Ground Rules

May 2023

Russell Currency
Hedging Methodology
v1.5

lseg.com/en/ftse-russell

Russell Currency Hedging Methodology, v1.5, May 2023

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Currency data ..................................................................................................................................................... 4
Section 3 Currency hedged index calculation..................................................................................................................... 8
Section 4 Further information ........................................................................................................................................... 14

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Section 1

Introduction

1.

Introduction

1.1

These rules provide a detailed description of the standard currency hedging methodology, which is applied
to create a wide range of currency hedged indices.

1.2

The currency hedged indices are constructed by adding a layer of currency forward contracts to theunderlying unhedged indices, such as the Russell US 3000 Index. The forward rates are standard onemonth contracts that are rolled at each rebalance day. The number of foreign currencies to sell is estimatedonce a month based on the unhedged index constituents, which stays unchanged for the remainder of themonth until the next rebalance.

1.3

A list of key features in this methodology includes:– Rolling of the forward contracts uses currency weights (adjusted for corporate events) from one day prior
to each rebalance day. For example, on 31 January 2015, FTSE Russell determine the currency weights
to hedge based on the equity index close as of 30 January 2015 but adjust the weights for corporate
events and constituent changes after the close of business on 31 January 2015. The purpose of doing
this is to avoid having to wait until the equity markets close to trade the currencies and thus improve
tradability and reduce operational costs. The mismatch this causes with regard to the monthly roll isadjusted in the index performance calculation.
– Currency quotations of stocks within the country are used when determining the currency weights. For
example, a Singapore-traded stock quoted in USD will be attributed to USD exposure rather than SGD
exposure.
– Global depositary receipts (GDRs) are included based on the currency quotation of the underlying
security when determining the notional currency amounts.
– FTSE Russell will use one-month forward rates to calculate odd-day forward contracts when valuing thehedge between rebalances to interpolate the relevant amount.
– Currency settlement dates are taken into account when valuing the forward contracts.
– Where applicable, non-deliverable forwards (NDFs) based on WM Refinitiv 16:00 UK time service areused to value the forward positions intra rebalance. Furthermore, one week and one-month forwards
are used to derive the forward points to avoid the mismatch of the spot and NDF rates. For example, theKRW spot rate in the WM Refinitiv service stays unchanged after the local close around 12:00pm London
time, whereas the KRW 1M NDF rate changes even after the local close. So there exists a mismatch
between the spot and 1M NDF at the 16:00 fixing. To eliminate the mismatch, spot week (SW) (one week
forward) and 1M NDF are used when calculating the forward points.
– Non-deliverable forwards (NDFs) using local market hours WM Refinitiv rates are used to roll the forward
positions at the rebalance.

1.4

These ground rules should be read in conjunction with the ground rules of the underlying unhedged indices.

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Section 2

Currency data

2.

Currency data

2.1

The following WM Refinitiv 16:00 UK time service mid-rates will be used as part of the index calculation:– spot rates;– forward rates; and– non-deliverable forward rates.

2.2

The following WM Refinitiv hourly spot and non-deliverable forward rates will be used as part of the monthlyroll process:Currency

Currency code

Fixing time (local time)

Fixing time (GMT)

Chinese Renminbi

CNY

11:00

03:00 (GMT +8 hrs)

Indonesia Rupiah

IDR

10:00

03:00 (GMT +7 hrs)

India Rupee

INR

13:30

08:00 (GMT +5.5 hrs)

South Korea Won

KRW

15:00

06:00 (GMT +9 hrs)

Malaysia Ringgit

MYR

15:00

07:00 (GMT +8 hrs)

Philippines Paso

PHP

11:00

03:00 (GMT +8 hrs)

Taiwan Dollar

TWD

11:00

03:00 (GMT +8 hrs)

2.3

Where rates are not published by WM Refinitiv, the previous day’s rates will be used in the index
calculation. In the event of either the spot or forward rates being unavailable, both spot and forward
rates of the previous day will be used.

2.4

The currency hedged index will be calculated at the end of each working day and follow the underlying
unhedged index holiday calendar. The monthly rebalance day of the hedged index is selected as thecommon business day, based on WM Refinitiv and the underlying index holiday calendar.

2.5

The following table specifies whether a forward or NDF should be used for any country/currency as part ofthe currency hedging calculation. This table is subject to change.
Table one: example of Russell countries using forwards/NDFs
RegionCountry

Currency

ISO currency code

Forward/NDF

Europe/AustriaEuro

EUR

Forward

Middle East/

BelgiumEuro

EUR

ForwardAfricaCzech Republic

KorunaCZK

ForwardDenmark

Krone

DKK

Forward

Egypt

Pound

EGP

NDF*

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RegionCountry

Currency

ISO currency code

Forward/NDF

FinlandEuro

EUR

ForwardFranceEuro

EUR

ForwardGermanyEuro

EUR

Forward

GreeceEuro

EUR

Forward

Hungary

ForintHUF

Forward

Iceland

Krona

ISK

IrelandEuro

EUR

ForwardIsraelShekelILS

Forward

Italy

Euro

EUR

Forward

KuwaitDina

KWD

Netherlands

Euro

EUR

Forward

NorwayKrone

NOK

ForwardPolandZloty

PLN

ForwardPortugal

Euro

EUR

ForwardRomania

Leu

RON

Saudi Arabia

Riyal

SAR

Spain

Euro

EUR

ForwardSouth Africa

Rand

ZAF

ForwardSwedenKrona

SEK

Forward

Switzerland

Franc

CHF

ForwardTurkeyTurkish Lira

TRY

Forward

United Arab Emirates

Emirati Dirham

AED

Forward

United Kingdom

Pound

GBP

Forward

RegionCountry

Currency

ISO currency code

Forward/NDF

AmericasBrazil

Real

BRL

NDF*

Chile

Peso

CLP

NDF*

Colombia

Peso

COP

NDF*

CanadaDollarCAD

Forward

MexicoPeso

MXN

Forward

United States

Dollar

USD

Forward

RegionCountry

Currency

ISO currency code

Forward/NDF

Asia

Australia

DollarAUD

Forward

China

Renminbi

CNY

NDF

Hong Kong

DollarHKD

Forward

India

Rupee

INR

NDF

Indonesia

Rupiah

IDR

NDF

Japan

Yen

JPY

Forward

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RegionCountry

Currency

ISO currency code

Forward/NDF

Malaysia

RinggitMYR

NDF

New Zealand

DollarNZD

Forward

Pakistan

Rupee

PKR

Forward

Philippines

Peso

PHP

NDF

Singapore

Dollar

SGD

ForwardSouth Korea

Won

KRW

NDF

Thailand

Baht

THB

Forward

TaiwanDollarTWD

NDF*Please note that the NDFs highlighted are part of the WM Refinitiv Closing Forward Rate Service and willbe treated as forward rates in the calculation of the Currency Hedged Indices. Where NDF rates are madeavailable as part of the WM Refinitiv NDF Service, they will be used in the currency hedging calculation andtreated as NDFs. See Section 3 for further information on the calculation treatment of forward rates and
NDF rates.
**WM Refinitiv do not publish NDF spot week rates. Spot rate and one-month NDF rate will be used whencalculating the FIR (see rule 3.4 for its calculation).
2.6

The majority of currency pairs will settle on a t+2 settlement cycle. Currencies with different settlement dates
are included in table two below. This table is subject to change.
Table two: countries with T+1 settlement period
Country

ISO currency code

Currency nameCanadaCAD

Canadian Dollars

Philippines

PHP

Philippine Peso

TurkeyTRY

Turkish Lira

2.7

Price, net of tax total return and total return indices are available as a standard offering in AUD, CAD, CHF,
EUR, GBP, JPY, USD, SGD and ZAR.

2.8

Availability of currency data due to an extraordinary market event

2.8.1

If an extraordinary market event occurs that causes WM Refinitiv not to provide the relevant currency values
used as part of the index calculation, based on market information FTSE Russell may suspend the hedging
of the respective currency. Suspending the currency forward or NDF rate will change the way theforward/NDF rate is used in the index calculation.

2.8.2

The index calculation will adjust for the suspension depending on whether it is a rebalance date or not.
When a currency forward or NDF rate is suspended from trading prior to a rebalance date, the index willcontinue to calculate until the rebalance date using the last available currency forward or NDF rate (at thesuspension date) along with its associated spot price on that date. If the suspension remains or occurs at
a rebalance date, then the currency will not be hedged.

2.8.3

If currency data becomes available from WM Refinitiv following its suspension, FTSE Russell will use thisdata in the index calculation at the next rebalance date provided sufficient information is available that will
ensure its continued supply.

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2.8.4

Where a currency forward or NDF rate is suspended and WM Refinitiv confirm that it will no longer be
published, the currency will be unhedged in the index calculation.

2.8.5

If a currency is not suspended and data is not provided by WM Refinitiv, the currency hedging calculation
will use the previous days spot and forward until both rates are available until the next rebalance. In thecase of NDFs, the previous days spot week or NDF rates will be used in pairs as well. Where no currency
information is provided by WM Refinitiv at the rebalance, the currency will not be hedged.

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Section 3

Currency hedged index calculation

3.

Currency hedged index calculation
This section highlights the major components required to calculate the Currency Hedged Indices.

3.1

Calculation formula
The currency hedged index is calculated as a combination of the performance from the unhedged index
performance and the impact of hedging:𝑯𝑰𝒕 = 𝑯𝑰𝒕−𝒙 ×

𝑼𝑰𝒕+ 𝑯𝑰𝒕−𝒙−𝟏 × 𝑰𝑯𝒕
𝑼𝑰𝒕−𝒙

Where:
𝐻𝐼𝑡=

Hedged index at the close of the value date t

𝐻𝐼𝑡−𝑥

=

Hedged index at the close of the previous hedging date𝐻𝐼𝑡−𝑥−1 =Hedged index one business day prior to the previous hedging date

𝑈𝐼𝑡=

Unhedged index at the close of the value date t

𝑈𝐼𝑡−𝑥

=

Unhedged index at the close of the previous hedging date

𝐼𝐻𝑡=

Impact of hedging, which is defined as follows:
𝑰𝑯𝒕 =∑𝒏𝒊=𝟏{𝑴𝒄𝒂𝒑𝒊,𝒕−𝒙−𝟏 × 𝑪𝑰𝑯𝒊,𝒕 × 𝑯𝑭𝒊,𝒕 }∑𝒏𝒊=𝟏{𝑴𝒄𝒂𝒑𝒊,𝒕−𝒙−𝟏 }Where:
𝑀𝑐𝑎𝑝𝑖,𝑡−𝑥−1=

Notional amount to hedge for currency i as of one business day prior to the previous
hedging date. A more detailed definition is provided in rule 3.2n=Number of currencies to hedge in the index

HFi =

=

Hedging factor (0 or greater) – this is the proportion of the currency i to be hedged.
Note that for FTSE’s standard currency hedged indices the HF will be 1

𝐶𝐼𝐻𝑖,𝑡=Currency impact of hedge for currency i between the previous hedge date (t-x) andthe value date t, which is defined as follows:
𝑪𝑰𝑯𝒊,𝒕 =𝑺𝒊,𝒕−𝒙−𝟏 𝑺𝒊,𝒕−𝒙−𝟏−
𝑭𝒊,𝒕−𝟏
𝑭𝑰𝑹𝒊,𝒕

Where:
𝑺𝒊,𝒕−𝒙−𝟏=

Spot exchange rate into the base currency at the close one business day prior to theprevious hedging date𝑭𝒊,𝒕−𝟏=

One month forward/NDF rate at the close of the previous hedging date

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𝑭𝑰𝑹𝒊,𝒕=Forward interpolated rate into the base currency for currency i. A more detailed calculation ofthis odd day forward is provided in rule 3.4

Where forward/NDF rates are not available at the rebalance day, the currency will not be hedged and the𝐶𝐼𝐻𝑖,𝑡 = 0.
3.2

Treatment of currency settlements

3.2.1

Rules to determine the spot value date
For USD-based currency pairs, a preliminary spot value date is first selected by adding the number ofsettlement convention days to the trade date, following the quoted currency’s holiday calendar. If thepreliminary spot value date is a non-business day according to the USD holiday calendar, then the spot
value date is the first good business day on both the quoted currency and the USD calendar following thepreliminary spot value date. The one-month maturity date is selected by adding one calendar month to thespot value date.
For non-USD based cross pairs, all three currency calendars (quoted currency, base currency and USD)
are taken into account. Firstly, a preliminary spot value date is picked from the latter of the quoted/USD
and base/USD. Then the spot value date is the first business day of the quoted currency, base currency
and USD calendars following the preliminary spot value date.

3.2.2

Rules to determine the maturity date of a one-month contract
If the spot value date is on a month-end, then the maturity date is the next month-end. If such date is a nonbusiness day according to the holiday calendar of the quoted currency, USD or base currency (if different
from USD), the date is rolled backwards to the previous good business day.
The month-end of a currency pair is the last business day of a month, according to the holiday calendar of
the two legs (plus USD calendar if it is a cross rate).
If the spot value date is not on a month-end, then the maturity date is selected by adding one calendar
month to the spot value date. If such date is a non-business day according to the holiday calendars of thequoted currency, USD or the base currency (if different from USD), the date is rolled forward to the next
good business day.

3.3

Determination of notional values to hedge at rebalance day

3.3.1

Hedging quantity
Currency quotations of the index constituents are used when determining the notional amount of currencies
to hedge. For example, a Hong Kong traded constituent quoted in USD will be attributed to USD exposure
rather than HKD exposure.
Depositary receipts (DRs) are included based on the currency of quotation of the underlying security when
determining the notional currency amounts. For example, a Russian RUB denominated security with a
DR listed in New York would be treated as a RUB exposure rather than USD exposure. If the underlying
security listing does not exist, the currency of the country of domicile will be hedged.

3.3.2

Hedging timing
The notional values to hedge at each rebalance day are determined based on the unhedged index as of
one business day prior to the rebalance day. The purpose of this treatment is to avoid having to wait until
the equity market closes to trade the currencies. Any index changes in the composition of the index due toindex reviews or corporate actions effective on the first business day following the rebalance are taken
into account.
The following is an example of how the notional amount to hedge based on index changes is adjusted.
This example shows how the notional and currency weights are evaluated to sell on 28 February 2013 foran index consisting of four currencies: USD, CAD, GBP and KRW. The index is quoted in EUR.
First the closing notional and currency weights are calculated as of the close of 27 February 2013,
as follows.

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Currency

Notional (EURbn)

WeightUSD

11,122.59

76.8299%

CAD

882.096.0931%GBP

1,940.53

13.4043%

KRW

531.703.6727%

Then on 28 February 2013 when the hedge is implemented, the notional values are adjusted (and currency
weights accordingly) based on the composition changes effective at the open of 1 March 2013. In thisinstance, two US constituents had corporate events causing an increase in market capitalisation in USD.
Therefore, the notional value to hedge from USD is adjusted higher, as shown in the table below.

Currency

Notional (EURbn)

WeightUSD

11,124.27

76.8326%CAD

882.096.0924%

GBP

1,940.53

13.4028%KRW

531.703.6723%

Note: when a market is on holiday the market values used in the calculation will be based on the previously
traded data updated for exchange rate movements.
3.4

Calculation of odd-day forwards

3.4.1

Treatments of standard forward contracts
The calculation of an odd-day forward rate is used to reflect the mark to market price of the forward that
does not have a standard time to maturity (odd-day forward). A linear interpolation approach is used:
𝑭𝑰𝑹𝒊,𝒕 = 𝑺𝒊,𝒕 +(𝑭𝒊,𝒕 − 𝑺𝒊,𝒕 ) ∗ 𝒏
𝑻

Where:
𝑆𝑖,𝑡=

Spot exchange rate into the base currency for currency i at time t

𝐹𝑖,𝑡

=

One-month forward rate into the base currency for currency i at time t

𝑇=

Number of days from spot value date to maturity date of the one-month forward at time t𝑛=Number of days left for the contract initiated at the previous hedging date

ExampleOn 12 February 2013: to value a EUR/USD one month forward (initiated on 31 January 2013). The maturity
date of this forward is 4 March 2013. Firstly, the spot and standard one-month tenor forward rate as of the
trade date are obtained:
SFeb 12 = 1.3465
FFeb 12 = 1.3467
The number of calendar days between the spot value date and the forward maturity date are counted, which
is 28 days as shown in the chart one. Next the number of days left until the maturity of the existing forwardthat is being priced is counted. In this example the answer is 18 days. Lastly, a linear interpolation is used
to calculate the 18-day forward rate:
𝐹𝐼𝑅𝐹𝑒𝑏 12 = 1.3465 +FTSE Russell(1.3467 − 1.3465) ∗ 18
= 1.3466
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Chart one: timeline for calculating the number of days as part of the odd-day forward rate
Trade
date

Existing forward
maturity date

Spot value
date

4 March 201312 February 2013 14 February 2013

Today’s forward
maturity date

14 March 201318 days

28 days

3.4.2

Treatments of non-deliverable forward contracts for intra-rebalance valuation
The example in the previous section shows how to interpolate a forward rate, which can also be used
to interpolate non-deliverable forward (NDF) rates, with a spot rate adjustment.
FTSE Russell uses WM Refinitiv 16:00 London NDF rates for some of the currencies in the hedging
calculation to value the currency positions intra-rebalance (see Section 2 for further details). As thecorresponding spot rates are fixed at the local close, there exists a mismatch between the fixings ofthe spot and the NDFs, which may cause erroneous results when calculating the odd-day forward.
To eliminate the mismatch, an implied spot rate is used to match the NDF rates.
Firstly, the points per day (PPD) are calculated for the currency using a spot week (SW) and a one-month
NDF contract:
𝑃𝑃𝐷𝑖,𝑡 =(𝑁𝐷𝐹𝑖,𝑡 − 𝑆𝑊𝑖,𝑡 )(𝑁𝑁𝐷𝐹 − 𝑁𝑆𝑊 )Where:
𝑁𝐷𝐹𝑖,𝑡=one-month NDF rate for currency i at value date t

𝑆𝑊𝑖,𝑡

=

one-week NDF rate for currency i at value date t

𝑁𝑁𝐷𝐹

=

number of days to maturity of the one-month NDF

𝑁𝑆𝑊=

number of days to maturity of the one-week NDF

Then the implied spot (IS) rate is calculated as:
𝐼𝑆𝑖,𝑡 = 𝑆𝑊𝑖,𝑡 − (𝑃𝑃𝐷𝑖,𝑡 ∗ 𝑁𝑆𝑊 )Here is an example demonstrating how the implied spot is calculated.
On 12 February 2013, to calculate the implied spot rate of Korean Won (KRW), given the following data:
Tenor

Start dateEnd date

Day count

Rate

SW

14 February 201321 February 2013

7

1,093

One month

14 February 201314 March 2013

28

1,090

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The points per day and implied spot are calculated as follows:
𝑃𝑃𝐷𝐾𝑅𝑊,2013−02−12 =(1090 − 1093)= −0.14286(28 − 7)

𝐼𝑆𝐾𝑅𝑊,2013−02−12 = 1090 − (−0.14286 ∗ 7) = 1094
This implied spot will be used in the 𝐹𝐼𝑅 calculations for all NDF contracts. In the scenario where the spot
week rate is unavailable, the conventional spot rate will be used instead.
3.4.3

Treatment of non-deliverable forward contracts at the rebalance
At the rebalance, the relevant currency positions will be rolled using non-deliverable forward rates andspot rates at local market fixings as outlined in rule 2.2. This process will follow the treatment of standard
forward contacts (see rule 3.4.1) as both spot and forward rates are available at the local fixing times. These
rates will be crossed (where applicable) with standard forward contracts using the WM Refinitiv 16:00 UK
time service. For example, a USD/KRW position will be taken at the local market fixing time and a EUR/USD
position at 16:00 UK time.

3.5

Treatment of cross currency pairs with different settlement dates
The term cross rate is used to refer to a currency pair that does not involve the USD. For example, theexchange rate between the Euro and Yen is considered a cross rate and can be derived from the USDbased currency pairs USD/EUR and USD/JPY. When crossing through the USD, the two currencies may
have different settlement dates due to different settlement conventions or local holidays. Therefore, it isnecessary to align the settlement dates and thus adjust the rates before multiplying the two pairs. The
adjustment is done by interpolating/extrapolating using the one month forward.
Similar to the implied spot rate calculation, points per day (PPD) between the spot value date and the onemonth forward maturity date is firstly derived:
𝑃𝑃𝐷 =(1𝑀𝑅𝑎𝑡𝑒 − 𝑆𝑝𝑜𝑡𝑅𝑎𝑡𝑒 )(1𝑀𝐷𝑎𝑡𝑒 − 𝑆𝑝𝑜𝑡𝐷𝑎𝑡𝑒 )Then the adjusted spot or forward rate can be calculated as:
Adjusted spot rate
𝑆𝑝𝑜𝑡𝑅𝑎𝑡𝑒_𝐴𝑑𝑗 = 𝑆𝑝𝑜𝑡𝑅𝑎𝑡𝑒 + 𝑃𝑃𝐷 ∗ (𝑆𝑝𝑜𝑡𝐷𝑎𝑡𝑒_𝐴𝑑𝑗 − 𝑆𝑝𝑜𝑡𝐷𝑎𝑡𝑒 )Where the adjusted spot value date is the spot value date of the cross rate, which is selected as the latter of
the two USD-based currency spot value dates, as described in rule 3.2.
Adjusted one-month forward rate
1𝑀𝑅𝑎𝑡𝑒_𝐴𝑑𝑗 = 𝑆𝑝𝑜𝑡𝑅𝑎𝑡𝑒 + 𝑃𝑃𝐷 ∗ (1𝑀𝐷𝑎𝑡𝑒_𝐴𝑑𝑗 − 𝑆𝑝𝑜𝑡𝐷𝑎𝑡𝑒 )Where the adjusted maturity date is the maturity date of the cross rate, which is selected as the latter of the
two USD-based currency maturity dates, as described in rule 3.2.
If the cross rate involves NDFs in either of the legs, the PPD will be calculated using one-month and spotweek contracts, as demonstrated in rule 3.4.2, and the adjusted spot or forward rate will be calculated
based on the implied spot rate.
For example, on 2 July 2013, to calculate the cross rate of EUR/CAD spot and one-month forward rate,
given the following data:
Currency

Trade date

Spot date

Spot rate

Maturity date

1M forward rate

CAD

2 July 2013

3 July 2013

1.05292013-08-06

1.05375

EUR

2 July 2013

5 July 2013

0.7682562013-08-05

0.768167

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First, the spot and maturity date of the cross pair are determined. The spot date is the latter of the CAD spot
date 2013-07-03 and the EUR spot date 2013-07-05, which gives us 2013-07-05. Similarly, the maturity
date is the latter of 2013-08-06 and 2013-08-05, which is 2013-08-06.
Next the cross spot and maturity date are calculated. Before multiplying the pair, the rates are adjusted sothat the spot or maturity date of either leg aligns with that of the cross pair. For CAD, the spot date needs
to be adjusted to 2013-07-05 from 2013-07-03. The adjusted spot rate is calculated in the following steps:
𝑃𝑃𝐷 𝐶𝐴𝐷 =(1.05375 − 1.0529)= 0.000025(2013 − 08 − 06) − (2013 − 07 − 03)

Days between the original spot date and the cross-spot date:(2013 − 07 − 05) − (2013 − 07 − 03) = 2
The adjusted CAD spot rate is:1.0529 + 0.000025 ∗ 2 = 1.05295
The maturity date of the one-month CAD contract is the same as the maturity date of the cross rate andtherefore, there is no adjustment to the one-month CAD forward rate.
For EUR, the spot date is unchanged compared to the cross-pair but the one-month forward maturity dateneeds to be adjusted from 2013-08-05 to 2013-08-06. The adjusted forward rate is calculated as:
𝑃𝑃𝐷 𝐸𝑈𝑅 =(0.768167 − 0.768256)= −0.000003(2013 − 08 − 05) − (2013 − 07 − 05)

Days between the original spot date and the cross one-month maturity date:(2013 − 08 − 06) − (2013 − 07 − 05) = 32
The adjusted EUR one-month forward rate is:0.7683 + (−0.000003) ∗ 32 = 0.768164
Currency

Trade date

Adjusted spot date

Adjusted spot rate

Adjusted maturity
date

Adjusted 1M
forward rate

CAD

2 July 2013

5 July 2013

1.05295

2013-08-06

1.05375

EUR

2 July 2013

5 July 2013

0.7682562013-08-06

0.768164

Now the rates are crossed by multiplying the two:
EUR/CAD spot rate = CAD adjusted spot rate* (1/EUR adjusted spot rate)= 1.05295 * (1/0.768256)= 1.370572
EUR/CAD 1M rate = CAD adjusted one-month rate* (1/EUR adjusted one-month rate)= 1.05375*(1/0.768164)= 1.371777

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Russell Currency Hedging Methodology, v1.5, May 2023

Section 4

Further information

4.

Further information
A Glossary of Terms used in FTSE Russell’s ground rule documents can be found using the following link:
Glossary.pdf
For further information, visit www.lseg.com/en/ftse-russell/ or e-mail info@ftserussell.com. Contact details
can also be found on this website.

FTSE Russell

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Disclaimer© 2023 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank
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FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt Capital Markets Limited (and its
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