Ground Rules

May 2023

Russell US Equity IndexSeries: history of Ground
Rule updates

Changes to the Ground Rules go through the internal governance process via
the Equity Operational Forum, Equity Methodology Forum, Equity Technical
Forum and FTSE Russell Index governance board meetings. The changes
may also be discussed at FTSE Russell external advisory committees.
Changes to policy documents shown in the Ground Rules such as the
Corporate Actions and Events Guides can be found separately.
For a current copy of the Russell US Equity Index Series Construction andMethodology, please use the following link: Russell US Equity Indexes
Construction and Methodology.

lseg.com/en/ftse-russell

Russell US Equity Index Series: history of Ground Rule updates, May 2023

Contents

Section 1 2023 .................................................................................................................................................................... 3
Section 2 2022 .................................................................................................................................................................... 4
Section 3 2021 .................................................................................................................................................................... 5
Section 4 2020 .................................................................................................................................................................... 6
Section 5 2019 .................................................................................................................................................................... 7
Section 6 2018 .................................................................................................................................................................... 8
Section 7 2017 .................................................................................................................................................................... 9
Section 8 2016 .................................................................................................................................................................. 11
Section 9 2015 .................................................................................................................................................................. 12
Section 10 2014 ................................................................................................................................................................ 13
Section 11 2013 ................................................................................................................................................................ 14
Section 12 2012 ................................................................................................................................................................ 15
Section 13 2011 ................................................................................................................................................................ 16
Section 14 2010 ................................................................................................................................................................ 17
Section 15 2009 ................................................................................................................................................................ 18
Section 16 2008 ................................................................................................................................................................ 20
Section 17 2007 ................................................................................................................................................................ 21
Section 18 2000 – 2004 .................................................................................................................................................... 22
Section 19 Pre-2000 ......................................................................................................................................................... 24
Appendix Further information ........................................................................................................................................... 25

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Section 1

2023

January 2023: alignment of review cut-off dates (effective from June 2023)
FTSE Russell announced the alignment of certain index review cut-off and rank dates to support a simplified
index review calendar and provide greater transparency during the index review process. These changes willallow comprehensive and shared cut-off and rank dates between index families during the index review periods.
Within the Russell US Index families, the quarterly cut-offs for the shares in issue and free float updates, the IPO
review period and the ICB review period will now occur on the last business days of January, April, July and Octoberrespectively. The Russell reconstitution rank date will also occur on the last business day of April. For the avoidanceof doubt, the annual reconstitution implementation date will remain unchanged and will continue to be implemented
on the fourth Friday in June (after the close).
https://research.ftserussell.com/products/index-notices/home/getnotice/?id=2606886

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Section 2

2022
February 2022: defining eligible securities – Chinese share classes
FTSE Russell clarified the construction and methodology with regard to Chinese share classes.
If a company is designated as a Chinese N share, it will not be considered for inclusion within the Russell US Indices.
An N share is a company incorporated outside of mainland China that trades on the New York Stock Exchange, the
NASDAQ Exchange or the NYSE American. An N share will have its headquarters or establishment in mainland China,
with the majority of its revenue or assets derived from the PRC. Further information regarding the designation of
N shares is available within appendix B.
https://research.ftserussell.com/products/index-notices/home/getnotice/?id=2603203

March 2022: construction and methodology updates
FTSE Russell provided a timetable for the 2022 reconstitution and summarised the main methodology enhancements
over the past 12 months.
https://research.ftserussell.com/products/index-notices/home/getnotice?id=2603474

June 2022: variable, best effort and direct listing IPOs
FTSE Russell updated the Ground Rules to include details around the treatment of direct listing IPOs.
https://research.ftserussell.com/products/index-notices/home/getmethodology/?id=2604764

December 2022: treatment of publicly traded partnerships (PTPs)
FTSE Russell noted that it is aware of the United States Department of the Treasury, Internal Revenue Service (IRS),
withholding of tax and information reporting with respect to interests in partnerships engaged in a US trade or businesslegislation.
The legislation, Internal Revenue Code (IRC) section 1446 (f), was effective from 1 January 2023 and imposes a 10%
withholding tax (WHT) obligation on all non-US investors who make a gain from disposing of their shares in a publicly
traded partnership (PTP) if that PTP has underlying US-based assets that generate effectively connected income.
Some market participants have reported ceasing providing settlement services or supporting trading for certain PTPs
that they deem to be in-scope of IRC 1446 (f).
A PTP is currently an eligible corporate structure within the FTSE Global Equity Index Series (GEIS) and the Russell
US indices. FTSE Russell has conducted a review of PTPs and deems the current index constituents not to be inscope of IRC 1446 (f), hence no further action will be taken by FTSE Russell in relation to IRC 1446 (f) at this time.
If market participants cease providing settlement services or supporting trading in PTP structured index constituents,
FTSE Russell will review the eligibility of those names on a case-by-case basis.
https://research.ftserussell.com/products/index-notices/home/getmethodology/?id=2606536

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Section 3

2021

July 2021: clarification regarding SPAC IPOs
FTSE Russell added the following rule with regard to SPAC IPOs.
SPAC IPOs:– If an unlisted special purpose acquisition company (SPAC) acquires a target company, becomes an eligible
company structure and files an IPO registration statement and lists, all in the same quarterly window, then thecompany will be considered an IPO for the purposes of index inclusion.
– If an unlisted SPAC files an IPO registration statement and lists, then acquires a target company and becomes
an eligible company structure and files another registration statement, all in the same quarterly window, then thecompany will be considered an IPO.
– If a listed SPAC (which listed prior to the current quarterly window), acquires a target company and subsequently
files another registration statement, the company will not be considered an IPO.
https://research.ftserussell.com/products/index-notices

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Section 4

2020

November 2020: clarification regarding corporate action at reconstitution andeligible securities
FTSE Russell announced a clarification regarding the treatment of corporate actions at reconstitution, stating that an
event taking effect on the Friday close will not trigger a re-ranking.
FTSE Russell also clarified that standard exchanges are considered to be those listed in appendix A (eligible
exchanges and market segments) of the FTSE Global Equity Index Series Ground Rules as well as the Toronto
Stock Exchange venture market.
https://research.ftserussell.com/products/index-notices/home/getmethodology?id=2598491

June 2020: update to exchange and segment requirements
FTSE Russell clarified the treatment of exchange and segment requirements, updating the rule to include review ofavailability of real-time prices.
https://research.ftserussell.com/products/index-notices

May 2020 Russell US Equity Indexes – treatment of variable and best
effort IPOs
FTSE Russell clarified the treatment of variable and best effort IPOs.
https://research.ftserussell.com/products/index-notices

March 2020: annual reconstitution
Confirmed the Russell US Index constitution will take place after market close on 26 June 2020.
https://research.ftserussell.com/products/index-notices

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Section 5

2019

November 2019: review timetable announcement
Announcement of important dates for Russell US Index December 2019 review.
https://research.ftserussell.com/products/index-notices

October 2019: update to eligible exchange and segment requirements
Eligible exchanges included to include CBOE, NYSE, NYSE American, NASDAQ and ARCA.
https://research.ftserussell.com/products/index-notices

August 2019: update to Russell US Indexes IPO calendar
https://research.ftserussell.com/products/index-notices

March 2019: Russell annual reconstitution
FTSE Russell clarified the free float requirement rule following client questions.
https://research.ftserussell.com/products/index-notices

March 2019: Russell annual reconstitution
FTSE Russell updated the Ground Rules including updates to the minimum free float requirement, free float section,
country versus regional reporting and post reconstitution corrections.
https://research.ftserussell.com/products/index-notices

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Section 6

2018

August 2018: variable, best efforts and direct listing IPOs
FTSE Russell updated the Ground Rules to confirm treatment of variable, best efforts and direct listing IPOs.
https://research.ftserussell.com/products/index-notices

May 2018: update for quarterly IPOs, home country indicators and free
float restrictions
FTSE Russell confirmed that going forward, companies listing via a variable or best effort IPO will only be considered
for inclusion once the number of shares sold during the IPO have been confirmed via a company press release or an
SEC filing.
Free float restrictions guidelines have been updated to clarify that venture capital and private equity firms holding
greater than 10% are restricted regardless of the firm being founding or not.
https://research.ftserussell.com/products/index-notices

March 2018: update for quarterly and intra-quarter free float and share updates
FTSE Russell announced that the practice of calculating whether or not an equity offering breached the threshold totrigger an intra-quarter update would now use the subscription price rather than the market price. UK tender offer buy
backs will be implemented intra-quarter if the requisite thresholds are met.
https://research.ftserussell.com/products/index-notices

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Section 7

2017

December 2017: corporate action driven changes
FTSE Russell clarified the construction and methodology with regard to corporate action driven changes. Once FTSE
Russell is aware that an offering has priced (confirmed via an appropriate publicly disclosed announcement or filing),
the update will be implemented with two days’ notice from market close (contingent on the thresholds stated in therule re updates outside of the quarterly update cycle being triggered).
https://research.ftserussell.com/products/index-notices

October 2017: update for exchange name
FTSE Russell updated the construction and methodology to reflect the NYSE American exchange name.
https://research.ftserussell.com/products/index-notices

September 2017: December 2017 index review schedule
FTSE Russell clarified the December review schedule.
https://research.ftserussell.com/products/index-notices

August 2017: September 2017 index review schedule
FTSE Russell clarified the September review schedule.
https://research.ftserussell.com/products/index-notices

May 2017: Russell US Indexes – IPO additions schedule and share and free
float maintenance
FTSE Russell defined the IPO calendar for new IPO additions to the Russell US Indexes during the forthcoming
quarterly cycles and clarified the methodology update for shares and free float.
https://research.ftserussell.com/products/index-notices

April 2017: eligibility of securities with zero voting rights
FTSE Russell confirmed the treatment of securities with no voting rights and announced a proposal to consult users andother stakeholders regarding potential changes to the security eligibility and weighting rules of FTSE Russell indexes.
https://research.ftserussell.com/products/index-notices

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April 2017: China N shares – effective June 2017
Further to the notice “FTSE Russell nationality alignment consultation: next steps” released on 3 March 2017, FTSE
Russell clarified the impact of the China nationality rule on the Russell US Indexes.
https://research.ftserussell.com/products/index-notices

March 2017: Russell US Index reconstitution 2017
FTSE Russell announced the reconstitution schedule for the Russell US Indexes reconstitution for 2017 together witha number of methodology enhancements including eligibility of new market exchanges, free float restrictions, dummylines/placeholders and updates to shares and free float.
– Rank date
To promote an accurate, seamless reconstitution process and to facilitate the scheduled June alignment ofshares outstanding and free float across the Russell and FTSE indexes, the rank date used for Russell US
Index membership eligibility changed from the end of May to align with FTSE Russell indexes. Fundamental
characteristic data used for index builds (e.g. style and stability attributes) will continue to be based on data
as of May month-end.
– Reconstitution date
Reconstitution occurs on the last Friday in June. However, at times this date is too proximal to exchange closuresand abbreviated exchange trading schedules when market liquidity is exceptionally low. To ensure proper liquidity inthe markets, when the last Friday in June falls on the 29th or 30th, reconstitution will occur on the preceding Friday.
https://research.ftserussell.com/products/index-notices

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Section 8

2016

August 2016: treatment of spin-offs
FTSE Russell announced enhancements to the Russell US Equity Indexes. The rules around spin-offs were clarified.
https://research.ftserussell.com/products/index-notices

June 2016: Ground Rule changes
FTSE Russell announced that the following changes had been made.
– Section 7: update of halted securities’ rule and clarification of spin-off rule.

March 2016: Ground Rule changes
FTSE Russell announced that the following changes had been made.
– Section 4: updated language for multiple share classes and pricing trading vehicle.
– Section 5: updated language for capitalisation adjustments.
– Section 6: updated language for book value adjustments.
– Section 7: updated language for M&A between an index member and a non-index member, spin-offs, stock
distributions and distributions in specie, and halted securities.
– Appendix B: updated language for assets and revenue reporting.
– Added appendix G: queries, complaints and appeals.

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Section 9

2015

December 2015: Ground Rule changes
FTSE Russell announced that the following changes had been made.
– Section 7: updated language provided for merger and acquisition handling, rights valuation, spin-off valuation,tender offer treatment criteria, special dividend definition and updated halted security review criteria.
– Appendix E: provided link to full index recalculation policy document.

March 2015: Ground Rule changes
Russell announced that the following changes had been made.
– Section 3: added language for FINRA Alternative Display Facility pricing, clarified minimum closing price on last
trading day in May.
– Section 4: updated language for stapled units, clarified corporate action ranking impact during June reconstitution
and added details of new rules for the inclusion of multiple share classes and primary vehicle determination.
– Section 7: clarified merger language and changes to shares outstanding.

June 2015: multiple share class eligibility
Russell announced that all eligible share classes traded for a company will be reviewed independently for US index
inclusion.

June 2015: change in methodology concerning dividend growth – sector
representation
Russell announced a new methodology that will remove constituents from that sector in ascending order of dividend
yield, first removing from the set of securities with the shortest history of dividend growth, then from the set with thenext shortest, and so on, until the sector represents less than 30%.

June 2015: methodology change – month-end share change announcement
Russell announced a change from four trading days to six trading days.

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Section 10

2014

August 2014: sanctioned Russian companies
Russell indexes will cap the number of shares of any Russian company named as having new equity blocked by OFAC
and/or the EU so as not to exceed number of shares held in the index as of the date the sanction is announced. Thismeans Russell Indexes will give no effect to any corporate action that would result in a net increase in shares until suchtime as the sanction is lifted or the stock become ineligible.

June 2014: BDC eligibility
Russell announced that BDC were no longer eligible due to SEC AFF reporting.

June 2014: stability spin-off treatment during reconstitution
Russell announced that spin-off probability is to be based on parent probabilities.

March 2014: fundamental index rebalance dates
Russell announced the new index rebalance dates are the last Friday of 1Q and 3Q.

January 2014: real-time calculated indexes
Russell announced that all real-time indexes calculated in-house using Indxis ICSii system.

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Section 11

2013

December 2013: predictive month-end holdings market value
Russell announced that market value reflects new shares times adjusted price where appropriate.

January 2013: non-US late announcement of dividends
Russell announced non-US regular cash dividends that are announced on the ex-date or thereafter will be reinvested
across the index at the close on the following business day.

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Section 12

2012

June 2012: banding for styles (growth/value)
Russell announced the banding for styles has changed from +/- 15 to +/- 10.

June 2012: UBTI screening (US only)
Companies that produce unrelated business taxable income (UBTI) are restricted from ownership for tax-exempt
investors. In recognition of this, Russell will screen all REITs and PTPs, removing any security from eligibility thatgenerates or has historically generate UBTI.

June 2012: reporting as a subsidiary
Russell has announced that to remove any confusion surrounding qualification of reported data, Russell has removed
the statement regarding reporting revenue as a subsidiary and will utilise information as reported.

June 2012: reporting in a table
Assets and/or revenue found in the text or tables of the geographical section of the filling is given preference over otherinformation in the filing. Substantially all, the majority of assets and/or revenue are considered inconclusive statements.
Assets and/or revenue must be reported as numbers or percentages or ALL statement.

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Section 13

2011
August 2011: net performance – special cash dividends
For special cash dividends and special dividends-in-kind that are subject to withholding taxes, a net negative dividend
amount equivalent to the withholding tax will be reflected in the net return in conjunction with the price adjustment andapplied on ex-date.

July 2011: month-end share changes
Russell announced a change from two trading days’ notice to three days, regarding month-end share changes.

June 2011: new variables for growth/value
Russell announced two new growth/value variables: IBES medium-term (two year) growth and historical sales per
share growth (five year). This was in place of having one growth variable, IBES long-term growth.

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Section 14

2010

June 2010: primary vehicle
Russell has announced that they will use a rolling two-year share volume in the determination of primary vehicle, rather
than the three-tiered matrix. For those share classes with less than 20% difference in volume, available shares will be
used as a tie-breaker. This has replaced the previous system of using a three-tiered matrix of relative trading volume,
price and float-adjusted shares to determine primary vehicle.

June 2010: style substitution logic
Russell has announced that to enhance the methodology further in 2010, a weighted value score will be calculated for
securities with low analyst coverage for IBESLT. For securities with a single analyst covering the security, 2/3 industry,
subsector or sector group value score will be weighted with 1/3 the security’s independent value score. For thosesecurities with coverage by two analysts, 2/3 of the independent security’s value score will be used and only 1/3 ofthe industry, subsector or sector group. For securities with at least three analysts contributing to IBESLT, 100% of
the independent security’s value score will be used.

June 2010: minimum float rules
Russell announced that a company must have at least 5% available market capitalisation to be eligible for the US
indexes, regardless of capitalisation size.

June 2010: exception for Berkshire Hathaway
Historically, Berkshire Hathaway has been ineligible for the Russell indexes due to its holding company
type and illiquid nature. However, given the recent acquisition and 50x1 split on B shares, Russell will now consider
Berkshire Hathaway eligible during the reconstitution process.

June 2010: determining country
The US indexes included companies incorporated in the US, its territories and designated BDI countries/regions. The
new rule for determining country assignment will rely on three key indicators – incorporation, headquarters and trading(location and volume). Companies that are incorporated, headquartered and trade in a single country become amember of that country. In the case of the US, they will become eligible for the US indexes. For companies not meeting
all criteria, the primary location of assets or revenue will be used to determine eligibility. Headquarters will be used as
the final determination if the company fails to report financial data by location.

March 2010: re-incorporations/change in country assignment
Russell announced that companies that reincorporate will be reviewed at reconstitution for their proper county
assignment (with the exception of US companies that reincorporate outside of the US and, as a result, fail to tradeon an eligible US exchange.

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Section 15

2009

December 2009: December month-end share changes
Russell announced that December month-end share changes will be applied on the third Friday along with IPO additions.

2009: November month-end share changes
November month-end share changes will be rolled into December with the IPO additions and December sharechanges on third Friday.

July 2009: changing primary vehicles outside of a recon period
Historically, the primary vehicle share class is typically re-examined at reconstitution, at the time of a major corporate
action event or with the issuance of a new share class. The methodology has been updated so that primary vehicles
will not be changed outside of a reconstitution period unless the existing class ceases to exist.

June 2009: change in total market capitalisation
Russell announced that exchangeable shares and membership nits will now be included in the calculation of total
market capitalisation.

June 2009: thresholds for a change in primary vehicle
Russell announced that the thresholds for a change in primary vehicle during reconstitution have been widened to
avoid unnecessary turnover.

June 2009: US companies that are not trading above $1 in theirprimary exchange
US companies that do not trade on their primary exchange on last trading day in May but do trade above $1 on anothermajor US exchange are now considered eligible. The lowest closing price from another exchange will be used in thecalculation of market capitalisation.

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June 2009: existing members trading under $1 on last trading day in May
Historically, stock must trade at or above $1 on their primary exchange on 31 May to be eligible for inclusion in
the Russell US Indexes during annual reconstitution or during IPO eligibility. To avoid unnecessary turnover in thevolatile market of 2008 to 2009, existing members trading under $1 on last trading day in May will now be assessedusing the monthly average price for May. If the monthly average is greater than $1, they will remain eligible.

June 2009: Russell US Indexes restricted to companies greater than
$30 million
Russell announced that given the shrinking number of companies included in the US equity markets, the Russell US
indexes will now be restricted to companies greater than $30 million.

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Section 16

2008

June 2008: float shares availability
Russell announced that companies with a small portion of shares available in the marketplace are no longer eligible
for inclusion.

June 2008: book value calculation
Russell announced that it was no longer adjusting for FASB 158.

First quarter 2008: blank cheque companies and SPACs (special purpose
acquisition companies)
Russell announced they were no longer eligible for inclusion. Existing members were grandfathered until reconstitution
2008.

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Section 17

2007

June 2007: reconstitution, month-end share adjustments and IPOs effectiveat open
New methodology implemented: after the close, reflected in the open holdings file.

June 2007: book value calculation
Additional adjustment for FASB 158.

June 2007: banding
Russell announced 5% bands around cumulative market capitalisation breakpoints (1% for micro-cap).

June 2007: US BDI methodology change
Previously, US BDI was non-eligible for inclusion. After the methodology change, it will be eligible for the US indexes.
The initial list of countries was sent in January and then Panama was announced in March.

June 2007: reconstitution date clarification
Previously, the reconstitution date fell on the last Friday of June. The methodology was updated to clarify that if the last
Friday falls on the 28th, 29th, 30th, the reconstitution will take place on the previous Friday.

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Section 18

2000 – 2004

September 2004: initial public offerings (IPOs)
Russell announced that eligible IPOs will be added quarterly, whereas IPOs have previously been only considered
eligible at annual reconstitution.

2004: institutional holdings
Russell announced that institutional positions considered free floating, regardless of index membership. If it isdetermined to be a strategic position (>20%), it will be adjusted.

2003: turnover methodology
Previously, corporate activity that did not result in a delete or add was not reflected. Following this methodology
change, there will be an industry standard turnover calculation (lesser of adds or deletes)

2003: secondary primary trading vehicle matrix
Russell clarified that if existing members are changing primary vehicle, a second matrix will be employed todetermine nationality.

May 2003: use quarterly rather than annual BP
Russell announced that the most recently reported quarterly BP will be used to determine style. Before themethodology change, this was done annually.

April 2002: monthly share updates
Russell announced that only cumulative changes greater than 5% will be reflected in the monthly share updates.

January 2002: pricing change from composite to primary exchange
Previously composite prices were used for securities, but following the methodology change, primary exchange prices
will be used for securities.

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January 2002: pricing of deleted securities
Russell announced that the price used for deletion of securities is the closing price from day deletion, including price on
OTC bulletin boards.

April 2000: acquisition or mergers between R1 and R2 members
Russell announced that shares will be adjusted on the day of action, whereas they were previously deleted on day ofaction and adjusted at month end.

June 2000: IPO lock-up rule
It was announced that IPOs priced after 15 November are screened for locked-up shares. Previously, no lock-up
adjustments were made.

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Section 19

Pre-2000

June 1989: reconstitution frequency
Russell announced that reconstitution will now take place annually. Between 1979 and 1986, this was carried out
quarterly. Between 1987 and June 1989, this was carried out semi-annually.

December 1988: reconstitution cut-off date for membership
Russell announced that the cut-off date for membership will be 31 May.

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Appendix

Further information
A Glossary of Terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
For contact details, please visit the FTSE Russell website or e-mail FTSE Russell client services at
info@ftserussell.com.
Website: www.ftserussell.com

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