Bloomberg Fixed Income Indices

March 7, 2023

Bloomberg Spot FX
Indices Methodology
March 7, 2023

Bloomberg Global Equity Paris-Aligned Index Methodology

1Bloomberg Spot FX Index Family

March 7, 2023

Version Control
Version

Reviewer

Review Date

Comments

1

Jack Wang

22-June-2022

First Launch

2

Clarinda Tsang

25-July-2022

Updated with GDP weighting methodology

3

Clarinda Tsang

05-August-2022

Amended the dates in the table in backtest assumptions 1

4

Clarinda Tsang

17-February-2023

Updated with Trade and Liquidity weighting methodology,
and adopting factsheet style

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Table of contents
Version Control

2Introduction

4

Objectives and key features
Section 1: Calculation

4
4

Index calculation

4

Weights calculation

4

Equal Weight calculation

4

GDP Weight calculation

4

Trade and Liquidity Weight calculation

5

Rounding

6

Section 2: Backtest assumptions

7

Section 3: Limitations

7

Limitations of the index
Section 4: Benchmark oversight and governance7
8

Benchmark governance, audit, and review structure

8

Index and data reviews

8Internal and external reviews

9

Expert judgement

9

Data providers and data extrapolation

9

Conflicts of interest

9

Restatement policy

9

Appendix I: Glossary

11

Appendix II: ESG Disclosures

13

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Introduction
This methodology (the “Methodology”) has been made available by Bloomberg Index Services Limited (“BISL”) and sets out therules, criteria, risk factors and other information application to the Bloomberg Spot FX Indices (the “Indices” and each, an “Index”).
Capitalized terms used in this Methodology but not otherwise defined have the meanings set forth in Appendix I (Glossary).

Objectives and key features
This Methodology describes the calculation of the Bloomberg Spot FX Index Family. Each Index replicates the performance of theSpot Exchange Rates under a specified weighting method (described below), on a daily basis.

Section 1: Calculation
Index calculation
The Index Level on the Index Base Date shall be 100.0000. The Index Level with respect to each subsequent Index Business Day
shall be calculated in accordance with the following formula, subject to Section 1 (“Rounding”):
𝑐𝑐𝑦

𝑐𝑐𝑦

𝐼𝑡 = 𝐼𝑡−1 × (1 + ∑ 𝑤𝑟
𝑐𝑐𝑦∈𝐶𝑑𝑆× 𝐷𝑖𝑟𝑒𝑐𝑡𝑖𝑜𝑛 × ( 𝑡𝑐𝑐𝑦 − 1))
𝑆𝑡−1

(1)

Where:
𝐼𝑡 and 𝐼𝑡−1 mean the Index Value on Index Business Day 𝑡 and the immediately preceding Index Business Day to 𝑡 − 1 respectively;
𝑐𝑐𝑦 means a Currency;𝑟 means, with respect to Index Business Day 𝑡, the immediately preceding Rebalance Date. For the avoidance of doubt, if Index
Business Day 𝑡 is a Rebalance Date, then 𝑟 shall refer to the immediately preceding Rebalance Date;𝑑 means, with respect to Index Business Day 𝑡, the immediately preceding Determination Date. For the avoidance of doubt, if Index
Business Day 𝑡 is a Determination Date, then 𝑑 shall refer to the immediately preceding Determination Date;
𝐶𝑑 means the set of Eligible Currencies on Determination Date 𝑑;𝑐𝑐𝑦
𝑤𝑟 means, with respect to Rebalance Date 𝑟, the weight of Currency 𝑐𝑐𝑦;
𝑐𝑐𝑦
𝑐𝑐𝑦
𝑆𝑡 and 𝑆𝑡−1 mean, with respect to Currency 𝑐𝑐𝑦, the Spot Exchange Rate on Index Business Day 𝑡 and the immediately preceding
Index Business Day 𝑡 − 1 respectively.

Weights calculation
Equal Weight calculation
If the Weighting of the Index is "Equal", the weight of Currency, 𝑐𝑐𝑦, shall be calculated in accordance with the following formula:
𝑐𝑐𝑦

𝑤𝑟

=

1
|𝐶𝑑 |

(2)

Where:
𝑐𝑐𝑦
𝑤𝑟 means, with respect to the Currency 𝑐𝑐𝑦, the weight on Rebalance Date 𝑟;|𝐶𝑑 | means the number of Currencies in the set of Eligible Currencies 𝐶𝑑 on Determination Date 𝑑.

GDP Weight calculation
If the Weighting of the Index is "GDP", the weight of Currency, 𝑐𝑐𝑦, shall be calculated in accordance with the following formula:
𝑐𝑐𝑦

𝑐𝑐𝑦

𝑤𝑟

Bloomberg Spot FX Index Family Methodology

=

𝐺𝐷𝑃𝑑

∑𝑐𝑐𝑦∈𝐶𝑑 𝐺𝐷𝑃𝑑𝑐𝑐𝑦(3)

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Where:
𝑐𝑐𝑦
𝑤𝑟 means, with respect to the Currency 𝑐𝑐𝑦, the weight on Rebalance Date 𝑟;
𝑐𝑐𝑦
𝐺𝐷𝑃𝑑 means, with respect to the Currency 𝑐𝑐𝑦, the GDP Data on a Determination Date 𝑑;
𝐶𝑑 means the set of Eligible Currencies on Determination Date 𝑑.

Trade and Liquidity Weight calculation
If the Weighting of the Index is "Trade and Liquidity", the weight of Currency, 𝑐𝑐𝑦, shall be calculated in accordance with thefollowing formula:
If 𝑐𝑐𝑦 is in the set of Selected Currencies, 𝐶𝑑′ :
𝑐𝑐𝑦

𝑤𝑟

𝑐𝑐𝑦

𝑐𝑐𝑦

(4)

= 𝑎𝑣𝑔(𝑡𝑤𝑑 , 𝑙𝑤𝑑 )

Else:
𝑐𝑐𝑦

𝑤𝑟

(5)

= 0

Where:
𝐶𝑑′ means the set of Selected Currencies on Determination Date 𝑑;𝑐𝑐𝑦
𝑤𝑟 means, with respect to the Currency 𝑐𝑐𝑦, the weight on Rebalance Date 𝑟;
𝑐𝑐𝑦
𝑡𝑤𝑑 means, with respect to the Currency 𝑐𝑐𝑦, the Trade Weight on Determination Date 𝑑, calculated in accordance with the following
formula:
𝑐𝑐𝑦
𝑇𝑅𝐷𝑑
𝑐𝑐𝑦
(6)
𝑡𝑤𝑑 =
∑𝑐𝑐𝑦∈𝐶 ′ 𝑇𝑅𝐷𝑑𝑐𝑐𝑦
𝑑Where:
𝑐𝑐𝑦
𝑇𝑅𝐷𝑑 means, the Trade Data of Currency 𝑐𝑐𝑦, on Determination Date 𝑑.
𝑐𝑐𝑦

𝑙𝑤𝑑 means, with respect to the Currency 𝑐𝑐𝑦, the Liquidity Weight on Determination Date 𝑑, calculated in accordance with thefollowing formula:
𝑐𝑐𝑦
𝐿𝐼𝑄𝑑
𝑐𝑐𝑦
(7)
𝑙𝑤𝑑 =
∑𝑐𝑐𝑦∈𝐶 ′ 𝐿𝐼𝑄𝑑𝑐𝑐𝑦
𝑑Where:
𝑐𝑐𝑦
𝐿𝐼𝑄𝑑 mean, the Liquidity Data of Currency 𝑐𝑐𝑦, on Determination Date 𝑑;Currency Selection
With respect to Determination Date 𝑑, the set of Selected Currencies, 𝐶𝑑′ , shall be calculated in accordance with the following formula:
𝐿𝐼𝑄

𝐿𝐼𝑄

𝐶𝑑′ = {𝑐𝑐𝑦 ∣ 𝑐𝑐𝑦 ∈ (𝑅𝑑𝑇𝑅𝐷 ∪ 𝑅𝑑 ) ∧ 𝑐𝑐𝑦 ∈ (𝐶𝑑𝑇𝑅𝐷 ∩ 𝐶𝑑 )}
𝑐𝑐𝑦

≤ 10}

(9)

𝑐𝑐𝑦

≤ 10}

(10)

𝑅𝑑𝑇𝑅𝐷 = {𝑐𝑐𝑦 ∈ 𝐶𝑑𝑇𝑅𝐷 ∣ 𝑇𝑅𝑎𝑛𝑘𝑑
𝐿𝐼𝑄

𝑅𝑑

𝐿𝐼𝑄

= {𝑐𝑐𝑦 ∈ 𝐶𝑑

(8)

∣ 𝐿𝑅𝑎𝑛𝑘𝑑

Where:
𝐶𝑑′ means the set of Selected Currencies on Determination Date 𝑑;
𝑅𝑑𝑇𝑅𝐷 means the ranked sets of Trade Currencies on Determination Date 𝑑;
𝐿𝐼𝑄
𝑅𝑑 means the ranked sets of Liquidity Currencies on Determination Date 𝑑;
𝑇𝑅𝐷
𝐶𝑑 means, with respect to Determination Date 𝑑, the set of Trade Currencies, calculated in accordance with the following formula:
𝐶𝑑𝑇𝑅𝐷 = { 𝑐𝑐𝑦 ∣ 𝑐𝑐𝑦 ∈ 𝑈𝑑𝑇𝑅𝐷 ∧ 𝑐𝑐𝑦 ∉ 𝑃𝐸𝐺𝑑 }(11)

Where:
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𝑃𝐸𝐺𝑑 means the set of Pegged Currencies on Determination Date 𝑑;
𝑈𝑑𝑇𝑅𝐷 means the set of Trade Universe Currencies on Determination Date 𝑑.
𝐿𝐼𝑄

𝐶𝑑means, with respect to Determination Date 𝑑, the set of Liquidity Currencies, calculated in accordance with the following formula:
𝐿𝐼𝑄

𝐶𝑑

𝐿𝐼𝑄

= { 𝑐𝑐𝑦 ∣∣ 𝑐𝑐𝑦 ∈ 𝑈𝑑

(12)

∧ 𝑐𝑐𝑦 ∉ 𝑃𝐸𝐺𝑑 }Where:𝐿𝐼𝑄
𝑈𝑑 means the set of Liquidity Universe Currencies on Determination Date 𝑑.
𝑐𝑐𝑦

𝑐𝑐𝑦

𝑐𝑐𝑦

𝑇𝑅𝑎𝑛𝑘𝑑 means, 𝑅𝑎𝑛𝑘𝑑 as calculated by running the Ranking Function in Section 1: Calculation, with the Trade Data 𝑇𝑅𝐷𝑑 and setof Trade Currencies 𝐶𝑑𝑇𝑅𝐷 ;
𝑐𝑐𝑦
𝑐𝑐𝑦
𝑐𝑐𝑦
𝐿𝑅𝑎𝑛𝑘𝑑 means, 𝑅𝑎𝑛𝑘𝑑 as calculated by running the Ranking Function in Section 1: Calculation, with the Liquidity Data 𝐿𝐼𝑄𝑑 and𝐿𝐼𝑄
the set of Liquidity Currencies 𝐶𝑑 .

Ranking Function
𝑐𝑐𝑦

𝑅𝑎𝑛𝑘𝑑 means, with respect to Currency 𝑐𝑐𝑦, Determination Date 𝑑, and a data source name 𝑆𝑅𝐶, the ranking position of Currency
𝑐𝑐𝑦 in an ordered list containing each Currency under the ordering:∀𝑎, 𝑏 ∈ 𝐶𝑑𝑆𝑅𝐶 such that 𝑎 ≠ 𝑏,

(13)

𝑎 < 𝑏 if 𝑆𝑅𝐶𝑑𝑎 < 𝑆𝑅𝐶𝑑𝑏(14)

else 𝑎 > 𝑏 if 𝑆𝑅𝐶𝑑𝑎 > 𝑆𝑅𝐶𝑑𝑏

(15)

𝑎
𝑏
else 𝑎 < 𝑏 if 𝑅𝑎𝑛𝑘𝑑𝑃𝑟𝑒𝑣< 𝑅𝑎𝑛𝑘𝑑𝑃𝑟𝑒𝑣(16)else 𝑎 > 𝑏(17)

Where:
𝑆𝑅𝐶 means, a data source;
𝑑𝑃𝑟𝑒𝑣 means, with respect to Determination Date 𝑑, the immediately preceding Determination Date;𝑐𝑐𝑦𝑎𝑏
𝑅𝑎𝑛𝑘𝑑𝑃𝑟𝑒𝑣
and 𝑅𝑎𝑛𝑘𝑑𝑃𝑟𝑒𝑣
mean, with respect to Determination Date 𝑑𝑃𝑟𝑒𝑣, the value of 𝑅𝑎𝑛𝑘𝑑 where 𝑑 = 𝑑𝑃𝑟𝑒𝑣 and 𝑐𝑐𝑦 = 𝑎 or
𝑐𝑐𝑦 = 𝑏 respectively;
𝑐𝑐𝑦
𝑆𝑅𝐶𝑑𝑎 and 𝑆𝑅𝐶𝑑𝑏 mean, with respect to Determination Date 𝑑, 𝑆𝑅𝐶𝑑 where 𝑐𝑐𝑦 = 𝑎 or 𝑐𝑐𝑦 = 𝑏 respectively;
𝑐𝑐𝑦
𝑆𝑅𝐶𝑑 means, with respect to Currency 𝑐𝑐𝑦, and Determination Date 𝑑, the data from a data source 𝑆𝑅𝐶;𝐶𝑑𝑆𝑅𝐶 means, with respect to a data source 𝑆𝑅𝐶, and Determination Date 𝑑, the set of Currencies.

Rounding
The Index Values shall be calculated without rounding and published to 7 significant figures.

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Section 2: Backtest assumptions
For the simulation of the hypothetical historical performance, BISL relied on the following assumptions:
1.

Historically, the Eligible Currencies for "EM" Region are different to the list under ‘Index Specification’ in the Bloomberg
Spot FX Indices factsheets. The Currencies on and after the dates are listed as below:
Date

Currencies for EM Region

2008/06/30

ARS, BRL, CLP, COP, CZK, EGP, HRK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RUB, THB, TRY, ZAR

2011/07/07

BRL, CLP, COP, CZK, EGP, HRK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RUB, THB, TRY, ZAR

2013/04/05

BRL, CLP, COP, CZK, EGP, HRK, HUF, IDR, ILS, KRW, MXN, MYR, NGN, PEN, PHP, PLN, RON, RUB, THB,
TRY, ZAR

2014/04/07

BRL, CLP, COP, CZK, HUF, IDR, ILS, KRW, MXN, MYR, NGN, PEN, PHP, PLN, RON, RUB, THB, TRY, ZAR

2016/02/05

BRL, CLP, COP, CZK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RON, RUB, THB, TRY, ZAR

2017/08/07

ARS, BRL, CLP, COP, CZK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RON, RUB, THB, TRY, ZAR

2019/04/05

ARS, BRL, CLP, CNY, COP, CZK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RON, RUB, THB, TRY, ZAR

2020/01/07

BRL, CLP, CNY, COP, CZK, HUF, IDR, ILS, KRW, MXN, MYR, PEN, PHP, PLN, RON, RUB, THB, TRY, ZAR

On and after 7th Apr 2022, the Currencies for "EM" Region are the ones listed under ‘Index Specification’ in the Bloomberg
Spot FX Indices factsheets.
2.

The Euro Area GDP from the GDP Data Source does not reflect the point in time Eurozone members. Hence, the historicalEuro Area GDP on each GDP Data Reference Date is calculated by taking the sum of the countries’ GDP listed under ‘The
Eurozone’ in the Bloomberg Spot FX Indices factsheets. On and after 31st Dec 2015, the Euro Area GDP from the GDP Data
Source is used, as it accurately reflects the existing 19 Eurozone members.

3.

For the GDP weighting methodology, the GDP data captured on each GDP Data Snapshot Date before 13 Jun 2022 may
not reflect the point in time values. The GDP Data Source constantly changes the data in line with the updated values thatit receives, and the first published GDP data is no longer available. On and after 13 Jun 2022, the GDP data is captured on
GDP Data Snapshot Date and will remain unchanged even if GDP Data Source updates its values after the GDP Data
Snapshot Date.

Section 3: Limitations
Limitations of the index
Though the Index is designed to be representative of the markets it measures or otherwise aligns with its stated objective, it may
not be representative in every case or achieve its stated objective in all instances. It is designed and calculated strictly to follow
the rules of this 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 that the Index measures or upon which the Index is dependent to achieve
its stated objective. For example, illiquidity can have an impact on the quality or amount of data available to the administrator
for calculation and may cause the Index to produce unpredictable or unanticipated results.
In addition, the Indices calculated with spot exchange rates are impractical to replicate by investors. They are for the indicative
purpose.
In particular, the Index measures FX markets for different Regions. As with all investing, the Index is exposed to market risk. The
value of FXs fluctuate with the changes in economic forecasts, interest rate policies established by central banks and perceived
geo-political risk. The Index does not take into account the cost of replication and as a result a tracking portfolio's returns will
underperform the Index with all else equal. As the Index is designed to measure those markets, it could be materially impacted
by market movements, thus significantly impacting the use or usefulness of the fixings for some or all users.

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Section 4: Benchmark oversight and governance
Benchmark governance, audit, and review structure
BISL uses three primary committees to provide overall governance and effective oversight of its benchmark administration
activities:●

The Product, Risk & Operations Committee (“PROC”) is responsible for the first line of control over the creation, design,
production and dissemination of benchmark indices, strategy indices and fixings administered by the BISL.

● The oversight function is provided by Bloomberg’s Benchmark Oversight Committee (“BOC”). The BOC is independent of the
PROC and is responsible for the review and challenge of the Board and the PROC regarding relevant aspects of the provision of
Benchmarks by BISL, as set out in the UK BMR.
● The Risk Committee (“RiskCo”) advises the Board, the PROC and the BOC on the Company’s overall risk appetite, tolerance andstrategy and oversees the Company’s risk exposure and risk strategy
On a quarterly basis, the PROC reports to the BOC on governance matters, including but not limited to client complaints, the launchof new benchmarks, operational incidents (including errors & restatements), major announcements and material changes concerning
the benchmarks, the results of any reviews of the benchmarks (internal or external) and material stakeholder engagements.

Index and data reviews
The Index Administrator will review the Indices (both the rules of construction and data inputs) on a periodic basis, not lessfrequently than annually, to determine whether they continue to reasonably measure the intended underlying market interest, theeconomic reality or otherwise align with their stated objective. More frequent reviews may result from extreme market events
and/or material changes to the applicable underlying market interests.
In addition to material changes, BISL may from time to time terminate one or more Indices (“Discontinued Indices”), whether due tochanges 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 reasonsfor termination, the impact on users (if any), the availability of alternative products and other such factors. If termination isapproved, users will be provided as much prior notice as is reasonable 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 basis of an ETF or other widely-available financial product or isotherwise 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 suchbenchmark during such period (for example, BISL has access to requisite data on commercially reasonable terms, is not subject toany litigation or other claims, has adequate internal resources and capabilities, etc.). Terminations and associated user engagement
decisions made by the PROC are subject to review by BISL's oversight function, the BOC.
Criteria for data inputs include reliable delivery and active underlying markets. Whether an applicable market is active depends onwhether there are sufficient numbers of transactions (or other indications of price, such as indicative quotes) in the applicable
constituents (or similar underlying constituent elements) that a price (or other value, as applicable) may be supplied for such
constituent(s).
Any resulting change to this Methodology 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. Any relevant changes will be reflected and tracked in updated versions of this Methodology.
Material changes related to the Indices will be made available in advance to affected stakeholders whose input will be solicited.
The stakeholder engagement will set forth the rationale for any proposed changes as well as the timeframe and process forresponses. The Index Administrator will endeavour to provide at least two weeks for review prior to any material change going into
effect. In the event of exigent market circumstances, this period may be shorter. Subject to requests for confidentiality, stakeholder
feedback and the Index Administrator’s responses will be made accessible upon 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 the underlying market interest it seeks tomeasure.

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Internal and external reviews
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 is adhering to applicable policies and procedures, and assess whether applicable
controls are functioning properly. In addition, Bloomberg may from time to time appoint an independent external auditor withappropriate experience and capability to review adherence to benchmark regulation. The frequency of such external reviews will
depend on the size and complexity of the operations and the breadth and depth of the Index use by stakeholders.

Expert judgement
The Index is rules-based, and its construction is designed to consistently produce values without the exercise of expert judgment
or discretion. Nevertheless, BISL may use expert judgment or discretion with regards to the following:● 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 Indices and internal procedures manuals. In certain circumstances exercises ofexpert judgment or discretion are reviewed by senior members of BISL management and Bloomberg Compliance teams, and arereported to the Product, Risk & Operations Committee (PROC), BISL’s governance committee, which operates under thesupervision of BISL’s oversight function, the Benchmark Oversight Committee (BOC). BISL also maintains and enforces 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.

Data providers and data extrapolation
The Index is rules-based, and its construction is designed to consistently produce Index levels without the exercise of discretion.
The Indices are produced without the interpolation or extrapolation of input data.
In addition, BISL seeks to avoid contributions of input data that may be subject to the discretion of the source of such dataand instead seeks to use input data that is readily available and/or distributed for a number of non-index or benchmark creation
purposes. Accordingly, the index requires no 'contributors' to produce and no codes of conduct with any such sources
are required.

Conflicts of interest
The Index confers on BISL discretion in making certain determinations, calculations and corrections from time to time. In making
those determinations, calculations and corrections, the Index Administrator has no obligation to take the needs of any Product
Investor or any other party into consideration. BISL is committed to avoiding and, where necessary, managing actual or potential
conflicts of interest in the BISL decision-making process and has established a Conflicts of Interest Policy to minimise or resolve
actual or potential conflicts of interest. BISL does not create, trade or market Products.

Restatement policy
BISL strives to provide accurate calculation of its indices. However, to the extent a material error in Index Values is uncovered
following publication and dissemination, a public notification will be made alerting of such error and what course of action will be
undertaken and when. In such situations, BISL may decide to:1) Not correct until the next index review;2) Apply a correction going forward with advance notification; or
3) Restate the historical indices
In some cases, BISL may apply discretion and determine that a restatement is required. The decision will take into consideration thefollowing factors (not listed in order of importance):
•
•
•
•
•
•

The relative importance of the data field impacted by the error
Whether the indices were replicable
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

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The burden of restatement on client re-processing relative to the impact of the error
The impact of the restatement on analytical tools

A decision to restate any Index results in the restatement of all impacted Indices. Real-time indices are not considered forrestatement, all real-time dissemination is considered indicative. Discrepancies discovered after 12 months will not be corrected.

Bloomberg Spot FX Index Family Methodology

10Bloomberg Spot FX Index Family

March 7, 2023

Appendix I: Glossary
Adopted From Date

The date on which such Eurozone state adopted the euro (EUR) as its National Currency.

Base Currency

The first currency stated in a currency pair quote.

Currency

A medium of exchange for goods and services.

Eligible Currencies

The set of Currencies selected for each Index.

Determination Date

The day the Index calculates the new weights.

Direction

Means going ‘long’ (1) or ‘short’ (-1).

Eurozone

A monetary union of 19 of the 27 European Union member states that have adopted the euro (EUR)
as their National Currency.

FX Data Source

The derived FX data for London 4 P.M. FX fixing as defined in the BISL Derived FX Data
Methodology

GDP Data

The final market value of all goods and services rounded to the nearest million produced withinsuch country in the calendar year, if such value is not available for a given country on a
Determination Date, then the last available value shall be used.

GDP Data Source

The source used for GDP Data.

GDP Data Reference Date

The latest date that the GDP Data gets referenced.

GDP Data Snapshot Date

The date for which the GDP Data, as of the GDP Data Reference Date, is taken as a snapshot.

Index Base Date

The first date on which an Index has a value

Index Business Day

A weekday.

Index Commencement Date The date such Index is first made available on the relevant Bloomberg Page.
Index Currency

The currency such Index is represented in.

Index Value

The value of the Index calculated in accordance with the methodology.

Liquidity Currency

The Currency that is an element of the Liquidity Universe Currencies, and is also not an element of
the set of Pegged Currencies.

Liquidity Data

The daily average of the over-the-counter foreign exchange turnover of a currency, quoted as apercentage share.

Liquidity Data Source

The source used for Liquidity Data.

Liquidity Data Reference
Date

The latest date that the Liquidity Data gets referenced.

Liquidity Data Snapshot
Date

The date for which the Liquidity Data, as of the Liquidity Data Reference Date, is taken as asnapshot.

Liquidity Ranking Position

The ranking position of the Liquidity Currency.

Liquidity Universe
Currencies

The universe of currencies from the Liquidity Data Source.

Liquidity Weight

The percentage weight of the Liquidity Currency.

Pegged Currencies

Currencies that are pegged to the US Dollar, as listed on PEG <GO>.

Quote Currency

The second currency stated in a currency pair quote.

Rebalance Date

The day the Index gets rebalanced.

RegionA region that groups countries into business regions like EMEA (Europe, Middle East and Africa),
NA (North America), LATAM (Latin America) and APAC (Asia-Pacific).

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Selected Currencies

The set of Currencies that are included in the calculation of the Trade Weight and Liquidity Weight.

Spot Exchange Rate

The spot rate for a Base Currency against the Quote Currency from the FX Data Source.

Trade Currency

The Currency that is an element of the Trade Universe Currencies, and is also not an element of theset of Pegged Currencies.

Trade Data

The trade weight of a Currency in the broad index of the foreign exchange value of the Dollar.

Trade Data Source

The source used for Trade Data.

Trade Data Reference Date

The latest date that the Trade Data gets referenced.

Trade Data Snapshot Date

The date for which the Trade Data, as of the Trade Data Reference Date, is taken as a snapshot.

Trade Ranking Position

The ranking position of the Trade Currency.

Trade Universe Currencies

The universe of currencies from the Trade Data Source.

Trade Weight

The percentage weight of the Trade Currency.

Weighting

The weighting method for the Index.

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March 7, 2023

Appendix II: ESG Disclosures

EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE KEY ELEMENTS OF THE
BENCHMARK METHODOLOGY
1. Name of the benchmark administrator.

Bloomberg Index Services Limited (“BISL”)

2. Type of benchmark

FX

3. Name of the benchmark or family of benchmarks.

Bloomberg Spot FX Index Family

4. Does the benchmark methodology for thebenchmark or family of benchmarks take into accountESG factors?

No

5. Where the response to Item 4 is positive, please list below, for each family of benchmarks, those ESG factorsthat are taken into account in the benchmark methodology, taking into account the ESG factors listed in Annex II
to Delegated Regulation (EU) 2020/1816.
Please explain how those ESG factors are used for the selection, weighting or exclusion of underlying assets.
The ESG factors shall be disclosed at an aggregated weighted average value at the level of the family ofbenchmarks.
a) List of environmental factors considered:
Selection, weighting or exclusion:b) List of social factors considered:

Selection, weighting or exclusion:c) List of governance factors considered:

Selection, weighting or exclusion:

6. Where the response to Item 4 is positive, please list below, for each benchmark, those ESG factors that are
taken into account in the benchmark methodology, taking into account the ESG factors listed in Annex II to
Delegated Regulation (EU) 2020/1816, depending on the relevant underlying asset concerned.
Please explain how those ESG factors are used for the selection, weighting or exclusion of underlying assets.
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.
Alternatively, all of this information may be provided in the form of a hyperlink to a website of the benchmark
administrator included in this explanation. The information on the website shall be easily available andaccessible. Benchmark administrators shall ensure that information published on their website remains
available for five yearsa) List of environmental factors considered:

Selection, weighting or exclusion:b) List of social factors considered:

Selection, weighting or exclusion:c) List of governance factors considered:

Selection, weighting or exclusion:

Bloomberg Spot FX Index Family Methodology

13

Bloomberg Spot FX Index Family

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7. Data and standards used.
a) Data input.

N/A(i) Describe whether the data are reported, modelledor, sourced internally or externally.

(ii) Where the data are reported, modelled or sourced
externally, please name the third party data provider.
b) Verification of data and guaranteeing the quality of
those data.

N/A

Describe how data are verified and how the quality of
those data is ensured.
c) Reference standards

N/A

Describe the international standards used in thebenchmark methodology.
Date on which information has been last updated
and reason for the update:

Bloomberg Spot FX Index Family Methodology

7 March 2023, initial launch.

14

Bloomberg Spot FX Index Family

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