| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| G1 Scope, precedence and principles · 7 fields | |||
| ESG data policy cross reference | Recalculation_Policy_and_Guidelines_ESG | For inaccuracies relating to ESG data used within FTSE Russell indices, please also refer to the ESG Data Recalculation Policy and Guidelines: Recalculation_Policy_and_Guidelines_ESGOpen p.3 ↗ |
Inaccuracies involving ESG data used in FTSE Russell indices are also governed by the ESG Data Recalculation Policy and Guidelines. |
| Liability disclaimer | FTSE Russell disclaims responsibility and liability for losses arising from errors or inaccuracies in index or constituent data compilation or calculation. | FTSE Russell does not accept any responsibility to investors, index constituents, licensees, or other market participants for the accuracy of the index or its constituent dataOpen p.3 ↗ |
FTSE Russell does not accept responsibility for index accuracy or liability for losses arising from errors or inaccuracies in index or constituent data. |
| Covered indices | FTSE and Russell indices whose Ground Rules or Construction and Methodology documents refer to this recalculation policy. | This policy and the FTSE Russell 1.1.1 Index Recalculation Guidelines below only apply to those indices where the relevant Ground Rules (FTSE) or Construction and Methodology (Russell) refer to this policy.Open p.3 ↗ |
The policy and guidelines apply only to indices whose relevant FTSE Ground Rules or Russell Construction and Methodology refer to this policy. |
| Precedence rule | The recalculation policy applies only when incorporated by an index's own governing methodology; the policy terms govern the recalculation guidelines. | This policy and the FTSE Russell 1.1.1 Index Recalculation Guidelines below only apply to those indices where the relevant Ground Rules (FTSE) or Construction and Methodology (Russell) refer to this policy.Open p.3 ↗ |
These rules operate by reference from the applicable FTSE Ground Rules or Russell Construction and Methodology, and the FTSE Russell Index Recalculation Policy terms apply to the guidelines. |
| Principles | high standards in index maintenance, materiality-based remedial action, index replicability, consideration of tracking impact, consideration of timing, review proximity and quarter-end or year-end values, consultation in complex or broad data issues | FTSE Russell makes every effort to maintain its indices to high standards. Nevertheless, inaccuracies may arise in the index and constituent data from time to timeOpen p.3 ↗ |
FTSE Russell seeks high index standards and weighs materiality, elapsed time, review proximity, replicability, tracking, quarter-end or year-end impacts, and market consultation when deciding remedial action. |
| Administrator | FTSE Russell | This document sets out FTSE Russell’s1 Index Recalculation Policy. This policy and the FTSE RussellOpen p.3 ↗ |
The administrator issuing the recalculation policy is FTSE Russell. |
| Rulebook version | v3.7 | The document version is v3.7. | |
| G6 Disruption, emergencies and corrections · 9 fields | |||
| Remedial action discretion | FTSE Russell may choose the best remedial action, including a forward update, after considering timing, materiality, review proximity, replicability, tracking, and period-end index values. | FTSE Russell reserves the right to determine the best course of remedial action. This can include a forward update to ensure the index is replicable.Open p.4 ↗ |
FTSE Russell reserves discretion to determine the best remedial action, including forward updates to preserve replicability. |
| Custom index user consultation | FTSE Russell may consult the user for custom indices or indices tracked by only one index user, and may consult impacted users more broadly for broad data issues affecting an index review. | For custom indices and indices which are only tracked by a single index user, FTSE Russell may consult the index user on the appropriate course of action.Open p.3 ↗ |
For custom or single-user indices, FTSE Russell may consult the index user; broad data issues affecting an index review may trigger wider consultation. |
| Individual security price or currency error | Recalculate if the threshold is breached; recalculation and data file reissue both apply. | Individual security inaccurate price or currency Recalculation if threshold is breached Y YOpen p.5 ↗ |
An inaccurate individual security price or currency is recalculated and the data file reissued if the threshold is breached. |
| Name or identifier error | Apply the missed or inaccurate name or identifier change on the next trading day; no recalculation or data file reissue. | Name or Identifier change is missed or Applied the next trading day N N inaccurateOpen p.5 ↗ |
A missed or inaccurate name or identifier change is applied on the next trading day without recalculation or data file reissue. |
| Special threshold index spillover | When the 0.01 bps threshold is breached in a listed high-priority index, all impacted indices are recalculated even if the associated country index impact is below its own threshold. | When the 0.01 bps threshold is breached within the above indices, all impacted indices will be recalculated regardless of the impact within the associated country index.Open p.4 ↗ |
A breach of the 0.01 bps threshold in a specified index causes all impacted indices to be recalculated regardless of the associated country-index impact. |
| Extenuating circumstances for unlisted indices | FTSE Russell may consider recalculation for other indices in extenuating circumstances such as passive ETF use or significant assets under management tracking the index. | Please note, the above list is not exhaustive, and FTSE Russell may consider other indices, if extenuating circumstances exist for a particular index other than those listed in the table.Open p.4 ↗ |
Indices not expressly listed may be updated where extenuating circumstances exist, including ETF usage or significant tracked assets. |
| Market disruption rule | Whole market inaccurately priced: Recalculate regardless of impact and reissue data files; Inaccurate exchange rates: Recalculate regardless of impact and reissue data files; Index not calculated outside market holiday: Recalculate regardless of impact and reissue data files | Whole market inaccurately priced (regardless of Recalculation regardless of impact Y Y reason) Inaccurate exchange rates Recalculation regardless of impact Y Y Index not calculated (outside of market holiday) Recalculation regardless of impact Y YOpen p.5 ↗ |
Whole-market mispricing, inaccurate exchange rates, or failure to calculate an index outside a market holiday triggers recalculation regardless of impact, with data files reissued. |
| Error correction policy | FTSE Russell reviews identified inaccuracies under the recalculation guidelines, may recalculate, update on a forward basis, or reissue data products, and may consult users in complex cases. | Where an inaccuracy is identified, FTSE Russell will follow the steps set out in the FTSE Russell Index Recalculation Guidelines below when determining whether an index or index series should be recalculated (or updated on a go forward basis) and/or associated data products reissued.Open p.3 ↗ |
When an inaccuracy is identified, FTSE Russell follows the recalculation guidelines to decide whether to recalculate, update prospectively, or reissue associated data products, and may consult market participants in complex cases. |
| Recalculation policy | Lookback window: 2; Lookback unit: Business days; Recent inaccuracies: Reviewed and recalculated where appropriate when impact exceeds the applicable threshold; Older inaccuracies: Generally not considered unless exceptional; a forward update may be used in specified circumstances; Primary thresholds: Scope: specified high-priority indices; Performance inaccuracy threshold bps: 0.01; Rule: A greater performance inaccuracy necessitates a remedial update, Scope: other country indices; Performance inaccuracy threshold bps: 10; Rule: A greater country-index performance inaccuracy necessitates a remedial update, Scope: country index with ten or fewer constituents; Evaluation level: regional index; Performance inaccuracy threshold bps: 3; Rule: Impact is evaluated at regional index level, Scope: country-level indices on month-end, quarter-end, year-end, or the business day immediately before an index review effective date; Performance inaccuracy threshold bps: 0.01; Rule: The 0.01 bps threshold applies | Data inaccuracies occurring in the two business days prior to discovery will be reviewed and recalculated (where appropriate) if the impact is greater than the thresholds detailed below.Open p.4 ↗ |
Inaccuracies in the two business days before discovery are reviewed and recalculated when material; older errors are generally not recalculated unless exceptional, subject to 0.01, 3, or 10 bps thresholds depending on the index and timing. |
Open points · 9Model-written, for reference
- 1No effective date for v3.7 is stated.
- 2No separate emergency procedure for calculation or publication system failures is stated.
- 3The supplied Ground Rules section contains no body text available for extraction.
- 4Not coveredG2 Calculation and publication: not covered by this edition
- 5Not coveredG3 Prices and market data: not covered by this edition
- 6Not coveredG4 Corporate events: not covered by this edition
- 7Not coveredG5 Shares, free float and weight factors: not covered by this edition
- 8Not coveredG7 Review and constituent changes: not covered by this edition
- 9Not coveredG8 Governance, changes and termination: not covered by this edition
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