Ground rules

June 2023

FTSE Convertible
Indices Methodology
Revision 10 – Final
Publication Date: 04 May 2022
Effective Date: 01 June 2022
Last Reviewed Date: 01 June 2023

lseg.com/ftse-russell

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 FTSE Global Convertible Index maintenance .................................................................................................... 5
Section 3 Sub-index maintenance .................................................................................................................................... 19
Section 4 Equity indices .................................................................................................................................................... 27
Section 5 Index calculation methods ................................................................................................................................ 28
Section 6 Supporting information...................................................................................................................................... 36
Section 7 Index publication and communication of index events ..................................................................................... 47
Section 8 Sub-Indices – Definitions .................................................................................................................................. 52
Section 9 Historical Notes ................................................................................................................................................. 53
Section 10 Further information (Contact details) .............................................................................................................. 55
Section 11 Expert judgment permitted under the methodology........................................................................................ 56
Section 12 Appendix ......................................................................................................................................................... 58

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Introduction
1.

Introduction

FTSE Convertible Indices are a family of Indices that aim to represent the performance of the Global market ofConvertible Bonds available to institutional investors.
The index family was previously known as the UBS Global Convertible Indices. It was acquired by Refinitiv (now
LSEG) in June 2014, a brief history of the arrangements prior to the acquisition and the transitional arrangements thatwere in place during the acquisition are set out in Section 9.
The Index family is comprised of the Global (‘broad’) Index and a number of Sub-Index families that are derived fromthe Global (‘broad’) Index based on a set of specific criteria defined for each Sub-Index family and is constructed torepresent the market composition of a given segment of the Convertible Bond Market.
The composition of the Global (‘broad’) Index is determined on a continuous basis. Additions to and deletions from theIndex can happen at any time.
There are no periodic reselections for the Global and Continuous reselection Sub-Indices (Section 3.2). Monthly
Sub-Indices such as Global Focus (Section 3.3) follow a monthly reselection cycle.
Concentration factors are recalculated monthly for any indices where capping is applied and/or at specific events(Section 5.3).
The Global Index, as well as most Sub-Indices, are produced in both regular and hedged variants with CHF, EUR,
GBP, JPY, and USD being the prevalent currencies across the family.
Geographically Sub-Indices are available for Europe, US, Japan, Asia ex Japan, among other regions. Full list of
published indices is available here.
The basic index calculation method is a Market Capitalisation weighted chain-linked index calculation with income
reinvestment (Total Return). The unit of measurement is Index Points. (Section 5.1)

GLOBAL INDEX (BROAD UNHEDGED INDEX)ONGOING RESELECTION

VANILLA* SUB-INDICES (ex. Mandatories)

ONGOINGRESELECTION

NON-VANILLA
SUB-INDICESONGOINGRESELECTION

FOCUS/ALL CAP FOCUS
MONTHLY RESELECTION
SUB-INDICESREGIONAL FOCUS
MONTHLY RESELECTION
SUB-INDICESCREDIT FOCUS
MONTHLY RESELECTION
SUB-INDICESCUSTOM INDICESREGIONAL SUB-INDICESREGIONAL SUB-INDICESINDICES FOR ETFs
MONTHLYRESELECTION

CREDIT SUB-INDICESHEDGED VARIANT***Those Sub-Indices that were not Vanilla from the start became Vanilla at different times, see a full list of available sub-indices and the relevant Vanilla dates here.
**Some indices do not have a hedged variant.

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3 of 61A number of Sub-Indices such as Qualified, Qualified Monthly Hedged, and Monthly Europe Focus have been
constructed to support the ETF funds. ETF indices are calculated as described in the dedicated Methodology.
The selection process for the Custom and ETF Indices are described in the dedicated Methodology documents for
those indices.
The Global Index was launched on 30 September 1998, with the Global Index and most sub-indices calculated back to
31 December 1993.
The Base Date for the Global Index is 30 September 1998 and Base Value is a 100.
This document is intended (non-exhaustively) to explain the guidelines used to select and calculate the FTSE
Convertible Indices, covering, amongst other details:– Additions to and removals from the Global Index (Section 2.5)
– Continuous reselection Sub-indices (Country, Region, Vanilla, Investment Grade) (Section 3.2).
– Monthly reselection Sub-indices (Focus/All Cap Focus Sub-indices) (Section 3.3)
– Description of calculation methodologies (Regular and FX hedged) (Section 5)– Concentration Factors calculation (Section 5.3)
– Communication of Index events (Section 7)– Definition of terms used and basis for prices used (Section 6)– Permitted expert judgement (Section 11
Over the counter (OTC) market for Convertible Bonds is considered sufficiently active for the purpose of determining
the Indices when the daily activity in the market allows the LSEG Pricing Service (LPS) to establish a representative
market level for convertible bonds in general and the Global Index constituents in particular.
Overview of the Global Index Maintenance Process
The maintenance process for the Global Convertible Index is driven by and reflects the market dynamics such as new
issuance, corporate and market events related to the constituents or potential constituents of the Global Index.
– General eligibility criteria – Section 2.2– Country allocation for the purposes of determining the Region – Section 2.3– Additions – Section 2.5– Deletions – Section 2.6– Handling of the changes to the outstanding issue size – Section 2.7– Other changes – Sections 2.8
Overview of the Sub-Indices Maintenance Process
All Sub-Indices are derived from the Global Index. The maintenance processes for the Sub-Indices are described in thefollowing sections.
– Overall summary – Section 3.1.
– Regional Sub-Indices – Section 3.2.1– Vanilla (ex-Mandatory) Sub-Indices – Section 3.2.2– Credit (IG) Sub-Indices are in Section 3.2.3– Focus and All Cap Focus Sub-Indices – Section 3.3.1

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FTSE Global Convertible Index
maintenance
2.

FTSE Global Convertible Index maintenance

2.1

GeneralThe overall approach is to assess eligibility of relevant issues for addition or retention in the Index on acontinuous basis.
If appropriate, a default guideline action dates stated in the document may be amended to accommodate
local bank holidays or other market events and/or conditions.
If appropriate, a default guideline action stated in the document may be adjusted to accommodate market
events and/or conditions.
Where explicitly stated, the Index Manager will determine an appropriate action/timing of an action.
If more than one guideline is triggered, then the Index Manager will determine the guideline to be applied.
From time to time, the User Base may be asked for feedback on any aspect of the index maintenanceprocess or an individual event/security.
If the feedback for an individual event/security is requested, the cut off for providing the feedback is 12:00
AM 00pm UK time on the 3rd Workday following the request, unless specified otherwise.
The Index Manager may, from time to time, apply expert judgment. Options available to the Index Manager
are detailed throughout the Methodology and summarised in Section 11.
All proposed changes to the index composition and related announcements are reflected in the Index Status
Report (Section 7.2).
Price Basis and Price Sources used for Additions to and Deletions from the Global and all Sub-Indices aredetailed in Section 6.3.2 and Section 6.3.3 respectively.

2.2

Eligibility Criteria for the Global (‘broad’) Index
To be eligible for consideration for the Global Index an issue will need to meet ALL of the conditions
detailed in Section 2.2.1, 2.2.2 and 2.2.3:

2.2.1

General Criteria
To be eligible, an issue:
i. Must be an Equity-Linked Convertible Security as generally recognised in the market. Examples of such
issues would include convertibles, Exchangeables, and Mandatory issues.
ii. Must not be a contingent convertible structure with only downside e.g., contingent conversion features
which are dependent on capital ratio triggers.
iii. The Exchange Property must be a listed share. On this basis various pre-IPO convertibles are excluded
from the Global Index. Should the issue become convertible into a listed share post issuance it will be
reviewed for eligibility at that time.
iv. Must not be a Chinese domestic issue or a Taiwanese domestic issue.

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v. Must have an ISIN code.
vi. Must have terms fixed.
vii. Can be a security issued in exchange for other securities (‘Exchanged Issue’).
viii. Must have at least 12 months of maturity remaining on the proposed Add date.
For any issues where there is uncertainty regarding any of the eligibility criteria, the Index Manager will
determine the eligibility of such issues.
2.2.2

Size Eligibility Criteria
To be eligible an issue must meet or exceed the regional threshold Outstanding Issue Proceeds
requirements below when rounded to the nearest 1m in the relevant currency, before calculating the USD
equivalent. For the regions where multiple currencies are stated, the currency matching the issue’s currency
prevails – e.g., a European issue denominated in GBP would be assessed against the GBP threshold.
RegionThresholds by Relevant Currency*

Countries included in the Region

US

USD 300m

EuropeUSD 200m

Other

USD 200m

Any country not listed under US, Europe, Asia ex-Japan, orJapan regions.

Asia exJapan

USD 100m

China, India, Indonesia, Malaysia, Pakistan, Philippines,
Singapore, South Korea, Taiwan, Thailand, Vietnam

Japan

USD 100m

US
EUR 175m

GBP 150m

JPY 11,000m

Austria, Belgium, Denmark, Finland, France, Germany, Greece,
Hungary, Ireland, Italy, Liechtenstein, Luxembourg, Netherlands,
Norway, Poland, Portugal, Russia, Spain, Sweden, Switzerland,
Turkey, UK

Japan* For issues not denominated in USD the Outstanding Issue Proceeds will be translated to USD at the FX rates used for Global Index calculations at theend of the Weekday preceding the Issue Date. This will also apply for issues added at any time.

2.2.2.1

Over-allotment Option
An issue with a known over-allotment option at issuance which is below the regional threshold prior to the‘option to increase’ being exercised in part or in whole will not be considered as eligible on size criteria untilthe ‘option to increase’ is exercised in part or in whole. Once the ‘option to increase’ is exercised, andproviding that the regional threshold for the issue is met, this will trigger a review of its eligibility for addition
to the Index. For timings, see Section 2.5.

2.2.2.2

Upsizing/Re-Opening/‘Tap’ Issues
An increase in Outstanding Issue Proceeds via Upsizing/Re-Opening/‘Tap’ issuance from below to above
the threshold at any time during the life of an issue will trigger a review of its eligibility for ‘addition to theIndex. For timings, see Section 2.5.
In the case of Upsizing/Re-Opening/‘Tap’ issuance, the Outstanding Issue Proceeds are not updated untilthe ‘Tap Issue’ becomes fully fungible with the original issue. The review of eligibility for addition will notcommence until the date the Outstanding Issue Proceeds are updated.

2.2.2.3

Market Capitalisation Criteria for Mature Issues
An issue being considered for addition to the Global Index at a time other than at issue must satisfy theMarket Capitalisation thresholds as detailed in Section 2.6.3.1.2 numeral (ii).

2.2.2.4

Issues Hard Dropped due to Price, Size or Proactively Deselected
Any issue removed under sections 2.6.3.1.2, 2.6.3.1.3 or 2.6.3.2.3, Drop due to Size, Price, or Proactive
Deselection, respectively, may become eligible for addition as a mature issue under Section 2.2 to the
Global Index from the Workday immediately following 6 calendar months since the Drop Effective Date,providing that its Percentage Price (See section 6.1.7 for definition) is equal to or greater than 70% for theprior 15 Weekdays. Those issues confirmed as eligible for addition under this sub-section, are set to‘Monitor for Add’ and follow the same process of addition as the New Issues (Section 2.5).

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6 of 612.2.3Liquidity Eligibility Criteria
To be eligible an issue must satisfy the minimum liquidity guideline in line with its regional allocation(Section 2.3).

2.3

Threshold type

Regional Applicability

Condition to be met

Qualifying Prices

Does not apply toissues with region: US

2 Qualifying Prices are available. See Section 6.2.2 for the definition of a
Qualifying Price.

Traded ValueAll Regions

The total Traded Value measured during the period the issue is set as Monitor for
Add, excluding the first day the Traded Volume is available on the recognised
trading venue is greater than or equal to 7% of the Outstanding Issue Proceeds.
(See Section 6.1.12 for Traded Value definition). The maximum period for which
the Traded Value is measured can’t be more than 30 Weekdays.

Country Allocation
The Region of an issue is assigned to the issue prior to its addition to the Global Index, and is based directlyon the Country allocated to that issue.
The allocation of Country to Region is set out in Section 6.4.1.
The general principal of the allocation is ‘to look through to the underlying asset’.
The Country of an issue will be determined as follows, stated in order of precedence; if an underlying asset
exists at any level in order of precedence, no further checking is done.
i. Issues with an equity as the underlying asset will be allocated to the country of the Primary Exchange ofthe underlying asset.
ii. Issues with an ADR or GDR as the underlying asset will be allocated to the country of the Primary
Exchange of the underlying asset of the ADR/GDR.
iii. Issues with an ADR or GDR as the underlying asset where the ADR/GDR does not have a listed
equity as the underlying asset will be allocated to the country of the Primary Exchange of the
ADR/GDR.
iv. Issues with a basket of equities as the underlying asset will be allocated to the country of the Primary
Exchange of the underlying asset which predominates.
The Primary Exchange of a particular equity is determined using the Primary Issue RIC allocated by LSEG.
The Index Manager may determine the Country of an issue to be set differently to the Country that would beselected by the above guidelines at any point.

2.4

Special Circumstances

2.4.1

Nominating an Issue as ‘Eligible for Consideration’There may be unusual situations when it may be appropriate for an issue to be proactively considered forthe addition to the Global Index in a manner not explicitly detailed in this Methodology.
Should the Index Manager become aware of such an issue the Index Manager may set an issue as‘Monitor for Add’. Such action will be notified to the User Base.
For example, an issue which was initially launched as a fully private deal evolves into a public issue of asize sufficient to be eligible for consideration for addition to the Global Index.

2.4.2

Declining or Ending the Add Process
The Index Manager may decline or end the Add process for an issue in special circumstances, including,but not limited to:i. The Market Capitalisation or Outstanding Issue Proceeds are below the size thresholds stated in
Section 2.6.3.1.2.
ii. The issue has been called while under consideration for addition.
iii. The issue or its underlying become subject to an Offer that materially affects the issue.

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iv. Quantitative data or market information indicates that the liquidity of the issue has substantially alteredsince the day the issue has been announced as a candidate for addition to the Index.
v. The price has declined substantially, and the Qualifying Prices test is no longer satisfied. By way of
guidance, a substantial price movement would be around 15% more than general market movement forsimilar issues.
vi. Restructuring announcements
2.5

Addition to the Global (‘broad’) Indices

2.5.1

Process Overview
No issue can be added to any of the Sub-Indices without first becoming a constituent of the Global
Index. An issue may or may not become a constituent of a Sub-Index on the same day as it is added to the
Global Index.

Issue becomes known to the Index Operations Team- Eligible (2.2.1)- Size threshold met (2.2.2)- Liquidity confirmed (2.2.3)- Eligible (2.2.1)- Size threshold met (2.2.2)- Liquidity not yet confirmed(2.2.3)- Eligible (2.2.1)- Size threshold not met, hasover-allotment option (2.2.2.1)- Liquidity not yet confirmed (2.2.3)

Issue announced as a “Monitor for Add’
- Liquidity confirmed (2.2.3)‘Monitor for Add’ period
extended

Issue confirmed as not
liquid (2.2.3)- Liquidity confirmed (2.2.3)

Issue announced as a ‘Potential Add’
The presumption is that any issues eligible forconsideration set to ‘Potential Add’ status will be
confirmed as a ‘firm’ Add unless there is a clear reason to
decline the Add

Issue Add to the Global(‘broad’) Index ‘Declined’

Issue announced as an‘Add’ to the Global(‘broad’) Index‘Confirmed’

Issue announced as an‘Add Under Review’An issue eligible for consideration (Section 2.2.1) and of sufficient size (Section 2.2.2) is first set to ‘Monitor for Add’
while awaiting the liquidity confirmation (Section 2.2.3).
All issues set to Monitor for Add are monitored daily for liquidity for at least 10th Weekday after the date on which theissue is announced as a ‘Monitor for Add’.
The ‘Monitor for Add’ stage may be extended with the new end of monitoring date communicated.
Once the issue confirmed as liquid, having met over-allotment eligibility criteria where applicable, the issue isannounced as a ‘Potential Add’. The issue will be set to ‘Potential Add’ at any point prior to the end of the 10th
Weekday if the liquidity criteria is met, providing it has met the over-allotment eligibility criteria where applicable.
Any issue whose liquidity is confirmed at the same time as it is determined to be eligible for consideration and of
sufficient size, will be set directly to ‘Potential Add’.
During the ‘Potential Add’ stage, all feedback is reviewed up to and including 12:00 noon UK time on the 3rd Workday
following the announcement of the ‘Potential Add’ status, unless specified otherwise.
The ‘Potential Add’ review period may be extended with the new review date communicated (‘Add Under Review’).

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The Index Manager may, based on feedback, set any issue that does not formally meet the liquidity criteria set out in
Section 2.2.3 to a ‘Potential Add’.
The presumption is that the issue will be confirmed as an Add unless there is a clear reason to
decline the Add.
Add to the Index
Addition Basis

Timing Guidelines–

EoD Market Price on Add Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Add Announcement Date: same day as the Potential Add review date–

Add Effective Date: Workday following Add Announcement Date

The issue will be added to the index at EOD on the Add Effective Date and will contribute to index
performance at the first index calculation following the Add Effective Date.
The issue with the status ‘Add Under Review’ can either be announced as an Add or declined as such. The
decision to ‘Decline’ an issue may be reviewed at any time and, if appropriate, the status of the issue will bereset back to ‘Potential Add’ and trigger a new review process.
2.6

Issues Removal from Global Index

2.6.1

Process Overview
In most cases an issue is removed from the Global Index via a ‘Hard Drop’ without an immediate option to
be added back.
Under certain circumstances, issues could be removed temporarily via a ‘Soft Drop’ and later reinstated(Section 2.6.2.1).
Any issue removed from the Global Index is simultaneously removed from All Sub-Indices at the same timeusing the same Price Basis (6.3.2).
An issue may or may not be reinstated following a ‘Soft Drop’. If an issue is reinstated to the Global Index,
it will be Added to any Sub-Indices it remains eligible for and for which it satisfies the relevant addition
criteria (see Section 3). The timing of the reinstatement may vary by Sub-Index.
Issues removed from the index via a ‘Hard Drop’ process may become eligible for the index addition in the
future. (Section 2.2.2.4).
There is no provision to remove issues from the Global Index solely based on remaining life.

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The presumption is that the proposed action is confirmed unless there is a clear reason to amend it.
Events with an outcome of ‘Hard Drop’

Events with an outcome of ‘Soft Drop’ or ‘Retain’–

Drop Due to Issue Approaching Final Conversion Date
(Section 2.6.3.1.1)–

Drop Due to Issue Approaching a Put (Section 2.6.3.2.1)––

Drop Due to an Offer (Section 2.6.3.2.2)

Drop Due to Size (Section 2.6.3.1.2)–

Drop Due to Price (Section 2.6.3.1.3)–

Drop Due Exchange Property Delisting (Section 2.6.3.1.4)–

Drop Due to Being Impractical to Price (Section 2.6.3.1.5)

Events with an outcome of ‘Hard’ or ‘Soft’ Drop–

Proactive Deselection (Section 2.6.3.2.3)

2.6.2

Removal (Drop) Process Details

2.6.2.1‘Hard Drop’, ‘Soft Drop’, and Reinstatement Process Details‘Hard Drop’ is a drop that removes an issue from the Global Index without an immediate option to be
added back.
A ‘Soft Drop’ is a drop that removes an issue from the Global Index with the option of automatic
reinstatement if, after the impact of the trigger event is determined, the issue meets the reinstatement
criteria.
All issues considered for a drop under Sections 2.6.3.2.1 – 2.6.3.2.3 will be reviewed against ‘Soft Drop’
threshold. The default action is that if the issue meets the ‘Soft Drop’ threshold guideline it will beannounced as such in the Index Status Report (Section 7.2), unless the issue has a maturity date that isless than 6 months from the day of the anticipated ‘Soft Drop’ Effective Date, in which case the issue will be‘Hard’ dropped using the Removal Basis stated in the section applicable. See relevant sections for details ofeach threshold guideline and the announcement process.
Any issue ‘Soft’ dropped from the Index will be monitored until the final results of the event that initiated the‘Soft Drop’ are available to the Index Management Team. When the outcome is known, the issue will beconsidered for reinstatement to the Global Index. If no results that are explicitly stated as the outcome of theevent that triggered the ‘Soft Drop’ are available to the Index Management Team on the 1st Workday
immediately following the 2 calendar months from the event’s final Settlement Date or Exercise/Closing
Date, if no Settlement Date is known (‘no result’ monitoring period), the issue will be tested for reinstatement
based on the information available on that day.
The Index Manager may extend the ‘no result’ monitoring period after an exceptionally long period elapsingsince the final Settlement Date or Exercise/Closing Date, if no Settlement Date is known, of the event thattriggered the ‘Soft Drop’ designate the issue as ‘No Longer Eligible for Reinstatement’.
An issue considered for reinstatement is tested using the Outstanding Issues Proceeds effective EoD on the
day the outcome of the event that caused the ‘Soft Drop’ is known, based on the procedure detailed in
Section 2.6.3.1.2 (Size) and 2.6.3.1.3 (Price). The issue must satisfy BOTH Size and Price tests during thesame period to be reinstated, as well as have a maturity date that is more than 6 months from the Workday
immediately after the anticipated Reinstatement Date. In addition to the Size and the Price tests, for issues
tested following ‘no result’ monitoring period, the issue will need to meet the Qualifying Price Conditions(Section 6.2.2) regardless of its Region; for clarity, a minimum of 2 qualifying prices must be available tocarry out Qualified Price Testing.
Reinstatement to Sub-Indices is done in accordance with eligibility criteria applicable for each of theSub-Indices and processed in the same way as any other Add. See Section 3 for more details on
Sub-Indices.
The Reinstatement Effective Date for the Global and Continuous Reselection Sub-Indices is determined by
the Index Operations Team and may vary by the index family. Unless amended, it will be the 3rd Workday
following the Reinstatement Announcement Date.

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Detailed Guidelines for Removal

2.6.3.1

Events with an Outcome of ‘Hard Drop’

2.6.3.1.1 Drop Due to Issue Approaching a Final Conversion Date
The Drop Notification Date will be the 15th Workday before the earlier of the last day to elect to convert, or
the last day on which action needs to be taken to allow the issue to be converted.
This guideline applies both to issues which have been called and issues that are approaching maturity.
Drop Due to Issue Approaching a Final Conversion Date
Removal Basis

Timing Guidelines–

EoD Market Price on Drop Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: see above–

Drop Announcement Date: 1st Workday following Drop Notification Date–

Drop Effective Date: 6th Workday from Drop Notification Date

2.6.3.1.2 Drop Due to Size
All constituents of the Global Index are checked daily against the size thresholds stated below or upon any
change to the Outstanding Issue Size (see Section 2.7).
An issue will be dropped from the Index if the issue fails (i.e., does not meet) ANY of the thresholds listed
below on 5 consecutive Weekdays, except where the issue’s Market price, as determined by LSEG
PRICING SERVICE (LPS) , is equal to or greater than 75% of the Accreted Issue Price, in which case thetesting period would be 10 consecutive Weekdays. For issues where there has been a change to the
Outstanding Issue Size, the issue is re-tested on the 5 Weekdays preceding the Change Notification Date(see Section 2.7) using the new Outstanding Issue Size.
The Index Manager may also extend the duration of the testing periods, for up to a maximum of 6 weeks at
a time, for all issues during any market wide events adversely affecting pricing. Any such change will beannounced in the Index Status Report.
i. Outstanding Issue Proceeds:
Must be greater than or equal to 75% of the Outstanding Issue Proceeds thresholds used for addition(Section 2.2.2).
RegionCash equivalent of 75% of Outstanding
Issue Proceeds*

Countries included in the Region

US

USD 225m

US

Europe**USD 150m

Other

USD 150m

Any country not listed under US, Europe, Asia ex-Japan, orJapan regions.

Asia ex- Japan

USD 75m

China, India, Indonesia, Malaysia, Pakistan, Philippines,
Singapore, South Korea, Taiwan, Thailand, Vietnam.

Japan**USD 75m

EUR
131.25m

JPY 8,250m

GBP
112.5mAustria, Belgium, Denmark, Finland, France, Germany, Greece,
Hungary, Ireland, Italy, Liechtenstein, Luxembourg, Netherlands,
Norway, Poland, Portugal, Russia, Spain, Sweden, Switzerland,
Turkey, UK

Japan*For issues not denominated in USD, the Outstanding Issue Proceeds will be translated to USD at the FX rates used for Global Index calculations.
** For issues denominated in a currency specified as a threshold, the local currency threshold will apply, for other issues the Outstanding Issue, Proceeds
will be translated to USD at the FX rates used for Global Index calculations.

ii. Market Capitalisation:
Must be greater than or equal to USD 75m, and greater than or equal to the lesser of USD 400m and
30% of the Accreted Issue Proceeds.

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11 of 61Any issue failing a threshold on 2 consecutive Weekdays, excluding issues being tested due to thechange in the Outstanding Issue Size, will be included in the Index Status Report issued on the following
Workday as a ‘Potential Drop Due to Size’. Once announced as such, the issue will either remain on the
Index Status Report until it is announced as a Drop or will be removed from the report the Workday after it
no longer fails the threshold that triggered the announcement.
Drop Due to Size
Removal Basis

Timing Guidelines–

EoD Market Price on Drop Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: 1st Workday following the 5th consecutive day of the issue failing the Size threshold–

Drop Announcement Date: The same as Drop Notification Date–

Drop Effective Date: 2nd Workday following the Drop Notification Date

Removal guidelines, where applicable, for issues re-tested after the change in Outstanding Issue Size aredetailed in Section 2.7.3.
2.6.3.1.3 Drop Due to Price
All constituents of the Global Index are checked daily against both price spread thresholds stated below.
An issue will be dropped from the Index if the issue fails EITHER of the thresholds on 5 consecutive
Weekdays, except where the issue’s Market price, as determined by LSEG PRICING SERVICE (LPS), isequal to or greater than 75% of the issue’s Accreted Issue Price, in which case the testing period would be
10 consecutive Weekdays.
The Index Manager may also extend the duration of the testing periods, for up to a maximum of 6 weeks at
a time, for all issues during any market wide events adversely affecting pricing. Any such change will beannounced in the Index Status Report.
Price Spread Threshold type

ThresholdFace value> 4%

Bid price> 6%

Any issue failing a threshold on 2 consecutive Weekdays will be included in the Index Status Report issued
on the following Workday as a ‘Potential Drop Due to Price’. Once announced as such, the issue will either
remain on the Index Status Report until it is announced as a Drop or will be removed from the report theWorkday after it no longer fails the threshold that triggered the announcement.
Drop Due to Size
Removal Basis

Timing Guidelines

FTSE Russell–

EoD Market Price on Drop Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: 1st Workday following the 5th consecutive day of the issue failing the Price threshold–

Drop Announcement Date: The same as Drop Notification Date–

Drop Effective Date: 2nd Workday following the Drop Notification Date

12 of 612.6.3.1.4 Drop due to Exchange Property Delisting
As soon as the Index Management Team becomes aware of the de-listing, the following will apply:
Drop due to Exchange Property Delisting
Removal Basis

Timing Guidelines–

EoD Market Price on Drop Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: The same day the Index Management Team becomes aware of the de-listing–

Drop Announcement Date: The same as Drop Notification Date–

Drop Effective Date: 2nd Workday following the Drop Notification Date

2.6.3.1.5 Drop Due to Being Impractical to Price
For an issue to become impractical to price BOTH of the following conditions must be satisfied.
i. An acceptable price is not available from any Recognised Convertible Exchange
ii. A LSEG PRICING SERVICE (LPS) Closing Price is not available, or LSEG PRICING SERVICE (LPS)
have notified that pricing of the issue will be terminated
The Index Manager will determine an acceptable price to execute the drop or determine that a further reviewof the circumstances is required prior to announcing the drop.
Drop Due to Being Impractical to Price

2.6.3.2

Removal Basis–Price as determined by the Index Manger

Timing Guidelines–

Drop Notification Date: The day the Index Manager is notified–

Drop Announcement Date: As determined by the Index Manager–

Drop Effective Date: 2nd Workday following the Drop Notification Date

Events with an Outcome of ‘Soft Drop’ or ‘Retain’

2.6.3.2.1 Drop Due to Issue Approaching a Put
For an issue approaching a Put, the Drop Notification Date is normally the 11th Workday prior to the last dateon which a holder may elect to ‘Put’ rather than retain the issue. For issues with terms that allow the holder
to submit and then withdraw their notice, the last day on which the notice may be withdrawn is therelevant date.
The Index Management Team will determine if an issue is less than or equal to the ‘Soft Drop’ threshold for
the Put. An issue that meets the removal guideline will be ‘Soft’ dropped from the Global Index. The Index
Manager may, taking into account market conditions and other relevant factors, determine that the issue will
not be treated as set out in the tables below.
‘Soft Drop’ Put Threshold Determination Ratio
𝑀𝑎𝑟𝑘𝑒𝑡 𝑃𝑟𝑖𝑐𝑒
𝑃𝑢𝑡 𝑃𝑟𝑖𝑐𝑒

Announcement of the Action is morethan 15 Workdays before the Put Date

Announcement of the Action 15
Workdays or less before the Put Date

Issues is retained in the index.

Ratio > 105%

Ratio > 102%

Issue is ‘Soft’ dropped from the index

Ratio ≤ 105%

Ratio ≤ 102%

Index Action‘Soft’ dropped issues will be monitored for reinstatement until the result of the Put is known see
Section 2.6.2.1 for the full detail of the process following a ‘Soft Drop’ action.

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‘Soft Drop’ and Reinstatement (where applicable)
Removal Basis‘Soft Drop’ timing guidelines

Reinstatement Timing Guidelines–

EoD Market Price On ‘Soft Drop’ Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: (see above)–

Drop Announcement Date: Workday following the Drop Notification Date–

‘Soft Drop’ Effective Date: 6th Workday following the Drop Notification Date–

See Section 2.6.2.1

If the issue is not ‘Soft’ dropped, and some or all holders elect for early redemption, then the index will takethe following actions:
Amount Outstanding After Put

Index Action≤20% of Original Issue Size

The Outstanding Issue Size will be amended to reflect the change. The change will be appliedat the Put Price.
In most circumstances an issue will no longer be eligible for retention in the Index due to thesize test and therefore the action will be to Drop the issue at the Put Price.

>20% of Original Issue Size

The change will be treated as a regular change in Outstanding Issue Size with the change
applied using the Bid price on the Effective Date.
In some circumstances an issue will no longer be eligible for retention in the Index due to thesize test and therefore the action will be to Drop the issue at the Bid Price.

2.6.3.2.2 Drop Due to an Offer
This guideline deals with situations where the issue becomes the subject of an Offer, examples of such
events are:
– Offer to purchase the convertible by the issuer or another entity,– Offer to pay holders a cash amount in consideration of a terms change,– Offer to pay holders a cash amount in consideration of the holder not exercising a Put option,– Offer to exchange the issue for a new or existing issue.
The Index Management Team will determine the classification of the Offer (Partial, Exchange, Short, orLong) as soon as the Offer details become known to the Index Management Team.
Possible Offer classifications, along with the default treatments, are detailed below. For the Offer
confirmed as ‘Long’, the day the Offer becomes known to the Index, Operations will be treated as Drop
Notification Date.
In the case of an Offer with terms that allow the holder to submit and then withdraw their acceptance the last
day on which the acceptance may be withdrawn will be used to determine the classification of the Offer.
The Index Management Team will review the proposed basis and may amend the classification of the Offer
and/or the details of the default action for the proposed classification.
Any default action described in the following table which includes a change in Outstanding Issue Size issubject to the Outstanding Issue Size Change process detailed in Section 2.7.

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i. Partial Offer
Description

Default Action

Offers where the offer does not apply tothe entire Amount Outstanding of the issue
and the maximum amount that could be
accepted is such that more than 20% of
the original issue size would remain
outstanding in all circumstances.

Will remain in the Index and the result of the Offer is reflected in a change in
Outstanding Issue Size for the Index constituent.

ii. Exchange Offer
Description

Default Action

Offers where the offer is to exchange theissue for another issue which would be
eligible for addition to the Index should thesize be sufficient.

Will remain in the Index and the result of the offer is reflected in a change in
Outstanding Issue Size for the Index constituent.
The issue offered in exchange if eligible for addition (Section 2.2.1) and is above thethresholds in Section 2.6.3.1.2, the issue will be automatically added to the Index.
The change in Outstanding Issue Size and the addition, where appropriate, of theoffered issue will occur on the same day and at the same value.

iii. Short Offer
Description

Default Action

Offers where the last day on
which the offer can be
accepted is less than
5 Weekdays after the date on
which the offer becomes
known to the Index
Management Team.

Will remain in the Index and the result of the offer is reflected in achange in Outstanding Issue Size for the Index constituent.

Amount Out. After Offer

Index Action≤20% of Original Issue Size

The Outstanding Issue Size will beamended to reflect the change. Thechange will be applied at the Offer
Price.
In most circumstances, an issue will
no longer be eligible for retention in
the Index due to the size test andtherefore the action will be to Dropthe issue at the Offer Price.

>20% of Original Issue Size

The change, if any, will be treated asa regular change in Outstanding
Issue Size with the change applied
using the Market Price (Bid) on the
Effective Date.
In some circumstances, an issue will
no longer be eligible for retention in
the Index due to the size test andtherefore the action will be to Dropthe issue at the Market Price (Bid).

Short Offer
Removal Basis(where applicable)

Timing Guidelines

FTSE Russell–

Offer Price on Drop Effective Date (≤20% of Original Issue Size)–

EoD Market Price on Drop Effective Date (>20% of Original Issue Size)–

Drop Announcement Date: the same day as when the Amount Outstanding after the Offer is completed
becomes known to the Index Management Team–

Drop Effective Date: as determined by the Index Manager

OR

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iv. Long Offer
Description

Default Action

Offers where the last day on which theoffer can be accepted is 5 Weekdays daysor more after the offer becomes known to
the Index Management Team.

Will be ‘Soft’ dropped.
‘Soft’ dropped issues will be monitored for reinstatement in line with the reinstatementmonitoring process detailed in Section 2.6.2.1.

Basis and Timing Guidelines
Removal Basis–

EoD Market Price on ‘Soft Drop’ Effective Date

Timing Guidelines–

Drop Announcement Date: the same day as Drop Notification Date–

‘Soft Drop’ Effective Date: 2nd Workday following the Drop Notification Date–

See Section 2.6.2.1‘Long Offer’ Reinstatement

2.6.3.2.3 Proactive Deselection
There are circumstances where a judgment is required to establish the most appropriate action to take inrespect of the possible removal of an issue from the Global Index.
As and when the Index Management Team become aware of such circumstances, the Index Management
Team will advise the Index Manager of the details of the circumstances and the Index Manager will decide if
the issue is to be removed from the Global Index, and, if the issue is to be removed from the Global Index,
then the Index Manager will decide on the date and price of the removal.
The process may or may not include the ‘Soft Drop’ event (Section 2.6.2.1). If the ‘Soft Drop’ option is used,
the Reinstatement basis will be included in the announcement.
It is not possible to anticipate all circumstances that might require proactive deselection; however, examples
of such circumstances are:
– An issue with time limited enhanced conversion terms,– An issue associated with a complex merger or takeover,– An issue where a corporate event associated with the Exchange Property might trigger a holder to convert,– An issue where an event could, on a long-term basis, materially affect the liquidity of either the issue or its
underlying.
In addition to these specific circumstances, the Index Manager may, as described above, decide that it isappropriate for an issue to be removed from the Global Index. In such circumstances the Index Manager will
decide on the date and price of the removal.
2.7

Outstanding Issue Size Changes
The Outstanding Issue Size of each issue in the Global Index is monitored.
A change in the Outstanding Issue Size can be either classified as a ‘Small Adjustment’ or as ‘Substantial
Change’. Either of the classifications can lead to an issue being announced as ‘Substantially All Retired’.
All changes of Outstanding Issue Size, whether classified as ‘Small’ or ‘Substantial’, are checked using theguidelines for the Drop due to Size in Section 2.6.3.1.2 based the new Outstanding Issue Size effective EoD
on Change Notification Date. An issue where the change in the Outstanding Issue Size causes it to fail theconditions in Section 2.6.3.1.2 will be classified as ‘Substantially All Retired’.

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Small adjustments
Where the Outstanding Issue Size change represents a change in Market Capitalisation that is less than
USD100m, the guidelines are:
Small Adjustment
Change Basis

Timing Guidelines

2.7.2

–

EoD Market Price on Change Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Change Notification Date: the day Index Management Team becomes aware of the change (seeabove)–

Change Announcement Date: The same as Change Notification Date–

Change Effective Date: 1st Workday following Change Notification Date

Substantial Changes
Where the Outstanding Issue Size change represents a change in Market Capitalisation that is USD100m or
greater, the guidelines are:Substantial Changes
Change Basis

Timing Guidelines

2.7.3

–

EoD Market Price on Change Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Change Notification Date: the day Index Management Team becomes aware of the change (seeabove)–

Change Announcement Date: The same as Change Notification Date–

Change Effective Date: 5th Workday following Change Notification Date

Substantially All Retired
Where the change in the Outstanding Issue Size causes the issue to fail the Size test in Section 2.6.3.1.2
when re-tested on the 5 Weekdays preceding the Drop Notification Date using the new Outstanding
Issue Size, the guidelines are:Drop Due to Size
Removal Basis

Timing Guidelines

2.8

Other Changes

2.8.1

Technical Changes–

EoD Market Price on Drop Effective Date–

Price Basis (Section 6.3.2), Price Sources (Section 6.3.3)–

Drop Notification Date: the day Index Management Team becomes aware of the change (see above)–

Drop Announcement Date: The same as Drop Notification Date–

Drop Effective Date: 2nd Workday following the Drop Notification Date

Issues in the Global Index are subject to Technical Add and Technical Drop when certain features of theissue change. The most common event that may require a technical change is a merger or takeover that
results in a change to the Exchange Property of the issue. This may be reflected in the Global Index by the
replacement of one MACE ID by a new MACE ID, the physical issue represented by these references
remains unchanged.
Any issue subject to a Technical Add/Technical Drop will be included in the Index Status Report.

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Proactive Change
Circumstances may occur such that it may be appropriate for an issue to be to be replaced in the Global
Index with one or more other issues.
In these circumstances, the determination will be made in respect to which issues, if any, to add and/or
remove from the Global Index and relevant Sub-Indices, as well as the effective dates and prices to apply tothese changes.
Any issue subject to proactive change will be included in the Announcement Section of the Index
Status Report.

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Sub-index maintenance3.

Sub-index maintenance

3.1

Overview of sub-indices
All sub-indices are selected from the issues that form the Global Index. As such any issue which isremoved from the Global Index via ‘Hard’ or ‘Soft’ drop is simultaneously removed from all Sub-Indices.
Issues which are added or reinstated to the Global Index may, or may not, become eligible for addition to aparticular Sub-Index, the guidelines for each Sub-index set out the basis for such additions.
Sub-indices can be broadly divided into two categories:
Continuous Reselection Sub-indices – sub-indices reselected on a continuous basis.
Monthly Reselection Sub-indices – sub-indices reselected on a monthly basis in line with the publishedreselection calendar. The calendar can be found from this link.
GLOBAL INDEX (BROAD UNHEDGED INDEX)ONGOING RESELECTION

VANILLA* SUB-INDICES (ex. Mandatories)

ONGOINGRESELECTION

NON-VANILLA
SUB-INDICESONGOINGRESELECTION

FOCUS/ALL CAP FOCUS
MONTHLY RESELECTION
SUB-INDICESREGIONAL FOCUS
MONTHLY RESELECTION
SUB-INDICESCUSTOM INDICESREGIONAL SUB-INDICESCREDIT FOCUS
MONTHLY RESELECTION
SUB-INDICESREGIONAL SUB-INDICESINDICES FOR ETFs
MONTHLYRESELECTION

CREDIT SUB-INDICESHEDGED VARIANT***Those Sub-Indices that were not Vanilla from the start became Vanilla at different times, see a full list of available sub-indices and the relevant Vanilla
dates here.
**Some indices do not have a hedged variant.

3.2

Continuous Reselection Sub-indices
Eligible issues are checked for eligibility to the continuous reselection Sub-indices at the same time as theissue is added to the Global Index. However, the actual date that an issue is added to such a Sub-Index
may not be the same as the date used for addition to the Global Index; the sections below indicate thecircumstances under which a different date is used.
In the event that an issue is to be reallocated from one sub-index to another due to the change in Country,
Sector, IG, or Mandatory classification, an effective date for the change is be determined and may bedifferent for different Indices or Index groups, for example the Focus Sub-Index changes are ‘delayed’ toalign to the next Focus Monthly Review Effective Date.

3.2.1

Regional Sub-Indices (Eligibility and Maintenance Process)

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The Global Index is divided into five key Regions, in addition there are four other Regions for which indices
are calculated (see table below).
Eligibility is determined based on the country of underlying. See Section 2.3 for the details of the underlying
allocation.
Key Regions

Other Regions

–

US

–

Global ex-US–

Europe–Eurozone–

Asia ex-Japan

–

Asia

–

Japan

–

Growth Markets–

Other Markets

The allocation of an issue may change with time and the Index Manager may reallocate an issue to adifferent Country or Region at any time.
A full list of Countries and the Country – Region allocations is given in the Appendix section 6.4.
3.2.2

Vanilla Sub-indices (Eligibility and Maintenance Process)
Vanilla Sub-Indices are Indices which exclude issues identified as Mandatory.
Issues are identified as Mandatory at the time they are added to the Global Index.
The nature of an issue may change with time and the issue may be reclassified as Mandatory or Vanilla atany time.
Major Groups of Vanilla Sub-Indices–

All Credit Sub-Indices

–

Asia

–

Europe

–

Focus

–

Eurozone–

All Cap Focus–

Asia ex-Japan–

Growth Markets

–

Japan

–

Other Markets

3.2.3

Credit Sub-Indices3.2.3.1

Eligibility
To be eligible for addition to the Investment Grade Indices, an issue must:
i. Be a Vanilla issue (see Section 3.2.2 for full details).
ii. Have an Issue level, Guarantor’s Issuer level, or an Issuer level rating of BBB- and above, in the order ofprecedence stated. If a rating is found at any of the levels, no further ratings are considered.
iii. Have maturity date greater than 6 months after the after the Focus Monthly Review Effective Datefollowing the next Focus Monthly Review Selection Date.
To be eligible for addition to Sub-Investment Grade Indices, an issue:
i. Must be a Vanilla issue (see Section 3.2.2 for full details)
ii. Must:
a. Have an Issue level, Guarantor’s Issuer level, or an Issuer level rating below BBB-, in the order ofprecedence stated. If a rating is found at any of the levels, no further ratings are considered.
ORb. Be unrated.
Only the Moody’s and S&P ratings are considered at Issue Level. Only the following Issuer level ratingsfrom Moody’s or S&P are considered when assessing the Guarantor or Issuer credit rating:

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S&P–

LT Issuer Rating–

Foreign Currency LT–

LT Issuer Rating (Domestic)–

Local Currency LT–

LT Issuer Rating (Foreign)‘Shadow’ or implied ratings are not accepted.
3.2.3.2

Maintenance Process
Credit sub-indices are determined by reference to the eligible credit ratings described in thepreceding section.
For issues rated by both services, the lower credit rating at the level used is applied.
The Credit Sub-Indices are obtained by grouping ratings into two separate classes, these are:
1. Investment Grade – BBB- and above.
2. Sub-Investment Grade – Below BBB- and not rated.
Both rating agencies provide several types of ratings for issuers (see previous section), the derivation of theissuer ratings used for this guideline are given in the Appendix Section 6.5.2.
A table giving the cross reference between rating systems is given in the Appendix Section 6.5.1.

3.2.3.2.1 Issues Being Added to the Index
For issues that are being added or are proposed to be added to Global Index under Section 2.5; the processof classifying an issue as Investment Grade or Sub-Investment Grade is carried out as part of the Add
process and feedback regarding the classification will be taken in conjunction with any other feedback
regarding the proposed addition of the issue.
3.2.3.2.2 Changes Between Investment and Sub-Investment GradeA rating change resulting in an issue becoming an Investment Grade one will only be applied to theissues with more than 6 months to maturity. Issues with less than 6 months to maturity will remain in
Sub-Investment Grade Sub-Indices.
Time remaining to maturity is calculated from the next upcoming Monthly Reselection Effective Date(even for the non-Focus constituents) following the announcement of the rating change, unless the change
is announced after the Selection Date and before the corresponding Monthly Reselection Effective Date,in which case the remaining maturity determination is done from the subsequent Monthly Reselection
Effective Date.
The timing of the announcement or application of the rating change to Sub-Indices may vary.
Convertible Bonds Index calendar can be found from this link
i. For Focus Sub-Indices:
The change in the IG status is announced as soon as it becomes know. Providing the change isannounced on or prior to the current reselection cycle’s Selection Date, it is applied on the Effective Dateof the current Monthly Reselection cycle, otherwise it is differed to the next reselection cycle.
ii. For other Sub-Indices
The change is announced immediately and then applied on the 5th Workday following the announcement.
Historical notes for Credit sub-indicesPrior to January 2013, mandatory convertible issues were eligible for non-Focus Credit Sub-indices.
Prior to 10th July 2014, the guidelines provided for R&I and JCR ratings to be additionally considered in
respect of Japanese issues.
Prior to 8th October 2014, the guidelines excluded issuer ratings from consideration.

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3.3

Monthly Reselected Sub-indices

3.3.1

Focus and All Cap Focus Sub-Indices3.3.1.1

Global Focus and Global All Cap Sub-Index Overview
The Global Focus Sub-Index is an index derived from the Global Index using Regional Market Capitalisation,
Percentage Price, and Premium criteria. It aims to represent a sub-set of the Convertible market by selecting a
sub-set of constituents from the Global Index with a common set of defined characteristics representing issues
with what is termed a ‘balanced’ profile. The derivation process is mechanical.
The Global Focus Sub-Index contains any issue that was either retained in or added to the Global Focus
Sub-Index following the latest Focus Monthly Review.
Only the current constituents of the Global Index and Issues announced as a ‘firm’ Add to the Global Index
no later than the last day of the current Focus Monthly Review Selection Period will be reviewed for eligibility
and can be part of it.
Any issue that has previously been a constituent of the Global Focus Sub-Index and was removed due tofailing the reselection guidelines can be tested during any of the subsequent testing cycles, providing itmeets all eligibility criteria.
Other variants of the Global Focus Sub-Index such as Focus Investment Grade (Credit) or Europe Focus(Regional) Sub-Indices are derived from the Global Focus Sub-Index; as such, any changes to the Global
Focus Sub-Index are reflected in the Sub-Indices derived from it.
The Global All Cap Focus Sub-Index is an index derived from the Global Index and is created using
Percentage Price and Premium criteria.
Other variants of the Global All Cap Focus Sub-Index such as Global All Cap Focus Investment Grade(Credit) or Europe All Cap Focus (Regional) Sub-Indices are derived from the Global All Cap Focus
Sub-Index; as such, any changes to the Global All Cap Focus Sub-Index are reflected in the Sub-Indicesderived from it.

3.3.1.2

Eligibility Criteria
To be eligible for consideration for addition to the Global Focus Sub-Index, an issue must:
i. Be
a. a constituent of the Global Index prior to the start of the Focus Monthly Review,ORb. an issue that has been announced as a ‘firm’ Add no later than the EOD on the last day of the Focus
Monthly Selection Period. The full calendar of the upcoming Monthly Reselections can be found here.
ii. Be a dated (i.e., non-perpetual) issue.
iii. Be a Vanilla (i.e., non-mandatory) issue (See Section 3.2.2 for full definition).
iv. Have a maturity date that is more than six months after the Focus Monthly Review Effective Date for thecurrent Focus Monthly Review.
v. Not have any of the following actions associated with it:
a. Be announced as a Drop from the Global Index on a future dateb. Have an offer outstanding for some or all of the issue as of the Focus Monthly Review Selection Datec. Have a merger or takeover offer outstanding on the underlying asset of the issue as of the Focus
Monthly Review Selection Date
Should an existing constituent be restructured such that it becomes perpetual or mandatory, it will cease
being eligible.

3.3.1.3

Reselection Process for the Focus and All Cap Focus Sub-Indices

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EoD Tue: Last day for‘firm’ Add Announcement

TUE

Wed

Thu

EoD EoD

Fri

EoD

Sat

Sun

Review
Selection Date

Mon

Tue

Wed

EoD EoD

Review Selection Period

Thu

Effective
Date

Fri

Sat

Sun

Mon

Tue

Wed

EoD Wed: Last
point at which
Drops contributeto Focus Index

Thu

SoD Thu: First
point at which
Adds contributeto Focus Index

The following process applies to both the Focus and All Cap Focus Sub-Indices except where statedotherwise.
i. The maintenance process for the Focus Sub-Index takes place monthly in line with the Calendar
published here in advance. Testing periods are based on Weekdays, so no holidays are taken into
consideration.
ii. In the event any of the dates require amendments, the announcement will be made in the Index Status
Report. See Section 3.3.1.6 for further details.
iii. All issues eligible for consideration, as defined in section 3.3.1.2, are tested during the Focus Monthly
Review Selection Period. Issues, for which the ‘firm’ Add announcement date (for the Global Index) falls
after the start of the Focus Monthly Review Selection Period, are reviewed on the basis of the data fromthe ‘firm’ Add announcement date to the end of the Focus Monthly Review Selection Period. See diagram
above.
iv. Issues that are constituents of the Global Focus Sub-Index on the Weekday immediately preceding thefirst day of the Focus Monthly Review Selection Period are tested for retention in the Global Focus
Sub-Index, all other issues are tested for addition using the relevant thresholds. Addition and retention
thresholds are defined in Section 3.3.1.4.
v. For an issue eligible for consideration to be announced as an Add to the Global Focus Sub-Index it mustsatisfy all of the thresholds below on each of the days it is tested. If the issue falls outside any of thethresholds on any of the days in the Focus Monthly Review Selection Period, then the issue will not be
added to the Focus Sub-Index. The thresholds to satisfy are:a. Regional Market Capitalisation (see Section 3.3.1.4.1) – Does not apply to All CAP FOCUS
SUB-INDICES.
b. Conversion Premium (see Section 3.3.1.4.2)
c. Percentage Price (see Section 3.3.1.4.3)
vi. For any constituent of the Global Focus Sub-Index to be announced as a Drop from the Global Focus
Sub-Index, it must separately fail either of the two thresholds listed below on each of the five testingdays. The thresholds are:a. Conversion Premium (see Section 3.3.1.4.2)
b. Percentage Price (see Section 3.3.1.4.3)
vii. Any additions or deletions to the Global Focus Sub-Indices are announced the Weekday following thelast testing day on Focus Monthly Review Selection Date and are subject to 24-hour revision provision,
any changes to the announced reselection results are published the following day. A revision will only bemade during the 24-hour revision period if there is a factual error in the data used for the selection or if
new information becomes available that would impact the selection.
viii. Actual implementation of the announced results takes place on the Focus Monthly Review Effective Date
which is the 5th Weekday after the announcement of the results.
There is no general provision for additions to or deletions from the Focus Sub-index between Focus
Monthly Reviews, however, changes may be made in any of the following circumstances:

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ix. Any issue removed from the Global Index for whatever reason is automatically removed from the Focus
Sub-index. This is not particular to the Focus Sub-index but applies to all sub-indices.
x. Any issue that is in the Focus Sub-index that is replaced in the Global Index by one or more other issues
will be advised to the Index Manager. The Index Manager will then determine which, if any, of thereplacement issues will be added to the Focus Sub-index.
xi. Circumstances may occur such that, between Focus Monthly Reviews, it may be appropriate for an issue
to be added to or removed from the Focus Sub-index. In these circumstances, the Index Manager will
determine the detail of any amendments to the constituents of the Focus Sub-index.
If an issue is added to or removed from the Focus Sub-Index between Focus Monthly Reselections, thechange/proposed change will be included in the Index Status Report.
3.3.1.4

Reselection Thresholds
The specific thresholds for retention and addition are set out in the sections below. The thresholds aremonitored at each Focus Monthly Review and the Index Manager may amend any of the threshold values
as described in Section 3.3.1.5.
All thresholds are tested using end of day Bid side of the Market Price.
An existing Focus Sub-Index constituent is any issue forming part of the Global Focus Sub-Index theWeekday preceding the first day of the Focus Monthly Review Selection Period.

3.3.1.4.1 Regional Market Capitalisation (DOES NOT APPLY to All CAP FOCUS SUB-INDICES)The Market Capitalisation for each of the days during the Focus Monthly Review Reselection Period is
calculated using the Market Price and FX rates applicable to the relevant day together with the Outstanding
Issue Size used for Index calculations on the last day of the Focus Monthly Review Selection Period (seedefinition for the Market Capitalisation in Section 6.1.8).
This test applies to the issues tested for addition only. To satisfy the test the issue must be greater than orequal to the stated thresholds.

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RegionCurrency

ThresholdCountries included in the Region

US

USD

500m

US

EuropeEUR

375m

Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hungary,
Ireland, Italy, Liechtenstein, Luxembourg, Netherlands, Norway, Poland,
Portugal, Russia, Spain, Sweden, Switzerland, Turkey, UK

Other

USD

275m

Any country not listed under US, Europe, Asia ex-Japan, or Japan regions.

Asia ex- Japan

USD

275m

China, India, Indonesia, Malaysia, Pakistan, Philippines, Singapore, South
Korea, Taiwan, Thailand, Vietnam

Japan

JPY

22,000m

Japan

The threshold for Market Capitalisation has been varied historically as a result of the prevailing market
conditions. The historical values used are shown in Section 3.3.1.4.4 below.
3.3.1.4.2 Conversion Premium
Conversion premium is defined in Section 6.1.11.
Constituent Status (test type)

ThresholdAn existing Focus Sub-Index constituent (retention)

Meets guideline if Premium is ≤ 100%

NOT an existing Focus Sub-Index constituent (addition)

Meets the guideline if the Premium < 75%

The threshold upper limit for premium has been varied historically as a result of the prevailing market
conditions. The historical values used are shown in Section 3.3.1.4.4 below.
3.3.1.4.3 Percentage Price
Percentage Price is defined in Section 6.1.7.
Constituent Status (test type)

Threshold (ranges are inclusive)

An existing Focus Sub-Index constituent (retention)

Meets guideline if Percentage Price is ≥ 60% & ≤ 140%

NOT an existing Focus Sub-Index constituent (addition)

Meets guideline if Percentage Price is > 70% & <125%

The limits for Percentage Price have been varied historically as a result of the prevailing market conditions.
The historical values used are shown in Section 3.3.1.4.4 below.
3.3.1.4.4 Reselection Thresholds (Historic Levels)
The following section contains details of the historical thresholds for the Market Capitalisation, Premium,and Price respectively.
These limits are subject to further revision by the Index Manager (Section 3.3.1.5 gives details of this process).
The threshold levels have been varied historically because of the prevailing market conditions. The historicalvalues used are shown in the tables below.
Market Capitalisation Threshold History
Currency

Inception – Dec 2009

Jan 2010 – Jan 2013

Feb 2013 – Current

US

USD

650m

600m

500m

Europe

EUR

450m

400m

375m

Asia ex-Japan

USD

300m

300m

275m

Japan

JPY

30,000m

25,000m

22,000m

Other Markets

USD

300m

300m

275m

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Premium Threshold History
Date

An existing constituent (retention)

NOT an existing constituent (addition)

Premium <=Premium <

Start

End

InceptionOct 2008

100%

75%

Nov 2008

Dec 2009

200%

75%

Jan 2010

Sep 2010

125%

75%

Oct 2010

Current

100%

75%

An existing constituent (retention)

NOT an existing constituent (addition)

Percentage Price Threshold History
Date

3.3.1.5

Prc. Price ≥Prc. Price ≤Prc. Price >Prc. Price <Oct 2008

50%

140%

60%

125%

Nov 2008

Dec 2009

40%

140%

60%

125%

Jan 2010

Dec 2011

50%

140%

60%

125%

Jan 2012

Current

60%

140%

70%

125%

Start

End

Inception

Amendment of Thresholds by the Index Manager
The Percentage Price or Premium thresholds used for retention or addition during the Focus Monthly
Review Selection together with the Regional Threshold Level may be amended by the Index Manager.

3.3.1.6

Focus Monthly Review Timetable Details.
The Focus Monthly Reselection calendar is available here. Below are the detailed descriptions of the terms.
The Focus Monthly Review Selection Date and the Focus Monthly Review Effective Date fall on the first andthe second Wednesday of each month respectively except where amended. Further, if the 1st January is a
Wednesday, then both dates move to the second and third Wednesday in January respectively, the dates
for the rest of the year remain unaffected.
The Focus Monthly Review Effective Date is the date on which changes required as a result of the Focus
Monthly Review are applied – issues that are to be removed from the Focus Sub-Indices will be removed at
the EOD Market Price (Bid) and issues that are to be added to the Focus Sub-Indices will be added at the
EOD Market Price (Ask).
The Focus Monthly Review Selection Date is the date on which the constituents of the Focus Sub-index thatwill be effective from the Focus Monthly Review Effective Date are determined and announced.
The Focus Monthly Review Selection Period is the period during which market prices and relatedparameters are measured to allow application of the mechanical thresholds.
The Focus Monthly Review Selection Period is the five Weekdays immediately prior to the Focus Monthly
Review Selection Date.

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26 of 61Section 4

Equity indices4.

Equity indices

4.1

Equity Indices
For the Global Index and each Sub-Index there are number of related equity indices calculate for research
and analysis purposes: Parity and Equity Cash (Since Inception, Year to Date, Quarter to Date, and Yearon Year).
Details of the indices can be found in the Equity Indices Methodology here.

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27 of 61Section 5

Index calculation methods
5.

Index calculation methods

5.1

Regular Index Calculation
The basic index calculation method is a Market Capitalisation weighted chain-linked index calculation withincome reinvestment (Total Return).
The index is calculated every Weekday to the full precision available to the calculation process; however,
the official published values of the index are rounded to two decimal places (one decimal place up to andincluding 31st December 2007).
The Index is calculated using the input data and other necessary data available each Weekday at the timeof calculation.
The Index will not be subject to retrospective calculation except where the Index Manager determines that itis necessary based on the expert judgement. Retrospective calculation is limited to the previous Weekday’s
EoD values only.
Any retrospective recalculation that is made will be announced in the Index Status Report and notified to the
Independent Oversight committee.

5.1.1

Daily Index Calculation
The index is constructed, and the index value is computed, such that the impact of each issue is in
proportion to the Market Capitalisation of the issue and where the income periodically due to each issue isfully and continually reflected in the index value.
In order to derive:𝑉𝑡

The value of the index on day t. Index values are only computed for Weekdays and, if day t is a Friday,
then day t +1 will be the following Monday

The values required are:𝐷𝑖𝑡

The dirty cash value of one unit of the ith issue in the index on day t.

𝐶𝑖𝑡

The cash value of any income that becomes due for one unit of the ith issue in the index on day t.

𝑆𝑖𝑡

The issue size outstanding at SoD in units of the ith issue in the index on day t.

𝑋𝑖𝑡

The exchange rate used to convert the cash price of the ith issue in the index on day t to the index
currency.

𝐹𝑡

The index factor on day t.

𝑛𝑡

The number of issues in the index on day t.

The value of the index is given by:
𝑡

𝑡
𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 ((𝐷𝑖 + 𝐶𝑖 ) × 𝑆𝑖 × 𝑋𝑖 )
𝑉 =
𝐹𝑡
𝑡

The value of F will remain unchanged until there is a change to the constituents of the index, there is achange to the issue size of one or more of the constituents or until an income event occurs for an issue inthe index.

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The above equation assumes that income is generated in the same currency as the price. In exceptional
cases, the income currency is different to the price currency, in which case the equation is modified asshown below:
𝑡

𝑡
𝑡
𝑡
𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 (𝐷𝑖 × 𝑆𝑖 × 𝑋𝑖 + 𝐶𝑖 × 𝑆𝑖 × 𝑋𝑐𝑖 )
𝑉 =
𝑡
𝐹
𝑡

Where 𝑋𝑐𝑖𝑡 is the exchange rate used to convert the income cash value to the index currency.
For simplicity, the remaining equations in this section assume that the income currency is the same as theprice currency, although in practice the index is computed on the more general basis shown above.
5.1.2

Treatment of Income Events
The principle is that the index should, at all times, reflect the income stream of constituent issues.
On a day-to-day basis, the index reflects the income element of constituent issues by using the Dirty Pricefor computation. Thus, if all issues in the index were priced at constant Clean Prices on successive days,
the index would increase to reflect the increase of accrual on each issue.
The key date for the handling of income events is the Ex-income Date. The Ex-income Date is the first tradedate on which trading takes place for delivery of the security, such that the buyer does not become entitledto the income.
On the Ex-income Date for a particular security, the contribution to the index value from the security iscomposed of 2 elements:
i. The Dirty Price for the issue multiplied by the number of units outstanding and converted to the index
currency divided by the index factor.
ii. The income received per unit of the issue multiplied by the number of units outstanding and converted
to the index currency divided by the index factor.
If the index is considered as a theoretical portfolio, this approach equates to holding the income as cash forthe duration of the Ex-income Date and re-investing the cash at the end of day prices across the index inproportion to the Market Capitalisation of the issues.
At the end of the Ex-income Date, the income is re-invested in the index. This re-investment does not alter
the value of the index and therefore the end of day value of the index before re-investment:
𝑡

𝑡
𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 ((𝐷𝑖 + 𝐶𝑖 ) × 𝑆𝑖 × 𝑋𝑖 )𝐹𝑡

Must be equal to the end of day value after the re-investment,
𝑡

𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 (𝐷𝑖 × 𝑆𝑖 × 𝑋𝑖 )𝑡
𝐹𝑛𝑒𝑤

The new index factor is therefore,
𝑡

𝑡
𝐹𝑛𝑒𝑤
= 𝐹𝑡 ×𝑡𝑡𝑡∑𝑖=𝑛𝑖=1 (𝐷𝑖 × 𝑆𝑖 × 𝑋𝑖 )
𝑡

𝑡
𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 ((𝐷𝑖 + 𝐶𝑖 ) × 𝑆𝑖 × 𝑋𝑖 )For convertible indices, the gross income is used for the calculation. For equity indices, the income used
may be net or gross depending on the market, details for each market are given in Section 6.6.
5.1.3

Treatment of Changes of Constituents or Weightings
When changing the constituents of the index by adding or deleting issues, or by changing the size of anissue, the principle is that the immediate effect of the addition is to leave the index unchanged.
Given that the value of the index before the addition will be:
𝑡

𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 (𝐷𝑖 × 𝑆𝑖 × 𝑋𝑖 )
𝑉 =
𝐹𝑡
𝑡

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29 of 61and, that the value of the index after the addition will be:𝑡∑𝑖=𝑛𝑒𝑤_𝑛 (𝑛𝑒𝑤_𝐷𝑖𝑡 × 𝑛𝑒𝑤_𝑆𝑖𝑡 × 𝑛𝑒𝑤_𝑋𝑖𝑡 )𝑉 = 𝑖=1
𝑛𝑒𝑤_𝐹𝑡𝑡Where:
𝑛𝑒𝑤_𝐷𝑖𝑡

The revised dirty cash value of one unit of the ith issue in the index on day t

𝑛𝑒𝑤_𝑆𝑖𝑡

The revised issue size outstanding in units of the ith issue in the index on day t

𝑛𝑒𝑤_𝑋𝑖𝑡

The exchange rate used to convert the cash price of the ith issue in the index on day t to theindex currency.

𝑛𝑒𝑤_𝐹 𝑡

The revised index factor on day t

𝑛𝑒𝑤_𝑛

𝑡

The revised number of issues in the index on day t

Then𝑡

𝑛𝑒𝑤_𝐹 𝑡 = 𝐹 𝑡 ×∑𝑖=𝑛𝑒𝑤_𝑛(𝑛𝑒𝑤_𝐷𝑖𝑡 × 𝑛𝑒𝑤_𝑆𝑖𝑡 × 𝑛𝑒𝑤_𝑋𝑖𝑡 )
𝑖=1
𝑡

𝑡
𝑡
𝑡
∑𝑖=𝑛
𝑖=1 (𝐷𝑖 × 𝑆𝑖 × 𝑋𝑖 )Changes are always made using the final values for prices on a particular day. Thus, whilst a change has
been implemented on a particular day, the first day on which the changes will affect the index value is thefollowing day.
The conventional approach is to refer to the first day on which a change will affect the value of the index as
being the date on which the change was implemented, although this is not strictly true. The conventionalterminology is used throughout this document.
5.2

FX Hedged Index Calculation

5.2.1

FX Hedged Methodology
A simple hedge strategy is to sell forward currency of equal value to the securities held in any currency
other than the base currency of the fund. It is this strategy that the FX Hedged methodology is intended toclosely imitate.
The strategy is not intended to hedge any effects associated with cross-currency issues (i.e., where
currency of the bond and the currency of the underlying are different).
The performance of a fund adopting this approach will be the performance of the securities in their native
currencies, plus the impact of the forward currency transaction.
The impact of the forward currency transaction over a specific period in isolation is the difference between
the base currency amount required to purchase the securities and the amount of base currency that will bereceived when the forward is closed out.

5.2.2

FX Hedged Implementation in the Index
The calculation is applied on a per security basis for each day the index is calculated (each Weekday) for all
issues where the issue’s currency differs to the Index currency.
To provide a realistic estimate of the impact of an effective 1-day forward rate one-month deposit rates forthe currencies are used as set out below, the mid-market rates are used for the calculations.
The impact of the FX forward for a period of n days as a percentage of the position value iscalculated as:% 𝐼𝑚𝑝𝑎𝑐𝑡 𝑜𝑓 𝐹𝑋 𝑓𝑜𝑟𝑤𝑎𝑟𝑑 = (𝐷𝑅ℎ𝑐 − 𝐷𝑅𝑐𝑐 ) × 𝑛⁄365
Where
𝐷𝑅ℎ𝑐

FTSE Russell

1-month deposit rate for FX Hedge currency, mid-market rate from the previous Weekday. Where
depo rate information is not available, a value of zero is used.

30 of 61𝐷𝑅𝑐𝑐

1-month deposit rate for constituent (local) currency, mid-market rate from the previous Weekday.
Where depo rate information is not available, a value of zero is used.

𝑛either 1 day or 3 days, depending on whether a weekend is involved in the calculation.

The performance of the constituent in base currency is adjusted to account for FX moves during the
day as:% 𝐴𝑑𝑗𝑢𝑠𝑡𝑒𝑑 𝑃𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒 = 𝑅𝑃 × 𝐹𝑋𝑆𝑜𝐷 ⁄𝐹𝑋𝐸𝑜𝐷
Where
𝑅𝑃

% Raw Performance on the day in constituent’s local currency

𝐹𝑋𝑆𝑜𝐷

Start of Day mid-market FX rate of the constituent currency per unit of base currency (equal to theprior Weekday’s 𝐹𝑋𝐸𝑜𝐷 )𝐹𝑋𝐸𝑜𝐷

End of Day mid-market FX rate of the constituent currency per unit of base currency.

The % hedged performance per constituent is:% 𝐻𝑒𝑑𝑔𝑒𝑑 𝑃𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒𝑐𝑜𝑛𝑠𝑡 = % 𝐴𝑑𝑗𝑢𝑠𝑡𝑒𝑑 𝑃𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒 + % 𝐼𝑚𝑝𝑎𝑐𝑡 𝑜𝑓 𝐹𝑋 𝑓𝑜𝑟𝑤𝑎𝑟𝑑
The performance of the overall hedged index is the sum of:𝑐% 𝑃𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒 𝑜𝑓 𝑡ℎ𝑒 𝐻𝑒𝑑𝑔𝑒𝑑 𝐼𝑛𝑑𝑒𝑥 = ∑ % 𝐻𝑒𝑑𝑔𝑒𝑑 𝑃𝑒𝑟𝑓𝑜𝑟𝑚𝑎𝑛𝑐𝑒𝑐𝑜𝑛𝑠𝑡 × 𝑊𝑆𝑜𝐷
1

Where
𝑊𝑆𝑜𝐷

Percentage weight in Index of a constituent at Start of Day.

𝑐

Number of constituents in the index on the day of calculation.

The performance of the overall hedged index is then used to generate an index value.
5.3

Concentration Factors

5.3.1

Concentration Levels
Concentration Factors are used to limit the impact of specific issues in a given index.
Concentration Factors are used for most indices.
For each index where Concentration Factors are used, a Concentration Level is used to calculate theConcentration Factor to be applied to each issue in the index. The Concentration Level is the percentage ofthe Market Capitalisation of the index to which the influence of a single issuer or underlying or a Specified
Instrument Type is limited by application of the Concentration Factors.
The Index Manager will determine from time-to-time which indices will use Concentration Factors and,for those indices, the Concentration Level to apply.
Any changes that are made to the list of which indices will use Concentration Factors and, for those indices,
the Concentration Level to apply will be announced in the Index Status Report.
The table below sets out the Concentration Level used for each index group, the Concentration
Level is used for all indices based on that selection of issues, regardless of the calculation currency or
calculation method.
Underlying/Issuer
Concentration Level*

Structured Exchangeable
Concentration Level**

Global2%

5%

Global Vanilla2%

5%

Global All Cap Focus

2%

5%

Global ex US

3%

5%

US

3%

5%

US All Cap Focus

3%

5%

Index GroupFTSE Russell

31 of 61Index Group

Underlying/Issuer
Concentration Level*

Structured Exchangeable
Concentration Level**

Global Focus

4%5%

Global Investment Grade

4%

5%

US Vanilla

4%5%

Europe All Cap Focus

4%5%Asia All Cap Focus

4%5%Europe5%5%Eurozone

5%

5%

Asia

5%

5%

Growth Markets

5%5%

Global Focus ex US

5%

5%Global All Cap Focus Investment Grade

5%

5%

Global Focus Investment Grade

6%

5%

US Focus

6%5%Asia ex-Japan

6%

5%

Asia Focus

6%

5%

Japan

8%

5%

Europe Focus

8%5%Asia ex Japan All Cap Focus

8%5%Japan All Cap Focus

8%5%Eurozone Focus

10%

5%

Europe Investment Grade

10%

5%

Asia ex-Japan Focus

10%

5%

US Investment Grade

10%

5%

Europe All Cap Focus Investment Grade

10%

5%

Japan Focus

15%

5%

Europe Focus Investment Grade

15%

5%

US Focus Investment Grade

No Limit

No Limit

Japan Investment Grade

No Limit

No Limit

Other Markets

No Limit

No Limit

Note: * Concentration Level values are effective as of August 2019. ** Structured Exchangeables (Specified Instrument Type) Concentration Level values
are effective as of [EFFECTIVE DATE OF REVISION 9 – TO BE CONFIRMED].

The Concentration Level used for each index group is reviewed at each Focus Monthly Review and theIndex Manager will determine any amendments to Concentration Levels.
Concentration Factors are used to ensure the following conditions are satisfied following the calculation ofConcentration Factors:
1. The total Market Capitalisation of issues from a single issuer does not exceed a specified amount set forthat index.
2. The total Market Capitalisation of issues that convert into a particular underlying does not exceed a
specified amount set for that index.
3. The total Market Capitalisation of the Specified Instrument Type does not exceed a specified amount set
for that index.

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There is only one Concentration Factor for each issue in a particular index. This concentration factor iscomprised of Underlying/Issuer and any Specified Instrument Type applicable.
The calculation of Concentration Factors may be carried out for an entire index or may be carried out for aselection of one or more issues.
The Index Manager may determine the Concentration Factor to be used for a specific issue in a particular index.
Mandatory convertibles are not included in the computation of the total capitalisation issued by an issuer but
are included in the computation of the overall index capitalisation.
The issuer related to the Exchange Property of each issue is normally a straightforward determination,
however, where necessary, the Index Manager will determine the issuer to be allocated for the purposes ofthese calculations.
Any changes or proposed changes to the issuer associated with the Exchange Property of an issue will beannounced in the Index Status Report.
Any Specified Instrument Type is based on the instrument type definition stated in Section 6.1.19 of the
Methodology.
For issues that are being added or are proposed to be added to Global Index under the Addition to the
Global Index guidelines (Section 2.5), the process of identifying the issue as being of the Specified
Instrument Type and the issuer to be associated with the Exchange Property is carried out as part of theIssue Add process and feedback regarding the identification/association will be taken in conjunction withany other feedback regarding the proposed addition of the issue.
5.3.2

Concentration Factor Changes
The method used to calculate Concentration Factors is set out in section 5.3.3 below.
Concentration Factors are recalculated for each index, where applicable, on a monthly basis on the Focus
Monthly Review Effective Date. See here for the list of Concentration Level Reset Dates.
Concentration Factors are recalculated for specified issues when an issue is added to or dropped from anindex. In these circumstances, the issues for which the Concentration Factors are recalculated is limited to
the Related Issues Related Issues (Section 5.3.3) of the issue or issues being added or dropped.
During the daily index calculation, a check is carried out to determine if any issuer or underlying or aSpecified Instrument Type exceeds 125% of the Concentration Level applying to the index/Specified
Instrument Type. If this situation occurs, then the Index Manager is notified of the details of the situation andthey will determine if a re-calculation of the Concentration Factors is to be carried out and, if so, the timing ofsuch re-calculation. The default position is NOT to re-calculate between the Monthly Concentration Level
Reset Dates.
The Index Manager may require a re-calculation of the Concentration Factors to be carried out for specified
issues or indices or a Specified Instrument Type(s), or may defer a specific calculation of Concentration Factors.

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33 of 615.3.3

Concentration Factor Calculation
The process for calculating the Concentration Factors is iterative as the application of any factor will change
the weighting of all other issues in the index.
The calculation follows the same sequence whether the Concentration Factors for the whole index or theConcentration Factors for specific issues are being recalculated.
For recalculation of the Concentration Factors for the whole index, the Relevant Issues are all of theconstituents of the index.
For recalculation of specified issues, in case of an Add or a Drop, the Relevant Issues are the Related
Issues based on the specified issues required for the recalculation.
Related Issues are determined by initially selecting all issues with the same issuer (except for Mandatories),
underlying or a Specified Issue Type(s) as any of the specified issues.
Then the process adds to Related Issues any additional bonds not already defined as Related Issues whichhave the same underlying, issuer (except for Mandatories) or Specified Issue Type as any of the issues
already defined as Related Issues. This process is repeated until no further Related Issues are found.
Further, this process means that even if none of the issues that initiated the recapping process are known to
be of the Specified Issue Type(s), but any of the Related Issues are identified as such, the recapping
process will include the Specified Issue Type(s) captured by the Related Issues process.
As of Revision 9, only one Specified Issue Type is included in the capping process (Structured
Exchangeables as defined in Section 6.1.18).
Once Related Issues are determined, the sequence of operations for the calculation is as follows:a. Remove all of the Concentration Factors.
b. For any issues where the Index Manager has set an override value for the Concentration Factor, apply
the Concentration Factor and remove those issues from the list of Relevant Issues.
c. Underlying iteration:i. Calculate the total Market Capitalisation of the index using the Concentration Factors already set instep b) and then calculate the Threshold Capitalisation as the product of the Market Capitalisationand the Concentration Level.
ii. For each underlying represented in the Relevant Issues, calculate the aggregate Market
Capitalisation of all Relevant Issues with that underlying. If the value exceeds the Threshold
Capitalisation, then adjust the Concentration Factor used for each of the Relevant Issues with that
underlying by the ratio of the Threshold Capitalisation divided by the aggregate Market Capitalisationof all Relevant Issues with that underlying.
d. Repeat steps c(i) and c(ii) until no material change is made.
e. Issuer Iteration:i. Calculate the total Market Capitalisation of the index using the Concentration Factors already set andthen calculate the Threshold Capitalisation as the product of the Market Capitalisation and theConcentration Level.
ii. For each issuer represented in the Relevant Issues, calculate the aggregate Market Capitalisation of
all Relevant Issues from that issuer. If the value exceeds the Threshold Capitalisation, then adjust theConcentration Factor used for each of the Relevant Issues from that issuer by the ratio of theThreshold Capitalisation divided by the aggregate Market Capitalisation of all Relevant Issues fromthat issuer.

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f. Repeat steps e(i) and e(ii) until no material change is made.
g. Specified Instrument Type iteration:i. Calculate the total Market Capitalisation of the index using the Concentration Factors already set andthen calculate the Threshold Capitalisation as the product of the Market Capitalisation and theConcentration Level.
ii. For each and every member of the Specified Instrument Types represented in the Related Issues,
calculate the aggregate Market Capitalisation of all Issues in a given Specified Instrument Type. If thevalue exceeds the Threshold Capitalisation for a given Specified Instrument type, then adjust theConcentration Factor used for each of the Issues from that Specified Instrument Type by the ratio of
the Threshold Capitalisation divided by the aggregate Market Capitalisation of all Issues of a given
Specified Instrument Type.
h. Repeat steps g(i) and g(ii) for a given and each of the Specified Instrument Type(s) represented in
the Related Issues until no material change is made.
i. Repeat steps (c) to (g) until no material change is made in either d, f, or h.
The materiality test used is that if the aggregate Market Capitalisation is no more than US$10 above theThreshold Capitalisation then the change is not material.
5.3.4

Concentration Factor Usage
The product of the Concentration Factor set at any particular calculation and the Outstanding Issue Size fora particular issue at the time of the calculation is the Maximum Allowed Size for that issue for the period until
the next calculation of Concentration Factors affecting that issue.
The actual issue size used in index calculation will be the lower of the Outstanding Issue Size and theMaximum Allowed Size.
An issue that is not subject to the application of a Concentration Factor will use the Outstanding Issue Size
as the actual issue size in index calculations.

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35 of 61Section 6

Supporting information
6.

Supporting information

6.1

Definitions and Derivations

6.1.1

Overview
This section contains details of the definitions, derivations, and sources of a number of key parameters(including input data) used in the construction and calculation of the indices.

6.1.2

Exchange Property
The Exchange Property for a convertible is the equity and/or any other value that is received on conversionof the issue.
Issues where the exchange property consists of an amount of cash where the cash value is directly linked tothe market value of an equity or basket of equities, are regarded as being convertible directly into theequities for the purposes of calculations in respect of the indices.

6.1.3

Naming Methodology
The names used to describe issue in the Global Index follow specific conventions:

6.1.4

Convertible type

Naming method

ExampleConvertible

Underlying name, coupon, maturity year

Celesio 2.5% 2018

Preferreds

Underlying name, dividend cash value per year, maturity year

Omnicare ‘B’ $2 2033

Perpetual

Underlying name, coupon, type

Health Care REIT $3.25 Perpetual

Exchangeable

Underlying name, (Issuer name), coupon, maturity year

Daimler (Aabar) 4% 2016

Issue Price
The Issue Price for an issue is the price at which an issue is first sold to general investors. Issues which are
re-offered at a price lower than the originally published issue price will be allocated the re-offered price as
the Issue Price. Some issues, particularly Japanese issues are quoted with a headline issue price which ispaid by the underwriter and then an offer price, which is the price at which the issue is offered to the market.
In this case the Issue Price is set to the offer price.

6.1.5

Original Issue Size
If there is any doubt as to the appropriate price to be used for the Issue Price, the Index Management Teamwill refer the issue to the specialist content team. The Index Management Team, in conjunction with thespecialist content team, will determine the Issue Price to be used for the issue.
The Original Issue Size is the size of the issue when launched; including any option to increase that was
exercised, and including any subsequent tap issues.

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6.1.6

Initial Issue Proceeds & Outstanding Issue Proceeds
𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑜𝑐𝑒𝑒𝑑𝑠 = 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑖𝑐𝑒 × 𝑂𝑟𝑖𝑔𝑖𝑛𝑎𝑙 𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒
𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑜𝑐𝑒𝑒𝑑𝑠 = 𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑜𝑐𝑒𝑒𝑑𝑠 ×

6.1.7

𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔 𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒
𝑂𝑟𝑖𝑔𝑛𝑖𝑎𝑙 𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒Accreted Issue Proceeds and Percentage Price
The Accreted Issue Proceeds is a measure of the capitalisation of an issue which varies through the life of
an issue to reflect the impact of discount issue or premium redemption terms.
By way of example, the TJX Companies 0% 2021 issue was launched in 2001 at an issue price of 67.165%,
with issue proceeds of US$347,578,875, the issue matures in 2021 at a price of 100% with redemption
proceeds of US$517,500,000. The Accreted Issue Proceeds tracks the change from the issue proceeds to
the redemption proceeds through the life of an issue.
The derivation of this value is as follows:
𝐴𝑐𝑐𝑟𝑒𝑡𝑒𝑑 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑜𝑐𝑒𝑒𝑑𝑠 = 𝐷𝑖𝑟𝑡𝑦 𝐴𝑐𝑐𝑟𝑒𝑡𝑒𝑑 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑖𝑐𝑒 × 𝑂𝑟𝑖𝑔𝑖𝑛𝑎𝑙 𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒𝐷𝑖𝑟𝑡𝑦 𝐴𝑐𝑐𝑟𝑒𝑡𝑒𝑑 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑖𝑐𝑒 (𝐷𝐴𝐼𝑃) = 𝐴𝑐𝑐𝑟𝑒𝑡𝑒𝑑 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑖𝑐𝑒 + 𝐴𝑙𝑙𝑜𝑤𝑎𝑛𝑐𝑒 𝑓𝑜𝑟 𝐴𝑐𝑐𝑟𝑢𝑒𝑑
Allowance for Accrued is the accrued interest for transactions on the relevant trade date. For issues subject
to contractual accrued this is the contractual accrued. For issues that trade with accrued in the price (Dirty
Price) this value is a notional value calculated using an accrual method appropriate to the market.
𝐴𝑐𝑐𝑟𝑒𝑡𝑒𝑑 𝐼𝑠𝑠𝑢𝑒 𝑃𝑟𝑖𝑐𝑒 = 𝐼𝑃 × (𝐶𝑌 𝐸𝐿 )1

𝑅𝑃 ⁄𝐼𝑇
𝐶𝑌 = ( )
𝐼𝑃
Where
𝐼𝑃

Issue Price as defined in Section 6.1.4

𝑅𝑃

Redemption Price

𝐶𝑌

Capital Yield*

𝐸𝐿

Elapsed Life is the number of years since issue date

𝐼𝑇

Issue Term is the number of years from Issue Date to final redemption*For issues where the Redemption Price is not a fixed value at issue (e.g., Floating principal issues) or
where the Redemption Price is not defined (e.g., Perpetual Issues) or where the Redemption Price is zero(e.g., Mandatory issues) or where the Redemption Price is in a currency different to the Issue Price, thenCapital Yield is set to a value of 1.
The Percentage Price is the price of an issue normalised to allow for a meaningful comparison of theissue’s price with the prices of other constituents, regardless of its issuance format (accreting vs nonaccreting), maturity stage, or its pricing units.
𝑃𝑒𝑟𝑐𝑒𝑛𝑡𝑎𝑔𝑒 𝑃𝑟𝑖𝑐𝑒 =

𝐷𝑃
𝐷𝐴𝐼𝑃

Where
𝐷𝑃

Dirty Price = Clean Price + Allowance for Accrued

𝐷𝐴𝐼𝑃 Dirty Accreted Issue Price – see definition earlier in this section
6.1.8

Market Capitalisation
𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑠𝑎𝑡𝑖𝑜𝑛 = 𝐷𝑖𝑟𝑡𝑦 𝑃𝑟𝑖𝑐𝑒 × 𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔 𝐼𝑠𝑠𝑢𝑒 𝑆𝑖𝑧𝑒

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6.1.9Face Value
The Face Value of an issue is the nominal value of the issue. For bonds, this is normally clearly stated in theprospectus and is the basis for the percentage pricing used in many markets. For preferred convertible
issues, the Face Value is normally the liquidation preference.
If the Face Value is not clear from the issue documentation, the Index Management Team will refer theissue to the specialist content team. The Index Management Team, in conjunction with the specialist content
team, will determine the Face Value to be used for the issue.

6.1.10ParityThe Parity value of an issue is the value of the Exchange Property due to the holder of the issue on
conversion of a single unit of the issue. Conventionally, Parity is converted to be in the same currency andunits as the price of the issue. See details of the FX rates used for conversion in Section 6.3.3.3.
When an issue is priced at Parity, then the security price used will be the security price such that theconsideration paid is equal to the Parity, thus if the security trades on a Clean Price basis, then the Clean
Price will be the Parity less the Accrued.
For Bond + Warrant structures, the calculation of Parity reflects the liquidation value of the complete unit tobe consistent with the approach used for other Index constituents.
The calculation method takes into account the Exercise Price of the warrant and also the bond value.
The bond value is based on the market price of the straight bond element of the unit for this calculation. If
this price is not readily available, par value of the bond will be used.
The calculation for each bond is therefore:
𝑃𝑎𝑟𝑖𝑡𝑦 = 𝐿𝑉 × 𝐹𝑋𝑢𝑛𝑖𝑡
𝐿𝑉 = (𝑀𝑃𝐵𝑁𝐷 × 𝐹𝑋) + 𝑉𝑠ℎ.𝑟 − 𝐸𝑃
Where

6.1.11

𝐿𝑉

Liquidation Value𝑀𝑃𝐵𝑁𝐷

Market Price of straight Bond only, if relevant market price for the straight bond is not available
par value of the bond is used.

𝐹𝑋𝑠𝑡𝑜𝑐𝑘

FX Rate to convert to Stock Currency

𝑉𝑠ℎ.𝑟

Value of Shares Received

𝐸𝑃

Exercise Price per Unit

𝐹𝑋𝑢𝑛𝑖𝑡FX Rate to convert to Unit currency

Premium (Conversion Premium)Premium is the percentage by which a clean security price exceeds the Parity.

6.1.12

Traded Value
Traded Value is the value of turnover reported on an exchange or trade reporting platform for an issue.
When traded value is not in the same currency as Outstanding Issue Proceeds, the Traded Value is converted
to the relevant currency on a daily basis using the EoD FX rates used for index calculation on that day.
Traded Value data obtained from TRACE is subject to the following limitations:
1. Trades marked 1MM+ on TRACE represents trades in excess of 1,000,000 nominal and are recorded
for the purposes of Traded Value calculations as 1,000,000 nominal.
2. Trades marked 5MM+ on TRACE represents trades in excess of 5,000,000 nominal and are recorded
for the purposes of Traded Value calculations as 5,000,000 nominal.
3. New Issues may, in some circumstances, not report through TRACE on the first day of trading. In thosecircumstances, no Traded Value from TRACE will be recorded against the issue for that day.
As such, the values used for assessing liquidity may understate the actual value traded.

6.1.13

Day Types

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38 of 61Calendar day – any day of the week.
Weekday – any day from Monday to Friday irrespective of any bank, market, or other holidays.
Workday – a Weekday that is not a UK bank holiday.
6.1.14

Guarantor
A Guarantor, for the purposes of this methodology, is an entity explicitly identified in the issuance
documents as providing an unconditional guarantee of the issuer’s obligations for the entire life of the issue.
As such, ‘Keepwell’ agreements and ‘Standby Letters of Credit’ are not normally regarded as being
equivalent to a Guarantor.
In circumstances where the status of an entity that might be considered a Guarantor is not clear, the Index
Manager will determine the status.

6.1.15Mandatory Issues
A mandatory issue is an issue where conversion into the Exchange Property is compulsory at maturity.

6.1.16Preferred Issues
A convertible preferred stock (Pref) is an issue where a holder is permitted conversion into the Exchange
Property after a specified date under the specified conditions.

6.1.17

Perpetual Issues
A perpetual issue is an issue where the Redemption Price and Maturity Date are not defined.

6.1.18Structured Exchangeables (Specified Instrument Type)A Structured Exchangeable bond is a bond issued by a financial institution, where the issuer (or its
affiliate(s) or proxy(ies)) also act(s) in a capital market capacity for the issue, structured to reflect theperformance of the exchange property named and settled primarily in cash upon conversion or redemption.
If there is any doubt as to the nature of the issue under consideration, the Index Manager will determine theinstrument type.

6.1.19Specified Instrument TypeA sub-set of instruments in an index that are determined to be of a specific type, as defined in Section 6.1 of
the Methodology.

6.1.20Financial Institution
A Financial Institution is any legal entity with TRBC classification of:
TRBC

Name

ECONOMIC SECTOR

Financials

BUSINESS SECTOR

Banking & Investment Services

INDUSTRY GROUP

Banking Services

INDUSTRYBanks

ACTIVITY

Banks (NEC)If there is any doubt or absence of a TRBC classification of the issuing entity, the Index Manager will
determine the classification.

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6.2

Qualifying Prices

6.2.1

Overview
The number of Qualifying Prices is used as a guide to liquidity.
To be a Qualifying Price for an issue, a price must meet a number of conditions which are set out in thesection below.

6.2.2

Qualifying Price Conditions

6.2.2.1

Absolute Conditions
To be a Qualifying Price, a price must meet all of the following conditions:i. The price must be from a source that provides prices that are available to be used by the LSEG
PRICING SERVICE (LPS) in the determination of the Closing Price,
ii. The price must be no older than one week,iii. The price must have a non-zero bid and a non-zero offer,
iv. The price must have a positive, non-zero spread,v. The price must have a spread less than or equal to 2% of Face Value,
vi. The price must have a spread less than or equal to 3% of the Bid.

6.2.2.2

Relative Condition
In addition to the absolute conditions above, the mid prices of all the Qualifying Prices for an issue must fallwithin one Standard Spread.
A Standard Spread is the lesser of 2% of Face Value and 3% of the lowest mid-price of any Qualifying Price.

6.3

Pricing

6.3.1

Overview
The Market Prices generated from the automated price feeds will be used for all end of day pricing of issues
required for calculation of the Index.
The Index Manager may determine that a different price source or a price determined by the Index Manager
should be used either for a single calculation point or for an extended period, if there is a clear reason tobelieve that the automated price is not representative.

6.3.2

Price Basis
The basis used for pricing convertibles in the Index is:
i. For issues being added or reinstated to the Global Index or any Sub-Index at the calculation point – theOffer (Ask) price.
ii. For issues being retained in the Global Index or any Sub-Index at the calculation point as well as thevolume changes – the Bid price.
iii. In some circumstances an issue may be removed from the Global Index at the Parity value. In suchcircumstances, the equity price prevailing at the end of the ‘Hard’ or ‘Soft’ Drop Effective Date will be
used to compute – the Parity.
iv. For issues being ‘Hard’ or ‘Soft’ dropped from the Global Index or any Sub-Index at the calculation point– the Bid price.

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6.3.3

Price and Rates Sources
The Convertible Prices, Price for Equites, FX, and Interest Rates are obtained as follows:

6.3.3.1

Prices for Convertible Bonds (inc. Amendment Process)i. For issues where a LSEG PRICING SERVICE (LPS) Closing Price is available, the LSEG PRICINGSERVICE (LPS) Closing Price will be used.
ii. For issues where a LSEG PRICING SERVICE (LPS) Closing Price is not available, the closing price froma Recognised Convertible Exchange will be used.
iii. For issues where neither a LSEG PRICING SERVICE (LPS) Closing Price nor a closing price from a
Recognised Convertible Exchange is available, then the previous day’s LSEG PRICING SERVICE (LPS)/Exchange price will be used.
iv. The Index Manager will determine the price to be used if steps (i) – (iii) do not yield the price.
When a price from a Recognised Convertible Exchange is used, the Index Management Team will
determine the appropriate exchange to use for a particular issue. If there is uncertainty as to the appropriate
exchange to use, the Index Manager will determine the appropriate exchange to use.
If an amendment is required:
The amended price is determined in conjunction with LSEG PRICING SERVICE (LPS). If LSEG PRICINGSERVICE (LPS) no longer prices the issue, the prices for the event will be determined by the Index
Manager and then the following guidelines will be followed:
a. For an amendment to an Add price:
The issue will be dropped from the Index at the prevailing market price and then immediately reinstated
at a different price. The difference between the prices will generate the required amendment.
b. For an amendment to a Drop price:
The issue will be reinstated to the index for a single day and the Add and Drop prices will be selected toprovide the required amendment.
c. For an amendment to a price used for a change to amount outstanding:
The amount outstanding will be restored to the prior amount outstanding for one day in order to make theadjustment. The start and end of day prices for that day will be selected to provide the required
amendment.

6.3.3.2

Prices for Equities
The prices for equities are sourced from the exchange feeds. The price used for the Index calculation is thelast trading price. Where an equity trades on a number of exchanges, the Index Management Team will
determine which exchange or exchanges are appropriate for a particular issue at any particular time. If there
is uncertainty as to the appropriate exchange to use, then the Index Manager will determine the appropriate
exchange to use.

6.3.3.3

FX Rates
WMR Closing Spot Rates are used as the basis for FX rates used for Index calculations. The Index uses
the Bid and Ask rates to USD to calculate a mid-rate to USD which is used for Index calculations.
Where cross-rates are required for calculation purposes, these rates are calculated from the mid rates
calculated by the Index.
Prior to 11th December 2015 the FX rates used for Index calculation were taken from LSEG as of
16:30 UK time.

6.3.3.4

Interest Rates
Interest rates required for the calculation of FX hedged indexes are taken from LSEG; the mid rates areused for calculation.

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6.3.4

Price and Rates Timings
The prices and rates captured by the automated feeds are selected to reflect the most recent reliable value
for each component of the Index calculation. Individual securities may be treated differently if the Index
Manager determines that the general approach is generating unsatisfactory prices (Section 6.3.3.1 applies).

6.3.4.1

General Basis for Convertibles
The general basis for convertibles is shown in the table below:
Price Type

SourceLSEG PRICING SERVICE(LPS) Closing Price

The prices provided by LSEG PRICING SERVICE (LPS) in the following regional price files(estimated delivery times in brackets):
Asia px_asia_6pm_govcorp (18:45 Tokyo time)
EMEA px_emea_6pm_govcorp (18:45 London time) US px_amer_4pm_govcorp(16:45 New York time)

6.3.4.2

Asian and European
exchange traded convertibles

More than 1 hour after the stated close of the exchange, however, the exchanges only transmit
trades from regular trading and therefore last trade will be last trade during a regular session.

US Exchange traded issues

Most recent price collected when the exchange sends the “end of trading” message.

General Basis for Equities
The general basis for equities is shown in the table below.

6.3.4.3

Price Type

SourceAsian and European Equity

More than 1 hour after the stated close of the exchange, however the exchanges only transmit
trades from regular trading and therefore last trade will be last trade during a regular session.

US Equity

Most recent price collected when the exchange sends the “end of trading” message.

General Basis for Rates
The general basis for rates is shown in the table below.
Rate Type

SourceFX Rates

WMR Closing Spot Rates, normally calculated at 16:00 UK time.

Interest Rates(1 Month Deposit Rates)

LSEG Market Data feed.

6.3.5

Recognised Exchanges

6.3.5.1

Equity Exchanges
A Recognised Exchange for equity trading is any exchange that provides trading and price data on equities
and is available as an exchange feed through LSEG market data systems.

6.3.5.2

Convertible Exchanges
A Recognised Convertible Exchange for convertible trading is any exchange that provides trading andprice data on convertibles and is widely recognised as an exchange which provides a viable market in aparticular issue.
1. In general, the Luxembourg Exchange is not regarded as a Recognised Convertible Exchange as it
does not provide a trading forum.
2. In general, the Singapore Exchange is not regarded as a Recognised Convertible Exchange for issues
that are not local issues as it does not provide a trading forum.
The Index Manager will decide if a particular exchange is a Recognised Convertible Exchange for aparticular issue.

6.3.6

LSEG Pricing Service (LPS) Closing Price

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The LSEG Pricing Service (LPS) is an independent, global evaluated pricing source covering over 2.5
million fixed income securities, derivatives, and bank loans. Coverage spans all major financial markets andprices are available at multiple times daily. LSEG PRICING SERVICE (LPS) evaluations, which provide
detailed transparency and market insight, are designed to support asset managers, custodian banks, mutualfund administrators, and risk managers.
The LSEG PRICING SERVICE (LPS) Closing Price is taken from the regional price files listed in Section
6.3.4. The regional price files contain both bid and offer prices.

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6.4

Country and Region Details

6.4.1

Allocation of Country to Region
The allocation of an issue to a Country is determined as set out in 2.3.
The relationship between Country and Region is shown in the table below.
The US and Japan are also regarded as Regions for the purposes of Sub-Indices creation.
Country to Region allocation table:
Country

GlobalGlobalex US

ArgentinaAustraliaAustriaBahamasBelgiumBermudaBrazilCanada

Cayman Islands







China





Denmark





Egypt





Finland









FranceGermany







Ghana





Greece

Hungary







India











Indonesia











IrelandIsrael





Italy





Japan





Liechtenstein







Luxembourg







Malaysia

Mauritius









MexicoNetherlands

New ZealandNorway





OTHER





Pakistan

FTSE Russell

US

EuropeAsia

OtherMarketsEurozone

Asia exJapan

GrowthMarkets

Japan
































































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Country

GlobalGlobalex US

PhilippinesPolandPortugal

RussiaSingaporeSouth AfricaSouth Korea





Spain







Sweden

Switzerland







TaiwanThailand



Turkey







UK







United Arab Emirates





US



Vietnam

6.5

Credit Rating Detail

6.5.1

Rating Equivalence Table

US

EuropeAsia

OtherMarkets

Eurozone

Asia exJapan

GrowthMarkets







Japan















































The equivalence between rating schemes for the purposes of allocating issues as Investment Grade or Sub
Investment Grade is shown in the table below.

Investment Grade

6.5.2

S&P

Moody’s

S&P

Moody’s

1

AAA

Aaa

11

BB+

Ba1

2

AA+

Aa1

12

BB

Ba2

3

AA

Aa2

13

BB-

Ba3

4

AA-

Aa3

14

B+

B1

5

A+

A1

15

B

B2

6

A

A2

16

B-

B3

7

A-

A3

17

CCC+

Caa1

8

BBB+

Baa1

18

CCC

Caa2

9

BBB

Baa2

19

CCC-

Caa3

10

BBB-

Baa3

20

CC

Ca

21

C

C

22

D

Sub Investment Grade

Issuer Rating Derivation
The issuer ratings used when determining the classification of each issue for the credit sub-indices inaccordance with Section 3.2.3 are obtained from the LSEG GovCorp database which is maintained by the
LSEG Ratings Team using data from relevant rating agencies.
The rating agencies considered for the purposes of the Index are Moody’s and S&P.

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The GovCorp data fields used are from the ‘party’ table for the issuer/guarantor and are populated from thedata available from the rating agencies using the following procedures:
Moody (mdy_issuer_rating_cd)

S&P (sp_issuer_long_rating_cd)

This field is populated using the Moody rating designations listed
below only.

This field is populated using the S&P rating designations listed
below only.

–

LT Issuer Rating–

Foreign Currency LT–

LT Issuer Rating (Domestic)–

Local Currency LT–

LT Issuer Rating (Foreign)

In the event that more than one of these is provided by the rating
agency, then the most recent is used to populate the field. If both
Foreign and Domestic are updated at the same time, then theForeign rating is dominant.

6.6

In the event that more than one of these is provided by therating agency, then the most recent is used to populate thefield. If both Foreign and Local are updated at the same time,then the Foreign rating is dominant.

Equity Dividend Treatment
Gross dividends are used for all equity markets.
If there is any doubt as to the appropriate dividend to be used for the issue, the Index Management Teamwill refer the issue to the content group.

6.7

Index Calendar
The Index Calendar lists the key dates for the Focus Monthly Review and can be found here.
The Index Calendar will be amended by from time to time. Any amendments will be announced in the Index
Status Report which is published on all Weekdays.

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Index publication and communication ofindex events
7.

Index publication and communication of index events

7.1

Index Publication
The Indices are published overnight on an EOD basis for each Weekday via a number of delivery
mechanism such as e-mail, FTP, Eikon terminals, LSEG data feeds, Bloomberg terminals, and otherredistributors.
Any requests for access to the published information should be directed to CB_Index_Reporter@lseg.com.
Calculation of the Indices takes place on or shortly after 10pm GMT and relies on a timely availability of the
input data for each of the constituents, as well as the timely availability of other necessary data. The input
data used is verifiable. The quality of the input data is assured via a combination of Pricing Sources asdetailed in Section 6.3.3.1.
In case of any delays with the delivery of input data or other necessary data for the publication of the Index,
the Index Management Team will notify relevant groups of such a delay while investigating and resolving theincident with the support of the Index Technical Support Team. In case of a significant delay in obtaining the
input or other necessary data for the publication of the Index values, the Index Management Team may
delay the calculation and publication of the Indices until the morning of the following Weekday to allow time
for remedial actions.
The Index Manager may, using expert judgement, determine that it is necessary to use all or some of the
input and/or necessary data other than what is available on the day via the Data Sources. The Index
Manager will consult with the Index Operations and Index Technical Support teams prior to making thedecision. In such circumstances the User Base will be notified.

7.2

Index Status Report – Overview and Format
The Index Status Report includes the announcements of the on-going, potential, forthcoming, and recently
completed events and changes covering existing and potential Index constituents, as well as guidelines andthresholds.
The report is distributed to the User Base via the e-mail with a copy published on Eikon and other selected
products.
The report is generated after 17:30 UK time each Weekday.
The report consists of 2 sections:
1. Announcement Section
2. Index Changes Section
The Announcement Section may include index wide or constituent specific notifications (including, but notlimited to) request for feedback, clarification on the actions taken, changes to the event timings or
thresholds. Announcements do not have a specific format but do include a Name and an Issue Identifier
where appropriate.
The Index Changes Section is comprised of the general table (first table after the announcement section)and index family specific sub-sections (tables) containing constituent specific notifications of the related

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actions. The report is segregated into sections to group similar events together. The general table contains
both the upcoming and confirmed events. Index family specific sub-sections only contain the confirmed
Adds and/or Drop events.
7.2.1

Index Changes Section (Possible Event Announcements)
All events/status notifications will have a general format as shown below. The table below details possible
Status/Events.
The Status/Event column indicates the date for the action announced.
1. Adds state the SoD of the date when a given issues starts contributing to the index.
2. Drops state the EoD of the date when a given issue stops contributing to the index.
3. Other dates are EoD effective dates for the action.
i. Additions to the Global Index
a. A new issue that could, in the near future, meet the Size criteria via the exercise of an over-allotment
option that is known at the time of the announcement will carry an additional note advising ‘Size
threshold has not yet been achieved but may be achieved if the over-allotment option is exercised’.
b. Exchanged Issues (see Section 2.2.1, numeral (vii)) will carry an additional note identifying themas such.
c. Mature issues that became eligible for consideration due to becoming convertible into a listed sharewill carry an additional note identifying them as such.
d. Mature issues that became eligible for consideration due to Over-allotment/Upsizing/ReOpening/‘Tap’ Issue will carry an additional note identifying them as such.
e. Mature issue that became eligible under section 2.2.2.4 will carry an additional note identifying themas such.
Status/Event

Description

Monitor for Add – ends DD-MMM

Identifies issues at the initial stage of review for the addition to the Global Index.

Monitor for Add – ends DD-MMM

Identifies issues at the initial stage of review for the addition to the Global Index wherethe ‘Monitor for Add’ is extended. The initial monitoring periods is indicated on the
Index Status Report along with the extension, where applicable.

Extended until DD-MMM
Potential Add – Review DD-MMM

Identifies issues being considered for the addition to the Global Index where theliquidity has been confirmed.

Add at start of day DD-MMM

Identifies an issue confirmed as a ‘firm’ Add.

Effective price date DD-MMM

Additions to the Global Index of reinstated issues will be identified using this event andcarry a note.

Added for start of day DD-MMM

Identifies issues already added to the Global Index.

Effective price date DD-MMM
Add Under Review – Review DD- MMM

Identifies an issue being reviewed prior to being confirmed or declined as an Add.

Add Declined on DD-MMM

Identifies an issue that was declined for addition to the Global Index. The issue willremain on the Index Status Report until the end of the monitoring period with a statusof ‘Declined’.

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ii. Removals from the Global Index
a. Drop Notification Date – The date the Index Management Team becomes aware of the event.
b. ‘Soft’ or ‘Hard’ Drop Announcement Date – The first day the action (which may include a review
period) is announced.
c. Possible drop due to Size or Price Announcement Date – The date a constituent failed EITHER
the Size or the Price thresholds for 2 consecutive Weekdays.
d. ‘Soft Drop’ Effective Date – The date on which the issue is removed from the Global Index and all
Sub-Indices.
e. Reinstatement or ‘No Longer Eligible for Reinstatement’ Announcement Date – The date theoutcome of the review of the results of the event that caused the ‘Soft Drop’ is announced.
f. Reinstatement Effective Date – The date on which the issue is added back to the Global Index.
g. ‘Hard Drop’ Effective Date – The date on which the issue is removed from the Global Index and all
Sub-Indices.
Issues ‘Soft’ dropped will remain on the Index Status Report until confirmed as Reinstated or as ‘No Longer
Eligible for Reinstatement’.
Issues announced as ‘No Longer Eligible for Reinstatement’ will remain on the Index Status Report for threeconsecutive Weekdays following such announcement.
Following the initial drop announcement, the following options are available:
i. Confirm the issue as a Drop along with the Type and the terms of the Drop.
ii. Confirm the issue as a Drop on amended terms.
iii. Determine the issue is to be retained in the index.
Ask User Base for further feedback.
Status/Event

Description‘Hard’ Drop at end of day DD-MMM

Identifies an issue announced as a ‘Hard’ Drop.

Effective price date DD-MMM‘Soft’ Drop at end of day DD-MMM

Identifies an issue announced as a ‘Soft’ Drop.

Effective price date DD-MMM‘Hard’ Dropped on DD-MMM

Identifies an issue already ‘Hard’ dropped from the Global Index.

Effective price date DD-MMM‘Soft’ Dropped on DD-MMM

Identifies an issue already ‘Soft’ dropped.

Effective price date DD-MMM
Drop Under Review – Review DD-MMM

Identifies an issue being reviewed prior to accepting or amending the proposed action.

Possible Drop due to Size

Identifies an issue that has failed the Price test for 2 or more consecutive Weekdays.

Possible Drop due to Price

Identifies an issue that has failed the Price test for 2 or more consecutive Weekdays.

No Longer Eligible for Reinstatement –from DD-MMM

Identifies an issue confirmed as ‘No Longer Eligible for Reinstatement’ following a‘Soft’ drop.

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iii. Puts and Offers
Status/Event

Description

Put Under Review – Review DD-MMM

Identifies an issue subject to a Put being reviewed prior to advancing to thenext stage.

Put – Retain

Identifies an issue subject to a Put that is being retained rather than ‘Soft’ dropped.

Offer Under Review – Review DD-MMM

Identifies an issue subject to an Offer being reviewed prior to advancing to thenext stage.

Offer – Retain

Identifies an issue subject to an Offer that did not meet the removal guideline.

iv. Issue Size Changes
Status/Event

Description

Volume Change for the start of day DD –MMMSpecifies a date from which the new volume is effective.

Effective price date DD-MMM

v. Rating, Country, and Name Changes
Status/Event

Description

ChangeIdentifies an issue for which a Rating, Country, or Name change is being announced.

vi. Focus and Qualified Sub-Index Changes
Status/Event

Description

Focus Add for start of date DD-MMM
Effective price date DD-MMM

Identifies an issue announced as an Add to the Focus Sub-Indices during the current
reselection cycle.

All Cap Focus Add for start of date
DD-MMM

Identifies an issue announced as an Add to the All Cap Focus Sub-Indices during thecurrent reselection cycle.

Effective price date DD-MMM
Qualified Add for start of date DD-MMM
Effective price date DD-MMM
Focus Drop for end of date DD-MMM

Identifies an issue announced as an Add to the Qualified Sub-Indices during thecurrent reselection cycle.

Effective price date DD-MMM

Identifies an issue announced as a Drop from the Focus Sub-Indices during thecurrent reselection cycle.

All Cap Focus Drop for end of date
DD-MMM

Identifies an issue announced as a Drop from the All Cap Focus Sub-Indices during
the current reselection cycle.

Effective price date DD-MMM
Qualified Drop for end of date DD-MMM
Effective price date DD-MMM

Identifies an issue announced as a Drop from the Qualified Sub-Indices during thecurrent reselection cycle.

vii. Technical Changes
Status/Event

Description

Technical:

Identifies an issue subject to the technical amendment.

Dropped/DD-MMM/Added – DD – MMM

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7.3

Amendments to Reports
Reports that include information that relates to future events are subject to revision if additional information
becomes available.
SoD reports are subject to revision during the day of publication in respect of SoD prices, in particular,
Add prices.
If reports are subject to revision, then FTSE Russell will, at its sole discretion, decide what action to take.
Revised reports may not be published.

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Sub-Indices – Definitions
8.

Sub-Indices – Definitions

8.1

Sub-Indices Groupings
For convenience, the sub-indices are arranged in groups:
1. Headline, Global, Regional, Credit, Focus Indices
The Headline group includes those indices that are most frequently used and contains indices from theother groups. The Global group contains those indices with a Global geographic coverage, some of which
are also present in other groups.
The Sub-Indices tables are available from here.

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Historical Notes
9.

Historical Notes

9.1

Historical Calculation Arrangements
From inception of the indices in 1998 until November 2010, the UBS Convertible Indices Calculation Agentwas MACE Advisers Ltd.
In November 2010, Refinitiv acquired MACE Advisers Ltd, following which, the day-to-day maintenance andcalculation of the Thomson Reuter Indices was carried out by the same team that provided the maintenanceand calculation prior to November 2010.

9.2

Transitional Arrangements
The transfer of the UBS Global Convertible Index from UBS to Refinitiv was subject to the following
transitional arrangements:
1. The maintenance and calculation of the index was carried out in accordance with the UBS Convertible
Indices Guidelines dated 9th Jan 2013 until EoD on 9th July 2014.
2. The Q2 2014 reselection (effective date 9th July 2014) was carried out under the UBS Convertible
Indices Guidelines dated 9th Jan 2013.
3. The maintenance and calculation of the index was be carried out in accordance with the Refinitiv
Convertible Indices Initial Methodology from 10th July 2014 to 28th July 2014
4. The maintenance and calculation of the index was carried out in accordance with the Refinitiv
Convertible Indices Initial Methodology (Rev 2) from 29th July 2014 to 15th September 2014.
5. From 16th September 2014 onwards, the maintenance and calculation of the index will be carried out inaccordance with the relevant version of Refinitiv Convertible Indices Methodology.
6. The Methodology was rebranded in Dec 2023 to align with the rebranding of the Indices and is referred
to as FTSE Convertible Indices Methodology.

9.3

Effective Date for Methodology Changes
The effective dates for revisions of the Methodology are:
Revision

Effective Date

3

8 October 2014, however
Sections 2.2-2.4 were applied to the Q3 2014 Reselection process (effective data 8 October 2014)
Section 2.5.4 was effective as of 16 September 20144

2 December 2014525 November 2015, however
the change to the source for FX Rates (Section 6.3.3) is effective as of the Index calculation at end of day on
11 December 2015.

630 December 2016(updated Index Calendar only)

7

2 September 2019
The final Quarterly Reselection was Q1 2019, effective 10 Apr 2019.

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Revision

Effective Date

8

1 January 2020
Transition to RBSL under EU BMR; minor clarifications for Revision 7.

8.5

28 June 2021
1. General Eligibility criteria amendment with item (viii) (Section 2.2.1)
2. Amended eligibility for the named groups of issues (New section 2.2.2.4)
3. Amendment of the Reinstatement Process to handle ‘no explicitly stated outcome’ events (Section 2.6.2.1)
4. Drop Due to Size/Drop Due to Price amended with conditional testing period extensions (Sections 2.6.3.1.2 &2.6.3.1.3)
Non-material change
5. The ESG Disclosure – moved to Section 11
6. Percentage Price Definition moved to section 6.1.7 and expanded
7. Added Structured Exchangeables, Specified Instrument Type, and Financial Institution definitions tosection 6.1.18, 6.1.19 and 6.1.20 respectively.

9

1 November 2021
1. Added Structured Exchangeables capping application details throughout section 5.3
Non-material change
2. Tables in Section (2.2.2, 2.6.3.1.2, 3.3.1.4.1, 6.4.1) have been amended to include Turkey

10

1 June 2022
Non-material changes
1. Sections throughout the document have been re-arranged, amended, and simplified to enhance the accessibility
and clarity of the document as week as the index construction process in place.
2. Diagrams have been amended with additional reference details to enhance accessibility and clarity of the index
construction process in place.
3. Section 11 was added to list instances of the expert judgement permitted under the Methodology.
4. The ESG Disclosure moved to section 12.

1 Jan 2024
Non-material changes
1. The Methodology is rebranded to align with the transition to FTSE Russell
2. All references to REPS are removed to reflect the new name of the LSEG Pricing Service (LPS)
3. Index Operations Team is now referred to as Index Management Team
4. ESG reference
5. Governance Section

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Further information (Contact details)
10.

Further information (Contact details)

General queries should be directed to CB_Index_Reporter@lseg.com

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Expert judgment permitted under the
methodology
11.

Expert judgment permitted under the methodology

The Methodology permits the following instances of expert judgment. For full details, see the relevant section specified.
1. Amend guidelines and/or guideline dates to accommodate market events and/or conditions (Section 2.1)
2. Determine an appropriate action/timing of an action for guidelines explicitly stated as such (Section 2.1)
3. Determine most appropriate guideline to apply, if more than one is triggered (Section 2.1)
4. Determine eligibility of an issue for inclusion in case of eligibility criteria uncertainty. (Section 2.2.1)
5. Amend default Country of an issue where appropriate (Sections 2.3)
6. Set an issue as ‘Monitor for Add’ under certain circumstances (Section 2.4.1)
7. Set an issue as a ‘Potential Add’ under certain circumstances (Section 2.5.1)
8. Decline an Add under certain circumstances (Section 2.4.2)
9. Reset a declined Add to ‘Potential Add’ (Section 2.5.1)
10. Extend Reinstatement monitoring (Sections 2.6.2.1).
11. Extend duration of the testing period in case of an adverse market-wide event (Sections 2.6.3.1.2, 2.6.3.1.3)
12. Proactively Deselect an issue under certain circumstances (Section 2.6.3.2.3)
13. Proactively Change an issue under certain circumstances (Section 2.8.2)
14. Add or remove an issue from the Focus Sub-Indices between the formal reselections(Section 3.3.1.3 (xi))
15. Handle an issue replacement for the Focus Sub-Indices (Section 3.3.1.3 (x))
16. Amend testing thresholds for the Focus Sub-Indices (Section 3.3.1.4, 3.3.1.5)
17. Determine if the Index requires a re-statement (Section 5.1)
18. Determine the Concentration Factors application, including the Concentration Leve at index or an individual
security level or re-calculation of the Concentration. (Section 5.3.1, 5.3.2)
19. Determine the issuer for the Exchange Property where necessary (Section 5.3.1)
20. Determine the status of a Guarantor entity under certain circumstances. (6.1.14)
21. Determine a Structured Exchangeable or Financial Institution classification under certain circumstances (Sections
6.1.18, 6.1.19)
22. Determine an alternative price source or a price under certain circumstances or where the guidelines explicitly
require such determination (Section 2.6.3.1.5, 6.3.1, 6.3.3.1)
23. Determine the appropriate exchange to use for pricing equities (Section 6.3.4)
24. Determine a Recognised Convertible Exchange for a particular issue (Section 6.3.5.2)

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Data Sources (Section 7.1).
26. Determine viable data and/or Data Source(s) during severe technical problems, extreme market events, or awidespread loss of liquidity (Section 12.5).

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Appendix
12.

Appendix

12.1

ESG Disclosures

Explanation of how ESG factors are reflected in the key elements of the benchmark methodology
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark Services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Fixed Income

Item 3. Name of the benchmark or family of benchmarks.

FTSE Convertible Bond Indices

Item 4. Does the benchmark methodology for the benchmark or family ofbenchmarks consider ESG factors?
Date on which information has been last updated and reason for the update:

Yes

No

10/12/19
Initial version

12.2

Index GovernanceRefinitiv Benchmark Services (UK) Limited (“RBSL”) is the Administrator of the Convertible Bond Indicesbenchmark family. RBSL is incorporated in England and Wales and is a wholly owned subsidiary of London
Stock Exchange Group plc (“LSEG”).
RBSL is authorised and regulated in the UK by the Financial Conduct Authority (“FCA”), FCA Reference
Number 610678. RBSL is an Authorised Benchmark Administrator as listed on the FCA Benchmark
Register.
As Administrator, RBSL is responsible for collecting input data, determining and publishing the benchmarks,
and for all aspects of governance, oversight, compliance, and integrity of the benchmarks.
Index Manager
An Index Manager is appointed from time to time by the Benchmark Administrator, who will be a subject
matter expert responsible for reviewing, maintaining, and owning the benchmark methodology.
The Index Manager is responsible for the integrity and quality of the index and has specific responsibilities
as set out below:
1. To interpret the index rules in conjunction with the Index Management Team
2. To review feedback received from the User Base
3. Develop and implement changes to the Index Methodology
Index Management TeamThe Index Management Team is responsible for the maintenance, calculation, and distribution of the Index
as set out in this Methodology.
Index Technical Support TeamThe Index Technical Support team is responsible for providing technical support to the Index Management
Team for the sourcing of input and other necessary data as well as calculation and distribution of the Index.

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Refinitiv Benchmark Oversight Committee
An independent Oversight Committee is responsible for oversight of all aspects of the provision of the FTSE
Convertible Indices, including reviewing the indices definition and the Methodology at least annually,
overseeing any changes to the Methodology, cessation of the indices, and overseeing the administrator’s
control framework, management, and operation of the Indices.
12.3

Market Feedback

12.3.1

User Base‘The User Base’ is not a formal group but consists of any user or recipient of index information largely madeup of the recipients of the Index Status Report (Section 7.2).

12.3.2Market Feedback
The governance of the FTSE Convertibles Index differs from the general FTSE Index Governance
Frameworks as it includes the ability of the ‘User Base’ to provide feedback to the Index Manager.
The Index Manager may request feedback as needed.
Maintenance and calculation of the index requires timely, accurate, and complete information on the issues
that are constituents of the index or are potential constituents of the index.
It is recognised that, on occasions, market participants will have information that is relevant to index
operations that may not have been considered, and the methodology includes several processes to allow
this information to be utilised whilst maintaining the integrity of the index.
It is anticipated that feedback will be received from recipients of the Index Status Report (Section 7),
although any feedback received will be considered. The Index Status Report includes details of proposed
Adds, Drops, and other relevant events.
When considering feedback from the User Base, the Index Manager will seek to independently validate any
information provided in the feedback, where required. The Index Manager will use feedback in conjunction
with all other available information to decide the appropriate action.

12.3.3

Management of Feedback and the Complaints Procedure
Feedback should be directed to the following inbox: CB_Index_Feedback@lseg.com.
Any operational queries or price challenges should be directed to: CB_Index_Feedback@lseg.com.

12.4

Methodology – Purpose, Readership, MaintenanceAny expression of formal dissatisfaction related to a proposed change to the Indices determination process,on an application of the Methodology in relation to a specific Index determination, and on other decisions inrelation to the Index determination process should be directed to FRCompliance@lseg.com
Full details of the RBSL Complaints, Operational Enquiries, & Price Challenges Handling Policy can befound here.

12.4.1

Purpose of the Document
This document, issued by Refinitiv Benchmark Services (UK) Limited in its capacity as Administrator for the
FTSE Convertible Indices, specifies the Methodology for the FTSE Convertible Indices.

12.4.2

Intended Readership
The intended readership of this Methodology are the stakeholders of the benchmark.

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Methodology Review and Change Procedure
This Methodology is subject to the RBSL Internal Review Procedure. The Methodology is reviewed at least
annually, or as required. Any changes to the Methodology will be carried out in line with the RBSL
Benchmark Methodology Change and Cessation Policy. The policy can be viewed here.
The review could be triggered by any change (known or foreseen) in the underlying market, sources of the
input or other necessary data, or based on the external feedback from the User Base.
The review shall include input from at least one representative of the Index Operations group, Compliancedepartment, and the Index Manager.

12.5

Potential Limitations of the Benchmark
FTSE Convertible Indices are calculated using readily available input data delivered by LSEG Pricing
Service (LPS) with other necessary data delivered by LSEG data feeds (the ‘Data Sources’). Further details
are available in Sections 6.3 and 7.1.
Determination of FTSE Convertible Indices depends on the timely availability of the input and othernecessary 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.
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 Index Manager will exercise expert judgement to determine the viable data
and/or Data Source(s) necessary to calculate the Indices. FTSE Convertible Indices would not necessarily
be representative of the market segments they aim to represent under such conditions.

12.6

Access to the Methodology
Methodologies for all public Indices such as Global, Qualified, Qualified Monthly Hedged, and Monthly
Europe Focus are made available on the dedicated Convertible Indices website here.

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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
Europe”), (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.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL, and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”,“ICB®”, “Refinitiv”, “Beyond Ratings®”, “WMR™”, “FR™” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service
marks owned or licensed by the applicable member of LSEG or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI
Europe, WOFE, RBSL, RL or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark
Services (UK) Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by LSEG, from sources believed by it to be accurate andreliable. Because of the possibility of human and mechanical inaccuracy as well as other factors, however, such information and data is provided "as is" without warranty of any kind.
No member of LSEG nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly,
either as to the accuracy, timeliness, completeness, merchantability of any information or LSEG Products, or of results to be obtained from the use of LSEG products, including but notlimited to indices, rates, data and analytics, or the fitness or suitability of the LSEG products for any particular purpose to which they might be put. The user of the information assumes
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No responsibility or liability can be accepted by any member of LSEG nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or inpart caused by, resulting from, or relating to any inaccuracy (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing,transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of LSEG is advised in advance of the possibility of such damages, resulting from the use of, or inability to use,such information.
No member of LSEG nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting
financial or investment advice. No member of LSEG nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability ofinvesting in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any
information herein. Indices and rates cannot be invested in directly. Inclusion of an asset in an index or rate is not a recommendation to buy, sell or hold that asset nor confirmation thatany particular investor may lawfully buy, sell or hold the asset or an index or rate containing the asset. The general information contained in this publication should not be acted upon
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Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index and/or rate returns shown may not represent the results of theactual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index or rate inception date is back-tested
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or rate was officially launched. However, back-tested data may reflect the application of the index or rate methodology with the benefit of hindsight, and the historic calculations of anindex or rate may change from month to month based on revisions to the underlying economic data used in the calculation of the index or rate.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate.
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About FTSE Russell
FTSE Russell is a leading global provider of benchmarks, analytics and data solutions with multi-asset capabilities, offering a precise view of themarkets relevant to any investment process. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks havechosen FTSE Russell indexes to benchmark their investment performance and create investment funds, ETFs, structured products and index-based
derivatives. FTSE Russell indexes also provide clients with tools for performance benchmarking, asset allocation, investment strategy analysis andrisk management.

To learn more, visit lseg.com/en/ftse-russell; email info@ftserussell.com; or call your regional Client Service team office:
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