Bloomberg
Index Services
LimitedBenchmark Statement for
Bloomberg Currency 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 Currency Indices (collectively, the “Indices” and each, an “Index”) andis intended to meet the requirements of the European Union’s regulation on indices used as benchmarks in financial
instruments and financial contracts or to measure the performance of investment funds (Regulation (EU) 2016/1011 of theEuropean Parliament and of the Council of 8 June 2016, herein the “BMR”), including the regulatory technical standards(“RTS”) promulgated thereunder, as and to the extent the EU BMR and related RTS were “on-shored” in the UK from 1
January 2021 (the “BMR”).
Requirement[Regulatory
Reference](1)

Benchmark Family Information

Generaldisclosure
requirements
The benchmark
statement shallstate:

Date of publication:
31 October 2019
Date of last update:July 22, 2022(a) the date of
publication of
the statement
and, whereapplicable, thedate of its last
update;(b) where
available, theinternational
securities
identification
number (ISIN)of thebenchmark or
benchmarks;
alternatively, fora family ofbenchmarks,
the statement
may provide
details of where
the ISINs are
publicly
accessible freeof charge;(c) whether thebenchmark, or
any benchmark
in the family ofbenchmarks, isdeterminedusing
contributions of
input data;

BISL does not assign ISINs to all of the Indices.
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 withregard 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.

The Indices do not utilize contributions of input data.

Global Family of Indices2

Bloomberg Index Services Limited(d) whether thebenchmark or
any benchmark
in the family ofbenchmarks
qualifies as oneof the types ofbenchmarks
listed under
Title III ofRegulation (EU)2016/1011,
including thespecific
provision by
virtue of which
the benchmark
qualifies as thattype.

A Bloomberg Professional Services offering

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 ‘criticalbenchmarks’ or ‘significant benchmarks’ as those terms are defined in the BMR. All of the
Indices would be deemed ‘non-significant’.

[RTS 1(1)](2)

The benchmark
statement shallclearly andunambiguously
define the market
or economic reality
measured by the
benchmark and thecircumstances inwhich suchmeasurement may
become unreliable.

Market or economic reality measured by the benchmark family:
The Bloomberg Currency Indices offer Bloomberg Dollar, Bloomberg British Pound andBloomberg Euro Indices. The Indices reflect performance against both developed andemerging market currencies that have the highest liquidity in the currency markets and thebiggest trade flows with the given country. The Indices have dynamically updated
compositions and diversified representations of a breadth of currencies that are importantfrom trade and liquidity perspectives. In this way, the Indices differ from more traditional
currency indices that do not update their compositions or are comprised of only a handful ofcurrencies with concentrated weights.

[BMR 27(1)(a)]Participants in the foreign exchange (FX) markets underlying the Indices include central
banks and national governments, banks and other financial institutions, corporates engaged
in hedging activities and speculative traders. The FX market trades approximately $5 trillion
per day. The US Dollar, Euro and British Pound represent the first, second and fourth largest
components of such market on a volume basis.

In defining themarket oreconomic reality,
the benchmark
statement shall
include at least thefollowing
information:

Further breakdowns of sub-components and associated fact sheets may be found here or byentering INP <GO> on the Bloomberg Terminal® and selecting “Fact Sheets”.

(a) a generaldescription of themarket oreconomic reality.
(b) thegeographicalboundaries, if any,of the market or
economic reality;(c) any otherinformation that

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the administrator
reasonably
considers to be
relevant or usefulto help users or
potential users of
the benchmark tounderstand therelevant features ofthe market or
economic reality,
including at least
the following
elements insofar as
reliable data on
these elements isavailable:(i) informationon actual or
potential
participants inthe market;(ii) an indicationof the size ofthe market or
economic
reality.
[RTS 1(2)](3)

In defining thepotential
limitations of thebenchmark and thecircumstances inwhich themeasurement of
the market or
economic reality
may become
unreliable, thebenchmarkstatement shall
include at least:(a) a description of
the circumstancesin which theadministrator
would lacksufficient input
data to determine
the benchmark inaccordance withthe methodology;(b) where relevant,a description of

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 inits usefulness to such design and calculation.
Markets can be volatile, including those market interests which the Indices intend to measure.
For example, illiquidity can have an impact on the quality or amount of data available to BISL
(or its underlying sources of data) for calculation and may cause the Indices to produce
unpredictable or unanticipated 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, FX markets are subject to a variety of risks and potential limitations, including thewidespread use of leverage in FX trading, political risk associated with governments
controlling (or attempting to control) the value of their currencies, appreciation/devaluation
risks and interest rate risk.
Other than as set forth in the methodology for the Indices available, there are no minimum
liquidity requirements for Index constituents and/or minimum requirements or standards forthe quantity or quality of the input data.
For end-of-day pricing levels, if the BFIX is unavailable during market holidays or unforeseen
events, currencies in the Indices will be priced by using the prior day’s values. On each dayprior to publication of such end-of-day pricing levels, Index managers with knowledge ofcurrency instruments review inputs to the index calculations such as pricing, and outputs

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instances when theaccuracy andreliability of themethodology used
for determining thebenchmark can nolonger be ensured,
such as when theadministrator
deems the liquidity
in the underlying
market as
insufficient;

A Bloomberg Professional Services offering(including error reports), before they are disseminated to clients. This ensures the quality of
the Indices and provides a final sign-off of all data by an Index manager before it reaches ourclients. For intraday pricing levels, if the BGN is unavailable for a particular currency, currencies
in the Bloomberg Currency Indices will be priced using CMFN. For more information on input
data (pricing) see row (10) below.

(c) any otherinformation thatthe administrator
reasonably
considers to be
relevant or usefulto help users andpotential users tounderstand thecircumstances inwhich themeasurement of
the market or
economic reality
may become
unreliable,
including adescription of whatmight constitute an
exceptional market
event.
[RTS 1(3)](4)

The benchmark
statement shall lay
down technicalspecifications thatclearly andunambiguously
identify theelements of thecalculation of thebenchmark in
relation to which
discretion may be
exercised, thecriteria applicableto the exercise ofsuch discretion andthe position of thepersons that can
exercise discretion,and how suchdiscretion may be

The Indices are rules-based, and their 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 Indicesand internal procedures manuals. In certain circumstances exercises of expert judgment or
discretion are reviewed by senior members of BISL management and Bloomberg Complianceteams, and are reported to the Product, Risk & Oversight Committee (PROC), BISL’s
governance committee, which operates under the supervision of BISL’s oversight function, theBenchmark Oversight Committee (BOC). BISL also maintains and enforces a code of ethics toprevent conflicts of interest from inappropriately influencing index construction, production,and distribution, including the use of expert judgment or discretion.

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subsequently
evaluated.
[BMR 27(1)(b)]In specifying thecontrols and rulesthat govern any
exercise ofjudgement or
discretion by theadministrator or
any contributors incalculating thebenchmark or
benchmarks, thebenchmarkstatement shall
include an outlineof each step of theprocess for any ex
post evaluation of
the use of
discretion, together
with a clear
indication of theposition of any
person(s)responsible forcarrying out theevaluations.
[RTS 1(4)](5)

A benchmark
statement shallcontain at least therationale for
adopting thebenchmarkmethodology andprocedures for thereview andapproval of themethodology.

The Indices reflect performance against both developed and emerging market currencies thathave the highest liquidity in the currency markets and the biggest trade flows with the given
country. The Indices have dynamically updated compositions and diversified representationsof a breadth of currencies that are important from trade and liquidity perspectives. In this way,
the Indices differ from more traditional currency indices that do not update their compositions
or are comprised of only a handful of currencies with concentrated weights.
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 align with theirstated objective. More frequent reviews may result from extreme market events and/or materialchanges to the applicable underlying market interests.

[BMR27(2)(b)]In specifying theprocedures forreview of themethodology, thebenchmarkstatement shall at
least outline theprocedures for
public consultation
on any materialchanges 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 that a
price may be supplied for such constituent(s).
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 the quantity 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.

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Bloomberg Index Services Limited[RTS 1(5)]A Bloomberg Professional Services offering

Any resulting change to the 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.
Material changes related to the Indices will be made available in advance to affectedstakeholders whose input will be solicited. The stakeholder engagement will set forth therationale for any proposed changes as well as the timeframe and 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 a significant operational impact on
stakeholders, this period may be longer. But in the event of exigent market circumstances, thisperiod may be shorter. Subject to requests for confidentiality, 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 for terminatingsuch Discontinued Indices is as follows:
The PROC will review proposed terminations, taking into account the reasons for termination,
the impact on users (if any), the availability of alternative products and other such factors. If
termination is approved, 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 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 suchbenchmark during such period (for example, BISL has access to requisite data on commerciallyreasonable 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 to review by BISL's oversight function, the BOC.

(6)

The benchmark
statement shallprovide notice ofthe possibility thatfactors, including
external factors
beyond the controlof theadministrator, may
necessitatechanges to, or the
cessation of thebenchmark.

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 theliquidity of underlying constituents of the Indices. In addition, regulatory changes can adversely
impact the effectiveness of methodology design.

[BMR 27(1)(c)]Global Family of Indices7

Bloomberg Index Services Limited(7)

The benchmark
statement shalladvise users thatchanges to, or the
cessation of, thebenchmark may
have an impact
upon the financial
contracts andfinancial
instruments thatreference thebenchmark or themeasurement of
the performance ofinvestment funds.

A Bloomberg Professional Services offering

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 cessationof the Indices or components thereof, including the potential need to terminate or modify theterms of a financial product resulting from the termination of the calculation of one or more of
the Indices.

[BMR 27(1)(d)](8)

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

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 thebenchmarkstatement for eachbenchmark or
family ofbenchmarks in theevent of any
changes to theinformation to beprovided under this
Article and at least
every two years.

BISL 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.

[BMR 27(1)]In addition to thecases referred to in
the third
subparagraph of
Article 27(1) ofRegulation (EU)2016/1011, an
update of thebenchmarkstatement shall be
required whenever
the information

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A Bloomberg Professional Services offering

contained in thestatement ceases
to be correct or
sufficiently precise,and including inany event in thefollowing cases:(a) whenever there
is a change in thetype of thebenchmark;(b) whenever there
is a materialchange in themethodology used
for determining thebenchmark or, if
the benchmark
statement is for afamily ofbenchmarks, in themethodology used
for determining
any benchmark
within the family ofbenchmarks.

[RTS 6](10) A benchmark
statement shallcontain at least thecriteria andprocedures used todetermine thebenchmark,including adescription of the
input data, thepriority given todifferent types of
input data, theminimum dataneeded todetermine abenchmark, the useof any models or
methods ofextrapolation andany procedure forrebalancing theconstituents of abenchmark's index.
[BMR 27(2)(c)]Constituent Selection
A number of criteria and characteristics are utilized to determine the index eligibility ofparticular currencies among and across the various Indices, discussed below.
Rebalancing
The Indices are rebalanced annually. For the US Dollar Index, the Euro Index and the PoundIndex, the rebalanced target weights are applied after the close of the last trading day in June
At each annual rebalance, the following steps are taken to arrive at the constituent currencies
and their weights:
1.
2.
3.
4.
5.

Identify the top 20 currencies in terms of trading activity versus the underlying
currency.
Identify the top 20 currencies from the Triennial Central Bank Survey of Foreign
Exchange and Derivatives Market Activity.
Build the union of sets of top 10 currencies of both lists after removing currencies
pegged to the underlying currency.
The preliminary index weights are driven by assigning averaging trade weights andliquidity weights to the combined set of currencies.
The final index weights1 are derived by:a.

Capping the exposure of Chinese renminbi at 7% for the Bloomberg Dollar
Index and 3% for the Euro and the Pound indices, and distributing its weight toother currencies in proportion to the average weight determined in step 4.

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Bloomberg Index Services Limited

A Bloomberg Professional Services offeringb. Removing smaller currency positions, defined as any position that has a weight ofless than 2%, and distributing its weight to other currencies in proportion to theaverage weight determined in step 5.a., above.
1 Note that Russian Ruble (RUB) is no longer eligible for Bloomberg Currency Index family, and Bloomberg

Dollar Inverse Total Return Index (Bloomberg Ticker: BBDXI) is planned to be discontinued on August 26,
2022

Pricing
For end-of-day spot price levels, the New York 4:00 pm BFIX is used to arrive at the closing
values. “BFIX” refers to Bloomberg’s family of daily currency fixing rates generated throughout
the trading day at fixed, half-hourly intervals.
For more information on BFIX and its methodology, see here:
http://www.bloomberg.com/notices/content/uploads/sites/3/2016/04/bfix_methodology.pdf.
The intraday price levels for the Indices are determined primarily by using the BGN. Moreinformation regarding the BGN, including its inputs and algorithms, is available in the BFIX
methodology document linked above.
For greater detail regarding the criteria and procedures used to determine the Indices, pleaserefer to the publicly-available methodology for the Indices available here.
(11)

A benchmark
statement shallcontain at least thecontrols and rulesthat govern any
exercise ofjudgement or
discretion by theadministrator or
any contributors, toensure consistency
in the use of suchjudgement or
discretion.
[BMR27(2)(d)]The Indices are rules-based, and their 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 Indicesand internal procedures manuals. In certain circumstances exercises of expert judgment or
discretion are reviewed by senior members of BISL management and Bloomberg Complianceteams, and are reported to the Product, Risk & Oversight Committee (PROC), BISL’s
governance committee, which operates under the supervision of BISL’s oversight function, theBenchmark Oversight Committee (BOC). BISL also maintains and enforces a code of ethics toprevent conflicts of interest from inappropriately influencing index construction, production,and distribution, including the use of expert judgment or discretion.

For the purpose ofprovidinginformation on thecontrols and rulesthat govern any
exercise of
judgment or
discretion in thecalculation of thebenchmark or of
the family ofbenchmarks, thebenchmarkstatement shall at
least:

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Bloomberg Index Services Limited

A Bloomberg Professional Services offering(a) indicate theposition of eachfunction or body
who may exercise
discretion;(b) outline eachstep of the ex-post
evaluation process
for the use of
discretion.
[RTS 27(1)(4)](12) A benchmark
statement shallcontain at least theprocedures whichgovern thedetermination of
the benchmark inperiods of stress or
periods wheretransaction data
sources may beinsufficient,inaccurate or
unreliable and thepotential limitationsof the benchmark
in such periods.

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

[BMR 27(2)(e)](13) A benchmark
statement shallcontain at least theprocedures for
dealing with errors
in input data or in
the determinationof the benchmark,including when are-determination of
the benchmark is
required.

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 and the
expected date of a revised publication, if warranted. BISL considers the following factors todetermine 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 the circumstances of
the given error.







[BMR 27(2)(f)](14) A benchmark
statement shallcontain at least theidentification ofpotential limitationsof the benchmark,including its
operation in illiquid

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.

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or fragmented
markets and thepossibleconcentration of
inputs.
[BMR 27(2)(g)](15) Specificdisclosure
requirements forregulated data
benchmarks.

Not applicable.

In addition to theinformation to be
included pursuant
to Article 1, for aregulated-databenchmark or,
where applicable,family of regulateddata benchmarks,
the benchmark
statement shallstate at least thefollowing 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) ofRegulation (EU)2016/1011.
[RTS 2](16) Specificdisclosure
requirements forinterest ratebenchmarks

Not applicable.

1. In addition to theinformation to be
included pursuant
to Article 1, for aninterest ratebenchmark or,
where applicable,family of interest
rate benchmarks,
the benchmark

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statement shall
include at least thefollowing
information:(a) a reference
alerting users to theadditional
regulatory regime
applicable tointerest ratebenchmarks under
Annex I to
Regulation (EU)2016/1011;(b) a description of
the arrangementsthat have been put
in place to comply
with that Annex.
[RTS 3](17)

Specific
disclosure
requirements forcommodity
benchmarks

Not applicable.

In addition to theinformation to be
included pursuant
to Article 1, for acommodity
benchmark or,
where applicable,family ofcommodity
benchmarks, thebenchmarkstatement shall at
least:(a) indicate whether
the requirements ofTitle II of, or Annex
II to, Regulation(EU) 2016/1011
apply to thebenchmark, orfamily ofbenchmarks asprescribed by
Article 19 of that
Regulation;(b) include an
explanation as towhy Title II of or, as

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the case may be,
Annex II to that
Regulation applies;(c) include in thedefinitions of key
terms a concise
description of thecriteria that define
the relevant
underlying physicalcommodity;(d) where
applicable, indicate
where theexplanations are
published that theadministrator isrequired to publish
under paragraph 7of Annex II to that
Regulation.
[RTS 4](18) Specific disclosure
requirements forcriticalbenchmarks

Not applicable.

In addition to theinformation to be
included pursuant
to Article 1, for a
critical benchmark,or, where
applicable, a familyof benchmarks that
contains at least
one criticalbenchmark, thebenchmarkstatement shall
include at least thefollowing
information:(a) a reference
alerting users to
the enhanced
regulatory regime
applicable tocritical benchmarks
under Regulation(EU) 2016/1011;(b) a statement
indicating how
users will be

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informed of any
delay in the
publication of thebenchmark or of
any redetermination of
the benchmark,and indicating the(expected)
duration of
measures.
[RTS 5]Global Family of Indices15

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BLOOMBERG, BLOOMBERG INDICES and the Bloomberg Currency Indices (the “Indices”) are trademarks or service marksof Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited, theadministrator of the Indices (collectively, “Bloomberg”) or Bloomberg's licensors own all proprietary rights in the Indices.
Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Indices.
Bloomberg makes no warranty, express or implied, as to the Indices or any data or values relating thereto or results to beobtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose withrespect thereto. It is not possible to invest 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 inconnection 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 than financial product advice. Nothing in the Indices shallconstitute 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 enter or 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 byBloomberg. Data and other information available via the Indices should not be considered as information sufficient uponwhich to base an investment decision. All information provided by the Indices is impersonal and not tailored to the needs ofany person, entity or group of persons. Bloomberg does not express an opinion on the future or expected value 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. © 2022 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 byBloomberg 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 the jurisdictions serviced by Bloomberg’s Singapore office, where a subsidiary of BFLP distributes theseproducts.

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Annex 1 – Climate-Related Disclosures
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE
BENCHMARK STATEMENTSECTION 1 – CONSIDERATION OF ESG FACTORS
Item 1. Name of the benchmark
administrator.
Item 2. Type of benchmark or family ofbenchmarks.

Bloomberg Index Services Limited

Other Benchmarks

Item 3. Name of the benchmark or family Bloomberg Currency Indicesof benchmarks.
Item 4. Are there in the portfolio of thebenchmark administrator any EU
Climate Transition Benchmarks, EU
Paris-aligned Benchmarks, benchmarksthat pursue ESG objectives orbenchmarks 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 ofbenchmarks.
a) List of combined ESG factors:

Details on each ESG factor: N/Ab) List of environmental factors:

Details on each ESG factor: N/Ac) List of social factors:

Details on each ESG factor: N/Ad) List of governance factors:

Details on each ESG factor: N/A

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,
depending on 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 andaccessible. 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:

Details on each ESG factor: N/Ab) List of environmental factors:

Details on each ESG factor: N/A

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A Bloomberg Professional Services offeringc) List of social factors:

Details on each ESG factor: N/Ad) List of governance factors:

Details on each ESG factor: N/A

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

N/A

Item 8. Data and standards used.
a) Description of data sources used toprovide information on the ESG factors inthe benchmark statement.

N/A

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.

N/A

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

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;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;c)overlap between those benchmarks
and their investable universe, as
defined in Article 1, point (e), of
Commission DelegatedRegulation

N/A

N/A

N/A

(EU) 2020/1818, using the active
share at asset level.
SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARISAGREEMENT
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 eachbenchmark, or where applicable, the family of benchmarks, disclose the following information:

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

A Bloomberg Professional Services offeringNo

Not applicable. The benchmark is not aligned with the target ofb) the temperature scenario, in
reducing carbon emissions or the attainment of the objectives of theaccordance with international
Paris Agreement and therefore no temperature scenario is used.
standards, used for the alignment
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 noc) the name of the provider of thetemperature scenario is used.
temperature scenario used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of theParis Agreement;d) the methodology used for themeasurement of the alignment
with the 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 tomeasure alignment with a temperature scenario as no temperature
scenario is used
Not applicable. There is no temperature scenario used.

28 January 2022. Update of Section 3 disclosures.

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Bloomberg Index Services Limited

A Bloomberg Professional Services offering

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