 100, which qualify for inclusion in the index.

7.3

FTSE 350

7.3.1

The FTSE 350 will consist of the companies in the FTSE 100 and FTSE 250. Thus, it will represent thelargest 350 companies included in the FTSE UK Index Series.

7.4

FTSE 350 Yield Indices

7.4.1

The constituents of the FTSE 350 Yield Indices will comprise the companies in the FTSE 350. These
companies are ranked in order of dividend yield and the boundary between the FTSE 350 Higher Yield and
FTSE 350 Lower Yield indices is determined so that the market capitalisation of each index is approximately
50% of the market capitalisation of the FTSE 350 index. Appendix C describes the process for determining
the constituents of these indices.

7.5

FTSE SmallCap

7.5.1

The FTSE SmallCap will consist of the UK companies within the FTSE All-Share that are not large enoughto be constituents of the FTSE 350.

7.6

FTSE All-Share

7.6.1

The FTSE All-Share will consist of the companies in the FTSE 350 and FTSE SmallCap.

7.6.2

The FTSE All-Share will aim to represent at least 98% of the full market capitalisation (i.e. before theapplication of any investability weightings), of all companies which qualify as eligible for inclusion in the
FTSE UK Index Series.

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7.7

FTSE Fledgling

7.7.1

The FTSE Fledgling will consist of all companies that qualify as eligible for inclusion in the FTSE UK IndexSeries but are too small to be included in the FTSE All-Share.
At the quarterly reviews in September, December and March, companies whose full market capitalisation(i.e. before the application of individual constituent investability weightings) is greater than 0.20% of the fullmarket capitalisation of the FTSE SmallCap will be added to the FTSE All-Share index, providing they meetthe liquidity criteria for the FTSE All-Share Index. Liquidity data for this period is taken as at the previous
annual review.
If a FTSE Fledgling constituent rises in size after the annual review but does not meet the liquidity criteria, itwill remain in the FTSE Fledgling until the next annual review, when it will be reassessed.

7.8

FTSE All-Small

7.8.1

The FTSE All-Small will consist of all the companies in the FTSE SmallCap and FTSE Fledging Indices.

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Section 8

Periodic review of constituents

8.

Periodic review of constituents

8.1

Review dates

8.1.1

The FTSE UK Index Series is reviewed on a quarterly basis in March, June, September and December. A
full review of the FTSE All-Share, FTSE All-Small and FTSE 350 Yield Indices will be conducted in June.
The index reviews will be based on data included within the Monitored List at the end of day on the Tuesday
before the first Friday of the review month.
For the avoidance of doubt, free float and shares in issue reflected within the Monitored List are updated inaccordance with the methodology stated within the FTSE Russell Indices - Quarterly and Intra Quarter Free
Float and Share Updates FAQ. As a result, the Monitored List free float or shares in issue at the index
review cut-off date (and used for ranking purposes) may not mirror the most up-to-date company free floator shares in issue number at that date.
Any constituent changes will be implemented after the close of business on the third Friday of the review
month (i.e. effective Monday), following the expiry of the ICE Futures Europe futures and options contracts.

8.2

Responsibilities and reporting

8.2.1

FTSE will be responsible for conducting the periodic review of constituents for the FTSE UK Index Series.

8.2.2

FTSE will be responsible for publicising the outcome of the periodic review.

8.3

Index reviews

8.3.1

The rules for inserting and deleting securities at the periodic review are designed to provide stability inthe selection of constituents of the FTSE UK Index Series while ensuring that the indices continue to be
representative of the market by including or excluding those securities which have risen or fallen significantly.

8.3.2

Review process
Securities eligible for inclusion in the FTSE UK Index Series will comprise the Monitored List. At the periodic
review, all securities included in the Monitored List will be ranked by full market capitalisation (i.e. before theapplication of investability weightings) from largest to smallest.
Please note: the full and investable market capitalisations published on the Monitored List at the quarterly
review cut-off date will be used to evaluate eligibility and index membership. For the avoidance of doubt,
free float and shares in issue updates which are due to be implemented on the review effective date will
not be included within the calculation.

8.3.3

Eligible securities are required to pass tests for liquidity (except for FTSE Fledgling) and free float (see rules
6.4 and 6.7).

8.3.4

Reviewing companies for the FTSE 100 and FTSE 250
A company will be inserted at the periodic review if it rises above the position stated below:
FTSE 100

FTSE Russell–

Risen to 90th or above

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FTSE 250

FTSE Russell–

Risen to 325th or above

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A company will be deleted at the periodic review if it falls below the position stated below:
FTSE 100–

Fallen to 111th or below

FTSE 250–

Fallen to 376th or below– Companies deleted from the FTSE 100 at the periodic review will normally be included in the FTSE 250.
Companies added to the FTSE 100 at the periodic review will be deleted from the FTSE 250.
– Companies deleted from the FTSE 250 at the periodic review will normally be included in the
FTSE SmallCap. Companies added to the FTSE 250 at the periodic review will be deleted from the
FTSE SmallCap.
– Changes made to the FTSE 100 and FTSE 250 at the periodic review will be made automatically to the
FTSE 350 and FTSE 350 Yield Indices.
– A constant number of constituents will be maintained for the FTSE 100, FTSE 250 and FTSE 350.
Where a greater number of companies qualify to be inserted in an index than those qualifying to bedeleted, the lowest-ranking constituents presently included in the index will be deleted to ensure that anequal number of companies are inserted and deleted at the periodic review. Likewise, where a greaternumber of companies qualify to be deleted than those qualifying to be inserted, the securities of thehighest-ranking companies that are presently not included in the index will be inserted to match thenumber of companies being deleted at the periodic review.
– Where a FTSE 100 or FTSE 250 company is scheduled to be deleted after the periodic review changes
have been announced but before they have been implemented, the highest-ranking constituent of the
FTSE All-Share (which is not currently a member of the FTSE 100 or FTSE 250) is selected as thereplacement company. However, if that replacement company is already scheduled to be added aspart of the index review then the next highest-ranking company is selected as the replacement.
– Where a company being deleted is already due to be replaced in the FTSE 100 or FTSE 250 as part ofthe periodic review, it will be replaced by the largest company previously announced as a review addition
to the index. In other words, the review addition will be brought forward and implemented concurrent with
the intra-quarter deletion.
8.3.5

Reviewing companies for the FTSE SmallCap and FTSE All-ShareFTSE SmallCap cut-off threshold
June annual review
For a security to be added to the FTSE SmallCap (and thus the FTSE All-Share Index), it will have to meetboth a full market capitalisation threshold at company level and an investable market capitalisation thresholdat security level (and meet all other index eligibility criteria).
A. Inclusion threshold– The company full market capitalisation (i.e. before the application of any investability weighting) is
greater than 0.15% of the full market capitalisation of the FTSE SmallCap Index.
– The security investable market capitalisation (i.e. after the application of any investability weighting) isequal to or greater than GBP 50 million.
B. Exclusion threshold– FTSE All-Share constituents will be deleted from the FTSE All-Share Index and added to the FTSE
Fledgling Index if the full market capitalisation is less than 0.10% of the full market capitalisation of
the FTSE SmallCap.
– FTSE All-Share constituents will be deleted from the FTSE All-Share Index if the security investable
market capitalisation (i.e. after the application of any investability weighting) is less than GBP 30
million for two consecutive quarters. For the avoidance of doubt, securities deleted under this rule
will not be added to the FTSE Fledgling Index.

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Quarterly reviews in March, September and December
To include relatively large non-constituent companies in the FTSE All-Share Index and exclude relatively
small constituent companies from the FTSE All-Share Index more regularly, at the quarterly reviews in
September, December and March, the company full market capitalisation thresholds for additions anddeletions (as detailed in rules 8.3.5 A and 8.3.5 B) will be 0.20% and 0.05% respectively.
The security investable market capitalisation thresholds remain as per rules 8.3.5 A and 8.3.5 B (i.e. existing
constituents will be deleted if their investable market capitalisation is lower than GBP 30m for two consecutive
quarters and potential new additions must have an investable market capitalisation of at least GBP 50 million).
– All additions to the FTSE SmallCap Index are subject to passing the required eligibility screens (as per
section 6).
– The FTSE SmallCap will consist of those companies too small to be constituents of the FTSE 350 but
large enough to be constituents of the FTSE All-Share.
– The FTSE All-Share will consist of all the constituents of the FTSE 350 and FTSE SmallCap.
8.3.6

Reviewing companies for the FTSE Fledgling and FTSE All-Small– The FTSE Fledgling will consist of those companies too small to be constituents of the FTSE SmallCap.
There are no liquidity or minimum investable market capitalisation requirements for entry to the FTSE
Fledgling Index.
– The FTSE All-Small will consist of all the constituents of the FTSE SmallCap and FTSE Fledgling.

8.3.7

A constant number of constituents will not be maintained for the FTSE SmallCap, FTSE All-Share, FTSE
Fledgling or FTSE All-Small.

8.3.8

Companies that are large enough to be constituents of the FTSE All-Share but do not pass the liquidity test(see rule 6.7) shall not be included in any index in the FTSE UK Index Series. They will remain ineligible
until the next annual review in June when they will be re-tested against all eligibility screens.

8.3.9

FTSE 350 Yield Indices
The rules governing the insertion and deletion of stocks at the periodic review for the FTSE 350 Yield
Indices are set out in Appendix C.

8.4

Fast entry

8.4.1

For a security to be considered for fast entry, it will have to meet both a full market capitalisation threshold atcompany level and an investable market capitalisation threshold at security level (see rule 8.4.2).

8.4.2

Fast-entry level– the company full market capitalisation (i.e. before the application of any investability weighting) must rank
at position 75th* or above in the Monitored List; and– the security investable market capitalisation (i.e. after the application of any investability weighting) must
amount to or be greater than GBP two billion.
*The minimum fast-entry full-market capitalisation requirement will be set and published at the time of thequarterly reviews in March, June, September and December using data from the close of business on theTuesday before the first Friday of the review month.

8.4.3

Fast entry will result in a security being added only to the FTSE 100 index and those broader indices, which
include the constituents of the FTSE 100 (e.g. FTSE 350, FTSE All-Share).

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8.4.4

A new security (IPO), which satisfies the eligibility criteria and the screens other than the liquidity screen, iseligible for fast entry when its full market capitalisation (i.e. before the application of any investability
weighting) using the closing price on the first day of Official non-conditional trading is greater than the
fast-entry level. Concurrently, constituents of the FTSE 100 and FTSE 250 will be ranked and the required
demotions will be selected and published.
Please note: only those shares being offered for sale in the IPO will be considered when evaluating whether
the investable market capitalisation requirement has been met and if so, only the IPO shares will be
included within the index weighting at the time of fast entry inclusion (subject to not being categorised as
restricted shares as defined within the free float restrictions document). The free float of the company willthen be evaluated at the subsequent review.
For illustration purposes: company A offers 18% of its shares for sale at the time of the IPO (of these, 3%
are taken up by cornerstone investors which are locked in for 180 days). Company A will be added with an
initial investability weighting of 15%*.
Company B offers 20% of its shares for sale at the time of the IPO of which none are identified as being
taken up by restricted holders. Company B will be added with an initial investability weighting of 20%*.
*Subject to satisfying all eligibility criteria including minimum float requirement as detailed in rules 5.1.2
and 5.1.3.
For the avoidance of doubt, if a non-constituent company of the FTSE UK Index Series splits to form twocompanies and the spun-off company satisfies the eligibility criteria for the FTSE UK Index Series, it will only
be considered for fast entry to the FTSE 100 if it includes an initial public offering of shares (IPO) on the
London Stock Exchange. In such case and assuming the spun-off company meets the full market
capitalisation fast-entry level, only the IPO shares will be considered when evaluating whether theinvestable market capitalisation requirement has been met, and if so, only the IPO shares will be included
within the index weighting at the time of fast entry inclusion. The free float of the company will then be
evaluated at the subsequent review.

8.4.5

The addition of a new security to the FTSE 100 index will be implemented after the close of business on thefifth business day of trading. In the event of the fifth business day of trading occurring during the week of theindex review, an eligible fast entrant will be added to the index concurrent with the review effective date. If
the addition results in there being more than 100 companies in the FTSE 100 Index, the company that is thelowest-ranking constituent of the index will be selected for removal and related indices adjusted inaccordance with rules 9.4.1, 9.4.2 and 9.4.3.

8.4.6

For a demutualisation that satisfies the eligibility criteria for fast entry: if on listing the entire free float of the
new eligible security is immediately transferred to private shareholders, then the addition of the security will
be deferred for 20 business days after official non-conditional trading has commenced to test that theminimum liquidity requirement (as defined under rule 6.7) is met.

8.4.7

At the subsequent annual review, securities added to the FTSE 100 as fast entrants will have their liquidity
assessed on a pro-rata basis.

8.5

Additions outside of a review

8.5.1

New issues, including demutualisations, that do not qualify as fast entrants will become eligible for inclusion
at the next quarterly review providing they have, since the commencement of official non-conditional trading,a minimum trading record of at least 20 trading days prior to the date of the review and meet the liquidity
criteria as defined under rule 6.7.

8.5.2

New issues will not be eligible for inclusion in the FTSE Fledgling other than at the annual review.

8.5.3

An existing security that has become newly eligible, for example a security transferring from AIM to aneligible UK (main market) listing (see Section 4), will be reviewed for inclusion at the next quarterly review
and will be subject to normal eligibility rules including a minimum 20 day trading record and meeting theliquidity criteria based on trading volume on the main market only.

8.5.4

Variable, best effort and direct listing IPOs will not be considered for fast entry inclusion since FTSE
Russell is:– unable to confirm if the minimum free float requirement has been met; andFTSE Russell

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– unable to assign an accurate free float for the purposes of the index calculation.

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8.5.5

Variable, best effort and direct listing IPOs will be considered for index inclusion at the next quarterly
review if, by the review cut-off date, a public disclosure* (which has been published post IPO) is available
confirming the updated shareholder structure. Index inclusion remains subject to meeting all other eligibility
criteria. If the post IPO shareholder structure has not been disclosed by the review cut-off date, theevaluation of the company will be deferred to a subsequent quarterly review.
*A public disclosure is typically by way of a company filing, stock exchange notice or shareholding
regulatory announcement.

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Section 9

Corporate actions and events

9.

Corporate actions and events

9.1

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the Corporate Actions and Events Guide using the following link:
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 toan adjustment on the ex-date. These include the following:– capital repayments;– rights issues/entitlement offers;– stock conversion;– splits (sub-division)/reverse splits (consolidation); and– scrip issues (capitalisation or bonus Issue).
A corporate event is a reaction to company news (event) that may impact the index depending on the index
rules. For example, 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 isrequired, FTSE will provide notice advising of the timing of the change.

9.2

Shares in issue
Changes to the number of shares in issue for constituent securities are covered in the Corporate Actions
and Events Guide.

9.3

Investability weightings
Changes to free float for constituent securities are covered in the Corporate Actions and Events Guide.

9.4

Removal and replacement

9.4.1

Companies removed from the FTSE 100 and FTSE 250 indices intra-quarter will be replaced by the highestranking company of the FTSE All-Share index that is not currently a constituent of the FTSE 100 or FTSE
250. For full details of the process in selecting a replacement company, please refer to the following guide:
FTSE_FAQ_Document_UK_Index_Series_Replacement_Company.pdf

9.4.2

If a constituent is delisted, ceases to have a firm quotation or is subject to a takeover offer that has been
declared wholly unconditional or has ceased to be a viable constituent as defined by the Ground Rules,
it will be removed from the list of constituents and, in the case of the FTSE 100 and the FTSE 250, be
replaced by the highest ranking constituent of the FTSE All-Share (which is not currently a member of
the FTSE 100 or FTSE 250).
For illustration purposes: if the application of rule 9.4.1 results in the deletion of a constituent of the FTSE
250 to replace a deleted FTSE 100 constituent, that FTSE 250 constituent will be replaced with theconstituent of the FTSE All-Share (which is not currently a member of the FTSE 250). The company
removed from the FTSE SmallCap will not be replaced.

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9.4.3

Changes made to the FTSE 100 and FTSE 250 will be made automatically to the FTSE 350 and FTSE
350 Yield Indices. Changes to the FTSE 350 and FTSE SmallCap will be made automatically to the FTSE
All-Share.

9.4.4

If the effect of a merger or takeover is that one constituent in the FTSE 100 or FTSE 250 is absorbed
by another constituent of the same index (e.g. a FTSE 100 constituent acquiring another FTSE 100
constituent), the resulting company will remain a constituent and a vacancy will be created. This vacancy
will be filled by selecting the highest-ranking constituent of the FTSE All-Share (which is not currently amember of the FTSE 100 or FTSE 250). The replacement company is announced after market close twodays prior to the deletion (based on the close prices three days prior to the deletion).

9.4.5

If a constituent company in the FTSE 100 or FTSE 250 is taken over by a non-constituent company, theoriginal constituent will be removed and may be replaced by the acquiring company where eligible for the
FTSE UK Index Series. Otherwise, the highest-ranking constituent of the FTSE All-Share (which is not
currently a member of the FTSE 100 or FTSE 250) will serve as the replacement.

9.5

Spin-offs

9.5.1

If a constituent company in the FTSE 100 or FTSE 250 is split to form two or more companies, both eligible
for the FTSE UK Index Series, then the resulting companies’ index memberships will be re-assessed torebalance the indices back to 100 or 250 companies (respectively). The full market capitalisations at closeon the first day of trading of the spun-off company will be used to determine the most appropriate index
memberships for continued inclusion. The changes will then be applied at market close giving two days’
notice. Consequently, the FTSE 100 and FTSE 250 may have more than 100 or 250 companies(respectively) for three days (or more if the spun-off company does not trade on effective date).
For illustration purposes: a FTSE 100 constituent splits into two eligible companies resulting in 101
companies in the FTSE 100. At close on the first trading day of the split the lowest ranking FTSE 100
constituent will be selected to become a constituent of the FTSE 250 and the lowest ranking FTSE 250
constituent will, in turn, be selected to become a constituent of the FTSE SmallCap.
Please note: where a company resulting from a split is smaller than the lowest ranking FTSE 250
constituent, it will only be selected to become a constituent of the FTSE SmallCap if it’s respective fullmarket capitalisation is equal to or greater than 0.1% of the full market capitalisation (i.e. before theapplication of any investability weightings) of the FTSE SmallCap index. If smaller than 0.1%, it will be
added to the FTSE Fledgling.

9.5.2

If a constituent company in the FTSE 100 or FTSE 250 is split to form a company eligible for the FTSE UK
Index Series and a company ineligible for the FTSE UK Index Series, then the ineligible company willremain in the index for two trading days and then be deleted at market price. The eligible company will be
retained in the index as the replacement company and its continued index membership will be reviewed at
the next quarterly index review.

9.5.3

For the purposes of rules 9.5.1 and 9.5.2, if the market price of the company resulting from the split isunavailable, it may be retained in the index for up to 20 business days and if trading has not commenced,
it will be deleted at zero value.

9.6

Suspension of dealing

9.6.1

Suspension of dealing rules can be found within the Corporate Actions and Events Guide.

9.6.2

If the suspended company deleted from the indices is a constituent of the FTSE 100 or FTSE 250, it will be
replaced with the highest-ranking constituent of the FTSE All-Share (which is not currently a member of the
FTSE 100 or FTSE 250).

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Section 10

Treatment of dividends

10.

Treatment of dividends

10.1

Declared dividends are used to calculate the Standard Total Return Indices in the FTSE UK Index Series.
All dividends are applied as at the ex-div date.
The standard total return indices include the following versions of the FTSE 100 Total Return Index:
FTSE 100 Total Return Index – all dividends are as declared by companies and no withholding tax
adjustments are made.
Please note: effective 31 January 2022, Royal Dutch Shell PLC simplified its share structure from A and B
shares into a single class of shares in Shell PLC (incorporated and tax resident in the UK).
Prior to this date, no adjustment for withholding taxes was made within the FTSE 100 Dividend Index except
for dividends paid by Royal Dutch Shell A shares from which 15% withholding tax was deducted.
FTSE 100 Total Return Declared Dividend Index – all dividends are as declared by companies and nowithholding tax adjustments are made.

10.2

A series of net of tax Total Return Indices are also calculated.
For further details refer to the FTSE Withholding Tax Guide, which can be accessed using the following link:
FTSE_Russell_Withholding_Tax_Guide.pdf

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Section 11

Industry Classification Benchmark
(ICB)

11.

Industry Classification Benchmark (ICB)6

11.1

Classification structure

11.1.1The FTSE UK Index Series constituents are classified into industries, supersectors, sectors and subsectors,
as defined by the ICB.

11.1.2

Details of the ICB are available from FTSE and published on the FTSE Russell website(www.lseg.com/en/ftse-russell/) and can be accessed using the following link:
Industry_Classification_Benchmark

6

FTSE indices migrated to the new ICB classification system in March 2021.

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Section 12

Announcing changes

12.

Announcing changes

12.1

Index methodology changes
Users of the FTSE UK Index Series are notified of such policy changes through appropriate media
before implementation.

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Appendix A

Index opening and closing hours

Open

MiddayValuation7

Close

FTSE 100

08:00

12:00

16:30

FTSE 250

08:00

12:00

16:30

FTSE 350

08:00

12:00

16:30

FTSE 350 Supersectors

08:00

-

16:30

FTSE 350 Industry Sectors

08:00

-

16:30

FTSE SmallCap

08:00

-

Index
The FTSE UK Index Series

FTSE All-Share

16:30
8

08:00

12:00

16:30

FTSE All-Share Sectors

–

-

16:30

FTSE Fledgling

–

-

16:30

FTSE Fledgling Sectors

–

-

16:30

FTSE All-Small

–

-

16:30

FTSE All-Small Sectors

–

-

16:30

FTSE 350 Higher Yield

–

-

16:30

FTSE 350 Lower Yield

–

-

16:30

Notes:
1. Closing prices will be London Stock Exchange official closing price.
2. The indices will not be calculated on UK public holidays and may close early on the business day prior to theChristmas and New Year public holidays.
3. Timings are London hours (GMT or BST).

7
8

Midday indices are available in gross, net and ex-investment trust versions
A 5% capped version is also available

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Appendix B

Status of indices

The FTSE UK Index Series may be calculated in real time.
For further details of real time definitions please refer to the following guide:
Real_Time_Status_Definitions.pdf
Official market hours are defined as that period when SETS is open for order execution and market makers must
display firm dealing prices for the non-SETS constituent securities. The official opening and closing hours of the
FTSE UK Index Series are set out in Appendix A. Variations to the official hours of the indices will be published by
FTSE Russell.

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Appendix C

FTSE 350 yield indices – review
process and maintenance

Annual review process
A. The annual review of the FTSE 350 Yield Indices will be conducted in June based on data as at the close ofbusiness on the Tuesday before the first Friday of the month. There are two yield indices: higher yield, representing
securities with above average yields and lower yield, representing those with below average yields.
Step A1:

Start with the constituents of the FTSE 350, taking into account any additions and deletions resulting
from the June index review.

Step A2:

a. Take the annual dividend and closing price as at the data cut-off date to calculate the Gross Annual
Dividend Yield.
b. Where a company has more than one line of shares included in the FTSE 350, the lines will be
evaluated independently and a separate yield value will be assigned to each security (i.e. one line
could qualify for the higher yield index and one for the lower yield).
c. For IPOs, the forecast dividend may be used (where available) to allow for accurate reflection of the
future yield. A zero-dividend yield will be given if a forecast dividend is unavailable.

Step A3:

Rank the stocks by their Gross Annual Dividend Yield. Zero yielding stocks will be ranked last.

Step A4: Calculate the weighted average annual dividend yield (WAADY) of the FTSE 350, taking into accountconstituent changes in step A1.
The calculation on WAADY is detailed below:NGDi p s e  p e

WAADY = i =1

i

i

i

i

i

N

 p s e
i =1

i

i

i

Where:– i=1,2,…,N;– N is the number of securities in the index;– Pi is the latest trade price of the component security;– 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 for the security, as defined in these Ground Rules; and– GDi is the gross dividend of the component security.
Step A5:

Calculate the review bands which are 85/115% of the weighted average annual dividend yield (WAADY)
of the FTSE 350.

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Step A6:

Identify the securities in the FTSE 350 Lower Yield Index that have risen above the 115% yield band.
These securities will become constituents of the FTSE 350 Higher Yield Index. New additions to the
FTSE 350 that pass the criteria will be added to the FTSE 350 Higher Yield Index.

Step A7:

Identify the securities in the FTSE 350 Higher Yield Index that have fallen below the 85% yield band.
These will become constituents of the FTSE 350 Lower Yield Index. New additions to the FTSE 350
that do not pass the criteria in Step A6 will be added to the FTSE 350 Lower Yield Index.

Step A8:

Calculate the total capitalisation of both the higher yield and lower yield indices, taking into account thechanges arising from steps A1, A6 and A7. The aim is that the total capitalisation of each yield index
should be the same, each representing 50% or as close to 50% as possible of the total capitalisationof the FTSE 350.

Step A9:

If the total capitalisation of the FTSE 350 Higher Yield Index is greater than the FTSE 350 Lower Yield
Index, the lowest-ranking constituent of the higher yield index should be removed and included in thelower yield index. This task should be repeated until the capitalisation of the two yield indices is equal
or as close to being equal as possible.

Step A10: If the total capitalisation of the FTSE 350 Lower Yield Index is greater than the FTSE 350 Higher Yield
Index, the highest-ranking constituent of the FTSE 350 Lower Yield Index should be removed andincluded in the FTSE 350 Higher Yield Index. This task should be repeated until the capitalisationof the two yield indices is equal or as close to being equal as possible.
Step A11: Steps A9 and A10 should be repeated until the two yield indices are equal or as close to being equal
as possible.
Quarterly review process
B. Securities will be added to the FTSE 350 Yield Indices following the quarterly reviews of the FTSE 350 Index in
September, December and March based on data as at the close of business on the Tuesday before the first Fridayof the review month and on the following basis.
Step B1:

Adjust the weighted average annual dividend yield of the FTSE 350 from the previous annual review(see step A4 above) by the capital performance of the FTSE 350 Index since the last annual review.

Step B2:

Remove those securities which are to be deleted from the FTSE 350.

Step B3:a. Add new securities to either the higher yield or lower yield index depending on whether theconstituent’s yield is higher or lower than the adjusted average yield calculated in step B1.
b. For IPOs, the forecast dividend may be used (where available) to allow for accurate reflectionof the future yield. A zero-dividend yield will be given if a forecast dividend is unavailable.

Corporate event changes
C. Mergers and demergers in the FTSE 350 Yield Indices will follow the FTSE 350 Index.
Step C1:

The acquiring company will remain a constituent of the relevant FTSE 350 Yield Index. The constituent
being acquired is deleted on the effective date of the acquisition.

Step C2:

If a constituent splits and forms two or more companies and any of the new entities are retained in the
FTSE 350 Index, those new entities will be retained in the same FTSE 350 Yield Index as their parent
company until the next periodic review.

Step C3:

If a constituent is deleted and a replacement company is selected, the replacement company will be
added to the FTSE 350 Higher Yield Index if it is greater than the dividend yield of the FTSE 350 Index.
Otherwise, it will be added to the FTSE 350 Lower Yield Index.
Note: if the replacement company has more than one line of shares to be included in the FTSE 350, thelines will be evaluated independently (i.e. one line could qualify for the higher yield index and one for the
lower yield).

D. At FTSE Russell’s sole discretion, the yield status of a security whose issuer has suspended or temporarily revised
its dividend policy may be adjusted at the annual review if the adjusted status is a more accurate reflection of the
future yield.

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Appendix D

Volume data used in liquidity screen

For the purposes of the FTSE UK Index Series liquidity screen, volume data will be aggregated from those venues
exhibiting a market share of greater than 2%. The trading venues are reviewed annually and assessed using volumedata from the first business day of February of the previous year to the last business of January of the current year.
Any changes to the trading venues will be announced and reflected in the FTSE UK Index Series Ground Rules
following the March quarterly review and will become effective from the June annual review.
Venues meeting the criteria are detailed below:– London Stock Exchange– Cboe CXE– Cboe BXE– Cboe OTC

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FTSE UK Index Series, v16.3, September 2024

Appendix E

Further information
A Glossary of Terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
Further information on the FTSE UK 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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