Ground Rules FTSE China Index Series v3.3 ftserussell.com An LSEG Business August 2021 Contents 1.0 Introduction .................................................................... 3 2.0 Management Responsibilities ....................................... 8 3.0 FTSE Russell Index Policies ....................................... 10 4.0 Eligible Securities ........................................................ 12 5.0 Periodic Review of Constituents ................................ 13 6.0 Changes to Constituent Companies .......................... 14 7.0 Industry Classification Benchmark (ICB)................... 16 8.0 Index Algorithm and Calculation Method .................. 17 Appendix A: FTSE China Index Series Share Class / Composite Index Matrix ................................... 18 Appendix B: Eligible Markets and Sources of Trading ...... 19 Appendix C: Further Information ......................................... 20 FTSE Russell An LSEG Business | FTSE China Index Series, v3.3, August 2021 2 of 20 Section 1 Introduction 1.0 Introduction 1.1 This document sets out the Ground Rules for the construction and management of the FTSE China Index Series. Please read these rules in conjunction with the FTSE Global Equity Index Series Ground Rules as index treatments that are not stipulated in this document will follow the methodology applied to the FTSE Global Equity Index Series (GEIS). Copies of the Ground Rules are available from FTSE Russell. 1.2 FTSE China Index Series 1.2.1 The FTSE China Index Series is designed to represent the performance of the global Chinese equity investment opportunity set. The series complements FTSE’s other China index offerings including the FTSE China 50 Index, the FTSE China A All Cap Index Series (including the FTSE China A50 Index) and the FTSE Global China A Inclusion Index Series. For further information on the FTSE China 50 Index, the FTSE China A All Cap Index Series and the FTSE Global China A Inclusion Index Series please refer to their relevant ground rules available on www.ftserussell.com. 1.2.2 The China indices included in these rules consist of A Shares, H Shares, Red Chips, P Chips, B Shares, S Chips and N Shares that are constituents of the FTSE Global All Cap Index Series. The Greater China Indices in these rules also consist of Taiwan and Hong Kong companies that are constituents of the FTSE Global All Cap Index Series. From June 2019 onwards, A Shares that are part of the FTSE Global All Cap Index Series have been included in FTSE China Indices and FTSE Greater China Indices since June 2019. Indices that have only one type of China Share Class are included under the China Share Class indices section. Indices that have more than one type of China Share Class are included under the China Composite Indices section. 1.3 The FTSE China Index Series does not take account of ESG factors in its index design. 1.4 China Share Class Indices A detail definition of the China Share Class Indices and their screening criteria are depicted in the Eligible Securities section of this document. 1.4.1 FTSE China H Share Indices The FTSE China H Share Indices consist of companies that are incorporated in the People’s Republic of China and trade on the Hong Kong Stock Exchange. FTSE Russell An LSEG Business | FTSE China Index Series, v3.3, August 2021 3 of 20 1.4.2 FTSE China Red Chip Indices The FTSE China Red Chip Indices consist of Hong Kong listed companies incorporated outside the People’s Republic of China (PRC) that are substantially owned by Mainland China state entities with the majority of its revenue or assets derived from PRC. 1.4.3 FTSE China P Chip Indices The FTSE China P Chip Indices consist of Hong Kong listed companies that are incorporated outside of PRC and controlled by mainland individuals with a majority of their revenue or assets derived from PRC. 1.4.4 FTSE China B Share Indices The FTSE China B Share Indices consist of Chinese incorporated companies listed on either the Shanghai or Shenzhen stock exchanges that can be traded by non-residents of the PRC and PRC residents with appropriate dealing account. 1.4.5 FTSE China S Chip Indices The FTSE China S Chip Indices consist of companies that are incorporated outside the PRC, traded on the Singapore Exchange and controlled by Mainland Chinese entities, companies or individuals, with a majority of their revenue or assets derived from PRC. 1.4.6 FTSE China N Share Indices The FTSE China N Share Indices consist of companies incorporated outside the PRC, traded on the New York Stock Exchange, the NASDAQ exchange, or the NYSE MKT, and controlled by Mainland Chinese entities, companies or individuals, with a majority of its revenue or assets derived from PRC. 1.4.7 FTSE China A Share Indices FTSE Russell also calculates China A Shares indices which are covered in the FTSE China A All Cap Index Series. “A” shares are securities of Chinese incorporated companies that trade on either the Shanghai or Shenzhen stock exchanges. They are quoted in Renminbi (CNY). 1.4.8 Capped versions of the China Share Class indices are also available. 1.5 China Composite Indices 1.5.1 FTSE China Indices The FTSE China Indices combine constituents of the FTSE China H Share Indices, the FTSE China Red Chip Indices, the FTSE China P Chip Indices, the FTSE China B Share Indices, the FTSE China S Chip Indices, and the FTSE China N Share Indices. Essentially, they include all H Shares, Red Chips, P Chips, B Shares, S Chips and N Shares in FTSE Global All Cap Index Series. From June 2019 review onwards, A Shares that are part of the FTSE Global All Cap Index Series will also be included in FTSE China Indices. 1.5.2 FTSE China ex B Share Indices The FTSE China ex B Share Indices include constituents of the FTSE China Indices excluding B share constituents. 1.5.3 FTSE China (HK Listed) Index The FTSE China (HK Listed) Index combines constituent of the FTSE H Share Index, the FTSE Red Chip Index, and the FTSE P Chip Index. FTSE Russell An LSEG Business | FTSE China Index Series, v3.3, August 2021 4 of 20 1.5.4 FTSE China Overseas All Cap Index The FTSE China Overseas All Cap Index combines constituents of the FTSE China S Chip All Cap Index and the FTSE China N Share All Cap Index. 1.5.5 FTSE China SOE Index The FTSE China SOE Index includes constituents of the FTSE China Index that are classified as State-owned Enterprises (“SOEs”). 1.5.6 FTSE China Non-SOE Index The FTSE China Non-SOE Index includes constituents of the FTSE China Index that are not classified as SOEs. 1.5.7 FTSE Greater China All Cap Index The FTSE Greater China All Cap Index combines constituents of the FTSE China All Cap Index, FTSE Hong Kong All Cap Index and the FTSE Taiwan All Cap Index. 1.5.8 FTSE Greater China ex B Share All Cap Index The FTSE Greater China ex B Share All Cap Index includes constituents of the FTSE Greater China All Cap Index excluding B share constituents. 1.5.9 Composite Indices including A Shares FTSE Russell also calculates composite indices including A shares as part of the FTSE Global China A Inclusion Index Series. 1.6 Indices in the FTSE China Index Series are calculated on an end of day basis in HK dollars, US dollars, UK Pounds Sterling, Euro, Japanese Yen and Renminbi (CNY). 1.7 Capital return, total return, and net total return indices are published at the end of each working day. The Total Return Indices are based on ex dividend adjustments. All dividends are applied as declared in the FTSE Total Return Index. 1.8 The Net of Tax Total Return Index is calculated based on the maximum withholding tax rates applicable to dividends received by institutional investors who are not resident in the same country as the remitting company and who do not benefit from double taxation treaties. 1.9 A Large/Mid Cap, an All Cap and sector level variants are also calculated for each of the indices described in Rule 1.3. All Cap variants are calculated for each of the indices described in Rule 1.4. All indices are published at the end of each working day. 1.10 A further breakdown of the indices included as part of these rules is depicted in matrix form in Appendix A. 1.11 FTSE Russell 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 MTSNext Limited), Mergent, Inc., FTSE Fixed Income LLC, The Yield Book Inc and Beyond Ratings. 1.12 FTSE Russell hereby notifies users of the index series 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 series and therefore, any financial contracts or other financial instruments that reference the index series should be able to withstand, or otherwise address the possibility of changes to, or cessation of, the index series. FTSE Russell An LSEG Business | FTSE China Index Series, v3.3, August 2021 5 of 20 1.13 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: FTSE Russell An LSEG Business | FTSE China Index Series, v3.3, August 2021 6 of 20 • any reliance on these Ground Rules, and/or • any errors or 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 errors or inaccuracies in the compilation of the Index or any constituent data.