Bloomberg
Index Services
LimitedBenchmark Statement for
Bloomberg Fixed Income IndicesBloomberg Index Services Limited

A Bloomberg Professional Services offering

This benchmark statement (this “Statement”) is provided by Bloomberg Index Services Limited (“BISL” and, with its affiliates,“Bloomberg”) as the administrator of the Bloomberg Fixed Income Index Family (collectively, the “Indices” and each, an“Index”) and is intended to meet the requirements of the European Union’s regulation on indices used as benchmarks infinancial instruments and financial contracts or to measure the performance of investment funds (Regulation (EU) 2016/1011
of the European Parliament and of the Council of 8 June 2016, herein the “EU BMR”), including the regulatory technicalstandards (“RTS”) promulgated thereunder, as and to the extent the EU BMR and related RTS were “on-shored” in the UKfrom 1 January 2021 (the “BMR”).

Requirement [Regulatory
Reference](1)

Benchmark Family Information

General disclosure
requirements

The benchmark statement shallstate:

Date of publication:
10 September 2021

(a) the date of publication of
the statement and, whereapplicable, the date of its
last update;

Date of last update:
10 September 2021(b) where available, theinternational securities
identification number (ISIN)of the benchmark or
benchmarks; alternatively,
for a family of benchmarks,
the statement may provide
details of where the ISINs
are publicly accessible freeof charge;

BISL does not assign ISINs to all of the Indices. ISINs that have been assigned may be foundat www.isindb.com/.

(c) whether the benchmark,or any benchmark in thefamily of benchmarks, isdetermined using
contributions of input data;

The Indices do not utilize contributions of input data.

(d) whether the benchmark
or any benchmark in thefamily of benchmarks
qualifies as one of the typesof benchmarks listed under
Title III of Regulation (EU)2016/1011, including thespecific provision by virtueof which the benchmark
qualifies as that type.

None of the Indices are 'regulated-data benchmarks’, 'interest rate benchmarks’ or'commodity benchmarks’ as those terms are defined in the BMR. In addition, none of the
Indices are 'critical benchmarks’ as that term is defined in the BMR.

[RTS 1(1)]Users should be aware that ISINs may have been obtained on the Indices by third parties
and, in doing so, such third parties may have supplied inaccurate or incomplete information
with regard to the underlying Index or may have obtained multiple ISINs for the same Index.
Users should contact BISL if they have questions regarding the proper identification of its
Indices.
BISL does assign a unique Financial Instrument Global Identifier (“FIGI”) to its Indices. FIGIs
may be found at https://openfigi.com/ by searching for the relevant Index within the family.

Certain of the Indices are 'significant’ benchmarks as they serve as a reference for financial
instruments or financial contracts or for measuring the performance of investments funds
having a total average value of at least €50 billion. The remaining Indices would be deemed'non- significant’.

Bloomberg Index Services Limited(2)

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The benchmark statement shallclearly and unambiguously
define the market or economic
reality measured by the
benchmark and thecircumstances in which suchmeasurement may become
unreliable.

Market or economic reality measured by the benchmark family:
The Indices offer a comprehensive set of fixed income benchmarks spanning theinvestment grade, high yield, inflation-linked, hard and local currency EM, municipal, andconvertible bond markets.

[BMR 27(1)(a)]BISL publishes more than 100,000 unique standard and bespoke Indices daily. Bespoke orcustom versions of the Indices are in general derived from and (except as otherwise
customized) calculated and maintained in accordance with the base methodology.

In defining the market or
economic reality, thebenchmark statement shall
include at least the following
information:(a) a general description of themarket or economic reality.
(b) the geographicalboundaries, if any, of themarket or economic reality;(c) any other information thatthe administrator reasonably
considers to be relevant or
useful to help users or potential
users of the benchmark tounderstand the relevant
features of the market or
economic reality, including atleast the following elements
insofar as reliable data on theseelements is available:(i) information on actual or
potential participants in themarket;(ii) an indication of the sizeof the market or economic
reality.
[RTS 1(2)]Product coverage is currently at more than 70,000 securities with over USD50 trillion inmarket value representing 110 countries and 39 local currency debt markets. The baseBloomberg Fixed Income Index methodology is available here.

The central design of any fixed income index such as the Indices starts with an evaluationof security attributes to determine whether a bond will be Index eligible as of therebalancing date.
While the threshold for inclusion varies from Index to Index, most benchmarks evaluate acore set of common attributes. This section explains the most commonly used Index
eligibility criteria and how they are applied to a variety of the Indices. The criteria include:•
Currency denomination of a bond’s principal and interest payments.
•
Sector classification of the bond issuer, recognizing the wide range of issuer types in
the fixed income market including corporate, government and securitized borrowers.
•
Credit quality of a bond as measured by the ratings agencies, such as Moody’s,Standard and Poor’s, and Fitch. This is important for index users with investment
guidelines that make a clear distinction between investment grade (rated Baa andhigher) and high yield (rated Ba and lower) securities.
•
Amount outstanding of a bond, with larger bonds generally more widely held by
investors and viewed as more liquid.
•
Time to maturity of a bond’s principal repayment.
•
Country of risk of the issuing entity, especially in cases where an investor may make a
distinction between developed and emerging markets in their portfolios.
•
Market of issue/placement type of a security reflecting whether a bond is (or will soonbe) publicly registered, exempt from registration or privately placed. This also
indicates whether a bond is being marketed and sold to local investors only, non-local
investors or globally offered in multiple markets.
•
Taxability of a security’s cash flows and principal payments from an issuer’s and an
investor’s perspective. From the issuer perspective, distinctions are made when cash
payments are made by a borrower on a pre-tax basis (debt) vs. after-tax basis (equity
dividend). From the investor perspective, bonds that offer tax-exempt proceeds(particularly US municipal securities) are generally bought by a different investor basethan taxable bonds.
•
Subordination of a security, which identifies where an investor’s claim is within the
borrower’s capital structure, distinguishing between bonds that have senior claims andthose that have subordinated claims in a credit event.
Other attributes that are used to determine index inclusion include whether a bondcontains explicit optionality on the earlier repayment of principal (callable, putable, etc.)
and the coupon type used to determine interest payments (fixed- vs. floating-rate).
Some breakdowns of sub-components and associated fact sheets may be found here or byentering INP <GO> on the Bloomberg Terminal® and selecting "Fact Sheets”.

Bloomberg Index Services Limited

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Market participants in the fixed income markets underlying the benchmarks mainlycomprise of institutional investors, investment banks and broker-dealers. Participation ofretail investors in the fixed income market is limited.

(3)

In defining the potential
limitations of the benchmark
and the circumstances in which
the measurement of the market
or economic reality may
become unreliable, thebenchmark statement shall
include at least:(a) a description of thecircumstances in which theadministrator would lacksufficient input data to
determine the benchmark inaccordance with themethodology;(b) where relevant, adescription of instances when
the accuracy and reliability ofthe methodology used for
determining the benchmark
can no longer be ensured, suchas when the administrator
deems the liquidity in theunderlying market as
insufficient;(c) any other information thatthe administrator reasonably
considers to be relevant or
useful to help users andpotential users to understandthe circumstances in which themeasurement of the market or
economic reality may become
unreliable, including adescription of what might
constitute an exceptional
market event.

Benchmark Limitations
Though the Indices are designed to be representative of the markets they measure orotherwise align with their stated objective, they may not be representative in every case or
achieve their stated objective in all instances. They are designed and calculated strictly tofollow the rules detailed in the methodology, and any index level or other output is limited
in its usefulness to such design and calculation.
Markets can be volatile, including those market interests which the Indices intend tomeasure or upon which the Indices are dependent in order to achieve their statedobjective. For example, illiquidity can have an impact on the quality or amount of data
available to BISL for calculation and may cause the Indices to produce unpredictable orunanticipated results.
In addition, market trends and changes to market structure may render the objective of the
Indices unachievable or to become impractical to replicate by investors.
In particular, the Indices measure global fixed income markets. As with all fixed income
investing, the Indices are exposed to interest rate risk. The value of bonds fluctuates withthe changes in the interest rate policies established by central banks and the natural
movement of rates over time. Bonds with optionality will also be impacted by interest rate
volatilities. Most fixed income securities often trade at a spread to the base interest rate
curve. The level of the spread reflects the additional premium an investor requires fortaking the additional credit risk, liquidity risk, and other risks. The change of the spread,which reflects primarily the change in perceived risk of a security, comes from bothcommon forces, affecting all bonds with similar characteristics, and information specific toa particular issuer. As the Indices are designed to measure those markets, its Indices could
be materially impacted by market movements, thus significantly impacting the use or
usefulness of the fixings for some or all users.
In addition, certain subindices may be designed to measure smaller subsets of the Indicessuch as specific sectors, maturities, or credit quality bands. Some of these subindices havevery few qualifying constituents and may have none for a period of time. During such
period, the subindex will continue to be published at its last value, effectively reporting a
0% return, until new constituents qualify. If no constituents are expected to qualify (due tochanges in issuance trends and other factors), the subindex may be discontinued. In suchan event, this discontinuation will be announced to index users.

[RTS 1(3)](4)

The benchmark statement shalllay down technicalspecifications that clearly andunambiguously identify theelements of the calculation of
the benchmark in relation to

Other than as set forth in the methodology for the Indices available here, there are no
minimum liquidity requirements for Index constituents and/or minimum requirements or
standards for the quantity or quality of the input data.
The Indices are rules-based (methodology available here), and their construction isdesigned to consistently produce values without the exercise of expert judgment or

Bloomberg Index Services Limited

which discretion may be
exercised, the criteria
applicable to the exercise ofsuch discretion and the positionof the persons that can exercise
discretion, and how suchdiscretion may be subsequently
evaluated.
[BMR 27(1)(b)]In specifying the controls andrules that govern any exercise ofjudgement or discretion by theadministrator or any
contributors in calculating thebenchmark or benchmarks, thebenchmark statement shall
include an outline of each stepof the process for any ex-post
evaluation of the use of
discretion, together with a clear
indication of the position of any
person(s) responsible forcarrying out the evaluations.

A Bloomberg Professional Services offering

discretion. Nevertheless, BISL may use expert judgment or discretion with regards to thefollowing:•
Index restatements•
Extraordinary circumstances during a market emergency•
Data interruptions, issues, and closures
When expert judgment or discretion is required, BISL undertakes to be consistent in its
application, with recourse to written procedures outlined in the methodology of the Indicesand internal procedures manuals. In certain circumstances exercises of expert judgment or
discretion are reviewed by senior members of BISL management and Bloomberg
Compliance teams, and are reported to the Product, Risk & Operations Committee(“PROC”), BISL’s governance committee, which operates under the supervision of BISL’s
oversight function, the Benchmark Oversight Committee (“BOC”). BISL also maintains andenforces a code of ethics to prevent conflicts of interest from inappropriately influencing
index construction, production, and distribution, including the use of expert judgment or
discretion.

[RTS 1(4)](5)

A benchmark statement shallcontain at least the rationale for
adopting the benchmark
methodology and proceduresfor the review and approval ofthe methodology.

Since 1973, the Indices have been the market standard for fixed income investors seeking
objective, rules-based, and representative benchmarks to measure asset class risk andreturn. Whether published under the banner of Kuhn Loeb, Lehman Brothers, Barclays
Capital or Bloomberg, the Indices have provided investors with a wealth of market
information, with the scope of index solutions growing substantially to mirror broad asset
class expansions and capital markets innovations.

[BMR27(2)(b)]

BISL will review the Indices (both the rules of construction and data inputs) on a periodic
basis, not less frequently than annually, to determine whether they continue to reasonably
measure the intended underlying market interest, the economic reality or otherwise alignwith their stated objective. More frequent reviews may result from extreme market events
and/or material changes to the applicable underlying market interests.

In specifying the procedures forreview of the methodology, thebenchmark statement shall at
least outline the procedures for
public consultation on any
material changes to themethodology.

Criteria for data inputs include reliable delivery and active underlying markets. Whether anapplicable market is active depends on whether there are sufficient numbers of transactions(or other indications of price, such as indicative quotes) in the applicable constituents thata price may be supplied for such constituent(s).

[RTS 1(5)]Other than as set forth in the Index Methodology, there are no minimum liquidity
requirements for Index constituents and/or minimum requirements or standards for thequantity or quality of the input data.
The review will be conducted by product managers of the Indices at least annually or asotherwise appropriate in light of significant market changes or other developments.
Any resulting change to the Index Methodology deemed to be material (discussed below)
will be subject to the review of the PROC under the oversight of the BOC, each of which
committees shall be provided all relevant information and materials it requests relating to
the change. Details regarding the PROC and BOC are described above.

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Material changes will be reflected and tracked in updated versions of this Index
Methodology.
BISL’s Index administration is also subject to Bloomberg’s Compliance function which
periodically reviews various aspects of its businesses in order to determine whether it isadhering to applicable policies and procedures, and assess whether applicable controls arefunctioning properly. Material changes related to the Indices will be made available inadvance to affected stakeholders whose input will be solicited. The stakeholder
engagement will set forth the rationale for any proposed changes as well as the timeframeand process for responses. BISL will endeavour to provide at least two weeks for review
prior to any material change going into effect. For material changes anticipated to have asignificant operational impact on stakeholders, this period may be longer. But in the eventof exigent market circumstances, this period may be shorter. Subject to requests forconfidentiality, stakeholder feedback and BISL’s responses will be made accessible upon
reasonable request.
In determining whether a change to an Index is material, the following factors shall be taken
into account:•••

The economic and financial impact of the change;
Whether the change affects the original purpose of the Index; and/or
Whether the change is consistent with the overall objective of the Index and theunderlying market interest it seeks to measure.

In addition to material changes, BISL may from time to time terminate one or more Indices(“Discontinued Indices”), whether due to changes in market structure, a lack of requisite
data, insufficient usage, or for other regulatory or practical concerns. The process forterminating such Discontinued Indices is as follows:
The PROC will review proposed terminations, taking into account the reasons fortermination, the impact on users (if any), the availability of alternative products and othersuch factors. If termination is approved, users will be provided as much prior notice as isreasonable under the circumstances, typically 90 days. In the event there is little or no
known usage identified, the Discontinued Indices may be terminated with less (or no)
notice, as applicable. In the event the Discontinued Indices are licensed for use as the basisof an ETF or other widely-available financial product or is otherwise determined by BISL to
be an important benchmark without reasonable substitutes, the notice period may be
extended, as warranted. Any advance notice period is subject to BISL being reasonably able
to continue administering and calculating such benchmark during such period (forexample, BISL has access to requisite data on commercially reasonable terms, is not subject
to any litigation or other claims, has adequate internal resources and capabilities, etc.).
Terminations and associated user engagement decisions made by the PROC are subject toreview by BISL's oversight function, the BOC.

Index Advisory Councils (IACs)
IACs are composed of key market participants and other influential individuals to assist BISL
in setting index priorities, to discuss potential rules changes (including material changes, as
discussed above) and to provide ideas for new products. IACs are generally constituted on
an annual basis. While potential benchmark changes are discussed through this process, allfeedback received is non-binding and all final decisions on benchmark index rules are
made by BISL after the review period has ended.

Bloomberg Index Services Limited(6)

The benchmark statement shallprovide notice of the possibility
that factors, including external
factors beyond the control of
the administrator, may
necessitate changes to, or the
cessation of the benchmark.

A Bloomberg Professional Services offering

Users should be aware that factors, including external factors beyond the control of BISL,
may necessitate changes to, or the cessation of the Indices or components thereof. For
example, markets measured by the Indices may undergo structural changes which may
affect the liquidity of underlying constituents of the Indices. In addition, regulatory changes
can adversely impact the effectiveness of methodology design.

[BMR 27(1)(c)](7)

The benchmark statement shalladvise users that changes to, or
the cessation of, the benchmark
may have an impact upon thefinancial contracts and financial
instruments that reference thebenchmark or the measurementof the performance ofinvestment funds.

If financial product issuers or investment managers choose to use one of the Indices as thebasis of an index-linked financial product or an investment fund, they should consider the
possibility that factors, including external factors, may necessitate changes to, or the
cessation of the Indices or components thereof, including the potential need to terminate
or modify the terms of a financial product resulting from the termination of the calculationof one or more of the Indices[BMR 27(1)(d)](8)

A benchmark statement shallcontain at least the definitions
for all key terms relating to thebenchmark.

All key terms and other relevant information are set forth in the methodology for the Indicesavailable here.

[BMR 27(2)(a)](9)

The administrator shall review
and, where necessary, update
the benchmark statement foreach benchmark or family ofbenchmarks in the event of any
changes to the information to
be provided under this Article
and at least every two years.
[BMR 27(1)]In addition to the cases referred
to in the third subparagraph of
Article 27(1) of Regulation (EU)2016/1011, an update of thebenchmark statement shall be
required whenever the
information contained in thestatement ceases to be correct
or sufficiently precise, andBISL shall review this Statement on a periodic basis, at least once every two years, or asotherwise warranted in the event of any material changes to the information provided
herein.

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including in any event in thefollowing cases:(a) whenever there is a change
in the type of the benchmark;(b) whenever there is a materialchange in the methodology
used for determining thebenchmark or, if thebenchmark statement is for afamily of benchmarks, in themethodology used for
determining any benchmark
within the family ofbenchmarks.

[RTS 6](10)

A benchmark statement shallcontain at least the criteria andprocedures used to determine
the benchmark, including adescription of the input data,
the priority given to different
types of input data, theminimum data needed todetermine a benchmark, theuse of any models or methodsof extrapolation and any
procedure for rebalancing theconstituents of a benchmark's
index.

Constituent Selection[BMR 27(2)(c)]

For each Index, two universes of securities are maintained: one that is held constantthroughout the month from the previous Index rebalancing date and one that changes daily
to reflect the latest composition of the market since the last rebalancing. The former, the"Returns Universe" (also referred to as the "backwards" universe), is a static set of securities
that is determined at the beginning of each month and is not reset until the beginning of
the next month. This fixed universe is used to calculate daily, and monthly index returns andis the basket of bonds against which Index users are officially measured against. The Returns
Universe is not adjusted for securities that become ineligible for inclusion during the month(e.g., due to ratings downgrades, called bonds, securities falling below one year to maturity,etc.) or for issues that are newly eligible (e.g., ratings changes, new issuance, etc.). Because
the Returns Universe is held constant throughout the month, fund managers avoid having
to hit a moving target. The "Projected Universe" (or "forward" universe) is a dynamic set ofbonds that changes daily to reflect the latest set of Index-eligible securities. As an up-todate projection of the next month’s Returns Universe, the Projected Universe assists active
managers by providing them with the necessary insight to modify their portfolios ahead of
any Index changes and assists passive managers by preparing them for any executions
needed ahead of monthly rebalancing. Indicative changes to securities are reflected daily
in both the Projected and Returns Universes of the Index and may cause bonds to enter or

As described under “Market or economic reality measured by the benchmark family" in row(2) above, a number of criteria and characteristics are utilized to determine the index
eligibility of particular securities among and across the various Indices.

Rebalancing
Most Indices are rebalanced monthly, offering intra-month stability in Index composition.
Securities that meet all published Index inclusion rules and eligibility criteria at the
beginning of a given month will remain in the Index for purposes of return calculations until
the following month-end, when index composition is next reset. Unlike the rebalancing oftraditional equity indices, which occurs less often, the monthly rebalancing of the Indicesbetter suits the more frequent issuance and the more dynamic borrowing needs of fixedincome issuers.

Bloomberg Index Services Limited

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fall out of the Projected Universe, but will affect the composition of the Returns Universe
only at month-end.

Pricing
Once the universe of securities for a particular Index is determined, most constituents are
priced using Bloomberg’s own evaluated pricing service, BVAL, with certain limited asset
classes priced by third party sources. The high quality of index pricing is maintained by
employing a variety of statistical techniques applied on day-to-day movements and pointin-time levels using tolerance bands set at the issuer, sector, quality and maturity levels.
Possible outliers resulting from the verification process are resolved by the index teamdedicated to pricing validation. Index users may also challenge price levels, which are thenreviewed by the pricing team. If a discrepancy arises, prices may be adjusted on a going
forward basis.
For greater detail regarding the criteria and procedures used to determine the Indices,
please refer to the publicly available methodology for the Indices available here.

(11)

A benchmark statement shallcontain at least the controls andrules that govern any exercise ofjudgement or discretion by theadministrator or any
contributors, to ensure
consistency in the use of suchjudgement or discretion.

The Indices are rules-based (methodology available here), and their construction isdesigned to consistently produce values without the exercise of expert judgment or
discretion. Nevertheless, BISL may use expert judgment or discretion with regards to thefollowing:[BMR27(2)(d)]When expert judgment or discretion is required, BISL undertakes to be consistent in its
application, with recourse to written procedures outlined in the methodology of the Indicesand internal procedures manuals. In certain circumstances exercises of expert judgment or
discretion are reviewed by senior members of BISL management and Bloomberg
Compliance teams, and are reported to the Product, Risk & Operations Committee (PROC),BISL’s governance committee, which operates under the supervision of BISL’s oversightfunction, the Benchmark Oversight Committee (BOC). BISL also maintains and enforces acode of ethics to prevent conflicts of interest from inappropriately influencing index
construction, production, and distribution, including the use of expert judgment or
discretion.

For the purpose of providing
information on the controls andrules that govern any exercise of
judgment or discretion in thecalculation of the benchmark orof the family of benchmarks, thebenchmark statement shall at
least:•••

Index restatements
Extraordinary circumstances during a market emergency
Data interruptions, issues, and closures(a) indicate the position of eachfunction or body who may
exercise discretion;(b) outline each step of the expost evaluation process for theuse of discretion.
[RTS 27(1)(4)](12)

A benchmark statement shallcontain at least the procedures
which govern the determinationof the benchmark in periods ofstress or periods wheretransaction data sources may beinsufficient, inaccurate or
unreliable and the potential

See “Benchmark Limitations” in row (3) above.

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limitations of the benchmark insuch periods.
[BMR 27(2)(e)](13)

A benchmark statement shallcontain at least the proceduresfor dealing with errors in input
data or in the determination of
the benchmark, including whena re-determination of thebenchmark is required.
[BMR 27(2)(f)]

To the extent a material error in Index values is uncovered following its publication anddissemination, a notification will be sent to Index clients alerting them of such error andthe expected date of a revised publication, if warranted. BISL considers the following
factors to determine whether to restate. Not all conditions need to be present to warrant a
restatement, and certain factors may be more determinative that others depending on thecircumstances of the given error.
•
•
•
•
•
•
•

(14)

A benchmark statement shallcontain at least theidentification of potential
limitations of the benchmark,including its operation in illiquid
or fragmented markets and thepossible concentration of
inputs.

The relative importance of the data field impacted by the error;
When the error occurred and when it was discovered;
The number of Indices and sub-Indices affected;
Whether the impacted Indices are linked to tradable products;
The magnitude of the error;
The burden of restatement on client re-processing relative to the impact of the error;and
The impact of the restatement on analytical tools.

See “Benchmark Limitations” in row (3) above.

[BMR 27(2)(g)](15)

Specific disclosure
requirements for regulated
data benchmarks.

In addition to the information to
be included pursuant to Article
1, for a regulated-databenchmark or, whereapplicable, family of regulateddata benchmarks, thebenchmark statement shall state

Not applicable.

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at least the following in its
description of the input data:(a) the sources of the input data
used;(b) for each source, the relevant
type, as listed in Article 3(1)(24)
of Regulation (EU) 2016/1011.
[RTS 2](16)

Specific disclosure
requirements for interest ratebenchmarks

Not applicable.

1. In addition to the information
to be included pursuant to
Article 1, for an interest ratebenchmark or, whereapplicable, family of interest
rate benchmarks, thebenchmark statement shall
include at least the following
information:(a) a reference alerting users to
the additional regulatory
regime applicable to interest
rate benchmarks under Annex I
to Regulation (EU) 2016/1011;(b) a description of thearrangements that have been
put in place to comply with that
Annex.
[RTS 3](17)

Specific disclosure
requirements for commodity
benchmarks

In addition to the information to
be included pursuant to Article
1, for a commodity benchmark
or, where applicable, family ofcommodity benchmarks, thebenchmark statement shall at
least:(a) indicate whether therequirements of Title II of, orAnnex II to, Regulation (EU)2016/1011 apply to thebenchmark, or family of

Not applicable.

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benchmarks as prescribed by
Article 19 of that Regulation;(b) include an explanation as towhy Title II of or, as the casemay be, Annex II to that
Regulation applies;(c) include in the definitions of
key terms a concise descriptionof the criteria that define therelevant underlying physicalcommodity;(d) where applicable, indicate
where the explanations are
published that the administrator
is required to publish underparagraph 7 of Annex II to that
Regulation.
[RTS 4](18)

Specific disclosure
requirements for criticalbenchmarks

In addition to the information to
be included pursuant to Article
1, for a critical benchmark, or,where applicable, a family ofbenchmarks that contains atleast one critical benchmark,the benchmark statement shall
include at least the following
information:(a) a reference alerting users to
the enhanced regulatory
regime applicable to criticalbenchmarks under Regulation(EU) 2016/1011;(b) a statement indicating how
users will be informed of any
delay in the publication of thebenchmark or of any redetermination of thebenchmark, and indicating the(expected) duration of
measures.
[RTS 5]

Not applicable.

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BLOOMBERG, BLOOMBERG INDICES and Bloomberg Fixed Income Indices (the "Indices”) are trademarks or service marks ofBloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited, the administrator of
the Indices (collectively, "Bloomberg”) or Bloomberg's licensors own all proprietary rights in the Indices. Bloomberg does notguarantee the timeliness, accuracy or completeness of any data or information relating to the Indices. Bloomberg makes nowarranty, express or implied, as to the Indices or any data or values relating thereto or results to be obtained therefrom, andexpressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible toinvest directly in an Index. Back-tested performance is not actual performance. Past performance is not an indication of future
results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors,
agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect,
consequential, incidental, punitive or otherwise - arising in connection with the Indices or any data or values relating thereto whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather thanfinancial product advice. Nothing in the Indices shall constitute or be construed as an offering of financial instruments or as
investment advice or investment recommendations (i.e., recommendations as to whether or not to "buy”, "sell”, "hold”, or to enteror not to enter into any other transaction involving any specific interest or interests) by Bloomberg or a recommendation as to an
investment or other strategy by Bloomberg. Data and other information available via the Indices should not be considered as
information sufficient upon which to base an investment decision. All information provided by the Indices is impersonal and not
tailored to the needs of any person, entity or group of persons. Bloomberg does not express an opinion on the future or expectedvalue of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind.
Customers should consider obtaining independent advice before making any financial decisions. © 2021 Bloomberg. All rights
reserved. This document and its contents may not be forwarded or redistributed without the prior consent of Bloomberg.
The BLOOMBERG TERMINAL service and Bloomberg data products (the "Services”) are owned and distributed by Bloomberg
Finance L.P. ("BFLP”) except (i) in Argentina, Australia and certain jurisdictions in the Pacific islands, Bermuda, China, India, Japan,
Korea and New Zealand, where Bloomberg L.P. and its subsidiaries distribute these products, and (ii) in Singapore and thejurisdictions serviced by Bloomberg's Singapore office, where a subsidiary of BFLP distributes these products.

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Annex 1

Municipals

Multiverse/Aggregate

Emerging Markets

I
Liability
Driven (LDI)I
I
I

STRIPS*

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Annex 2 - Climate-Related Disclosures (Indices without ESG objectives)
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark
administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income Corporate Benchmarks Sovereign Debt Benchmarks

Item 3. Name of the benchmark or familyof benchmarks.

All Bloomberg Fixed Income Indices, excluding those listed in Annex 3

Item 4. Does the benchmark pursue
ESG objectives?

No

Item 5. Where the response to (4) isnegative, is any EU Climate Transition
Benchmark or EU Paris- aligned
Benchmark available in the portfolio of
the benchmark administrator or does
the benchmark administrator havebenchmarks that pursue ESG objectives
or take into account ESG factors?

Yes – See Annex 3

Item 6. Where the response to (4) is positive, provide details on ESG factors, in accordance with Article 27(2a) of Regulation(EU) 2016/1011, including on the ESG factors listed in Annex II to this Regulation, depending on the type of benchmark
concerned.
The ESG factors shall not be disclosed for each constituent of the benchmarks but shall be disclosed at an aggregatedweighted average value of the benchmarka)List of combined ESG factors:

N/A

b)

List of environmental factors:

N/A

c)

List of social factors:

N/A

d)

List of governance factors:

N/A

Item 7. Data and standards used.
a)

Description of data sources used toprovide information on the ESG
factors in the benchmark statement.

N/A

Describe how the data used toprovide information on the ESG
factors in the benchmark statement
are sourced and whether, and towhat extent, data are estimated orreported.
b)

Reference standards.

N/A

List the supporting standards used
for the reporting under item 6
and/or item 7.
SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS

Bloomberg Index Services Limited

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Item 8. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

N/A

b)

degree to which the IPCC
decarbonisation trajectory (1,5°C
with no or limited overshoot) has
been achieved on average per
year since creation;

N/A

c)

overlap between thosebenchmarks and their investable
universe, as defined in Article 1,
point (e), of Commission
Delegated Regulation

N/A(EU) 2020/1818, using the active
share at asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 9. For significant equity benchmarks, significant bond benchmarks, EU Climate Transition Benchmarks and EU
Paris-aligned Benchmarks, benchmark administrators shall also disclose the following information:a)

The temperature scenario, in
accordance with international
standards, used for the alignment
with the target of reducing GHG
emissions or the attainment of theobjectives of the Paris Agreement;

N/A

b)

The name of the provider of thetemperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;

N/A

c)

The methodology used for themeasurement of the alignment
with the temperature scenario;

N/A

d)

The hyperlink to the website of
the temperature scenario used.

N/A

Information updated on:

22 April 2020

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Annex 3 – Climate-Related Disclosures (Indices with ESG objectives)
A. MSCI ESG Fixed Income Paris Aligned Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family ofbenchmarks.

Bloomberg MSCI Fixed Income Paris-Aligned Indices (the “Indices” andeach, an “Index”).

Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

Yes

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg MSCI Paris-Aligned
Disclosure Data available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg MSCI Paris-Aligned
Disclosure Data available herec)

List of social factors:

Details of these factors can be found in the Bloomberg MSCI Paris-Aligned
Disclosure Data available hered)List of governance factors:

Details of these factors can be found in the Bloomberg MSCI Paris-Aligned
Disclosure Data available here

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink belowd)List of governance factors:

Please see hyperlink below

Bloomberg Index Services Limited

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Hyperlink to the information on ESG factors forthe benchmark or family of benchmarks:

Details of the ESG factors are available here

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG factors inthe benchmark statement.

Describe how the data used to provide
information on the ESG factors in thebenchmark statement are sourced andwhether, and to what extent, data are
estimated or reported.
b)

Reference standards.

List the supporting standards used forreporting under item 6 and/or item 7.

All ESG data for the benchmarks is sourced externally from:MSCI Research
esgclientservice@msci.com
https://www.msci.com/research-and-insights
Refer to Bloomberg MSCI Fixed Income Indices and MSCI’s Methodology
Executive Summary for further information.
The Greenhouse Gas Protocol is used for GHG estimation. For further
information, please refer to https://ghgprotocol.org/
To align with the precautionary principle, a company not covered by MSCI
for exclusions is not included.
The percentage of reported vs estimated data used can be found in the
ESG Disclosure Report.
Commonly utilized disclosure frameworks for data collected and used by
MSCI ESG Research include GRI, SASB, UN Global Compact; and, for
specific performance indicators, GHG Protocol, and applicable ISO
standards

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND EU
PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

Details of the forward-looking year-on-year decarbonisation trajectory for eachbenchmark can be found in the ESG Disclosures Report available here.

b)degree to which the IPCC
decarbonisation trajectory (1,5°C
with no or limited overshoot) has
been achieved on average per year
since creation;

Details of the achievement of the IPCC decarbonisation trajectory can be foundin the ESG Disclosures Report available herec)overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of
Commission Delegated Regulation

The active share measure can be found in the ESG Disclosures Report available
here(EU) 2020/1818, using the active
share at asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or whereapplicable, the family of benchmarks, disclose the following information:

Bloomberg Index Services Limited

A Bloomberg Professional Services offeringa)

Does the benchmark align with thetarget of reducing carbon emissions
or the attainment of the objectivesof the Paris Agreement;

Yes

b)

The temperature scenario, in
accordance with international
standards, used for the alignment
with the target of reducing GHG
emissions or the attainment of theobjectives of the Paris Agreement;

The Indices use the reference 1.5 °C temperature scenario, with no or limited
overshoot.

c)

The name of the provider of thetemperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;

The Special Report on Global Warming of 1.5 °C from the Intergovernmental
Panel on Climate Change (the “IPCC”).

d)

The methodology used for themeasurement of the alignment withthe temperature scenario;

Decarbonisation Trajectory
The Absolute GHG Emissions for EU Paris-aligned Benchmarks, including Scope
1, 2 and 3 GHG emissions, shall be at least 50% lower than the Absolute GHG
Emissions of the investable universe. Therefore, at the start of thedecarbonisation trajectory, a Reference Absolute GHG Emissions is derived as
50% of the Absolute GHG Emissions of the Parent Index on the Base Date
(2020-12-31).
On subsequent rebalances, the annualized Absolute GHG Emissions of theIndex shall be less than the lower of 50% of the Absolute GHG Emissions of the
Parent Index, or an Absolute GHG Emissions level implied by 7% year on year
geometric reduction relative to the Absolute GHG Emissions on index Base
Date.
Therefore, for rebalance 𝑖𝑖, the Absolute GHG Emissions of the Index shall be no
more than:𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷_𝐺𝐺𝐺𝐺𝐺𝐺 × 0.93𝑖𝑖/12, 50% × 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 �
𝑀𝑀𝑀𝑀𝑀𝑀 �

Where:
𝑖𝑖 is the rebalance as an integer counted in ascending order from the Base Date,for the avoidance of doubt 𝑖𝑖 is equal to 0 on the Base Date;𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷_𝐺𝐺𝐺𝐺𝐺𝐺 is the Absolute GHG Emissions derived as 50% of 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 ;𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖 is the Absolute GHG Emissions level of the Parent Index on the
Date of rebalance 𝑖𝑖;
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺0 is the Absolute GHG Emissions level of the Parent Index on theBase Date.
Should a significant change occur in the calculation methodology of theAbsolute GHG Emissions a new Base Date shall be set for measuring against the
decarbonisation trajectory.

Absolute GHG Emissions
MSCI gathers GHG emissions figures from publicly-available, company-reported
annual accounts or sustainability reports, or any other public source thesefigures are included in. When reported GHG emissions are not available, MSCIBloomberg Index Services Limited

A Bloomberg Professional Services offering

provides estimates.
Absolute GHG Emissions of an Index, calculated monthly, is the weighted
Absolute GHG Emissions of the underlying constituents of the Index:
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼_𝐺𝐺𝐺𝐺𝐺𝐺𝑑𝑑 =𝑑𝑑∑𝑛𝑛𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖 × 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 𝑖𝑖𝑠𝑠𝑑𝑑∑𝑛𝑛𝑖𝑖=1
𝑤𝑤𝑑𝑑𝑖𝑖

Securities with no Absolute GHG Emissions values are excluded from thecalculation of the Absolute GHG Emissions of an Index.
Where:
𝑖𝑖 is an index constituent;
𝑛𝑛𝑑𝑑 is with respect to Rebalance Date, 𝑑𝑑, the number of index constituents;
𝑤𝑤𝑑𝑑𝑖𝑖 is with respect to Rebalance Date, 𝑑𝑑, the weight of constituent, 𝑖𝑖,in the index;
and
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑠𝑠𝑖𝑖 is with respect to Rebalance Date, 𝑠𝑠, the Absolute
GHG Emissions of constituent, 𝑖𝑖.
Absolute GHG Emissions for an index constituent is the total Absolute GHG
Emissions:
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑡𝑡𝑡𝑡 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑡𝑡𝑖𝑖 =𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2𝑖𝑖𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3𝑖𝑖𝑡𝑡

If any of the following criteria are met, the Absolute GHG Emissions in respect ofconstituent i and Rebalance Date s is considered invalid:
1) There are no estimates available for either Scope 1, Scope 2, or Scope 3
GHG emissions in respect of constituent i and Rebalance Date s.

e)

The hyperlink to the website of thetemperature scenario used.

Date on which information has last been
updated and reason for the update:

Where:
𝑖𝑖 is an index constituent;𝑡𝑡 is the date when the Absolute GHG Emission is measured;
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1 and 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2 are reported GHG emissions for the constituent if available,
otherwise, estimates are obtained MSCI GHG emissions estimate model;
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 3 data is estimated by MSCI for constituents across all sectors
https://www.ipcc.ch/sr15/

February 2023, updated link to disclosures report

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B. MSCI ESG Fixed Income Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family ofbenchmarks.

Bloomberg MSCI ESG Fixed Income Indices:● The Bloomberg MSCI Socially Responsible (SRI) Indices negatively screen
out issuers from existing Bloomberg parent indices that may be involved inbusiness lines or activities that are in conflict with investment policies,
values, or social norms. These indices use MSCI Business Involvement
Screening Research (BISR) and MSCI ESG Controversies to identify
exposure to screened indices.
● The Bloomberg MSCI Sustainability Indices positively screen issuers fromexisting Bloomberg parent indices based on MSCI ESG Ratings, which are a"best in class" assessment of how well an issuer manages ESG risks relative
to its industry peer group. ESG Ratings are available for corporate,
sovereign, and government-related issuers. The minimum threshold
applied to Bloomberg flagship indices is an ESG rating of BBB and betterfor investment grade indices and BB and better for high yield indices.
● The Bloomberg MSCI ESG Weighted Indices use MSCI ESG Ratings and
MSCI ESG Ratings momentum to overweight/underweight issuers within anexisting Bloomberg parent index. These indices include the full universe ofindex eligible securities and then apply tilts to the natural market value
weights in favor of higher rated/positive momentum issuers and against
lower rated/negative momentum issuers.

Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

Yes

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available herec)

List of social factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available hered)List of governance factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available here

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink belowd)List of governance factors:

Please see hyperlink below

Hyperlink to the information on ESG factors forthe benchmark or family of benchmarks:

Details of the ESG factors are available here

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG factors inthe benchmark statement.

Describe how the data used to provide
information on the ESG factors in thebenchmark statement are sourced andwhether, and to what extent, data are
estimated or reported.
b)

Reference standards.

List the supporting standards used forreporting under item 6 and/or item 7.

All ESG data for the benchmarks is sourced externally from:MSCI Research
esgclientservice@msci.com
https://www.msci.com/research-and-insights
Refer to Bloomberg MSCI Fixed Income Indices and MSCI’s Methodology
Executive Summary for further information.
MSCI ESG Research relies on a proprietary methodology informed by arange of data sources. MSCI ESG Research does not explicitly mandate
reporting along specific disclosure standards. Commonly utilized disclosure
frameworks for data collected and used by MSCI ESG Research include GRI,
SASB, UN Global Compact; and, for specific performance indicators, GHG
Protocol, and applicable ISO standards.

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND EU
PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

Not applicableb)degree to which the IPCC
decarbonisation trajectory (1,5°C
with no or limited overshoot) has
been achieved on average per year
since creation;

Not applicablec)overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of

Not applicable

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

Commission Delegated Regulation(EU) 2020/1818, using the active
share at asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or whereapplicable, the family of benchmarks, disclose the following information:a)

Does the benchmark align with thetarget of reducing carbon emissions
or the attainment of the objectivesof the Paris Agreement;

Nob)

The temperature scenario, in
accordance with international
standards, used for the alignment
with the target of reducing GHG
emissions or the attainment of theobjectives of the Paris Agreement;

Not applicable. The benchmark is not aligned with the target of reducing
carbon emissions or the attainment of the objectives of the Paris Agreement andtherefore no temperature scenario is used.

c)

The name of the provider of thetemperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;

Not applicable. There is no temperature scenario provider as no temperature
scenario is used.

d)

The methodology used for themeasurement of the alignment withthe temperature scenario;e)

The hyperlink to the website of thetemperature scenario used.

Date on which information has last been
updated and reason for the update:

Not applicable. The benchmark does not use a methodology to measurealignment with a temperature scenario as no temperature scenario is used.

Not applicable. There is no temperature scenario used.
February 2023, updated link to disclosures report

Bloomberg Index Services Limited

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C. Bloomberg SASB ESG Fixed Income Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family ofbenchmarks.

Bloomberg SASB Fixed Income Indices

Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

Yes

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg Global Fixed
Income SASB ESG Disclosure Report available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg Global Fixed
Income SASB ESG Disclosure Report available herec)

List of social factors:

Details of these factors can be found in the Bloomberg Global Fixed
Income SASB ESG Disclosure Report available hered)List of governance factors:

Details of these factors can be found in the Bloomberg Global Fixed
Income SASB ESG Disclosure Report available here

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink belowd)List of governance factors:

Please see hyperlink below

Hyperlink to the information on ESG factors forthe benchmark or family of benchmarks:

Details of the ESG factors are available here

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG factors inthe benchmark statement.

Describe how the data used to provide
information on the ESG factors in thebenchmark statement are sourced andwhether, and to what extent, data are
estimated or reported.

Modelled ESG data for the benchmarks is sourced externally from:State Street Global Advisors – State Street Global Advisors (SSGA) provides
the list of constituents that will be excluded from the Base index based on
business involvement. SSGA additionally provides R-Factor (ESG) scores forindex constituents, which determine the weight of constituents in the index.
R-Factor scores are proprietary scores generated by SSgA from acomposite framework of underlying ESG score providers (ISS-ESG,
Sustainalytics, and VigeoEIRIS.)
Please see below for an additional explanation of R-Factor.
https://www.ssga.com/us/en/intermediary/ic/cap abilities/esg/datascoring/r-factor-transparentesg-scoring
https://www.ssga.com/librarycontent/products/esg/inst-r-factorreinventingesg-through-scoring-system.pdf

b)Reference standards.

List the supporting standards used forreporting under item 6 and/or item 7.

All data for controversial exclusion and score weighting is generated andprovided by SSgA independently (R-Factor Score).
The R-Factor Score is a proprietary score created and maintained by SSgA.
The ESG component of R-Factor is created by mapping raw data from three
third party providers (ISS-ESG, Sustainalytics, and Vigeo- EIRIS) to thefinancial materiality framework published by SASB.

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND EU
PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

Not applicableb)degree to which the IPCC
decarbonisation trajectory (1,5°C withno or limited overshoot) has beenachieved on average per year sincecreation;

Not applicablec)overlap between those benchmarks andtheir investable universe, as defined in
Article 1, point (e), of Commission
Delegated Regulation

Not applicable(EU) 2020/1818, using the active share at
asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or whereapplicable, the family of benchmarks, disclose the following information:

Bloomberg Index Services Limited

A Bloomberg Professional Services offeringb)

Does the benchmark align with thetarget of reducing carbon emissions or
the attainment of the objectives of theParis Agreement;

Nob)

The temperature scenario, in
accordance with international
standards, used for the alignment withthe target of reducing GHG emissions
or the attainment of the objectives of
the Paris Agreement;

Not applicable. The benchmark is not aligned with the target of reducing
carbon emissions or the attainment of the objectives of the Paris
Agreement and therefore no temperature scenario is used.

c)

The name of the provider of thetemperature scenario used for thealignment with the target of reducing
GHG emissions or the attainment of theobjectives of the Paris Agreement;

Not applicable. There is no temperature scenario provider as notemperature scenario is used.

d)

The methodology used for themeasurement of the alignment with thetemperature scenario;e)

The hyperlink to the website of thetemperature scenario used.

Date on which information has last been
updated and reason for the update:

Not applicable. The benchmark does not use a methodology to measurealignment with a temperature scenario as no temperature scenario is used.

Not applicable. There is no temperature scenario used.
February 2023, updated link to disclosures report

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

D. Bloomberg Green Social Sustainability Bond Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark
administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family of Bloomberg Green Social Sustainability Bond Indicesbenchmarks.
Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

No

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg Global Aggregate
GSS Bond Index ESG Disclosure Report available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg Global Aggregate
GSS Bond Index ESG Disclosure Report available herec)

List of social factors:

Details of these factors can be found in the Bloomberg Global Aggregate
GSS Bond Index ESG Disclosure Report available hered)List of governance factors:

Details of these factors can be found in the Bloomberg Global Aggregate
GSS Bond Index ESG Disclosure Report available here

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink belowd)List of governance factors:

Please see hyperlink below

27

Bloomberg Index Services Limited

Hyperlink to the information on ESG factors
for the benchmark or family of benchmarks:

A Bloomberg Professional Services offering

Details of the ESG factors are available here

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG
factors in the benchmark statement.

All ESG data for the benchmarks is sourced externally from:
Bloomberg SFS –bond classification data based on a review described in
Section 2 of this Methodology document.

Describe how the data used toprovide information on the ESG
factors in the benchmark statement
are sourced and whether, and towhat extent, data are estimated orreported.

Contact details are available here.
For further information on classification process, please refer to Terminal
function BESG <GO> otherwise this can be made available upon request.
Sustainalytics – Product Involvement, Global Standards Screening and Risk
Rating data libraries.
For further information and contact details, please refer tohttp://www.sustainalytics.com/b)

Reference standards.

List the supporting standards used forreporting under item 6 and/or item 7.

The International Capital Market Association (ICMA) Green Bond, Social Bondand Sustainability Bond Principles and Guidelines.
For further information, please refer to:https://www.icmagroup.org/sustainable-finance/the-principles-guidelinesand-handbooks/
The Greenhouse Gas Protocol is used for GHG estimation. For further
information, please refer to https://ghgprotocol.org/
The percentage of reported vs estimated data used can be found in the ESG
Disclosure Report.

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND
EU PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year decarbonisation trajectory;

N/A

b)

degree to which the IPCC decarbonisation trajectory(1,5°C with no or limited overshoot) has been achieved
on average per year since creation;

N/A

c)

overlap between those benchmarks and their investable
universe, as defined in Article 1, point (e), of Commission
Delegated Regulation (EU) 2020/1818, using the active
share at asset level.

N/A

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate
Transition Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or
where applicable, the family of benchmarks, disclose the following information:a)

Does the benchmark align with the target of reducing
carbon emissions or the attainment of the objectives of
the Paris Agreement;

No

28

Bloomberg Index Services Limited

A Bloomberg Professional Services offeringb)

The temperature scenario, in accordance withinternational standards, used for the alignment with thetarget of reducing GHG emissions or the attainment of
the objectives of the Paris Agreement;

Not applicable. The benchmark is not aligned with thetarget of reducing carbon emissions or the attainment of
the objectives of the Paris Agreement and therefore notemperature scenario is used.

c)

The name of the provider of the temperature scenario
used for the alignment with the target of reducing GHG
emissions or the attainment of the objectives of the Paris
Agreement;

Not applicable. There is no temperature scenario
provider as no temperature scenario is used.

d)

The methodology used for the measurement of thealignment with the temperature scenario;

Not applicable. The benchmark does not use amethodology to measure alignment with a temperature
scenario as no temperature scenario is used.

e)

The hyperlink to the website of the temperature scenario
used.

Not applicable. There is no temperature scenario used.

Date on which information has last been updated andreason for the update:February 2023, initial publication

29

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

E. Bloomberg Global Fixed Income Paris-Aligned Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark
administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family of Bloomberg Global Fixed Income Paris-Aligned Indicesbenchmarks.
Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

Yes

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg Global Fixed Income
Paris-Aligned ESG Disclosure Report available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg Global Fixed Income
Paris-Aligned ESG Disclosure Report available herec)

List of social factors:

Details of these factors can be found in the Bloomberg Global Fixed Income
Paris-Aligned ESG Disclosure Report available hered)List of governance factors:

Details of these factors can be found in the Bloomberg Global Fixed Income
Paris-Aligned ESG Disclosure Report available here

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink belowd)List of governance factors:

Please see hyperlink below

30

Bloomberg Index Services Limited

Hyperlink to the information on ESG factors
for the benchmark or family of benchmarks:

A Bloomberg Professional Services offering

Details of the ESG factors are available here

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG
factors in the benchmark statement.

Describe how the data used toprovide information on the ESG
factors in the benchmark statement
are sourced and whether, and towhat extent, data are estimated orreported.

All ESG data for the benchmarks is sourced externally from:
Bloomberg Finance L.P. (“Bloomberg SFS Group”) – reported and modelled
GHG emissions data, reported and modelled EU taxonomy data.
Contact details are available here.
For further information on the Distributional Greenhouse Gas Emissions
Estimates and the EU taxonomy methodology, please refer to Terminal function
BESG <GO> otherwise this can be made available upon request.
Sustainalytics US, Inc (“Sustainalytics”) – reported and modelled from ProductInvolvement, Global Standards Screening and Risk Rating data libraries.
For further information and contact details, please refer tohttp://www.sustainalytics.com/
In particular, the Indices use the following Sustainalytics ESG products: Global
Standards Screening, Product Involvement, Controversial Weapons Radar and
ESG Data.

b)

Reference standards.

The Greenhouse Gas Protocol is used for GHG estimation. For further
information, please refer to https://ghgprotocol.org/

List the supporting standards used forreporting under item 6 and/or item 7. To align with the precautionary principle, a company not covered by
Sustainanlytics for exclusions is not included. Distributional estimates measure
the uncertainty in GHG emissions, using the precautionary principle where theestimated 75th percentile is applied.
The percentage of reported vs estimated data used can be found in the ESG
Disclosure Report.
SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND
EU PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year decarbonisation trajectory;

Details of the forward-looking year-on-year
decarbonisation trajectory for each benchmark can befound in the ESG Disclosures Report available here.

b)degree to which the IPCC decarbonisation trajectory(1,5°C with no or limited overshoot) has been achieved
on average per year since creation;

Details of the achievement of the IPCC decarbonisation
trajectory can be found in the ESG Disclosures Reportavailable herec)overlap between those benchmarks and their investable
universe, as defined in Article 1, point (e), of Commission
Delegated Regulation (EU) 2020/1818, using the active
share at asset level.

The active share measure can be found in the ESG
Disclosures Report available here31

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate
Transition Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or
where applicable, the family of benchmarks, disclose the following information:b)

Does the benchmark align with the target of reducing
carbon emissions or the attainment of the objectives of
the Paris Agreement;

Yes

b)

The temperature scenario, in accordance withinternational standards, used for the alignment with thetarget of reducing GHG emissions or the attainment of
the objectives of the Paris Agreement;

The Indices use the reference 1.5 °C temperature
scenario, with no or limited overshoot.

c)

The name of the provider of the temperature scenario
used for the alignment with the target of reducing GHG
emissions or the attainment of the objectives of the Paris
Agreement;

The Special Report on Global Warming of 1.5 °C from theIntergovernmental Panel on Climate Change (the“IPCC”).

d)

The methodology used for the measurement of thealignment with the temperature scenario;

Absolute GHG Emissions
Bloomberg gathers GHG emissions figures frompublicly-available, company-reported annual accounts orsustainability reports, or any other public source thesefigures are included in. Company-reported emissions
figures are checked by the Bloomberg for completeness,consistency and accuracy.
Absolute GHG Emissions of an Index is the GHG
emissions weighted by the market value of theunderlying constituents of the Index:
𝑛𝑛𝑑𝑑

𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼_𝐺𝐺𝐺𝐺𝐺𝐺𝑑𝑑 = � 𝑤𝑤𝑑𝑑𝑖𝑖 × 𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸 𝑖𝑖𝑠𝑠
𝑖𝑖=1

Where:
𝑖𝑖 is an index constituent;
𝑛𝑛𝑑𝑑 is with respect to Rebalance Date, 𝑑𝑑, the number ofindex constituents;
𝑤𝑤𝑑𝑑𝑖𝑖 is with respect to Rebalance Date, 𝑑𝑑, the weight of
constituent, 𝑖𝑖,in the index; and𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑠𝑠𝑖𝑖 is with respect to Rebalance Date, 𝑠𝑠, theAbsolute GHG Emissions of constituent, 𝑖𝑖.
GHG Emissions for an index constituent is the total GHG
Emissions:
𝐺𝐺𝐺𝐺𝐺𝐺 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑡𝑡𝑖𝑖 = Scope 1 + Scope 2 + Scope 3

32

Bloomberg Index Services Limited

A Bloomberg Professional Services offering

Where:
𝑖𝑖 is an index constituent;𝑡𝑡 is the date when the GHG Emission is measured;

𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 1 and 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 2 are reported GHG emissions for theconstituent if available, otherwise, estimates are
obtained at the 75th;
𝑺𝑺𝑺𝑺𝑺𝑺𝑺𝑺𝑺𝑺 𝟑𝟑 data are estimates obtained at the 75th
percentile from the Bloomberg GHG Estimate Modeland is applied to constituents which can be mapped tothe equivalent BICS Level 2 sub-industry codes of Oil &Gas and BICS Level 3 Metals & Mining.
Should a significant change occur in the calculation
methodology of the Absolute GHG Emissions a new
Base Date shall be set for measuring against the
Decarbonization Trajectory.

Decarbonisation Trajectory
At index inception (“Base Date”), the weighted averageabsolute GHG emissions for EU Paris-aligned
Benchmarks, including Scope 1, 2 and 3 GHG emissions,shall be at least 50% lower than the absolute GHG
emissions of the Parent Index:
�(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑤𝑤𝑒𝑒𝑖𝑖𝑖𝑖ℎ𝑡𝑡 𝑖𝑖𝑖𝑖 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖∗ 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝐺𝐺𝐺𝐺𝐺𝐺 𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒)

Note: securities with no reported or estimated (acrossScope 1, 2 and 3) emissions calculations are excluded
from the weighted average emissions calculation for the
Parent Index.

On subsequent rebalances, the weighted averageabsolute GHG emissions of the Index shall be the lowerof 50% of the absolute GHG emissions of the Parent
Index, or an absolute GHG emissions level implied by 7%
year-on-year geometric reduction relative to the absolute
GHG emissions of the Index on the Base Date:
Therefore, for rebalance 𝑖𝑖𝑖𝑖, the absolute GHG emissionof the Index shall be no more than:(𝑡𝑡−1)

𝑊𝑊𝑡𝑡 = 𝑊𝑊1 × 0.93 12 , 50% 𝑥𝑥 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃_𝐺𝐺𝐺𝐺𝐺𝐺

Where:
𝑡𝑡 is the number of monthly index rebalances
𝑊𝑊1 is the weighted average absolute GHG emission of
the Index at Base Date
Should a significant change occur in the calculation
methodology of the absolute GHG emissions a new Base
Date shall be set for measuring against the
decarbonization trajectory. For each year in which the33

Bloomberg Index Services Limited

A Bloomberg Professional Services offeringtargets laid down are not achieved, those missed targets
are compensated by upwardly adjusting the targets intheir decarbonization trajectory for the following year.
Please refer to the ESG Disclosure Report for further
details on the decarbonization trajectory of the Indices,
including the Base Date used for determination anddetails relating to any instances where thedecarbonization trajectory is not met.
e)

The hyperlink to the website of the temperature scenario
used.

Date on which information has last been updated andreason for the update:https://www.ipcc.ch/sr15/
February 2023, initial publication

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Bloomberg Index Services Limited

A Bloomberg Professional Services offering

F. MSCI Green Bond Indices
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Bloomberg Index Services Limited

Item 2. Type of benchmark or family ofbenchmarks.

Fixed Income

Item 3. Name of the benchmark or family ofbenchmarks.

Bloomberg MSCI Green Bond Indices

Item 4. Are there in the portfolio of thebenchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned
Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into
account ESG factors?

Yes

Item 5. Does the benchmark or family ofbenchmarks pursue ESG objectives?

Yes

Item 6. Where the response to Item 5 is positive, provide below the details (score) in relation to the following ESG factors:
combined ESG factors, environmental, social and governance for each family of benchmarks at an aggregated level.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family of benchmarks.
a)

List of combined ESG factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available hereb)

List of environmental factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available herec)

List of social factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available hered)List of governance factors:

Details of these factors can be found in the Bloomberg MSCI Fixed Income
Disclosure Report available here

Item 7. Where the response to Item 5 is positive, provide below the details (score) for the benchmark or family ofbenchmarks, in relation the following ESG factors: combined ESG factors, environmental, social and governance, dependingon the relevant underlying asset concerned.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark administrator
included in the benchmark statement. The information on the website shall be easily available and accessible. Benchmark
administrators shall ensure that information published on their website remains available for five years.
The score of the ESG factors shall not be disclosed for each constituent of the benchmark, but shall be disclosed at an
aggregated weighted average value of the benchmark.
a)

List of combined ESG factors:

Please see hyperlink belowb)

List of environmental factors:

Please see hyperlink belowc)

List of social factors:

Please see hyperlink below

35

Bloomberg Index Services Limitedd)

A Bloomberg Professional Services offering

List of governance factors:

Please see hyperlink below

Hyperlink to the information on ESG factors forthe benchmark or family of benchmarks:

Details of the ESG factors are available here

Item 8. Data and standards used.
a)

Description of data sources used toprovide information on the ESG factors inthe benchmark statement.

Describe how the data used to provide
information on the ESG factors in thebenchmark statement are sourced andwhether, and to what extent, data are
estimated or reported.

b)

Reference standards.

List the supporting standards used forreporting under item 6 and/or item 7.

All ESG data for the benchmarks is sourced externally from:MSCI Research
esgclientservice@msci.com
https://www.msci.com/research-and-insights
Refer to Bloomberg MSCI Fixed Income Indices and MSCI’s Methodology
Executive Summary for ESG Ratings and Green Bond and Green Loan
Assessment Methodology on Green Bond classification for further
information.
Commonly utilized disclosure frameworks for data collected and used by
MSCI ESG Research include GRI, SASB, UN Global Compact; and, for
specific performance indicators, GHG Protocol, and applicable ISO
standards
In relation to Green Bonds, "Green" categories are currently based on MSCIESG Research definitions aligned with the International Capital Markets
Associations. EU Taxonomy will be used once finalized and formalized.

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS FOR EU CLIMATE TRANSITION AND EU
PARIS-ALIGNED BENCHMARKS
Item 9. Where a benchmark is labelled as ‘EU Climate Transition Benchmark’ or ‘EU Paris-aligned Benchmark’,benchmark administrators shall also disclose the following information:a)forward-looking year-on-year
decarbonisation trajectory;

Not applicableb)degree to which the IPCC
decarbonisation trajectory (1,5°C
with no or limited overshoot) has
been achieved on average per year
since creation;

Not applicablec)overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of
Commission Delegated Regulation

Not applicable(EU) 2020/1818, using the active
share at asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall, for each benchmark, or whereapplicable, the family of benchmarks, disclose the following information:

36

Bloomberg Index Services Limited

A Bloomberg Professional Services offeringc)

Does the benchmark align with thetarget of reducing carbon emissions
or the attainment of the objectivesof the Paris Agreement;

Nob)

The temperature scenario, in
accordance with international
standards, used for the alignment
with the target of reducing GHG
emissions or the attainment of theobjectives of the Paris Agreement;

Not applicable. The benchmark is not aligned with the target of reducing
carbon emissions or the attainment of the objectives of the Paris Agreement andtherefore no temperature scenario is used.

c)

The name of the provider of thetemperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;

Not applicable. There is no temperature scenario provider as no temperature
scenario is used.

d)

The methodology used for themeasurement of the alignment withthe temperature scenario;e)

The hyperlink to the website of thetemperature scenario used.

Date on which information has last been
updated and reason for the update:

Not applicable. The benchmark does not use a methodology to measurealignment with a temperature scenario as no temperature scenario is used.

Not applicable. There is no temperature scenario used.
February 2023, initial publication

37

Bloomberg Index Services Limited

1

A Bloomberg Professional Services offering

Commission Delegated Regulation (EU) 2020/1818 of 17 July 2020 supplementing Regulation (EU) 2016/1011 of the European
Parliament and of the Council as regards minimum standards for EU Climate Transition Benchmarks and EU Paris-aligned
Benchmarks.

38