Market consultation

FTSE Global Equity Index Series andRussell Global Indexes Alignment

ftserussell.com

August 2017

FTSE Global Equity Index Series and Russell
Global Indexes Alignment
Responding to the Consultation
Please submit your response to the questions included in this consultation online athttps://www.surveymonkey.co.uk/r/QSDPTNTThe consultation will close on 15 September 2017.
Unfortunately, FTSE Russell will not be able to consider responses with incomplete contact details. You
will be asked to provide your details at the end of the survey. All responses will be treated asconfidential. FTSE Russell may publish a summary of the consultation responses, but no individual
response will be published and no respondent will be named.
If you have any questions about this survey, or if you encounter any technical issues, please contact
info@FTSERussell.com.

Introduction
Over the last two years, FTSE Russell has been working to align the methodologies of the FTSE Global
Equity Index Series (FTSE GEIS) and the Russell Global Indexes (RGI) to create a single global family thatreflects best investment practices globally. Several index construction aspects have already been aligned,
such as corporate action treatment, shares and free float. This consultation outlines the complete alignment
proposal and implementation timeline. FTSE Russell’s objective is to conclude this project by 30 June 2018.
FTSE Russell considered several key principles when aligning the two index series, including:
1. Indexes that reflect the current global investment opportunity set, balancing more frequent index
reviews whilst avoiding unnecessary turnover;
2. A consistent approach to constituting and maintaining the FTSE and Russell index series;
3. Limited disruption to the majority of clients benchmarked to FTSE Russell global indexes as defined1by assets benchmarked ;12016 FTSE Russell Benchmarked AUM: FTSE Global Equity Index Series $1.5T; Russell Global Indexes $43B). Data as ofDecember 31, 2016 as reported on March 31, 2017 by eVestment for institutional assets, Morningstar for retail mutual funds,
insurance products, and ETFs, and additional passive assets directly collected by FTSE Russell. AUM data includes blended
benchmarks and excludes futures and options. Passive assets directly collected by FTSE Russell have been removed from third party
sources to prevent double counting. No assurances are given by FTSE Russell as to the accuracy of the data.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20172

4. Maintenance of RGI as a global index appropriate for US investors benchmarked to the Russell US
Indexes including the Russell 3000 (R3);
5. A high level of client support throughout the transition process such as transition indexes,
development of new standard indexes, and limited name changes.
The proposed end-state comprises FTSE GEIS as FTSE Russell’s flagship global index series with RGIbecoming a variant of FTSE GEIS and renamed FTSE Russell Global Indexes (FTSE RGI). Index
construction parameters will be consistent across FTSE GEIS and FTSE RGI, including the application of the
FTSE GEIS regional relative approach across FTSE RGI. While Global ex-R3 constituents will be the samefor FTSE GEIS and FTSE RGI, US representation will differ: FTSE GEIS will continue to use FTSE USA
whilst FTSE RGI will include all R3 constituents along with those stocks with a US nationality assignment in
FTSE GEIS that are not eligible for membership of the R3.

Summary of Proposed Methodology Changes
Below is a summary of the proposed methodology changes to be implemented by June 2018:
1. FTSE GEIS will be extended to include micro-cap companies;
2. RGI will be integrated into the FTSE GEIS index family and renamed FTSE RGI:a. FTSE RGI will move to the FTSE GEIS regional index construction methodology, including
the entry/exit thresholds and size bandings;
b. R3 will remain a distinct subset of FTSE RGI;c.

The non-R3 constituents of FTSE RGI will be replaced by the non-R3 constituents of theextended FTSE GEIS index:
i. Shares outstanding and free-floats for constituents will be identical; the current
rounding of shares outstanding in Russell US indexes will cease;ii. Foreign ownership restrictions implemented in FTSE RGI will be those that apply toa US investor.

3. The non-R3 constituents of both FTSE RGI and FTSE GEIS will be reconstituted/reviewed
identically:a. One annual reconstitution in June, effective following the close on the fourth Friday of themonth:
i. The eligible universe of companies will be re-ranked into size bands in the presenceof buffers and their eligible securities tested for liquidity;
ii. Updates to free floats and shares outstanding will be applied without the use of
buffers.
b. Three enhanced quarterly reviews in March, September and December, effective as of theclose of the third Friday of the month:i. All constituents (not just those arising from spin-offs) will be re-ranked into size
bands in the presence of buffers;
ii. Existing constituents will be tested for liquidity and those that fail will be deleted;iii. Potential new constituents that failed the fast-entry test intra-quarter but which meetthe entry size thresholds and the liquidity criterion will be added;
iv. Updates to free floats and shares outstanding will be applied in the presence ofbuffers.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20173

4. The query periods and effective dates for the FTSE GEIS and RGI index series will be aligned.
5. Differences in nationality between FTSE GEIS and R3 will be addressed in two ways:
a. Securities that are constituents of the R3 but have non-US nationality assignments in FTSE
GEIS will be removed from the non-R3 component of FTSE RGI;
b. Securities that have an assigned nationality of US in FTSE GEIS that are ineligible formembership of the R3000 will be included amongst the non-R3 constituents of FTSE RGIwith a US nationality assignment.
6. FTSE RGI will assume the FTSE country classification scheme:a. Egypt, Latvia, Pakistan, Palestine, Qatar and South Korea will take their FTSE country
classifications in FTSE RGI;
7. To assist clients, two sets of transition indexes will be made available:
a. The FTSE RGI Transition Index will show the intended final state and will include South
Korea as a developed market;
b. The RGI Transition Index will incorporate the same methodology changes but will include
South Korea as an emerging market.
For information purposes, the indicative turnover that might be incurred in moving from various Russell
indexes to the transition index equivalents is provided in Appendix A.
The rest of this document summarises the current construction methodologies of the two index series andsets out the path FTSE Russell proposes to bring the two global index series into alignment. The
consultation questions invite feedback on the alignment path. Responses should be provided by 15
September 2017. These responses will be reviewed at the September meetings of the FTSE Russell
advisory committees and FTSE Russell will announce its intended course of action at the end of September
2017.

Current FTSE GEIS and RGI methodologies
This section summarises the current methodologies underlying the FTSE GEIS and RGI index families.
Historically, Russell indexes have been subject to an annual “reconstitution” whereas FTSE indexes havebeen subject to semi-annual, or in some cases quarterly, “reviews”. Those FTSE indexes that have semiannual reviews may in addition undergo “updates” in the non-review quarters.
To provide some consistency in the use of terminology in this consultation, FTSE Russell intends to use theterms as follows:“Reconstitution” refers to the process by which all index constituents are re-selected based on theapplication of a ranking process (by company size) and eligibility tests (by security) of the universe of
potential constituents. The ranking process may include allocation of companies to large, mid, small
and micro size bands. The eligibility tests may include tests for liquidity, free float and foreign
ownership restrictions, as well as testing both the type of company and its securities for eligibility.
“Review” refers to the process by which shares outstanding and free floats for existing constituentsare updated. Reviews may also undertake re-ranking of some, or all, securities into large, mid, small
and micro size. They may also test potential constituents that were not eligible for fast entry, andexisting constituents for liquidity. Unlike a full reconstitution, reviews would not test or re-rank theentire eligible universe, only existing constituents and potential additions.

FTSE GEIS
Under its current methodology, and consistent with the above terminology, FTSE GEIS is “reconstituted”
semi-annually in March and September. The reconstitutions take effect on the Monday following the third
FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20174

Friday. At reconstitutions, companies in each region are ranked by full capitalisation and the membershipsof the large, mid and small capitalisation size bands are determined by reference to the region’s total
capitalisation. To avoid unnecessary turnover between the various size bands, existing and new
constituents are subject to different entry and exit thresholds.
Once the eligible companies for the regional index have been determined, the securities of the companies
are tested individually to ensure that they meet the required hurdles for free float, liquidity and foreign
ownership headroom.
In addition to the semi-annual reconstitutions, new securities can be added at other times. New securities
that meet the thresholds for full and investable market capitalisation for fast entry are included five days after
the date of issue. Securities of companies that meet the standard entry criteria, but not those for fast
entrants, are eligible for inclusion at the June and December quarterly reviews.
There is no re-ranking of existing constituents in between the semi-annual index reconstitutions other than
the re-ranking of securities, both parents and children, which have been created as a result of spin-offs.

Russell Global Index
As with the Russell US indexes, the Russell Global Index is reconstituted annually in June. The
reconstitution takes effect on the Monday following the fourth Friday, unless the last Friday falls on 29th or
30th in which case the reconstitution takes effect on the preceding Friday. At reconstitution, companies of
the Russell 3000 are combined with large, mid and small cap constituents selected from a global ex-R3
universe which has been ranked by full market capitalisation.
Historically, shares outstanding were updated on a monthly basis in the presence of buffers. There were no
updates to company free floats between reconstitutions except in the presence of corporate events.
However, following the consultation issued in June 2016, the results of which took effect from June 2017,
share and free float updates will be conducted on a quarterly basis. IPOs will continue to be added
quarterly.

Current Situation
In June 2017, the numbers, definitions and update rules for shares outstanding and free floats for all FTSE
Russell indexes including the R3000, RGI and FTSE GEIS index series were brought into alignment. Goingforward, all index series, including FTSE index series such as FTSE UK Index Series, will have theirconstituents’ shares outstanding and free floats updated in June; no buffers will be applied for this update.
From September 2017, the shares and floats of constituents of the R3000, RGI and FTSE GEIS index series
will be updated in the presence of buffers at the quarterly reviews. This update process will ensure that theshares outstanding and free floats remain consistent across all FTSE Russell indexes.

Proposed Alignment Path
This section sets out the proposed path to align FTSE GEIS and the ex-R3 constituents of RGI. The
consultation questions that follow solicit feedback on these proposals. A summary of the proposed timetableis provided in Appendix B.

Reconstitution/Review Frequency
The FTSE GEIS indexes were originally reconstituted on a regional basis. Each region was reconstituted
annually, for example Developed Europe was reconstituted in September, North America in December, andDeveloped Asia-Pacific in March. In recognition of the growing demand for global products, and theexpressed desire of index users for the index memberships to be updated more frequently, FTSE GEIS
moved to two semi-annual reconstitutions at which all regions were reconstituted simultaneously in Marchand September.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20175

As these trends remain apparent, FTSE Russell intends to move the FTSE GEIS and RGI ex-R3 indexes toan annual reconstitution which will be supplemented by three enhanced quarterly reviews. The proposedchanges to the reconstitution/review methodology are summarised below. These proposals will have theadded benefit that the procedures used to maintain the FTSE Russell global indexes will be more closelyaligned with those used in the FTSE UK Index Series.

Reconstitution/Review Methodology
Given the significantly larger quantity of passive assets that track the FTSE GEIS indexes, it is intended thatthe regional index construction methodology, including the entry/exit thresholds and size bandings,
employed by FTSE GEIS will also be employed in FTSE RGI. At a later date, refinements to thisconstruction methodology might be adopted, for example to review certain countries in isolation and not as
part of a region.
At the annual reconstitution, the eligible universe of companies will be re-ranked and their eligible securities
tested for liquidity; updates to free floats and shares outstanding will be applied without the use of buffers.
As with the current FTSE GEIS quarterly updates, the enhanced quarterly reviews will incorporate updates tofree floats and shares outstanding in the presence of buffers, and potential new constituents that failed thefast-entry test intra-quarter but which meet the entry size thresholds and the liquidity criterion will be added.
In addition it is proposed that existing constituents will be tested for liquidity and those that fail will bedeleted.
Further, it is proposed that all constituents (not just those arising from spin-offs) will be re-ranked into large,
mid, small and micro segments at each of the enhanced quarterly reviews as well as at the annual
reconstitution. The procedure to be followed will be the same as that used in the current FTSE GEIS semiannual reconstitutions where, to minimise any undesired turnover that might arise from flip-flopping acrosssize boundaries, the re-ranking is undertaken using buffers.
Because the re-ranking under this proposal would take place four times a year, rather than the current twice,
it could be argued that the buffers used for the re-ranking should be wider than those currently employed.
Appendix C summarises the turnover that would have taken place for various buffer sizes had this process
been in place at previous quarterly updates. On the basis of this analysis, FTSE Russell proposes to use
inclusion thresholds that are 1.25 times the current FTSE GEIS inclusion thresholds (as set out in Rule 7.5.1of the FTSE GEIS Ground Rules), and exclusion thresholds that are the current FTSE GEIS exclusion
thresholds divided by 1.25.

Reconstitution/Review Timing
In order to ensure that both FTSE and Russell index series benefit from updates to shares and free floats
made as a result of queries received over the same query period, FTSE Russell proposes to align thetimetables used for the index reviews and reconstitutions.
For reviews that take place in March, September and December, an effective date of the close of the third
Friday of the month will continue to be used. This is the current practice for FTSE index series and coincides
with the roll date of index futures contracts. However, for the June reconstitution, FTSE Russell proposesthat all FTSE and Russell indexes should adopt the practice of the Russell US indexes and become effective
following the close on the fourth Friday of the month (unless the last Friday falls on the 29th or 30th in whichcase it will take effect on the previous Friday). This will allow all FTSE Russell index series to adhere to thesame timetable for queries and lock-down periods and ensure that shares outstanding and free floats can be
updated consistently.

Nationality Assignments in FTSE RGIIn constructing FTSE RGI as the union of the R3000 and the non-R3 constituents of FTSE GEIS, a small
number of securities that are constituents of the R3 but have non-US nationality assignments in FTSE GEISFTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20176

will be double-counted. See Appendix D for an indicative list of such securities based on the June 2017reconstitution. FTSE Russell proposes to remove these securities from the non-R3 component of FTSE
RGI.
In addition to the above, there will be some securities that have an assigned nationality of US in FTSE GEIS
that are ineligible for membership of the R3000. Please see Appendix E for an indicative list of suchsecurities based on the June 2017 reconstitution. FTSE Russell proposes to include these securities
amongst the non-R3 constituents of FTSE RGI with a US nationality assignment.

Country Classification in FTSE RGIFTSE Russell proposes to bring the FTSE and Russell country classification schemes into alignment in June
2018. At this reconstitution, Egypt, Pakistan, Qatar, Latvia, Palestine, South Korea will take their FTSE
country classifications in FTSE RGI. To provide sufficient time for those RGI users that have mandates inwhich South Korea is classified as an emerging market to change their fund documentation, FTSE Russell
will, for an additional six month period, also offer an RGI continuation index that incorporates all of the
proposed methodology and country classification changes with the exception that South Korea will remainclassified as am emerging index.

Transition Indexes
To help index users to prepare for the move from RGI to FTSE RGI, two sets of transition indexes will bemade available from December 2017. The FTSE RGI Transition Indexes will incorporate all of the proposed
methodology changes and, as with FTSE GEIS, will include South Korea as a developed market. These willbe the standard transition indexes that will represent the end state of the alignment exercise. However, tohelp users that have mandates that classify South Korea as an emerging market, a set of RGI Transition
Indexes will also be made available. These will be identical to the FTSE RGI Transition Indexes save for theclassification of South Korea as an emerging market.
In June 2018, the FTSE RGI Transition Indexes will be terminated and the FTSE RGI series will go live;
FTSE RGI variants such as “Developed - South Korea” and “Emerging + South Korea” will be madeavailable. At the same time, the existing RGI indexes will be reconstituted to become identical to the RGITransition Indexes and the RGI Transition Indexes will be terminated. At this point, the FTSE RGI and RGI
index series will be identical apart from their name and the classification of South Korea. For example, “RGIEmerging” will be identical to “FTSE RGI Emerging + South Korea”.
The RGI index series will itself be terminated in December 2018 at which point users will be able to switch to
the equivalent FTSE RGI indexes including the “Developed - South Korea” and “Emerging + South Korea”
variants. This proposal is intended to maintain the history and naming of the RGI index for a further six
month period so that managers of mandates benchmarked to RGI indexes will have additional time toforewarn investors and make any necessary changes to fund documentation.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 2017

7

The table below shows an example of how the transition indexes will work for managers currently
benchmarked to the Russell Emerging Index.

Index Series

Dec 2017

June 2018

Dec 2018

FTSE RGIFTSE RGI Emerging Transition
Index launched(South Korea excluded)

FTSE RGI Emerging Index goes
live
(South Korea excluded)
FTSE RGI Emerging Index +South Korea variant available
Transition index
decommissioned

RGI Emerging clientsswitch to FTSE RGIEmerging Index + South
Korea(identical constituents)

RGI

RGI Emerging Transition Index
launched(South Korea included)

Russell Emerging Index
reconstituted to be identical to
FTSE RGI Emerging Transition
Index(South Korea included)
Transition Index terminated

Russell Emerging Index
terminated

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20178

Consultation Questions
Reconstitution/Review Extent
FTSE Russell proposes that for the March, September and December enhanced quarterly reviews, existing
constituent securities will be re-ranked and re-tested against the liquidity thresholds. These steps would bein addition to the current FTSE GEIS quarterly updates at which shares outstanding and free float updates
are implemented in the presence of buffers, and potential additions that didn’t meet the fast-entry criteria aretested against the entry size and liquidity thresholds.
1. Do you agree with FTSE Russell’s proposals with respect to the enhanced quarterly reviews?

☐ A. Yes, the quarterly reviews should include re-ranking and liquidity testing of constituents☐ B. No, the quarterly reviews should include liquidity testing of constituents but not re-rank securities(other than those created by spin-offs intra-quarter)☐ C. No, the quarterly reviews should re-rank all constituents but not test the liquidity of existing
constituents☐ D. No, the quarterly reviews should only update shares outstanding and free-floats, and re-rank
securities formed during spin-offs (as in the current FTSE GEIS quarterly updates)
Please provide any comments in the box below.

Buffer Sizes
2. Do you agree that the entry and exit buffers that should be applied at the March, September andDecember reviews should be set to 1.25 times the existing entry buffer, and the existing exit
buffer divided by 1.25 respectively? Please see Appendix C for some sample analysis.

☐ A. Yes, a multiplier/divisor of 1.25 is appropriate☐ B. No, the same buffer rules currently used in the FTSE GEIS semi-annual reviews should be used
☐ C. No, a multiplier/divisor of 1.5 should be used
Please provide any comments in the box below.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 20179

Intra-Review Events
The proposed quarterly reviews include the re-ranking of all securities whereas in the current quarterly
updates, only securities formed through spin-offs are re-ranked. As an alternative, securities formed bycorporate events such as spin-offs and mergers could be ranked at the time of the event.
3. When do you think securities formed as the result of spin-offs should be re-ranked?

☐ A. At the next quarterly review☐ B. At the time of the event
4. When do you think securities formed as the result of mergers and acquisitions should be reranked?

☐ A. At the next quarterly review☐ B. At the time of the event
Please provide any comments in the box below.

Alignment of Effective Dates, Query Periods and Lock-Down Periods
5. Do you agree with FTSE Russell’s proposal to align the effective date of the June FTSE index
reconstitutions/reviews with that used for Russell indexes (the fourth Friday, unless the last
Friday falls on the 29th or 30th in which case the previous Friday is used)?

☐ A. Yes, FTSE GEIS, FTSE RGI and Russell US should reconstitute on the fourth Friday in June
☐ B. No (please explain why not)Please provide any comments in the box below.

Nationality Assignments in FTSE RGI
6. Do you agree with FTSE Russell’s proposal to include in FTSE RGI those securities that have a
US nationality assigned in FTSE GEIS but which are not eligible constituents of the R3000?
Please see Appendix D for an indicative list of securities.

☐ A. Yes, include securities that have a US nationality assigned in FTSE GEIS but are not in the R3
and assign them US nationality☐ B. No, it would be better to exclude these securities from FTSE RGI☐ C. No, some other method of resolution would be preferred (please say what)
Please provide any comments in the box below.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201710

Transition Indexes (for RGI users only)
7. To allow current RGI users who have mandates that include South Korea as an emerging market
to change any necessary documentation, FTSE Russell will provide a set of RGI Transition
Indexes that classify South Korea as an emerging market. The existing RGI indexes will bereconstituted in June 2018 to become identical to the Transition Indexes and will run for a further
six months thereafter before being terminated. Do you agree with FTSE Russell’s proposed
approach?

☐ A. Yes, the index transition period ending December 2018 is sufficient☐ B. No, a longer timetable would be preferred (please say what)
Please provide any comments in the box below.

Alignment Timetable
8. FTSE Russell’s proposed timeline for the creation of FTSE RGI is attached in Appendix B. Pleaseprovide any comments in the box below.

General Queries
9. Are there any other points that you would like FTSE Russell to consider to ensure that FTSE
GEIS and FTSE RGI methodologies remain at the forefront of best practice? Please provide any
comments in the box below.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201711

Appendix A
Indicative Two-way Turnover between RGI and FTSE GEISThe figures in the tables show the indicative two-way turnover that would be incurred by an investment
mandate moved from tracking an RGI index to tracking either the FTSE RGI (South Korea as developed) or
RGI (South Korea as emerging) Transition Index equivalent. The turnover figures were calculated as of 26
June 2017 (after the June reconstitution) but with the following assumptions for the Transition Indexes:

the N-share changes planned for FTSE GEIS in September had already taken place;stocks assigned a US nationality in FTSE GEIS that are not eligible for membership of R3 areincluded;stocks that are constituents of FTSE GEIS ex-US that have been duplicated because they are also
members of R3 are removed from the non-R3 components;
the planned micro-cap extension of FTSE GEIS is not included.

The last assumption was made because the precise definition of the micro-cap extension has yet to be
determined. In practice, the Transition Indexes will launch in December 2017 including micro-caps and thedifferences in number of constituents and the turnover incurred will therefore be smaller than show in thesetables.

Table A.1: Current Russell Index Statistics
Number ofConstituents

Investible Market
Cap (USD Millions)

Russell Global Index

10,106

61,614,002.38

Russell Global ex-R3 Index

7,103

34,403,098.35

Russell Developed ex- R3 Index

4,181

23,364,934.04

Russell Developed Index

7,184

50,575,838.07

Russell Emerging Index

2,922

11,038,164.31

Russell South Korea Index

476

1,281,717.61

Russell Developed Large Cap ex United States Index

1,480

20,617,240.66

Russell United States Index

3,003

27,210,904.03

Index

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201712

Table A.2: FTSE RGI Transition Index Statistics
FTSE RGI Transition Index (South Korea as Developed)

Number ofConstituents

Investible
Market Cap(USDMillions)

Two Way
Turnover(USD
Millions)

Turnoverfrom RGI
Equivalent as
a % ofCurrent Index

Russell Global Index

8,934

60,377,442.22

2,020,904.69

3.279944%

Russell Global ex-R3 Index

5,931

33,166,538.20

2,020,904.69

5.874194%

Russell Developed ex- R3 Index

3,808

23,913,815.48

2,421,049.75

10.361894%

Russell Developed Index

6,811

51,124,719.51

2,421,049.75

4.786969%

Russell Emerging Index

2,123

9,252,722.71

2,211,185.72

20.032187%

Russell South Korea Index

391

1,249,424.43

61,277.35

4.780877%

1,482

20,916,804.77

2,933,506.91

14.228417%

3,042

27,443,679.07

217,979.00

0.801072%

Index

Russell Developed Large Cap ex
United States Index
Russell United States Index

Table A.3: RGI Transition Index Statistics
RGI Transition Index (South Korea as Emerging)

Index

Investible
Market Cap(USDMillions)

Two Way
Turnover(USD
Millions)

8,934

60,377,442.22

2,020,904.69

3.279944%

5,931

33,166,538.20

2,020,904.69

5.874194%

3,417

22,664,391.05

1,171,625.31

5.014460%

6,420

49,875,295.08

1,171,625.31

2.316571%

2,514

10,502,147.14

976,253.37

8.844345%

391

1,249,424.43

61,277.35

4.780877%

1,356

19,847,987.84

1,864,689.98

9.044324%

3,042

27,443,679.07

217,979.00

0.801072%

Number ofConstituents

Turnover fromRGI Equivalent
as a % ofCurrent Index

Russell Global Index
Russell Global ex-R3 Index
Russell Developed ex- R3 Index
Russell Developed Index
Russell Emerging Index
Russell South Korea Index
Russell Developed Large Cap ex
United States Index
Russell United States Index

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201713

Appendix B
FTSE GEIS and RGI Proposed Alignment Timetable
September 2017


FTSE GEIS semi-annual reconstitution occurs as normal using end June cut-off date but with newshares outstanding and free float buffer rules

Implement new China nationality rule

Deliver files for Asia Pacific indexes that include China at global close

RGI is not reconstituted except:Shares outstanding and free floats are updated according to new buffer rules to maintainalignment with R3 and FTSE GEIS

IPOs are included based on 2016 breakpoints adjusted for performance and effective after closeon third Friday

December 2017


Extend FTSE GEIS to cover global microcap securities and launch FTSE Global Microcap IndexSeries (Global Microcap)

Launch “FTSE RGI Transition Index”


R3 + FTSE GEIS ex-R3 + microcaps


Size banding and constituent selection as per FTSE GEIS methodology



FTSE country classification scheme used including for Egypt, Pakistan, Qatar, Latvia, Palestineand South Korea



FTSE RGI Style Indexes will be based on the current Russell methodology

Launch “RGI Transition Index”oAs per FTSE RGI Transition Index with the exception that South Korea will be classified as
an emerging market

R3, FTSE GEIS, and RGI shares outstanding and free floats are updated with buffers applied as
usual



R3 IPO additions

March 2018
FTSE GEIS semi-annual review replaced by quarterly update



FTSE GEIS, Global Microcap, R3, RGI, RGI Transition Index and FTSE RGI Transition index
constituent shares outstanding and free floats updated with buffers applied

R3 IPO additions

June 2018
FTSE GEIS, Global Microcap, RGI Transition Index ex-R3 and FTSE RGI Transition Index ex-R3
reconstituted according to enhanced FTSE GEIS regional methodology


Existing and potential constituents tested for liquidity

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201714All companies re-ranked with size buffers

Shares outstanding and free floats updated with no buffers applied



FTSE RGI goes live constituted identically to FTSE RGI Transition Index

RGI reconstituted to be identical to RGI Transition Index



FTSE RGI Transition Index and RGI Transition Index series terminated

R3 reconstitution as usual

July 2018


Non-R3 constituents, shares and free floats are identical in RGI, FTSE GEIS, FTSE RGI and global
microcap indexesR3 shares and free floats are identical in R3, RGI, FTSE RGI, FTSE GEIS and Global Microcap

September 2018Enhanced quarterly review for global indexesFTSE GEIS, Global Microcap, RGI and FTSE RGI constituent shares outstanding and free floats
updated with buffers appliedCompanies re-ranked with buffers and liquidity tested

R3 constituent shares outstanding and free floats updated with buffers applied

R3 IPO additions

December 2018Enhanced quarterly review for global indexesFTSE GEIS, Global Microcap, and FTSE RGI constituent shares outstanding and free floats
updated with buffers appliedCompanies re-ranked with buffers and liquidity tested

RGI index terminatedoUsers who wish to do so switch to FTSE RGI equivalents, e.g. FTSE RGI Emerging + South
Korea Index, and FTSE RGI Developed - South Korea Index

R3 constituent shares outstanding and free floats updated with buffers applied

R3 IPO additions

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201715

Appendix C
Indicative Turnover at Quarterly Reviews for Various Buffer Sizes
The tables in this appendix show the indicative number of existing constituents that would have moved
between large, mid and small size bands, and the associated turnover that would have been incurred, had
the re-ranking procedure used in the current FTSE GEIS semi-annual reconstitution in March and
September also been used in the non-reconstitution quarters of June and December. The turnover numbersin the tables do not include the turnover arising from the usual free float and share updates, nor do they
include the turnover arising from quarterly adds of new (non-fast entrant) constituents under the current
FTSE GEIS Ground Rules (Rule 8.1.3B). For investment mandates that track large, mid or small caps, theindicative turnover between large and mid, and between mid and small in the June and December quarters
would therefore be incurred in addition to the turnover arising from the current FTSE GEIS quarterly update
methodology.
Table C.1 shows the movements and turnover that would have occurred using the current FTSE GEIS
inclusion and exclusion bands set out in Rule 7.5.1 in the FTSE GEIS Ground Rules. Table C.2 shows thefigures if the inclusion thresholds are raised to 1.25 times the figured in table in Rule 7.5.1, and the exclusion
thresholds are divided by 1.25. Table C.3 repeats the exercise with a multiplier/divisor of 1.5. The “flipflopping between caps” figures show the number of constituents which would have moved size band in theprevious quarter and then moved back in the next quarter. The figures for flip-flopping between eligible andineligible reflect the constituents that would have dropped out of the index in the previous quarter but whichwere sufficiently large to be re-included in the next quarter.

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201716

Table C.1
Inclusion threshold = 1.0 x FTSE GEIS inclusion thresholdExclusion threshold = FTSE GEIS exclusion threshold/1.0
June 2016
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p

Lea vi ng

Sept 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Dec 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Ma rch 2017 Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

June 2017
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Joi ni ng
4560
63
35 N/AJoi ni ng
156553
10 N/AJoi ni ng
382940
26 N/AJoi ni ng
154251
12 N/AJoi ni ng
2430
36
19 N/A% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover39 210,735.30
271,440.82
60,705.52
0.208206% 482,176.11
1.653750%
64 289,490.96
272,458.88 - 17,032.08
0.269730% 561,949.84
8.899367%
30
77,631.21
27,623.96 - 50,007.25
1.061271% 105,255.16
2.233762%
6,333.81- 6,333.81
0.015762%
6,333.81
0.015762%

MC Lea vi ng MC Joi ni ng
51
75,186.88
289,439.47
55 299,637.35
233,977.89
17 162,155.13
12,234.08
1,327.93
3
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover214,252.59
0.707138% 364,626.35
1.203445%- 65,659.46
1.007346% 533,615.25
8.186713%- 149,921.05
3.073084% 174,389.21
3.574633%
1,327.93
0.003185%
1,327.93
0.003185%
12
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
16 188,600.75
121,491.42
42 139,397.05
209,822.23
23
44,941.23
36,690.77
4,934.61
9
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover- 67,109.33
0.214108% 310,092.17
0.989329%
70,425.18
1.067618% 349,219.28
5.294025%
8,250.45
0.165134%
81,632.00
1.633876%
4,934.61
0.011493%
4,934.61
0.011493%
1
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
36
51,807.24
282,729.53
47 290,011.82
177,526.03
13 142,255.51
21,368.41
2,450.60
2
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover230,922.30
0.690787% 334,536.77
1.000743%- 112,485.79
1.582436% 467,537.85
6.577262%- 120,887.10
2.283793% 163,623.91
3.091175%
2,450.60
0.005347%
2,450.60
0.005347%
9
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
22
92,331.58
190,755.29
32 197,556.47
153,636.54
1775,858.54
17,173.51
4,181.25
3
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover98,423.71
0.284319% 283,086.88
0.817759%- 43,919.93
0.605343% 351,193.01
4.840449%- 58,685.03
1.090464%
93,032.05
1.728689%
4,181.25
0.008848%
4,181.25
0.008848%
2
El i gi bl e/Inel i gi bl e

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201717

Table C.2
Inclusion threshold = 1.25 x FTSE GEIS inclusion thresholdExclusion threshold = FTSE GEIS exclusion threshold/1.25
June 2016
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p

Lea vi ng

Sept 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Dec 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Ma rch 2017 Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

June 2017
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Joi ni ng
81223
16 N/AJoi ni ng
7
22
19
6 N/A

Joi ni ng
15
14
13
8 N/A

Joi ni ng
8
13
14
6 N/A

Joi ni ng
8
13
22
9 N/A

% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover1
18,650.13
2,174.36 - 16,475.77
0.056508%
20,824.49
0.071423%
8
11,311.18
29,237.75
17,926.57
0.283896%
40,548.92
0.642157%
18
25,685.83
22,233.83 3,452.00
0.073260%
47,919.66
1.016968%
2,001.19- 2,001.19
0.004980%
2,001.19
0.004980%

MC Lea vi ng MC Joi ni ng
16
22,395.48
127,503.61
19 131,951.97
71,453.88
750,185.79
4,497.96
1,077.79
0
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover105,108.13
0.347771% 149,899.08
0.495971%- 60,498.09
0.923969% 203,405.85
3.106557%- 45,687.83
0.926971%
54,683.75
1.109491%
1,077.79
0.002585%
1,077.79
0.002585%
5
El i gi bl e/Inel i gi bl e

% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover7
60,008.28
77,970.23
17,961.95
0.057566% 137,978.50
0.442209%11
87,781.67
37,207.11 - 50,574.57
0.765843% 124,988.78
1.892686%
16
15,964.06
47,619.18
31,655.12
0.616873%
63,583.25
1.239066%
957.49- 957.49
0.002230%
957.490.002230%00Between Ca ps
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
1121,196.20
96,334.57
11
97,742.53
61,535.77
752,341.52
12,799.53
610.380
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover75,138.37
0.225184% 117,530.78
0.352231%- 36,206.76
0.518534% 159,278.30
2.281101%- 39,541.99
0.720892%
65,141.04
1.187590%
610.380.001332%
610.380.001332%
6
El i gi bl e/Inel i gi bl e

% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover78,140.55
35,883.01
27,742.46
0.080683%
44,023.55
0.128034%
15
41,582.17
68,023.14
26,440.97
0.366558% 109,605.30
1.519487%
12
64,750.90
9,376.58 - 55,374.32
0.978687%
74,127.48
1.310131%
1,190.89- 1,190.89
0.002520%
1,190.89
0.002520%
00Between Ca ps
El i gi bl e/Inel i gi bl e

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201718

Table C.3
Inclusion threshold = 1.5 x FTSE GEIS inclusion thresholdExclusion threshold = FTSE GEIS exclusion threshold/1.5
June 2016
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p

Lea vi ng

Sept 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Dec 2016
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Ma rch 2017 Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

June 2017
Lea vi ng
La rge Ca p
Mi d Ca p
Sma l l Ca p
Al l Ca p
Fl i p Fl oppi ng

Joi ni ng
5
3
11
9 N/A

Joi ni ng
3
10
13
6 N/A

Joi ni ng
11
4
6
2 N/A

Joi ni ng
5
8
8
5 N/A

Joi ni ng
7
6
8
5 N/A

% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover0
11,786.96- - 11,786.96
0.040426%
11,786.96
0.040426%
22,508.57
6,002.47
3,493.90
0.055331%
8,511.05
0.134786%
8
6,821.24
14,295.54
7,474.29
0.158622%
21,116.78
0.448148%
818.77- 818.77
0.002038%
818.770.002038%

MC Lea vi ng MC Joi ni ng
42,050.47
42,538.37
847,432.25
40,395.07
839,898.44
5,804.80
642.920
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover40,487.91
0.133942%
44,588.84
0.147508%
7,037.19
0.107745%
87,827.32
1.344711%- 34,093.64
0.689915%
45,703.24
0.924846%
642.920.001542%
642.920.001542%
2
El i gi bl e/Inel i gi bl e

% Net
Two-wa y% Two-wa y
MC Lea vi ng MC Joi ni ng Net Turnover Turnover
TurnoverTurnover3
41,226.53
72,239.60
31,013.07
0.099573% 113,466.12
0.364303%
673,659.84
19,190.80 - 54,469.04
0.820362%
92,850.63
1.398430%
10
15,224.17
38,570.25
23,346.08
0.453170%
53,794.42
1.044203%109.89- 109.89
0.000256%109.890.000256%00
Between Ca ps
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
411,665.37
18,333.84
421,685.25
16,800.03
8
16,577.09
14,351.03
442.81
1
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover6,668.47
0.020018%
29,999.21
0.090052%
4,885.22
0.069554%
38,485.28
0.547939%
2,226.06
0.040478%
30,928.12
0.562388%
442.810.000966%
442.810.000966%
1
El i gi bl e/Inel i gi bl e

MC Lea vi ng MC Joi ni ng
312,866.01
20,466.70
322,355.99
17,346.14
10
17,778.11
14,755.30
431.970
Between Ca ps% Net
Two-wa y% Two-wa y
Net Turnover Turnover
TurnoverTurnover7,600.69
0.022188%
33,332.70
0.097305%
5,009.85
0.068740%
39,702.13
0.544756%
3,022.81
0.052922%
32,533.41
0.569584%
431.970.000914%
431.970.000914%0
El i gi bl e/Inel i gi bl e

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201719

Appendix D
Table D.1
Indicative list of securities which are constituents of the R3000 but have non-US nationality in FTSE indexes.
FTSE
GEIS Size
MarkerFTSE
Assignment

Dev/EmDescription

SEDOL

ISIN

TickerIn FTSEGEIS?

Tahoe Resources Inc.

B4WHL92

CA8738681037

TAHO UNYS

CanadaD

Qiagen N.V.

BYXS688

NL0012169213

QGEN UWY

M

GermanyD

SeaDrill Ltd.

B0HWHV8

BMG7945E1057

SDRL UN

YS

NorwayD

MDC Partners Inc. Cl A

2574495

CA5526971042

MDCA UWN

N/A

CanadaD

Mirati Therapeutics Inc

BBPK0J0

US60468T1051

MRTX URN

N/A

CanadaD

Nobilis Health Corp

BTF30Y0

CA65500B1031

HLTH UAN

N/A

CanadaD

Xbiotech

BWD1LM2

CA98400H1029

XBIT UWN

N/A

CanadaD

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201720

Appendix E
Table E.1
Indicative list of FTSE GEIS Constituents with an assigned FTSE nationality of US that are either current
RGI ex-R3 constituents with a non-US Russell assigned nationality, or which are not current Constituents of2
RGI.
DescriptionSEDOL

RGI Family
Flag

Russell
Assignment

Dev/EmFTSE RGI
Family Flag

Adecoagro SA

B65BNQ6S

LU

DevelopedS

AerCap Holdings N.V.

B1HHKD3

M

IE

DevelopedM

Arcos Dorados Holdings

B529PQ0

N/A

N/A

N/A

S

Atlantica Yield plc

BLP5YB5S

GB

Developed

S

Autoliv

2064253

M

SE

Developed

M

Avon Products

2066721S

GB

Developed

S

Blackstone Mortgage Trust

B94QHZ0

N/A

N/A

N/A

S

Canadian Solar

B1GKCH1SCA

Developed

S

2181334

LIL

Developed

M
S

Check Point Software
China Biologic Products Inc.

B188VY3

M

CN

Emerging

Cobalt International Energy

BDT5NJ6

N/A

N/A

N/A

S

Coca-Cola European Partners

BYQQ3P5

L

GB

Developed

M

Constellium Holdco BV

B9B3DX4SNL

Developed

S

Core Laboratories

2182531M

NL

DevelopedM

Cosan Ltd. Cl A

B23Z3F1S

BR

Emerging

S

CyberArk Software

BQT3XY6SIL

Developed

S

Ferroglobe PLC

BYW6GV6S

GB

Developed

S

Flex

2353058

M

SG

Developed

M

Globant SA

BP40HF4S

LU

Developed

S

Hollysys Automation Technologies Ltd.

B0JCH50

S

CN

Emerging

S

Icon PLC

B94G471

M

IE

Developed

S

Interxion Holding

B66QLT9M

NL

Developed

S

Janus Henderson GroupBYPZJQ6

M

GB

Developed

M

Jazz Pharmaceuticals

B4Q5ZN4M

IE

Developed

M

Kulicke Soffa

2498001S

SG

Developed

S

Liberty Global plc Cl A

B8W6766

L

GB

DevelopedL

Liberty Global plc Cl C

B8W67B1

L

GB

DevelopedL

Liberty LiLAC Group Cl A

BTC0M71

M

GB

Developed

S

Liberty LiLAC Group Cl C

BTC0MD7

M

GB

Developed

S

Luxoft Holding Inc

BBMT8Y1SCH

DevelopedS

Mellanox Technologies Ltd

B1R96S6SIL

DevelopedS

MercadoLibre Inc.

B23X1H3

N/A

N/A

N/A

S

Mobileye N.V.

BPBFT01

M

IL

Developed

M

Orbotech Ltd

2661784

SIL

Developed

S

Seagate Technology

B58JVZ5

M

IE

Developed

M

SeaspanB0GNP30SHK

DevelopedS

SHOPIFY INC

BX865C7MCA

Developed

S

SINA

2579230

M

CN

Emerging

S

Sohu.com

2608123

S

CN

Emerging

S

Taro Pharm Inds

2872423

M

IL

DevelopedS

TE Connectivity

B62B7C3L

CH

Developed

L

Weibo ADS (STOCK OPTION)

BD8F290

M

CN

Emerging

S

Wix.com

BFZCHN7SIL

DevelopedS

Yandex N.V. Cl A

B5BSZB3M

NL

DevelopedM

2

Berkshire Hathaway Class A shares are not included in the table as they are catered for by the primary vehicle rule in the R3

FTSE Russell | FTSE Global Equity Index Series and Russell Global Indexes Alignment – August 201721

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