Ground Rules

August 2024

FTSE 100 Declared
Dividend IndexMethodology
v2.3

lseg.com/en/ftse-russell

FTSE 100 Declared Dividend Index Methodology, v2.3, August 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 4
Section 3 FTSE Russell index policies ............................................................................................................................... 5
Section 4 FTSE 100 declared dividend index methodology ............................................................................................... 6
Appendix A Further information .......................................................................................................................................... 7

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Section 1Introduction

1.

Introduction

1.1This methodology is to be read in conjunction with the FTSE UK Index Series Ground Rules which areavailable at:
FTSE_UK_Index_Series.pdf

1.2

Available currencies

1.2.1

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

1.3

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.

1.4

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.

1.5Index 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.

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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 the periodicreviews;– 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 ProductGovernance Board before approval is granted.

1The 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 onindices 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

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

3.4Policy for Benchmark Methodology Changes

3.4.1

Details of FTSE Russell’s policy for making benchmark methodology changes can be accessed using thefollowing link:
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 ensure compliance with the IOSCO Principles for
Financial Benchmarks2, the European benchmark regulation3 and the UK benchmark regulation4.The FTSE
Russell Governance Framework can be accessed using the following link:
FTSE_Russell_Governance_Framework.pdf

3.6

Real Time Status Definitions

3.6.1

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

234

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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Section 4

FTSE 100 declared dividend index
methodology

4.

FTSE 100 declared dividend index methodology

4.1

Review methodology

4.1.1

The index will represent the cumulative value of ordinary cash dividends announced and paid by theindividual constituents of the underlying FTSE 100 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

4.2.1

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 Sterling, the published Sterling equivalent will beused, if available prior to the xd-date (for clarification, where no sterling equivalent is available prior to thexd-date then FTSE Russell do not wait for the company to publish the Sterling rate). If there is no Sterlingequivalent, the dividend will be converted to Sterling using the WM/Refinitiv 4PM rate the day before thestock goes xd.
If A plc and B plc each declared a dividend payment with an xd date of today, the following calculation
would occur:
CompanyDividend($)

Shares(m)Free FloatFactor

Market Value($m)

XD Adjustment(Market Value/Divisor)

A

1.25

61,4430.9

69,123.38

1.764

B

0.63

22,5791.0

14,224.77

0.363

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.
The starting value of the FTSE 100 Declared Dividend Index was taken to be the same as the FTSE 100
Dividend Index as at the close of business on 31 July 2011; no historical adjustment for dividends paid by
Royal Dutch Shell A before 31 July 2011 was made.

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Appendix A

Further information
A Glossary of Terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
Further information on the FTSE UK 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 FIEurope”), (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 100 Declared Dividend Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. FTSE International Limited is authorised and regulatedby the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark Services (UK) Limited is authorised and regulated by the Financial Conduct Authority as abenchmark administrator.
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