Ground Rules

FTSE TWSE Taiwan Dividend+
Index
v3.3

ftserussell.com

June 2023

Contents
1.0

Introduction ....................................................................3

2.0

Management Responsibilities.......................................5

3.0

FTSE Russell Index Policies .........................................6

4.0

Index Review and Implementation ...............................8

5.0

Changes to Constituent Companies .......................... 12

6.0

Corporate Actions and Events.................................... 13

7.0

Index Algorithm and Calculation Method .................. 14

Appendix A: Further Information ......................................... 15

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

2 of 16

Section 1

Introduction
1.0

Introduction

1.1

Methodology
This methodology is to be read in conjunction with the FTSE TWSE Taiwan Index Series Ground
Rules which are available on the FTSE Russell website (www.ftserussell.com).

1.2

The FTSE TWSE Taiwan Dividend+ Index Series does not take account of ESG factors in its index
design.

1.3

FTSE TWSE Taiwan Dividend+ Index
The FTSE TWSE Taiwan Dividend+ Index is a yield weighted index designed to select and measure
the performance of higher yielding stocks within the universe of the FTSE TWSE Taiwan 50 Index
and the FTSE TWSE Taiwan Mid-Cap 100 Index. The FTSE TWSE Taiwan Dividend+ Index selects
the top 50 stocks by one-year forecast dividend yield. The constituents’ weightings within the index
are determined by their dividend yield as opposed to market capitalisation.

1.4

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, The Yield Book Inc and Beyond
Ratings.

1.4.1

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, the index series and therefore, any financial contracts or other financial instrumentsthat reference the index series or investment funds which use the index series to measure theirperformance should be able to withstand, or otherwise address the possibility of changes to, or
cessation of, the index.

1.4.2

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 ofnegligence or otherwise is accepted by FTSE Russell for any losses, damages, claims andexpenses suffered by any person as a result of:••

any reliance on these Ground Rules, and/or
any inaccuracies in these Ground Rules, and/or

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

3 of 16••

any non-application or misapplication of the policies or procedures described in theseGround Rules, and/or
any inaccuracies in the compilation of the index or any constituent data.

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

4 of 16

Section 2

Management Responsibilities
2.0Management 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 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 thereviews as required by the Ground Rules;•

publish changes to the constituent weightings resulting from their ongoing maintenance and theperiodic reviews;•

disseminate the indices.

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 toensure that they continue to best reflect the aims of the index. Any proposals for significant
amendments to these Ground Rules will be subject to consultation with FTSE Russell advisorycommittees and other stakeholders if appropriate. The feedback from these consultations will beconsidered by the FTSE Russell Index Governance Board before approval is granted.

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 tomeasure the performance of investment funds (the European Benchmark Regulation) and The Benchmarks (Amendment andTransitional Provision) (EU Exit) Regulations 2019 (the UK Benchmark Regulation).

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

5 of 16

Section 3

FTSE Russell Index Policies
3.0

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

Corporate Actions and Events Guide

3.2

Full details of changes to constituent companies due to corporate actions and events can beaccessed 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

3.3

Queries, Complaints and Appeals

3.3.1

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

3.4

Index Policy for Trading Halts and Market Closures

3.4.1

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

3.5

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

3.5.1

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

3.6

Recalculation Policy and Guidelines

3.6.1

Where an inaccuracy is identified, FTSE Russell will follow the steps set out in the FTSE Russell
Index Recalculation Guidelines when determining whether an index or index series should berecalculated and/or associated data products reissued. Users of the FTSE TWSE Dividend+ Index
will be notified through appropriate media.
For further information refer to the FTSE Russell Recalculation Policy and Guidelines document
which is available from the FTSE Russell website using the link below or by contacting
info@ftserussell.com.
Recalculation_Policy_and_Guidelines_Equity_Indices.pdf

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

6 of 16

3.7

Policy for Benchmark Methodology Changes

3.7.1

Details of FTSE Russell’s policy for making benchmark methodology changes can be accessedusing the following link:
Policy_for_Benchmark_Methodology_Changes.pdf

3.8

FTSE Russell Governance Framework

3.8.1

To oversee its indices, FTSE Russell employs a governance framework that encompasses product,
service and technology governance. The framework incorporates the London Stock ExchangeGroup’s three lines of defence risk management framework and is designed to meet therequirements of the IOSCO Principles for Financial Benchmarks 2, the European benchmark
regulation3 and the UK benchmark regulation4. The FTSE Russell Governance Framework can beaccessed using the following link:
FTSE_Russell_Governance_Framework.pdf

3.9

Real Time Status Definitions

3.9.1

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

2

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 to measure the performance of investment funds
4
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 20193

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

7 of 16

Section 4

Index Review and Implementation
4.0

Index Review and Implementation

4.1

Periodic Review

4.1.1

The FTSE TWSE Taiwan Dividend+ Index will be reviewed semi-annually in June and December
using data as at the close of business on the Monday 4 weeks prior to the review effective date.

4.1.2

Changes arising from each semi-annual review will be made effective after the close of business on
third Friday (i.e. effective Monday) of the review month.

4.2

Review of Index Constituents

4.2.1

Review Universe
At review the universe will comprise of constituents from the FTSE TWSE Taiwan 50 Index and theFTSE TWSE Taiwan Mid-Cap 100 Index, which together covers the largest 150 companies, by fullmarket value, listed on the Taiwan Stock Exchange.
Should they appear in the universe, Equity Investment Instruments classified by the Industry
Classification Benchmark 5 as Closed End Investments (30204000), will be excluded from the index.
Under the Industry Classification Benchmark (ICB), Equity Investment Instruments are defined ascorporate closed-ended investment entities identified under distinguishing legislation, such as
investment trusts and venture capital trusts.

4.2.2

I/B/E/S Forecast/Estimate Dividend Yields
The dividend yield data is based on the mean dividends per share forecast/estimates from I/B/E/S
for the next 12 months. For FTSE TWSE Taiwan 50 and FTSE TWSE Taiwan Mid-Cap 100
constituents that do not have this information FTSE’s historical dividend yield data is used. To beable to rank the review universe the I/B/E/S mean dividends per share forecast/estimates for the
next 12 months are divided by the underlying stock price at the review data cut-off date. I/B/E/S data
will be taken from the review data cut-off date.

4.2.3

5

The review universe is ranked in descending order by the forecast/estimate 12 month forward
dividend yields (see below). The current index constituents are marked. To reduce index turnover
buffers are used. Securities that rank 35th place or above are added to the index, constituents thatrank 66th or below are removed from the index.

FTSE Indices migrated to the new ICB classification system in March 2021

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

8 of 16

4.2.4

To maintain a consistent 50 stocks at review, if there are less than 50 constituents after the above
process, the next highest-ranking non-constituent is included until the 50 index stocks are selected.
If more constituents are added than deleted at review, and this leads to an index of greater than 50
constituents, the lowest ranking constituents are removed until the index comprises of 50
constituents.

4.2.5

Where a company has more than one line of stock and both are eligible for inclusion into the index,
the line with the largest dividend yield will be included. Where both lines have the same dividend
yield, the largest by full market capitalisation is included.

4.2.6

Where a company declares zero dividend for the previous financial year prior to the review it will be
not eligible for inclusion into the index. Existing constituent which declares zero dividend for theprevious financial year prior to the review will be removed from the index.

4.2.7

To prevent a large number of constituent changes a maximum limit of 5 additions and 5 deletions
are used at each semi-annual review except the following scenarios:• Where the total number of proposed constituents is less than 50, the maximum limit of 5
additions will be disregarded in order to maintain the required number of stocks;•

Where the total number of deletions due to failing to meet stock eligibility criteria as outlined
in 4.2.1 and 4.2.6 is equal to or greater than 5, at such point there will be no further deletions
at the index review.
For illustration purposes: If eight existing constituents have been identified for deletion underrules 4.2.1 and/or 4.2.6 (i.e. being removed from the underlying universe or having declareda zero dividend for the previous financial year), then these eight constituents will be deleted
at the index review and no other further deletions will be applied

4.2.8

Potential additions that prevent the index from trading TWD 1.5 billion (the notional value) within one
trading day are not eligible for inclusion into the index. To conduct the liquidity test, the number ofdays to trade for each security in the pro forma index is calculated as the notional value times its
weight and then divided by its 6-month average daily traded value, where its weight is estimated as
the ratio of its 12 month forward dividend yield and the aggregate12 month forward dividend yield of
the current index. Existing constituents are not subject to this liquidity requirement.

4.3

Weighting Methodology

4.3.1

Each of the index constituents are weighted within the index at review by their 12 month forward
dividend yields.

4.4

Capping Constituent Weights at Quarterly Reviews

4.4.1

The index constituent weights are capped quarterly in March, June, September and December withan assumed assets under management (AUM) that is 1.2 times the overall passive assets tracking
the index. The AUM is then rounded up to the nearest multiple of TWD 25 billion.

4.4.2

Using the assumed AUM, individual company holdings are capped so they do not exceed 6% of theirfull market capitalisation and 15% of their investable market capitalisation, whichever is less. The
assumed AUM used in the capping process is calculated based on data available on the Monday 4
weeks prior to the review effective date.

4.4.3

The calculation of the constituent capping factors (c) will be based on prices at close on the Monday
4 weeks prior to the review effective date using shares in issue and investability weights as
designated to take effect after close on the third Friday of the review month (i.e. effective from theopen the following Monday).

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

9 of 16

4.4.4The calculation will take into account any corporate actions/events that take effect after close on the
Monday 4 weeks prior to the review effective date if they have been announced and confirmed by
the Monday 4 weeks prior to the review effective date.

4.4.5

Corporate actions / events announced after the Monday 4 weeks prior to the review effective datethat become effective up and including the review effective date will not result in any further
adjustment.

4.4.6

For constituents that do not trade on the Monday the previous day’s closing prices are used and thecapping implemented after close on the third Friday of the review month (i.e. effective from the open
the following Monday).

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

10 of 16

4.5

Implementation of Review Changes

4.5.1

During semi-annual review and quarterly capping, the index is rebalanced over five consecutive
trading days starting from the review effective date (the rebalancing period). A transitional weight isapplied to each security in the index during the rebalancing period.
The transitional weight of stock i is calculated for each day in the rebalancing period, according to
the following formulae:
WRebalance=i,J(5-J) Current J New
Wi
+ Wi
𝟓
5

Where
• J is the rebalancing day and is equal to 1, 2, 3, 4 or 5.
• WCurrent
is the stock weight i in the current index based on the cutoff date data, adjusted for allicorporate actions since the current cut-off date to review effective date.
• WNewis the stock weight i in the new index based on the cutoff date data, adjusted for allicorporate actions since the current cut-off date to review effective date.
• WRebalanceis the stock weight i in the index during the rebalancing period. It will become WNewi,Ji
at the end of the rebalancing period.
4.5.2

Treatments on corporate actions and events during the rebalancing period can be found in Section
6.

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

11 of 16

Section 5

Changes to Constituent Companies
5.0

Changes to Constituent Companies

5.1

Intra-review Additions

5.1.1

Additions into the FTSE TWSE Taiwan Dividend+ Index will only be applied at the next semi-annual
review.

5.2

Intra-review Deletions

5.2.1

Intra-review changes will be in line with the underlying FTSE TWSE Taiwan 50 and FTSE TWSE
Taiwan Mid-Cap 100 Indices. A constituent will be removed from the FTSE TWSE Taiwan Dividend+Index if it is also removed from the underlying FTSE TWSE Taiwan 50 or FTSE TWSE Taiwan
Mid-Cap 100 Indices. The deletion will be concurrent with its deletion from the underlying indicesand its weight will be distributed pro-rata amongst the remaining constituents in the FTSE TWSE
Taiwan Dividend+ Index.

5.2.2

Intra-review deletions arising from quarterly reviews of the underlying FTSE TWSE Taiwan 50 and
FTSE TWSE Taiwan Mid-Cap 100 Indices in March and September will follow Rule 4.5. Deletions
will be removed from the index and the index rebalanced over five consecutive trading days
commencing from the review effective date of the underlying indices.

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

12 of 16

Section 6

Corporate Actions and Events
6.0

Corporate Actions and Events

6.1

If a constituent in the underlying 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 oftender offers), the constituent’s weighting in the corresponding FTSE TWSE Taiwan Dividend+ Index
will remain unchanged pre and post such an event.

6.2

Full details of changes to constituent companies due to corporate actions and events can beaccessed 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
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. The index will be adjusted in line with 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
the index rules. For example, a company announces a strategic shareholder is offering to sell theirshares (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 thechange.
6.3

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

6.4

Takeovers, Mergers and Demergers
The treatment of takeovers, mergers and demergers can be found within the Corporate Actions andEvents Guide for Non Market Cap Weighted Indices.

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

13 of 16

Section 7

Index Algorithm and Calculation Method
7.0

Index Algorithm and Calculation Method

7.1

Calculation Currency and Frequency

7.1.1

The index will be calculated and published in New Taiwan dollars on a real-time basis (every 5
seconds). New Taiwan and US dollars index values will also be calculated on an end-of-day basis.

7.2

Index Calculation

7.2.1

The index 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. Thisfactor 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 inthe index. This factor maps the investable market capitalisation of each stock to a notional
market capitalisation for inclusion in the index.

•

𝑑 is the divisor, a figure that represents the total issued share capital of the index at the basedate. The divisor can be adjusted to allow changes in the issued share capital of individual
securities to be made without distorting the index.

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

14 of 16

Appendix A: 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 TWSE Taiwan Index Series is available from FTSE Russell and the Taiwan
Stock Exchange.
To contact FTSE Russell, please visit the FTSE Russell website at www.ftserussell.com or contact FTSE
Russell via e-mail at info@ftserussell.com.
Or:
The Taiwan Stock Exchange at:
Taiwan Stock Exchange
9th Floor, Taipei 101 Tower
No 7, Sec.5, Xinyi Road,
Taipei, Taiwan
Tel: +886 2 8101 3101
Fax: +886 2 8101 3084
E-mail: Res-Dev@twse.com.tw

FTSE Russell | FTSE TWSE Taiwan Dividend+ Index, v3.3, June 2023

15 of 16© 2023 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”) and the Taiwan Stock Exchange
Corporation (“TWSE”).. The LSE Group 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”) and (4) FTSE FI
Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) The Yield Book Inc (“YB”) and (7) Beyond Ratings
S.A.S. (“BR”). All rights reserved.
The FTSE TWSE Taiwan Dividend+ Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner.
FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI Europe, FTSE FI, YB and BR. “FTSE®”, “Russell®”,“FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks usedherein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the
LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE FI Europe, FTSE Canada,
FTSE FI, YB or BR. “TWSE” is a trade mark of the Taiwan Stock Exchange.
All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication isaccurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers,
employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained
herein.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction,
warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE TWSE
Taiwan Dividend+ Index or the fitness or suitability of the Index for any particular purpose to which it might be put.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice andnothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor theirrespective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any
asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indices cannot be invested indirectly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained inthis publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic,
mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use anddistribution of the LSE Group index data and the use of their data to create financial products require a licence with FTSE, Russell,
FTSE Canada, FTSE FI Europe, FTSE FI, YB, BR and/or their respective licensors.

FTSE Russell

16