June 2024

WMR Spot Rates Methodology –Additional Trade Data

Summary of Changes
Trade Rates
Cboe FX transactional data will be used as an additional source for the following 10 currencies: UAD, CAD, CHF, CNH, EUR, GBP,HKD, JPY, NZD, SGD.

This change will mean that executed trades, sourced from Cboe FX will be “pooled” with the other data sources for the respective
currencies. Consequently, the number of trades used in the calculation of these currencies may increase and the minimum numberof valid trades will be checked against this new “pool” of data sources.

Order Rates
The methodology will continue to select which Order rates to use, from which source based on the number of valid Order rates
during the calculation window and Cboe FX data will be included in that selection.

WMR Spots Trade Currency Methodology

Data Sources
Using data from LSEG FX (Matching), EBS (CME), Currenex and Cboe:
Following the introduction of Cboe FX transaction data, the following currencies will source data from 4 platforms:
CHF, EUR and JPY

Using data from LSEG FX (Matching), EBS (CME) and Cboe:
Following the introduction of Cboe FX transaction data, the following currencies will source data from 3 platforms:
AUD, CAD, CNH, GBP, HKD, NZD, SGD

Using data from LSEG FX (Matching) and EBS (CME):
There will be no change to RUB which will continue to be sourced from LSEG FX (Matching) and EBS (CME)

Using data from LSEG FX (Matching) only:
There will be no change to the following currencies will continue to be sourced from LSEG FX (Matching) only:
CZK, DKK, HUF, ILS, INR, MXN, NOK, PLN, RON, SEK, THB, TOF, TRY and ZAR

Please see the Appendix I matrix for further details.

Methodology
Data sources and Hierarchy
1. The primary source of rates will be actual traded rates taken from LSEG Matching, EBS, Currenex and Cboe, as detailed above“Traded rates/Trades”.

2. The secondary source of rates will be the bid/offer rates on the order matching systems of LSEG Matching, EBS, Currenex andCboe “Order rates/Orders”.

3. Bank quotes from RICs will be captured for instances where neither Trades nor Orders are available.
4. All other currencies not identified above as ‘trade’ currencies can be assumed to be ‘non-trade’ and follows the respectivemethodology.

5. The “base” currency is either the US Dollar or the Euro, depending on which base currency is predominant. Presently, currencies
which are predominantly based against the Euro are CZK, DKK, HUF, NOK, PLN, RON and SEK. All other currencies are based
against the US Dollar.

FTSE Russell

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WMR Spots Trade Currency Methodology

Trade Rates Calculation
1. Over a five-minute period, from each trading platform, actual trades executed and bid and offer order rates from the ordermatching systems are captured every second from 2 minutes 30 seconds before to 2 minutes 30 seconds after the time of thecalculation (e.g. hour and/or ½ hour). Trading occurs in milliseconds on the trading platforms and therefore not every trade ororder is captured, just a sample.
2. From each platform, a single traded rate will be captured each second– this will be identified as a bid or offer depending onwhether the Trade is a buy or sell.
3. A spread will be applied to the Trade rate to calculate the opposite bid or offer. The spread applied will be determined by theOrder rate captured at the same time.
4. All captured Trades will be subjected to validation checks. This may result in some captured data being excluded from thecalculation.
5. Valid Trades from all sources as identified above, captured during the time period will be “pooled” together.
6. Subject to a minimum number of valid Trades being present within this pool of data, the Trade rates will be used for the benchmark.
7. A median Trade bid and Trade offer are calculated independently, using data from the single pool of trades across data sources.
8. The mid-rate is calculated from the median Trade bid and Trade offer.
9. A minimum “Standard Spread” is applied to the mid-rate to calculate a new bid and offer.
10. These bid, offer and mid rates will be validated prior to publication.

Order Rates Calculation
1. Where the number of valid executed traded rates falls below the minimum threshold then data from the order matching system(s)will be used in the calculation of the benchmark rate.
2. From each data source, the best bid and best offer rates will be captured simultaneously to the Trade data from each datasource.
3. All captured Order rates will be subjected to validation checks. This may result in some captured data being excluded from thecalculation.
4. Order rates from different sources will not be pooled together.
5. Using valid Order rates, a median bid and offer are calculated independently, for each data source.
6. The mid-rate is calculated from the median Order bid and Order offer.
7. A minimum Standard Spread is applied to the mid-rate to calculate a new bid and offer.
8. The bid, offer and mid rates from the data source with the highest valid Orders over the time period will be selected as the rates
for publication. Consequently, the data source to be used will be driven by the market.
9. These bid and offer rates will be validated prior to publication.
10. In the event that two or more data sources have an equal number of valid Orders, then an average of the mid-rate from thesedata sources will be used.
11. In the event that two or more data sources have a single Order only, the most up to date Order rates will be used.

Tolerance Checks
1. All captured rates and benchmark rates will be subjected to a number of tolerance checks to ensure accurate and valid rates areused. This may result in some captured data being excluded from the fix calculation.

FTSE Russell

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WMR Spots Trade Currency Methodology

Standard Spreads
1. In order to publish spreads which are reflective of currency markets pre-defined minimum and maximum spreads are set foreach currency, at each calculation time. These are variable across currencies to reflect different market levels and changes inliquidity at different times of day.
2. To reflect actual market conditions, if the market dictates spreads which are greater than the pre-defined minimum spread andless than the pre-defined maximum spread, then these wider spreads will be used in the benchmark calculation – up to themaximum spread as predefined in the system. In the event the market dictates spreads which are wider than the predefined
maximum standard spreads, further analysis will be undertaken.

FTSE Russell

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WMR Spots Trade Currency Methodology

Appendix I
Source of WMR Spot benchmark rates – Traded Currencies
ISOLSEG Matching

EBSAUD

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

CAD

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

CHF

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

CNH

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

CZK

Included in all benchmark rate
calculations

DKK

Included in all benchmark rate
calculations

EUR

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

GBP

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

HKD

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

HUF

Included in all benchmark rate
calculations

ILS

Included in all benchmark rate
calculations

INR

Included in all benchmark rate
calculations when the local
markets are open

JPY

Included in all benchmark rate
calculations

MXN

Included in all benchmark rate
calculations

NOK

Included in all benchmark rate
calculations

NZD

Included in all benchmark rate
calculations

PLN

Included in all benchmark rate
calculations

RON

Included in all benchmark rate
calculations

FTSE Russell

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Currenex

Included in all benchmark rate
calculations

Cboe

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.
Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

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WMR Spots Trade Currency Methodology

Source of WMR Spot benchmark rates – Traded Currencies
ISOLSEG Matching

EBSRUB

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

SEK

Included in all benchmark rate
calculations

SGD

Included in all benchmark rate
calculations

THB

Included in all benchmark rate
calculations when the local
markets are open

TOF

Included in all benchmark rate
calculations

TRY

Included in all benchmark rate
calculations

ZAR

Included in all benchmark rate
calculations

FTSE Russell

Included in all benchmark rate
calculations, except from 9pm
to 12am UK Inclusive

Currenex

Cboe

Included in all benchmark rate
calculations, except at 10pm
and 10.30pm UK time.

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