June 2024

Refinitiv Benchmark Services (UK) Limited

The FTSE Convertible Indices
Benchmark Statement

Date of Issue: 02 July 2024
Date of last update: June 2024
Document Classification: PublicContentsIntroduction ........................................................................................................................................................................................... 3
Overview of methodology ...................................................................................................................................................................... 4
Potential limitations of the benchmark ................................................................................................................................................... 5
Methodology changes and benchmark cessation ................................................................................................................................. 6
Further information ................................................................................................................................................................................ 7
Annex – Climate related disclosures ..................................................................................................................................................... 8

FTSE Russell

2Introduction
FTSE Convertible Indices are a family of Indices that aim to represent the performance of the Global market of Convertible Bonds ingeneral and its sub-sets via a series of Sub-Indices.
Each Sub-Index family is constructed to represent the market composition of the Convertible Bonds of a pre­determined size thatare generally available to the institutional investors (the economic reality).
The Global Index Market Cap (the broadest Index in the family) was approximately 408 B USD as of the end of as of March 2022
and comprised of more than 598 constituents at the time of publication.
The rest of the Sub-Indices in the family are derived from the Global Index each aiming to represent either a geographical (e.g. Asiaex Japan), an investment quality (e.g. Global Investment Grade) or a sub-set of instruments with common investment characteristics(e.g. Focus Sub-Indices).
Most but not all sub-indices are produced in both regular and hedged variants with CHF, EUR, GBP, JPY and USD being theprevalent currencies across the family.
Geographically, the family offers Global, Europe, US, Japan, Asia ex Japan sub-indices amongst others.
The Global Index was launched on 30 September 1998 with the Global Index and most sub-indices calculated back to31 December 1993.
A number of the Sub-Indices such as Qualified, Qualified Monthly Hedged and Monthly Focus have been constructed to support theETF funds.
The FTSE Convertible Indices are based on readily available data and are subject to the UK Benchmark Regulation (‘BMR’).
Refinitiv Benchmark Services (UK) Limited (‘RBSL’) is an authorised benchmark administrator under the BMR and regulated by theFinancial Conduct Authority in the United Kingdom.
The FTSE Convertible Indices are considered non-significant benchmark under UK BMR.
The FTSE Convertible Indices are calculated using input data delivered by LSEG Pricing Service (LPS) and other necessary data
inputs delivered by content groups (the ‘Data Sources’). It is administered by RBSL based on the published Methodology available
from the following link: Convertible Bond Indices Section 6.3.6 of the FTSE Convertible Indices provides a description of the LPS.
This benchmark statement shall be reviewed at least every two years, or whenever there is a material change to either the type ofthe benchmark or to the Methodology used in the determination of the benchmark.

FTSE Russell3Overview of methodology
The FTSE Convertible Indices are calculated using a Market Capitalisation weighted chain-linked approach with income
reinvestment (Total Return Indices) to the full precision available to the calculation process. Official published values are rounded to
2 decimal places.
The composition (constituents) of the Global Index is determined on a continuous basis based on a set of pre-defined eligibility
criteria as specified in the Methodology. The size of the index can vary depending on various factors such as inflow of new issues
and removal of the existing ones.
All Sub-Indices are derived from the Global Index based on the pre-determined eligibility criteria as specified in the Methodology.
Sub-Indices derived from the Global index either follow a pattern of the Global Index where the constituents are determined on acontinuous basis or have a set of scheduled rebalancing dates published in advance.
Where appropriate, the indices have Concentration Factors that are recalculated monthly and/or at specific events as described in
the Methodology.
No models or method of extrapolation or interpolation are used by RBSL when calculating the FTSE Convertible Indices. The inputor other necessary data is readily available via subscriptions; FTSE Convertible Indices are not determined using contributions ofinput data as defined by the UK Benchmark Regulation.
Expert judgment, by Index Management group, in conjunction with Index Managers is permitted under the methodology as set out inrelevant sections and summarised in Section 11 of the Methodology Convertible Bond Indices.
Use of expert judgment is intended for circumstances where a combination of market events and / or market conditions and / oroperational circumstances require actions to be taken not explicitly set out in the main body of rules, to ensure stability of the index
production and / or it’s representativeness.
All instances of expert judgment are evaluated by peers and decided by the Index Management in conjunction with Index Managers
as well as documented in line with the governance framework and reported to the Oversight Committee.

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4Potential limitations of the benchmark
The FTSE Convertible Indices are calculated using readily available input data delivered by LSEG Pricing Service (LPS) with othernecessary data delivered by data feeds (the ‘Data Sources’). Further details are available in Sections 6.3 and 7.1 of the FTSE
Convertible Indices Methodology (see section 1 of this document for the link).
Determination of FTSE Convertible Indices depends on the timely availability of the input and other necessary data from said Data
Sources on a Weekday basis.
Any partial inadequacies in input data are mitigated via succession of Pricing Sources as detailed in Section 6.3.3.1 of the FTSE
Convertible Indices Methodology.
Severe technical problems, extreme market events or a widespread loss of liquidity may lead to a complete loss of one or more of
the Data Sources which will affect the delivery of the data to RBSL.
In such circumstances the FTSE will exercise expert judgement to determine the viable data and/or Data Source(s) necessary tocalculate the Indices. The FTSE Convertible Indices may not necessarily be representative of the market segments they aim torepresent under such conditions.

FTSE Russell

5Methodology changes and benchmark cessation
The FTSE Convertible Indices Methodology has been adopted as being a reliable and resilient mean for providing a benchmark that
accurately represents the market composition of the Convertible Bonds market of issues above a pre-determined size that are
generally available to the institutional investors.
The FTSE Convertible Indices Methodology is subject to a review in order to assess its ongoing fitness for purpose on at least anannual basis. In the event that the review leads RBSL to believe that a change to the Methodology is required and that the change ismaterial in its effect on the benchmark, a market consultation will be conducted in accordance with the RBSL Methodology Change
Procedures in order to seek feedback from a representative range of stakeholders. RBSL will review all feedback and, if following
such review, it resolves to proceed with the proposed change or changes, will provide sufficient notice to users of the benchmark
before implementing such change or changes.
Circumstances beyond the control of RBSL may necessitate an immediate change to or the cessation of the benchmark.
Such circumstances include without limitation (i) a loss of liquidity in the underlying equity and/or bond markets and (ii) a loss of
Data Source(s) such that input or other necessary data is no longer representative of wider market activity in the convertible
bonds market.
In the event that an immediate change is required, RBSL will provide as much notice as is practicable and following such change willconduct an internal review of the Methodology.
If it becomes necessary to cease calculation and distribution of the benchmark, RBSL will implement the RBSL Benchmark Changeand Cessation Policy. This includes conducting an analysis of the estimated usage of the benchmark and, where feasible, theselection of a credible alternative benchmark. In all cases, RBSL will take all reasonable steps to ensure that all users and otherstakeholders are made aware as soon as possible of any intention or possible necessity to cease the benchmark.
Any material change to the Methodology or cessation of the benchmark may have an impact on the measurement of theperformance of an investment fund that uses or refers to the benchmark.
Any material change to the Methodology may lead to a change in the economic reality represented by the benchmark and thereforeto the economic exposure of any fund tracking the benchmark.
A cessation of the benchmark would require the selection of an alternative benchmark or the implementation of a fall­backprocedures for any funds that tracks or references the benchmark.

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Further information
The Benchmark Methodology used in determining the Global Index and other Sub-Indices is available on RBSL’s website.
For further information about the LSEG Convertible Indices please contact RBSL’s Convertible Client Support team at
CB_Index_Reporter@lseg.com.

FTSE Russell

7Annex – Climate related disclosures
Section 1 – Consideration of ESG factors
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark Services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Fixed Income

Choose the relevant underlying asset from the list provided in Annex II.
Item 3. Name of the benchmark or family of benchmarks.

FTSE Convertible Bond Indices

Item 4. Are there in the portfolio of the benchmark administrator any EU
Climate Transition Benchmarks, EU Paris-aligned Benchmarks, benchmarksthat pursue ESG objectives or benchmarks that take into account ESG factors?

☐ Yes

☒ No

Item 5. Does the benchmark or family of benchmarks pursue ESGobjectives?

☐ Yes

☒ No

Section 3 – Disclosure of the alignment with the objectives of the Paris agreement
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition Benchmarks andEU Paris-aligned Benchmarks, benchmark administrators shall also disclose the following information.
By 31 December 2021, benchmark administrators shall, for each benchmark or, where applicable, each family of benchmarks, disclose thefollowing information:(a) Does the benchmark align with the target of reducing carbon emissions
or the attainment of the objectives of the Paris Agreement;☐ Yes☒ NoDate on which information has last been updated and reason for the update:23 December 2021
Annex: CLIMATE RELATD DISCLOSURES
Item 10(a) of Section 3 added

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ABOUT FTSE RUSSELL
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