Ground Rules

July 2024

FTSE Canada All Cap
Sectors Capped IndexSeriesv2.8

lseg.com/en/ftse-russell

FTSE Canada All Cap Sectors Capped Index Series, v2.8, July 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 5
Section 3 FTSE Russell index policies ............................................................................................................................... 6
Section 4 Eligible securities ................................................................................................................................................ 8
Section 5 Periodic review of constituents ........................................................................................................................... 9
Section 6 Changes to constituent companies................................................................................................................... 10
Section 7 Industry Classification Benchmark (ICB) .......................................................................................................... 12
Section 8 Indices algorithm and calculation method ........................................................................................................ 13
Appendix A Qualifying sectors .......................................................................................................................................... 14
Appendix B Capping algorithm ......................................................................................................................................... 15
Appendix C Index series opening and closing hours ........................................................................................................ 16
Appendix D Status of indices ............................................................................................................................................ 17
Appendix E Further information ........................................................................................................................................ 18

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Section 1

Introduction

1.

Introduction

1.1

This document sets out the Ground Rules for the construction and management of the FTSE Canada All
Cap Sectors Capped Index Series. Copies of these Ground Rules are available from FTSE Russell. The
FTSE Canada All Cap Sectors Capped Index Series is based on the FTSE All Cap Sector Indices as
determined by the Industry Classification Benchmark (ICB) 1 (see Section 7 and Appendix E).

1.2

The following index is calculated:– FTSE Canada All Cap Real Estate Capped 25% Index – (ICB Real Estate 8600) (New ICB Real
Estate 3510)

1.3

The FTSE Canada All Cap Sectors Capped Index Series does not take account of ESG factors in its
index design.

1.4

Price Return Indices are calculated in real-time and published in Canadian Dollars during the hours of
calculation (see Appendix C).

1.4.1

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

1.5

Capital and Total Return indices are available are published at the end of each working day in Canadian
Dollars and US Dollars. The Total Return Indices include income based on ex dividend adjustments.

1.6

The Index will be capped at 25% as detailed in Appendix B.

1.7

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

1.8

FTSE Russell hereby notifies users of the index series that it is possible that circumstances, including
external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, theindex series and therefore, any financial contracts or other financial instruments that reference the 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.

1.9

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

1

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

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– and/or any inaccuracies in the compilation of the Index or any constituent data.

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Section 2

Management responsibilities

2.

Management responsibilities

2.1

FTSE International Limited (FTSE)

2.1.1

FTSE is the benchmark administrator of the index series.2

2.1.2

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

2.1.3

FTSE is also responsible for monitoring the performance of the FTSE Canada All Cap Sectors Capped
Index Series Index Series throughout the day and will determine whether the status of each index should be‘firm’, ‘indicative’ or ‘held’.

2.2

Amendments to these Ground Rules
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

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

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Section 3

FTSE Russell index policies

3.

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

3.1
3.1.1

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

3.2
3.2.1

Index Policy for Trading Halts and Market Closures
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

3.3
3.3.1

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

3.4
3.4.1

Recalculation Policy and Guidelines
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 be recalculated and/or
associated data products reissued. Users of the FTSE Canada All Cap Sectors Capped Index Series will be
notified through appropriate media.
For further information refer to the FTSE Russell Recalculation Policy and Guidelines document which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Recalculation_Policy_and_Guidelines_Equity_Indices.pdf

3.5
3.5.1

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

3.6
3.6.1

FTSE Russell Governance Framework
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 ensure compliance with the IOSCO Principles for
Financial Benchmarks3, the European benchmark regulation4 and the UK benchmark regulation5. The FTSE
Russell Governance Framework can be accessed using the following link:
FTSE_Russell_Governance_Framework.pdf

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5

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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3.7

Real Time Status Definitions

3.7.1

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

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Section 4

Eligible securities

4.

Eligible securities

Companies are eligible for inclusion in the FTSE Canada All Cap Sectors Capped Index Series if they are current
constituents of the FTSE Canada All Cap Index. Multiple lines are aggregated and the full market capitalisation of thecompany is used for the purpose of defining the eligible universe.
Ground Rules for the FTSE Global Equity Index Series are available from the FTSE Russell website using
the link below:
FTSE_Global_Equity_Index_Series.pdf

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Section 5

Periodic review of constituents

5.

Periodic review of constituentsThe constituent changes to the FTSE Canada All Cap Sectors Capped Index Series takes place semiannually and will be implemented after the close of business on the third Friday of March and September.

5.1

Capping methodology

5.1.1

The constituents of the FTSE Canada All Cap Sectors Capped Index Series are capped at 25% on aquarterly basis using prices adjusted for corporate actions as at the close of business on the second Friday
in March, June, September and December. The capping is implemented after close of business on the third
Friday in March, June, September and December based on the constituents, shares in issue and free floaton the next trading day following the third Friday of the capping month.

5.2

Stock events occurring between review and implementation of review

5.2.1

Stock events that cause the removal of a pending constituent or the addition of a constituent (for example
following a takeover, split or similar event) between the announcement of the review but prior to its
implementation will be dealt with in line with the FTSE Canada All Cap Domestic Index. No other additions
or removals from the pending constituent list will be made for the purpose of returning the number of
securities on the pending constituent list to their respective round number until the next annual review.

5.3

Monitoring of eligible companies

5.3.1

The market capitalisation of companies eligible for inclusion in the FTSE Canada All Cap Sectors Capped
Index Series are monitored by FTSE Russell. The constituents of the FTSE Canada All Cap Domestic Index
will be used to conduct the semi-annual constituent changes.

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Section 6

Changes to constituent companies

6.

Changes to constituent companies

6.1

Removal and replacement

6.1.1

When a constituent is deleted from the FTSE Canada All Cap Domestic Index, it will also be removed fromthe sector index.

6.2

Mergers, restructuring and complex takeovers

6.2.1

If the effect of a merger or takeover is that one constituent is absorbed by another constituent in the same
Sector Index, the resulting company will remain a constituent of the index if it remains in the FTSE Canada
All Cap Domestic Index.

6.2.2

If a constituent is suspended from the FTSE Canada All Cap Domestic Index, the same treatment will beapplied in the FTSE Canada All Cap Sectors Capped Index Series.

6.2.3

If a constituent company is taken over by a non-constituent company in a different sector, the original
constituent will be removed.

6.2.4

If a constituent company is split so as to form two or more companies, the two or more companies arisingfrom the spilt will be eligible for inclusion in the appropriate sector index if it remains in the FTSE Canada All
Cap Domestic Index. Where one or more of the resulting companies is ineligible, the ineligible company will
be removed from the index.

6.3

New issues

6.3.1

New issues will be included as a constituent to the FTSE Canada All Cap Sectors Capped Index Series
provided that they qualify as a Fast Entry into the FTSE Canada All Cap Domestic Index from aneligible sector.

6.4

Suspended companies

6.4.1

FTSE Russell’s treatment can be found using the following link:
Suspended_Companies_Rule.pdf

6.4.2

If the procedure detailed in Rule 6.4.1 results in the removal of a constituent of a FTSE Canada All Cap
Sectors Capped Index, the constituent will not be replaced until the next semi-annual review.

6.5

Classification changes

6.5.1

If a constituent’s classification under the FTSE Industry Classification Benchmark (ICB) is changed suchthat it is no longer eligible for inclusion in its current FTSE Canada All Cap Sectors Capped Index, it will be
removed at the time of the event.

6.5.2

If a non-constituent company’s classification is changed to make it eligible for one of the FTSE Canada All
Cap Sectors Capped Index Series, it will only become eligible for inclusion in the Index at the time of thenext semi-annual review.

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6.6

Exceptional circumstances

6.6.1

In exceptional circumstances (e.g., a sector index becomes distorted by a major corporate event), FTSE
Russell may re-cap an index, providing at least 5 days notice is given.

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Section 7

Industry Classification Benchmark
(ICB)

7.

Industry Classification Benchmark (ICB)6

7.1

Classification structure

7.1.1

The FTSE Canada All Cap Sectors Capped Index Series constituents are classified into Industries,
Supersectors, Sectors and Subsectors, as defined by the Industry Classification Benchmark (ICB).

7.1.2

Details of the Industry Classification Benchmark are available from FTSE Russell 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 will migrate to the new ICB classification system in March 2021.

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Section 8

Indices algorithm and calculation
method8.

Indices algorithm and calculation method

8.1

Prices8.1.1

The FTSE Canada All Cap Sectors Capped Index Series use actual trade prices for securities with local
stock exchange quotations. Refinitiv real-time spot currency rates are used in the index calculation.

8.1.2

The FTSE Canada All Cap Sectors Capped Index Series receive share prices and currency spot rates inreal time.

8.2

Algorithm

8.2.1

The FTSE Canada All Cap Sectors Capped Index Series is calculated using the algorithm described below.
N( pi  ei  si  f i  ci )

i =1

d

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

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Appendix A

Qualifying sectors

Qualifying Sectors
FTSE Canada All Cap Real
Estate Capped 25% Index
35101010

Real Estate Holding and Development

35101015

Real Estate Services

35102020

Industrial REITs

35102030

Office REITs

35102045

Retail REITs

35102040

Residential REITs

35102000

Diversified REITs

35102070

Other Specialty REITs

35102010

Health Care REITs

35102050

Storage REITs

35102060

Timber REITs

35102025

Infrastructure REITs

30203020

Mortgage REITs: Residential

30203000

Mortgage REITs: Diversified

30203010

Mortgage REITs: Commercial

35102015

Hotel and Lodging REITs

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Appendix B

Capping algorithm

The Capping Level is fixed at 25% for the FTSE Canada All Cap Sectors Capped Index Series.
1. The capping procedure is applied to the indices quarterly at the close of business on the second Friday in March,June, September and December. The capping is implemented using prices adjusted for corporate events as at theclose of business on the third Friday in March, June, September and December based on the constituents, sharesin issue and free float. This process sets the capping factors for each index.
2. Any changes in constituents or corporate actions/events, which take place on the following business day will betaken into account before the capping procedure is applied.
3. The free float and investability weightings for each index are taken into account before the capping procedure isapplied.
4. Upon completion of the above steps the capping procedure is applied using the following algorithm:NB.

The algorithm is applied to each constituent that requires capping, i.e. any constituent who’s uncapped weightis greater than 25%.

The Constituent Capping Factor ci is given by:ci =Z (p j  s j  f j )I  ( pi  si  f i ) jJ

Where,– i denotes the security to be capped.
– j denotes an uncapped security.
– J is the subset of securities that are uncapped.
– pk is the official closing price of the kth security.
– sk is the number of shares in issue of the kth security.
– fk is the free float factor of the kth security.
– I is the percentage of the index represented by all uncapped constituents.
– Z is the percentage capping level.
The constituent capping factor is calculated for all constituents whose uncapped weight after the application of
investability weightings is greater than 25% for the FTSE Canada All Cap Sectors Capped Index Series. The weights ofthe capped and uncapped constituents in the indices are then calculated. If following the application of this capping
procedure other constituents have moved above 25% then the process is repeated, now including the new
constituent(s) which require capping. This process is then repeated until no further constituents require capping.

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Appendix C

Index series opening and closing hours

Index

Open

Close

FTSE Canada All Cap Sectors Capped Index Series

14:30

21:10

Timings are UK hours.
The FTSE Canada All Cap Sectors Capped Index Series will not be calculated on Canadian Public Holidays.

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Appendix D

Status of indices

The FTSE Canada All Cap Sectors Capped Index Series are calculated in real time.
The official opening and closing hours of the FTSE Canada All Cap Sectors Capped Index Series are set out inAppendix C. Variations to the official hours of the indices are published by FTSE Russell as appropriate.
The FTSE Canada All Cap Sectors Capped Index Series will not be calculated on Canadian Public Holidays.
For further details of real time definitions please refer to the following guide:
Real_Time_Status_Definitions.pdf

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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 Canada All Cap Sectors Capped Index Series is available from FTSE Russell.
For contact details please visit the FTSE Russell website or contact FTSE Russell client services at
info@ftserussell.com.
Website: www.lseg.com/en/ftse-russell/

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”), (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.
The FTSE Canada All Cap Sectors Capped Index Series 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. Refinitiv Benchmark Services (UK) 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, FTSE FI Europe, WOFE, RBSL, RL and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”,“WMR™”, “FR™”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or
licensed by the applicable member of LSEG or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE,RBSL, RL or BR.
All information is provided for information purposes only. All information and data contained in this publication is obtained by LSEG, from sources believed by it to be accurate and reliable.
Because of the possibility of human and mechanical inaccuracy as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No memberof LSEG nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as tothe accuracy, timeliness, completeness, merchantability of any information or LSEG Products, or of results to be obtained from the use of LSEG products, including but not limited toindices, rates, data and analytics, or the fitness or suitability of the LSEG products for any particular purpose to which they might be put. The user of the information assumes the entire
risk of any use it may make or permit to be made of the information.
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No member of LSEG nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting
financial or investment advice. No member of LSEG nor their respective directors, officers, employees, partners, or licensors make any representation regarding the advisability ofinvesting in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any
information herein. Indices and rates cannot be invested in directly. Inclusion of an asset in an index or rate is not a recommendation to buy, sell or hold that asset nor confirmation thatany particular investor may lawfully buy, sell or hold the asset or an index or rate containing the asset. The general information contained in this publication should not be acted upon
without obtaining specific legal, tax, and investment advice from a licensed professional.

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