Ground Rules

October 2023

FTSE UK Expiry Indices
Supporting the calculation of the exchangedelivery settlement pricev1.6

lseg.com/en/ftse-russell

FTSE UK Expiry Indices, v1.6, October 2023

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 5
Section 3 FTSE Russell index policies ............................................................................................................................... 6
Section 4 Calculation .......................................................................................................................................................... 8
Appendix A FTSE 100 Expiry Index – timing ...................................................................................................................... 9
Appendix B FTSE 250 Expiry Index – timing .................................................................................................................... 10
Appendix C FTSE 350 Expiry Index – timing.................................................................................................................... 11
Appendix D FTSE 100 Declared Dividend Total Return Expiry Index – timing ................................................................ 12
Appendix E Final 100 Mini Expiry Index - timing .............................................................................................................. 13
Appendix F FTSE 100 ESG Risk Adjusted Expiry Index - timing ..................................................................................... 14
Appendix G FTSE 250 ESG Risk Adjusted Expiry Index - timing .................................................................................... 15
Appendix H FTSE 350 ESG Risk-Adjusted Expiry Index- timing ..................................................................................... 16
Appendix I FTSE 100 USD (WM 16:00 GMT) Expiry Index - timing ................................................................................ 17
Appendix J FTSE 100 USD Mini Expiry Index - timing ..................................................................................................... 18
Appendix K Final exchange delivery settlement price determination ............................................................................... 19
Appendix L Further information ........................................................................................................................................ 20

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Section 1

Introduction

1.

Introduction

1.1

FTSE Russell calculates the FTSE 100, FTSE 250, FTSE 350, FTSE 100 Declared Dividend Total Return,
FTSE 100 Mini, FTSE UK ESG Risk-Adjusted, FTSE 100 USD (WM 16:00 GMT) and FTSE 100 USD Mini
Expiry Indices used by Futures Exchanges to calculate the Exchange Delivery Settlement Price (EDSP) of
all associated Index Futures and Options contracts as follows:– FTSE 100 Options expire on the third Friday of each month;– FTSE 100 Futures expire on the third Friday of March, June, September and December;– FTSE 250 Futures expire on the third Friday of March, June, September and December. FTSE 350
Futures expire on the third Friday of March, June, September and December; and– FTSE 100 Declared Dividend Total Return Futures expire on the third Friday of March, June, September
and December.
– FTSE 100 Mini Futures expire on the third Friday of March, June, September and December.
– FTSE 100 UK Risk-Adjusted Futures expire on the third Friday of March, June, September andDecember.
– FTSE 250 UK Risk-Adjusted Futures expire on the third Friday of March, June, September andDecember.
– FTSE 350 UK Risk-Adjusted Futures expire on the third Friday of March, June, September andDecember.
– FTSE 100 USD (WM 16:00 GMT) Futures expire on the third Friday of March, June, September andDecember.
– FTSE 100 USD Mini Futures expire on the third Friday of March, June, September and December.

1.1.1

The FTSE 100 Expiry Index (“UKXSP”) will be calculated and disseminated on the third Friday of eachmonth. The calculation time of the index is between 08:00 and up to 10:29 (at the latest), disseminating Real
Time.

1.1.2

The FTSE 250 Expiry Index (“MCXSP”) will be calculated and disseminated on the third Friday of March,June, September and December. The calculation time of the index is between 08:00 and up to 10:29 (atthe latest).

1.1.3

The FTSE 350 Expiry Index (“NMXSP”) will be calculated and disseminated on the third Friday of March,June, September and December. The calculation time of the index is between 08:00 and up to 10:29 (atthe latest).

1.1.4

The FTSE 100 Declared Dividend Total Return Expiry Index (“UKXDUKSP”) will be calculated anddisseminated on the third Friday of March, June, September and December. The calculation time of theindex is between 08:00 and up to 10:29 (at the latest)

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1.1.5

The FTSE 100 Mini Expiry Index (“UKXMINSP”) will be calculated and disseminated on the third Friday ofeach month. The calculation time of the index is between 08:00 and up to 10:29 (at the latest),
disseminating Real Time.

1.1.6

The FTSE 100 ESG Risk-Adjusted Expiry Index (“UKXESGSP”) will be calculated and disseminated on thethird Friday of March, June, September, and December. The calculation time of the index is between 8:00
and up to 10:29 (at the latest), disseminating Real Time.

1.1.7

The FTSE 250 ESG Risk-Adjusted Expiry Index (“MCXESGSP”) will be calculated and disseminated on thethird Friday of March, June, September, and December. The calculation time of the index is between 8:00
and up to 10:29 (at the latest), disseminating Real Time.

1.1.8

The FTSE 350 ESG Risk-Adjusted Expiry Index (“NMXESGSP”) will be calculated and disseminated on thethird Friday of March, June, September, and December. The calculation time of the index is between 8:00
and up to 10:29 (at the latest), disseminating Real Time.

1.1.9

The FTSE 100 USD (WM 16:00 GMT) Expiry Index (“UKXUSDSP”) will be calculated and disseminated on
the third Friday of each month. The calculation time of the index is between 8:00 and up to 10:29 (at thelatest), disseminating Real Time.

1.1.10The FTSE 100 USD Mini Expiry Index (“UKXUSMSP”) will be calculated and disseminated on the third
Friday of each month. The calculation time of the index is between 8:00 and up to 10:29 (at the latest),
disseminating Real Time1.1.11The FTSE 100, FTSE 250, FTSE 350, FTSE 100 Declared Dividend Total Return, FTSE 100 Mini, FTSE
100 USD (WM 16:00 GMT) and FTSE 100 USD Mini Expiry Indices do not take account of ESG factors intheir index design.

1.1.12The FTSE UK ESG Risk-Adjusted Index Series takes account of ESG factors in its index design.
Information on the ESG factors can be found in the FTSE_UK_ESG_RiskAdjusted_Index_Series_Ground_Rules.pdf.

1.1.13The base currency of the benchmarks is GBP. Index values may also be published in other currencies.

1.1.14

These Ground Rules should be read in conjunction with the FTSE UK Index Series Ground Rules and FTSE
UK ESG Risk-Adjusted Ground Rules which are available from http://www.lseg.com/en/ftse-russell/.

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, FTSE (Beijing) Consulting Limited, Refinitiv Benchmark
Services (UK) Limited, Refinitiv Limited and Beyond Ratings.

1.2.1

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 that use the index series to measure their performance should be able towithstand, or otherwise address the possibility of changes to, or cessation of, the index series.

1.2.2

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;– any inaccuracies in these Ground Rules;– 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 Russell is the benchmark administrator of the expiry indices and calculates the expiry1.

2.1.2

FTSE is responsible for the calculation, production and operation of the expiry indices, and will:– maintain records of the expiry indices; and– disseminate the expiry 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 series. Any proposals for significant amendments to theseGround Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders
if appropriate. The feedback from these consultations will be considered by the FTSE Russell Index
Governance Board before approval is granted.

2.2.2

As provided for in the Statement of Principles for FTSE Russell Equity Indices, where FTSE Russell
determines that the Ground Rules are silent or do not specifically and unambiguously apply to the subject
matter of any decision, any decision shall be based as far as practical on the Statement of Principles.
After making any such determination, FTSE Russell shall advise the market of its decision at the earliest
opportunity. Any such treatment will not be considered as an exception or change to the Ground Rules,
or to set a precedent for future action, but FTSE Russell will consider whether the Ground Rules should
subsequently be updated to provide greater clarity.

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).

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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

Statement of Principles for FTSE Russell Equity Indices (the Statement of Principles)
Indices need to keep abreast of changing markets and the Ground Rules cannot anticipate every
eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE Russell
will determine the appropriate treatment by reference to the Statement of Principles, which summarises theethos underlying FTSE Russell’s approach to index construction. The Statement of Principles is reviewed
annually and any changes proposed by FTSE Russell are presented to the FTSE Russell Policy advisoryboard for discussion before approval by the FTSE Russell Index governance board.
The Statement of Principles can be accessed using the following link:
Statement_of_Principles.pdf

3.2

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

3.3

Index Policy for Trading Halts and Market Closures

3.3.1

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

3.4

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

3.4.1

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

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3.5

Recalculation Policy and Guidelines

3.5.1

Where an inaccuracy is identified, FTSE Russell will follow the steps set out in the FTSE Russell Index
recalculation guidelines when determining whether an index or index series should be recalculated and/or
associated data products reissued. Users of the index series will be notified through appropriate media.
For further information, refer to the FTSE Russell Recalculation Policy and Guidelines document, which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Equity_Index_Recalculation_Policy_and_Guidelines.pdf

3.6

Policy for Benchmark Methodology Changes

3.6.1

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

3.7

FTSE Russell Governance Framework

3.7.1

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 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

3.8

Real Time Status Definitions

3.8.1

Please refer to the following guide for details of real time status definitions for indices which are calculated inreal time.
Real_Time_Status_Definitions.pdf

23

4

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

Calculation4.

Calculation

4.1

Expiry indices

4.1.1

The FTSE 100, FTSE 250, FTSE 350, FTSE 100 Declared Dividend Total Return, FTSE 100 Mini, FTSE UK
ESG Risk-Adjusted, FTSE 100 USD (WM 16:00 GMT) and FTSE 100 USD Mini Expiry Indices (the “Expiry
Indices”) are calculated from market open on the expiry day until the conclusion of the auction. The Expiry
Indices indicate the level at which the Expiry Value would be set should the auction cease at that particular
moment without further extensions. These indicative Indices will often display significant fluctuations,particularly at the start of the auction, as basket orders begin to be submitted.

4.2

Both the expiry indices and the corresponding underlying indices are calculated from market open on the
expiry day. Index levels of the expiry indices and the corresponding underlying indices are the same
between the open and 10:10. The underlying indices stay unchanged (as all constituents move into auction)and the expiry indices fluctuate with indicative uncrossing prices contributing to the index levels. Whilethe expiry indices are calculated during the auction, they will naturally start to diverge from the static
underlying indices.

4.3

EDSP intra-day auction

4.4

At 10:10:00 on the third Friday of each month, an auction for each of the shares within the Index commences.
– Unless there are extensions, the auction for each share lasts between five and five-and-a-half minutes
and these are concluded more or less simultaneously. Each share will trade at the single price that
executes the most volume.
– In cases of price monitoring extension, auction process can be extended until 10:29:00 at the latest.

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Appendix A

FTSE 100 Expiry Index – timing

FTSE 100 Expiry Index
The FTSE 100 Expiry Index (“UKXSP”) will be calculated and disseminated on the third Friday of each month. The
calculation time of the index is between 08:00 and up to 10:29 (at the latest), disseminating Real Time.
08:00: market opensi.

UKXSP opens at the same time as the official FTSE 100 Index (“UKX”). The UKXSP calculates/disseminates inreal time, the same value as UKX until 10:10.

10:1 to 10:15: EDSP auction commencesii.

UKX does not change value during the expiry auction, as there are no automatic trades (AT) or uncrossing trades(UT) transacting during the expiry auction.

iii. UKXSP calculates using the indicative uncrossing auction price and starts to diverge from UKX.
iv. UKXSP will continue to disseminate throughout the period of the EDSP auction.
10:15 to 10:29: auction period ends and stocks attempt to uncrossv.

UKX continues with unchanged values until the first uncrossing price generated by the expiry auction.

vi. UKXSP continues to calculate and disseminate using the indicative uncrossing auction price.
vii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKX, UKX
will therefore start to change. The stock will stop contributing to UKXSP and will essentially remain closed for
UKXSP purposes.
FTSE 100 final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 final expiry value. If a stock
does not uncross, then the last available price of the stock at 10:10 will be used to calculate the final closing
expiry value.
ix. The final expiry value will be published in the same way as the official closing index value of UKX.
Suspended companiesx.

Where a stock has been suspended, the suspension price is used to calculate the final expiry value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to
calculate the final expiry value.

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Appendix B

FTSE 250 Expiry Index – timing

FTSE 250 Expiry Index
The FTSE 250 Expiry Index (“MCXSP”) will be calculated and disseminated on the third Friday of every quarter (March,June, September and December). The calculation time of the index is between 08:00 and up to 10:29 (at the latest),
disseminating Real Time.
08:00: market opensi.

MCXSP opens at the same time as the official FTSE 250 Index (“MCX”). The MCXSP calculates/disseminates inreal time, the same value as MCX until 10:10.

10:10 to 10:15: EDSP auction commencesii.

MCX does not change value during the EDSP auction as there are no AT or UT trades transacting during the
EDSP auction.

iii. MCXSP calculates using the indicative uncrossing auction price and starts to diverge from MCX.
iv. MCXSP will continue to disseminate throughout the period of the expiry auction.
10:15 to 10:29: auction period ends and stocks attempt to uncrossv.

MCX continues with unchanged values until the first uncrossing price generated by the expiry auction.

vi. MCXSP continues to calculate and disseminate using the indicative uncrossing auction price.
vii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to MCX, MCX
will therefore start to change. The stock will stop contributing to MCXSP and will essentially remain closed for
MCXSP purposes.
FTSE 250 final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 250 final expiry value. If a stock
does not uncross, then the last available price of the stock at 10:10 will be used to calculate the final expiry value.
ix. The final expiry value will be published in the same way as the official closing index value of MCX.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the final expiry value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate thefinal expiry value.

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Appendix C

FTSE 350 Expiry Index – timing

FTSE 350 Expiry Index
The FTSE 350 Expiry Index (“NMXSP”) will be calculated and disseminated on the third Friday of every quarter (March,June, September and December). The calculation time of the index is between 08:00 and up to 10:29 (at the latest),
disseminating in real time.
08:00: market opensi.

NMXSP opens at the same time as the official FTSE 350 Index (“NMX”). The NMXSP calculates/disseminates inreal time, the same value as NMX until 10:10.

10:10 to 10:15: EDSP auction commencesii.

NMX does not change value during the EDSP auction as there are no AT or UT trades transacting during the
EDSP auction.

iii. NMXSP calculates using the indicative uncrossing auction price and starts to diverge from NMX.
iv. NMXSP will continue to disseminate throughout the period of the expiry auction.
10:15 to10:29: auction period ends and stocks attempt to uncrossv.

NMX continues with unchanged values until the first uncrossing price generated by the expiry auction.

vi. NMXSP continues to calculate and disseminate using the indicative uncrossing auction price.
vii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to NMX, NMX
will therefore start to change. The stock will stop contributing to NMXSP and will essentially remain closed for
NMXSP purposes.
FTSE 350 final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 350 final expiry value. If a stock
does not uncross, then the last available price of the stock at 10:10 will be used to calculate the final expiry value.
ix. The final expiry value will be published in the same way as the official closing index value of NMX.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the final expiry value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate thefinal expiry value.

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Appendix D

FTSE 100 Declared Dividend Total
Return Expiry Index – timing

FTSE 100 Declared Dividend Total Return Expiry Index
The FTSE 100 Declared Dividend Total Return Expiry Index (“UKXDUKSP”) will be calculated and disseminated on thethird Friday of every quarter (March, June, September and December). The calculation time of the index is between
08:00 and up to 10:29 (at the latest), disseminating in real time.
08:00: Market opensi.

UKXDUKSP opens at the same time as the official FTSE 100 Declared Dividend Total Return Index (“UKXDUK”).
The UKXDUKSP calculates/disseminates in real time, the same value as UKXDUK until 10:10.

10:10 to 10:15: EDSP auction commencesii.

UKXDUK does not change value during the EDSP auction as there are no AT or UT trades transacting during the
EDSP auction.

iii. UKXDUKSP calculates using the indicative uncrossing auction price and starts to diverge from UKXDUK.
iv. UKXDUKSP will continue to disseminate throughout the period of the expiry auction.
10:15 to 10:29: auction period ends and stocks attempt to uncrossv.

UKXDUK continues with unchanged values until the first uncrossing price generated by the expiry auction.

vi. UKXDUKSP continues to calculate and disseminate using the indicative uncrossing auction price.
vii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKXDUK,UKXDUK will therefore start to change. The stock will stop contributing to UKXDUKSP and will essentially remainclosed for UKXDUKSP purposes.
FTSE 100 Declared Dividend Total Return final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 Declared Dividend Total
Return final expiry value. If a stock does not uncross, then the last available price of the stock at 10:10 will be used
to calculate the final expiry value.
ix. The final expiry value will be published in the same way as the official closing index value of UKXDUK.

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Appendix E

Final 100 Mini Expiry Index - timing

FTSE 100 Mini Expiry Index
The FTSE 100 Mini Expiry Index (“UKXMINSP”) will be calculated and disseminated on the third Friday of each month.
The calculation time of the index is between 08:00 and up to 10:29 (at the latest), disseminating Real Time.
08:00: Market opensi.

UKXMINSP opens at the same time as the official FTSE 100 Mini Index (“UKXMINI”). The UKXMINSP calculates /disseminates Real Time, the same value as UKXMINI until 10:10.

10:10 – 10:15: EDSP auction commencesii.

UKXMINI does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. UKXMINSP calculates using the indicative uncrossing auction price and starts to diverge from UKXMINI.
iv. UKXMINSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. UKXMINI continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. UKXMINSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKXMINI,UKXMINI will therefore start to change. The stock will stop contributing to UKXMINSP and will essentially remainclosed for UKXMINSP purposes.
FTSE 100 Mini final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 Mini Final Expiry Value. If astock does not uncross, then the last available price of the stock at 10:10 will be used to calculate the Final Closing
Expiry Value.
ix. The Final Expiry value will be published in the same way as the official closing index value of UKXMINI.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix F

FTSE 100 ESG Risk Adjusted Expiry
Index - timing

FTSE 100 ESG Risk-Adjusted Expiry Index
The FTSE 100 ESG Risk-Adjusted Expiry Index (“UKXESGSP”) will be calculated and disseminated on the third Friday
of every quarter (March, June, September, and December). The calculation time of the index is between 8:00 and up to
10:29 (at the latest), disseminating Real Time.
08:00: Market opensi.

UKXESGSP opens at the same time as the official FTSE 100 ESG Risk-Adjusted Index (“UKXESG”). The
UKXESGSP calculates / disseminates Real Time, the same value as UKXESG until 10:10.

10:10 – 10:15: EDSP auction commencesii.

UKXESG does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. UKXESGSP calculates using the indicative uncrossing auction price and starts to diverge from UKXESG.
iv. UKXESGSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. UKXESG continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. UKXESGSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKXESG,UKXESG will therefore start to change. The stock will stop contributing to UKXESGSP and will essentially remainclosed for UKXESGSP purposes.
FTSE 100 ESG Risk-Adjusted final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 ESG Risk-Adjusted Final
Expiry Value. If a stock does not uncross, then the last available price of the stock at 10:10 will be used to calculate
the Final Closing Expiry Value.
ix. The Final Expiry value will be published in the same way as the official closing index value of UKXESG.
Suspended Companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix G

FTSE 250 ESG Risk Adjusted Expiry
Index - timing

FTSE 250 ESG Risk-Adjusted Expiry Index
The FTSE 250 ESG Risk-Adjusted Expiry Index (“MCXESGSP”) will be calculated and disseminated on the third Friday
of every quarter (March, June, September, and December). The calculation time of the index is between 8:00 and up to
10:29 (at the latest), disseminating Real Time.
08:00: Market opensi.

MCXESGSP opens at the same time as the official FTSE 250 ESG Risk-Adjusted Index (“MCXESG”). The
MCXESGSP calculates / disseminates Real Time, the same value as MCXESG until 10:10.

10:10 – 10:15: EDSP auction commencesii.

MCXESG does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. MCXESGSP calculates using the indicative uncrossing auction price and starts to diverge from MCXESG.
iv. MCXESGSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. MCXESG continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. MCXESGSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to MCXESG,MCXESG will therefore start to change. The stock will stop contributing to MCXESGSP and will essentially remainclosed for MCXESGSP purposes.
FTSE 100 ESG Risk-Adjusted final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 250 ESG Risk-Adjusted Final
Expiry Value. If a stock does not uncross, then the last available price of the stock at 10:10 will be used to calculate
the Final Closing Expiry Value.
ix. The Final Expiry value will be published in the same way as the official closing index value of MCXESG.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix H

FTSE 350 ESG Risk-Adjusted Expiry
Index- timing

FTSE 350 ESG Risk-Adjusted Expiry Index
The FTSE 350 ESG Risk-Adjusted Expiry Index (“NMXESGSP”) will be calculated and disseminated on the third Friday
of every quarter (March, June, September, and December). The calculation time of the index is between 8:00 and up to
10:29 (at the latest), disseminating Real Time.
08:00: Market opensi.

NMXESGSP opens at the same time as the official FTSE 350 ESG Risk-Adjusted Index (“NMXESG”). The
NMXESGSP calculates / disseminates Real Time, the same value as NMXESG until 10:10.

10:10 – 10:15: EDSP auction commencesii.

NMXESG does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. NMXESGSP calculates using the indicative uncrossing auction price and starts to diverge from NMXESG.
iv. NMXESGSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. NMXESG continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. NMXESGSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to NMXESG,NMXESG will therefore start to change. The stock will stop contributing to NMXESGSP and will essentially remainclosed for NMXESGSP purposes.
FTSE 100 ESG Risk-Adjusted final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 350 ESG Risk-Adjusted Final
Expiry Value. If a stock does not uncross, then the last available price of the stock at 10:10 will be used to calculate
the Final Closing Expiry Value.
ix. The Final Expiry value will be published in the same way as the official closing index value of NMXESG.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix I

FTSE 100 USD (WM 16:00 GMT)
Expiry Index - timing

FTSE 100 USD (WM 16:00 GMT) Expiry Index
The FTSE 100 USD (WM 16:00 GMT) Expiry Index (“UKXUSDSP”) will be calculated and disseminated on the third
Friday of each month. The calculation time of the index is between 8:00 and up to 10:29 (at the latest), disseminating
Real Time.
08:00: Market opensi.

UKXUSDSP opens at the same time as the official FTSE 100 USD Index (“UKXUSD”). The UKXUSDSP calculates/ disseminates Real Time, the same value as UKXUSD until 10:10.

10:10 – 10:15: EDSP auction commencesii.

UKXUSD does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. UKXUSDSP calculates using the indicative uncrossing auction price and starts to diverge from UKXUSD.
iv. UKXUSDSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. UKXUSD continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. UKXUSDSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKXUSD,
UKXUSD will therefore start to change. The stock will stop contributing to UKXUSDSP and will essentially remainclosed for UKXUSDSP purposes.
FTSE 100 USD (WM 16:00 GMT) final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 USD (WM 16:00 GMT) Final
Expiry Value. If a stock does not uncross, then the last available price of the stock at 10:10 will be used to calculate
the Final Closing Expiry Value.
ix. The WM/R 16:00 Closing Spot Rate will be used to calculate the Final Closing Expiry Valuex. The Final Expiry value will be published in the same way as the official closing index value of UKXUSD.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix J

FTSE 100 USD Mini Expiry Index timing

FTSE 100 USD Mini Expiry Index
The FTSE 100 USD Mini Expiry Index (“UKXUSMSP”) will be calculated and disseminated on the third Friday of eachmonth. The calculation time of the index is between 8:00 and up to 10:29 (at the latest), disseminating Real Time.
08:00: Market opensi.

UKXUSMSP opens at the same time as the official FTSE 100 USD Mini Index (“UKXUSDM”). The UKXUSMSP
calculates / disseminates Real Time, the same value as UKXUSDM until 10:10.

10:10 – 10:15: EDSP auction commencesii.

UKXUSDM does not change value during the Expiry auction, as there are no Automatic Trades (AT) or Uncrossing
Trades (UT) transacting during the Expiry auction.
iii. UKXUSMSP calculates using the indicative uncrossing auction price and starts to diverge from UKXUSDM.
iv. UKXUSMSP will continue to disseminate throughout the period of the EDSP auction.
10:15 – 10:29: Auction period ends and stocks attempt to uncrossv. UKXUSDM continues with unchanged values until the first uncrossing price generated by the Expiry auction.
vi. UKXUSMSP continues to calculate and disseminate using the indicative uncrossing auction pricevii. If uncrossing occurs in a stock, then that stock will enter continuous trading and start to contribute to UKXUSDM,
UKXUSDM will therefore start to change. The stock will stop contributing to UKXUSMSP and will essentially remainclosed for UKXUSMSP purposes.
FTSE 100 USD Mini final expiry value
viii. The firm uncrossing price of each stock is the price used to calculate the FTSE 100 USD Mini Final Expiry Value. If
a stock does not uncross, then the last available price of the stock at 10:10 will be used to calculate the Final
Closing Expiry Value.
ix. The WM/R 16:00 Closing Spot Rate will be used to calculate the Final Expiry Valuex. The Final Expiry value will be published in the same way as the official closing index value of UKXUSDM.
Suspended companies
Where a stock has been suspended, the suspension price is used to calculate the Final Expiry Value. In exceptional
circumstances, FTSE Russell will publish an announcement confirming the calculation of the price used to calculate the
Final Expiry Value.

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Appendix K

Final exchange delivery settlement
price determination

Final exchange delivery settlement price determination
For the final EDSP determination, it should be noted that only three potential prices can be used.
Uncrossing priceUncrossing can occur during price monitoring extension. Once uncrossed, this price will be used to calculate thefinal EDSP.
Once uncrossed, the stock will enter continuous trading and start contributing to the official index (UKX, MCX, NMX,UKXDUK, UKXMINI, UKXESG, MCXESG, NMXESG, UKXUSD, or UKXUSDM).
Index priceIf a stock does not uncross during the Expiry auction, then the index price at 10:10 will be used to calculate the Final
Expiry value. The stock will enter continuous trading and start contributing to the official index (UKX, MCX, NMX,UKXDUK, UKXMINI, UKXESG, MCXESG, NMXESG, UKXUSD, or UKXUSDM).
Suspended priceIf a stock is suspended from trading on the London Stock Exchange, then the suspended price will be used to calculate
the final expiry value.
If a stock has a breach in its price monitoring tolerance leading up to the expiry auction, the automatic suspension
process will be managed in line with the expiry auction process.
EDSP calculation
The EDSP is calculated by a derivates exchange to determine the last price or settlement price of a particular
futures/options contract. The calculation method of the EDSP will differ depending on the exchange, however it will
always derive from the underlying expiry value of the index.

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Appendix L

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 100, FTSE 250, FTSE 350, FTSE 100 Declared Dividend Total Return, FTSE 100
Mini, FTSE UK ESG Risk-Adjusted, FTSE 100 USD (WM 16:00 GMT) and FTSE 100 USD Mini indices is available
from FTSE Russell.
For contact details, please visit the FTSE Russell website or contact FTSE Russell client services at
info@ftserussell.com.
Website: www.lseg.com/en/ftse-russell/

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
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