Ground Rules

June 2023

FTSE4Good US
Select Index
v2.4

lseg.com/en/ftse-russell

FTSE4Good US Select Index, v2.4, June 2023

Contents
Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 4
Section 3 FTSE Russell index policies ............................................................................................................................... 5
Section 4 Eligible securities ................................................................................................................................................ 7
Section 5 Sustainable Investment data inputs .................................................................................................................... 8
Section 6 Index qualification criteria ................................................................................................................................. 10
Section 7 Periodic review of constituents ......................................................................................................................... 14
Section 8 Changes to constituent companies................................................................................................................... 15
Section 9 Corporate actions and events ........................................................................................................................... 16
Appendix A Further information ........................................................................................................................................ 17

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Section 1

Introduction
1.

Introduction

1.1

This document sets out the Ground Rules for the construction and management of the FTSE4Good US
Select Index. Copies of these Ground Rules are available at www.lseg.com/en/ftse-russell/.

1.2

The index is designed to measure the performance of the FTSE USA All-World Index excluding companies
based on specific product, conduct or ESG related objectives.

1.3

The FTSE4Good US Select Index takes account of ESG factors in its index design. Please see further
details in Section 5 and 6.

1.4

The FTSE4Good US Select Index is calculated in real time.

1.5

Capital and total return indices are available. The FTSE4Good US Select Total Return Index is calculated
on an XD basis.

1.6

The FTSE4Good US Select Index has a base date of 31 October 2005 with a starting value of 100.

1.7

FTSE Russell

1.8

FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt
Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and FTSE Fixed
Income Europe Limited), FTSE Fixed Income LLC, FTSE (Beijing) Consulting Limited, Refinitiv Benchmark
Services (UK) Limited, Refinitiv Limited and Beyond Ratings.

1.9

FTSE Russell hereby notifies users of the index that it is possible that circumstances, including external
events beyond the control of FTSE Russell may necessitate changes to, or the cessation of, the index andtherefore, any financial contracts or other financial instruments that reference the index or investment funds
which use the index to measure their performance should be able to withstand, or otherwise address thepossibility of changes to, or cessation of, the index.

1.10

Index users who choose to follow this index or to buy products that claim to follow this index should assess
the merits of the index’s rules-based methodology and take independent investment advice before investing
their own or client funds. No liability whether as a result of negligence or otherwise is accepted by FTSE
Russell for any losses, damages, claims and expenses suffered by any person as a result of:–

any reliance on these Ground Rules, and/or–

any inaccuracies in these Ground Rules, and/or–

any non-application or misapplication of the policies or procedures described in these Ground Rules,
and/or–any inaccuracies in the compilation of the Index or any constituent data.

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Section 2

Management responsibilities
2.

Management responsibilities

2.1

FTSE International Limited (FTSE)

2.1.1

FTSE is the benchmark administrator of the index1.

2.1.2

FTSE is responsible for the daily calculation, production and operation of the Index and will:–

maintain records of the index weightings of all constituents;–

make changes to the constituents and their weightings in accordance with the Ground Rules;–

carry out the periodic reviews of the index and apply the changes resulting from the reviews as requiredby the Ground Rules;–

publish changes to the constituent weightings resulting from their ongoing maintenance and theperiodic reviews;–

disseminate the index.

2.2

Amendments to these Ground Rules

2.2.1

These Ground Rules shall be subject to regular review (at least once a year) by FTSE Russell to ensure thatthey continue to best reflect the aims of the index. Any proposals for significant amendments to theseGround Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders
if appropriate. The feedback from these consultations will be considered by the FTSE Russell Index
Governance Board before approval is granted.

2.2.2

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

1

The term administrator is used in this document in the same sense as it is defined in Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on
indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (the European Benchmark Regulation) and The
Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 (the UK Benchmark Regulation).

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Section 3

FTSE Russell index policies
3.

FTSE Russell index policies
These Ground Rules should be read in conjunction with the following policy documents which can beaccessed using the links below:

3.1

These Ground Rules should be read in conjunction with the FTSE Global Equity Index Series Ground Rules.

3.2

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

3.3

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

3.4

Index Policy for Trading Halts or Market Closures

3.4.1

Guidance for the treatment of index changes in the event of trading halts or market closures can be foundusing the following link:
Index_Policy_for_Trading_Halts_and_Market_Closures.pdf

3.5

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

3.5.1

Details of FTSE Russell’s treatment can be accessed using the following link:
Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market_or_a_Security.pdf

3.6

Recalculation Policy and Guidelines

3.6.1

Where an inaccuracy is identified, FTSE Russell will follow the steps set out in the FTSE Russell Index
recalculation guidelines when determining whether an index or index series should be recalculated and/or
associated data products reissued. Users of the FTSE4Good US Select Index will be notified throughappropriate media.
For further information refer to the FTSE Russell recalculation policy and guidelines document which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Recalculation_Policy_and_Guidelines_Equity_Indices.pdf

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3.7

Policy for Benchmark Methodology Changes

3.7.1

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

3.8

FTSE Russell Governance framework

3.8.1

To oversee its indices, FTSE Russell employs a governance framework that encompasses product, service
and technology governance. The framework incorporates the London Stock Exchange Group’s three lines ofdefence risk management framework and is designed to meet the requirements of the IOSCO Principles for
Financial Benchmarks2, the European benchmark regulation 3 and the UK benchmark regulation4. The FTSE
Russell Governance framework can be accessed using the following link:
FTSE_Russell_Governance_framework.pdf

3.9

Real time status definitions

3.9.1

For indices which are calculated in real time, please refer to the following guide for details of real time status
definitions:
Real_Time_Status_Definitions.pdf

23

4

IOSCO Principles for Financial Benchmarks Final Report, FR07/13 July 2013.
Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or tomeasure the performance of investment funds.
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019.

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Section 4

Eligible securities
4.

Eligible securities

4.1

Companies are eligible for inclusion in the FTSE4Good US Select Index if they are current constituents of
FTSE USA All-World Index.

4.2

Ground Rules for the FTSE Global Equity Index Series are available at www.ftserussell.com.

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Section 5

Sustainable Investment data inputs
5.

SI data inputs

5.1

The following Sustainable Investment datasets are used in the construction of the FTSE4Good US
Select Index.
SI data inputs

Details

Product related data
– FTSE Russell

FTSE exclusion lists on the activities of companies with exposure to specificproducts or services. More information can be found:

Used for selection,weighting or exclusion5
Exclusion

Section 7 of the
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf(ftserussell.com).
Product related data
– Sustainalytics

Sustainalytics Product Involvement data identifies the nature and extent of acompany’s involvement in a range of product and business activities. Moreinformation can be found:

Exclusionwww.sustainalytics.com/investor-solutions/esg-research/esg-screening/esgcriteria
Conduct related
data – Sustainalytics

Sustainalytics Global Standards Screening (GSS) assess companies' impact
on stakeholders and the extent to which a company causes, contributes or islinked to violations of international norms and standards. More information canbe found:Exclusionwww.sustainalytics.com/investor-solutions/esg-research/esg-screening/globalcompact-norms-based-screening
Conduct related
data – RepRisk

The RepRisk Index (RRI) captures and quantifies a company’s reputationalrisk exposure to ESG issues. More information can be found:

Exclusionwww.reprisk.com/news-research/resources/methodology
Conduct related
data – FTSE Russell

FTSE exclusion lists on the activities of companies that are directly or
indirectly linked to diversity. More information can be found:

Exclusion

Section 7 of the
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf(ftserussell.com).
Minimum set of
exclusions for
Sustainable
Investment Indices5

The minimum set of exclusions is applied to this Index Series. Details of theminimum exclusions can be found:

Exclusion

Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf(ftserussell.com).

Definitions
Selection – SI data is used to select or rank constituents, or calculate minimum scores or thresholds.
Weighting – SI data is used to calculate the weight of a constituent in an index.
Exclusion – SI data is used to exclude companies from the index.

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5.1.1

Further information on SI data provided by FTSE Russell and third parties used in this index (index series)
can be found in the following guide:
Guide_to_FTSE_and_Third_Party_Sustainable_Investment_Data_used_in_FTSE_Russell_IndicesThis includes information on the data and standards used for these SI data inputs. These data sets may
include estimated data.

5.2

Sustainable Investment Metrics

5.2.1

Please see the FTSE Russell Sustainable Investment Metrics website for the scores and values of theenvironmental, social and governance (ESG) factors listed in Annex II to Delegated Regulation (EU)2020/1816 which are taken into account in the benchmark methodology for the benchmarks within thisindex series.
Further details on the metrics methodology and calculation are available using the following links:
Sustainability and ESG Data | FTSE Russell
Sustainable Investment disclosures methodology document

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Section 6

Index qualification criteria
6.

Index qualification criteria

6.1

Constituents of the Universe Index that pass the eligibility criteria detailed below are automatically membersof the Index.

6.2

The FTSE4Good US Select Index excludes companies based on product or conduct related activities. A
summary of the exclusion categories is provided below.

6.3

Product-related exclusions
Product involvement categories
NonrenewableenergyInvolvement threshold for exclusion

Nuclear power – generation and uranium mining
Companies involved in the operation and supply of nuclear power generation,that harnesses the energy present within atomic nuclei or their components.
Also, those engaged in development, processing, production and distributionof equipment and facilities that are specifically designed for and critical to thegeneration of nuclear power. This includes:– Nuclear power generation– Nuclear power plant equipment, components, and construction– Uranium mining– Uranium processing and enrichment

Greater than 0% of revenue

Fossil fuel reserves – coal, oil & gas
Companies that own proved or probable reserves in coal, oil or gas

Equal to or greater than 50% ownership

Oil & gas – production, supporting products and services
Companies classified in the following ICB Subsectors6:– 60101010 Oil: Crude Producers;– 60101020 Oil Refining and Marketing;– 60101030 Oil Equipment & Services;– 60101015 Offshore Drilling and Other Services;– 60101035 Pipelines;– 60101000 Integrated Oil and Gas.

Not applicable

Coal – production, supporting products and services
Companies classified in the following ICB Subsector5:– 60101040 Coal

Not applicable

Oil & gas – generation
Companies generating electricity from oil and/or gas

Greater than 0% of revenue

Thermal coal – generation
Companies generating electricity from thermal coal
6

Greater than 0% of revenue

The Industry Classification Benchmark (ICB) is a detailed and comprehensive structure for sector and industry analysis, facilitating the comparison of companies across four levelsof classification and national boundaries. The classification system allocates companies to the Subsector whose definition closely describes the nature of its business as determinedfrom the source of its revenue or the source of the majority of its revenue where available. Further detail and subsector definitions can be found on the ICB webpage: Industry
Classification Benchmark (ICB) | FTSE Russell and in the ICB Ground Rules: ICB_Rules_new.pdf (ftserussell.com).

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Product involvement categories
Vice
products

Involvement threshold for exclusion

Adult entertainment
Companies producing adult entertainment and/or owning/operating adultentertainment establishments

Equal to or greater than 5% of revenues

Companies distributing adult entertainment materials

Equal to or greater than 10% of revenues

AlcoholCompanies manufacturing alcoholic beverages

Equal to or greater than 5% of revenues

Companies supplying alcohol-related products/services to alcoholic
beverage manufacturers

Equal to or greater than 10% of revenues

Companies involved in distribution and/or retail sale of alcoholic beverages

Equal to or greater than 10% of revenues

Cannabis
Companies classified in the following ICB Subsector7:– 20103020 Cannabis Producers

Not applicable

Gambling
Companies that own and/or operate a gambling establishment

Equal to or greater than 5% of revenues

Companies manufacturing specialised equipment used exclusively for
gambling

Equal to or greater than 10% of revenues

Companies providing supporting products/services to gambling operations

Equal to or greater than 10% revenues

TobaccoWeapons

Companies manufacturing tobacco products

Greater than 0% of revenue

Companies supplying tobacco related products/services

Equal to or greater than 5% of revenues

Companies involved in distribution and/or retail sale of tobacco products

Equal to or greater than 5% of revenues

Chemical & biological weapons
Companies producing chemical or biological weapons and their components,
including all precursors, munitions, devices or equipment specifically designed
for, and used directly in connection with, these weapons

Greater than 0% of revenue

Cluster munitions
Companies that produce cluster munitions as defined in the “Convention
on Cluster Munitions”, or that produce specific and critical parts orservices for cluster munitions

Greater than 0% of revenue

Anti-personnel landmines
Companies that produce anti-personnel mines as defined in the “1997Convention on the Prohibition of the Use, Stockpiling, Production andTransfer of Anti-Personnel Mines and on their Destruction”, or that
produce specific and critical parts or services for anti-personnel mines

Greater than 0% of revenue

Nuclear weapons
Companies that produce nuclear weapons or their components. This
includes companies that provide delivery systems (e.g. ballistic missile
submarines) or critical services (e.g. maintenance or IT) that are directly
related to and specifically designed for nuclear weapons

Greater than 0% of revenue

Conventional military weapons
Companies manufacturing military weapons systems and/or integral,
tailor-made components or these weapons

7

Greater than 0% of revenue

The Industry Classification Benchmark (ICB) is a detailed and comprehensive structure for sector and industry analysis, facilitating the comparison of companies acrossfour levels of classification and national boundaries. The classification system allocates companies to the Subsector whose definition closely describes the nature of its
business as determined from the source of its revenue or the source of the majority of its revenue where available. Further detail and subsector definitions can be foundon the ICB webpage: Industry Classification Benchmark (ICB) | FTSE Russell and in the ICB Ground Rules: ICB_Rules_new.pdf (ftserussell.com).

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Product involvement categories

Involvement threshold for exclusion

Companies providing tailor-made products and/or services that support
military weapons

Equal to or greater than 5% of revenues

Companies providing non-weapons related tailor-made products and/or
services related to the military or defense industry

Equal to or greater than 5% of revenues

Civilian firearms
Companies producing and selling assault weapons to civilian customers

Greater than 0% of revenue

Companies producing and selling small arms (non-assault weapons) tocivilian customers

Greater than 0% of revenue

Companies producing and selling key components of small arms

Greater than 0% of revenue

Companies involved in the retail and/or distribution of assault weapons

Greater than 0% of revenue

Companies involved in the retail and/or distribution of small arms (nonassault weapons)

Greater than 0% of revenue

6.4

Constituents must also pass the screening criteria for the following themes: Environment, Human Rights,
Labor Rights, Anti-Corruption, and Diversity.

6.5

Conduct-related exclusions
At each quarterly review, FTSE Russell will exclude companies from the relevant underlying eligible
universe of FTSE Global Choice Indices that meet the criteria in Table 5.
Table 5: Conduct-related exclusions
Exclusions
Controversies

Threshold

Human rights
Controversies related to Principles 1 and 2 of the UN Global Compact, which is derived fromthe Universal Declaration of Human Rights:
Principle 1: Businesses should support and respect the protection of internationallyproclaimed human rights, andPrinciple 2: make sure that they are not complicit in human rights abuses.
Labor
Controversies related to Principles 3, 4, 5, and 6 of the UN Global Compact, which is derived
from the International Labour Organisation’s Declaration on Fundamental Principles andRights at Work:Principle 3: Businesses should uphold the freedom of association and the effective
recognition of the right to collective bargaining;
Principle 4: the elimination of all forms of forced and compulsory labour;
Principle 5: the effective abolition of child labour, andPrinciple 6: the elimination of discrimination in respect of employment and occupation.
Environment

All companies
deemed to be
non-compliant

Controversies related to Principles 7, 8, and 9 of the UN Global Compact, which is derived
from the Rio Declaration on Environment and Development:
Principle 7: Businesses should support a precautionary approach to environmental challenges;
Principle 8: undertake initiatives to promote greater environmental responsibility; andPrinciple 9: encourage the development and diffusion of environmentally friendly technologies.
Anti-corruption
Controversies related to Principle 10 of the UN Global Compact, which is derived from theUnited Nations Convention Against Corruption:
Principle 10: Businesses should work against corruption in all its forms, including extortionand bribery.

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Exclusions
Diversity

ThresholdDiversity
For this criterion an “Excluded Company” will fail to meet two out of three diversity indicators:
1. Woman/women on the Board;
2. Diversity policies;
3. Diversity management systems.

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Section 7

Periodic review of constituents
7.

Periodic review of constituents

7.1

The FTSE4Good US Select Index is reviewed quarterly in March, June, September, and December using
data as at the close of business on the Monday 4 weeks prior to review effective date.
Any constituent changes resulting from the quarterly reviews will be implemented after the close of businesson the third Friday (i.e. effective from the open on the following Monday) of March, June, September andDecember.

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Section 8

Changes to constituent companies
8.

Changes to constituent companies

8.1

Intra-review additions

8.1.1

If a constituent is added to the Underlying Index (see Rule 4.1), for example as a fast entrant, it will not
automatically be added to the FTSE4Good US Select Index. The treatment of fast entrants and othercompanies which have yet to be researched is set out in the guide to the construction and maintenance of
FTSE Exclusion Lists which can be accessed using the following link:
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf

8.2

Intra-review deletions

8.2.1

If a constituent is removed from an Underlying Index (see Rule 4.1), it will be removed from the FTSE4Good
US Select Index. The removal will be concurrent with its removal from its Underlying Index.

8.3

Intra-review exclusion changes

8.3.1

If the exclusion status of an existing constituent of an Underlying Index changes due to a corporate action or
event, the consequent change to the membership of the FTSE4Good US Select Index will be considered at
the next index review. Further details on the treatment of events leading to intra-review exclusion statuschanges is set out in the guide to the construction and maintenance of FTSE Exclusion Lists which can beaccessed using the following link:
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf

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Section 9

Corporate actions and events
9.

Corporate actions and events

9.1

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the corporate actions and events guide for market capitalisation weighted indices using the following link:
Corporate_Actions_and_Events_Guide_for_Market_Cap_Weighted_Indices.pdf
A corporate ‘action’ is an action on shareholders with a prescribed ex date. The share price will be subject toan adjustment on the ex date. These include the following:–

Capital repayments;–

Rights issues/entitlement offers;–

Stock conversion;–

Splits (sub-division)/reverse splits (consolidation);–

Scrip issues (capitalisation or bonus issue).

A corporate ‘event’ is a reaction to company news (event) that may impact the index depending on the index
rules. For example, a company announces a strategic shareholder is offering to sell their shares (secondary
share offer) – this could result in a free float weighting change in the index. Where an index adjustment isrequired, FTSE Russell will provide notice advising of the timing of the change.
9.2

Takeovers, mergers and demergers/suspension of dealing
Please see the guide to the construction and maintenance of FTSE Exclusions Lists which can be accessedusing the following link:
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf

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Appendix A

Further information
A glossary of terms used in FTSE Russell’s Ground Rule documents can be found using the following links:
Glossary.pdf
Glossary_-_Sustainable_Investment.pdf
The FTSE Russell Sustainable Investment Metrics website can be found using the following link:
Sustainable Investment Metrics
For further information on the FTSE4Good Index Series visit www.lseg.com/en/ftse-russell/ or e-mailinfo@ftserussell.com. Contact details can also be found on this website.
Website: www.lseg.com/en/ftse-russell/

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
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and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.
The FTSE4Good US Select Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. 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.
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®”,“WMR™”, “FR™”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or
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