Ground Rules

October 2023

Russell 2000 DividendIndex Ground Rules
v1.5

lseg.com/en/ftse-russell

Russell 2000 Dividend Index Ground Rules, v1.5, October 2023

ContentsSection 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 4
Section 3 FTSE Russell Index policies ............................................................................................................................... 5
Section 4 Index methodology ............................................................................................................................................. 6
Appendix A Further information .......................................................................................................................................... 8FTSE Russell

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Section 1Introduction

1.

Introduction

1.1.1

These Ground Rules should be read in conjunction with the Russell US Equity Indices Construction andMethodology which can be accessed through the links below:
Russell-US-indices.pdf

1.2

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.

1.3

The Russell 2000 Dividend Index does not take account of ESG factors in its index design.

1.4

The base currency of the benchmark is US Dollars (USD). Index values may also be published in othercurrencies.

1.5

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.

1.6

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

FTSE Russell

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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 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 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.

2.2

Amendments to these Ground Rules

2.2.1

These Ground Rules shall be subject to regular review (at least once a year) by FTSE Russell to ensure thatthey continue to best reflect the aims of the index. 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.

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).

FTSE Russell

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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 through the links below:

3.1

Queries and complaints

3.1.1

FTSE Russell’s complaints procedure can be accessed through the following link:
FTSE_Russell_Benchmark_Determination_Complaints_Handling_Policy.pdf

3.2

Index policy for trading halts and market closures

3.2.1

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

3.3

Index policy in the event clients are unable to trade a market or a security

3.3.1

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

3.4

FTSE Russell policy for benchmark methodology changes

3.4.1

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

3.5

FTSE Russell Governance framework

3.5.1

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 forFinancial Benchmarks2, the European benchmark regulation3 and the UK benchmark regulation4. The FTSERussell Governance framework can be accessed through the following link:
FTSE_Russell_Governance_Framework.pdf

234IOSCO 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.

FTSE Russell

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Section 4Index methodology

4.

Russell 2000 Dividend Index

4.1

Review methodology
The index will represent the cumulative value of ordinary cash dividends announced and paid by theindividual constituents of the underlying Russell 2000 Index, calculated in terms of index points. No
adjustment for withholding taxes will be made.
FTSE Russell will rebase the index to 0 at the start of the first trading day following the third Friday inDecember each year.

4.2

Ex-Dividend adjustment
The ex-dividend (xd) adjustment represents the value of dividends declared by constituent companies on
the xd date expressed in index points. The xd adjustment year to date is the calculation on a cumulativebasis for the period between and including the first trading day following the 3rd Friday in December to midday on the 3rd Friday in December of the following year. Xd adjustments are based on declared dividends.
The xd adjustment is calculated as follows:Market value of dividends
Latest index divisor
If a company declares a dividend in a currency other than US Dollar, the published USD equivalent will beused, if available prior to the xd-date. If there is no USD equivalent, the dividend will be converted to USD
using the WM/Refinitiv 4PM rate the day before the stock goes xd.

4.3

Corporate actions adjustment
The index will follow the standard FTSE Russell corporate action adjustments as detailed in the following
document:
Corporate_Actions_and_Events_GuideFor example, if a company distributing an ordinary dividend subsequently announces a retraction (i.e.
dividend is no longer being paid), FTSE Russell will apply a corrective negative adjustment with T+1 notice.
Please refer to Rule 4.2 ordinary dividends, special dividends, and capital repayments in the corporate
actions and events guide for additional information.

FTSE Russell

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4.4

Index calculation example
If Company A and B each declared a dividend payment with an xd date of day T, the following calculation
would occur to derive the xd adjustment on day T:
Dividend($)

Shares(m)Free float factor

Market value($m)

XD adjustment(market value/divisor)

A

1.25

61,4430.9

69,123.38

1.97

B

0.63

22,5791.0

14,224.77

0.81

Company

Total xd adjustment for index

2.127

Index divisor = 39,183

The method for calculating the xd adjustment uses the divisor as at the close of business on the preceding
day after implementing any capitalisation changes. Where a company has more than one line of shares
included in the indices, the xd adjustment is calculated separately for each line.

FTSE Russell

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Appendix A

Further information
A glossary of terms used in FTSE Russell’s Ground Rule documents can be found through the following link:
Glossary.pdf
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/

FTSE Russell

8 of 9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) FrankRussell 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) The Yield Book Inc (“YB”) and (7) Beyond Ratings S.A.S. (“BR”). All rights reserved.
The Russell 2000 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, FTSE FI Europe, YB and BR. “FTSE ®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield
Book®” “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by theapplicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR.
All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can beaccepted 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 orimpliedly, either as to the results to be obtained from the use of Russell 2000 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 and nothing in this document should be taken as
constituting financial or investment advice. No member of the LSE Group nor their respective 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 or whether such investment creates any legal or compliance risks for the investor. Indexes cannot beinvested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset nor confirmation that any particular investor may lawfully buy, sell or holdthe asset or an index containing the asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice
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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 and distribution 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, FTSE FI Europe, YB, BR and/or their respective licensors.

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