Bloomberg
Index Services
LimitedBenchmark Statement for
Bloomberg Enhanced Roll Yield Index

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 Enhanced Roll Yield Indices (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 in financial
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 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

General disclosure
requirements
The benchmark statement shallstate:(a) the date of publication of
the statement and, whereapplicable, the date of its
last update;(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 free ofcharge;Date of publication:
09 June 2021
Date of last update:
09 June 2021

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 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.

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

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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.
[BMR 27(1)(a)]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 the market
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 featuresof the market or economic
reality, including at least thefollowing elements insofar as
reliable data on these elements
is available:

A Bloomberg Professional Services offering

Market or economic reality measured by the benchmark family:
The Bloomberg Enhanced Roll Yield Index family is a liquid and diversified, andinvestable commodity benchmark. The index is long only and consists of individual
26 commodity futures, holding multiple future contracts (tenors) for eachcommodity. Futures contracts are never taken to delivery, and are instead rolledforward per the index methodology. The index target weights are determinedannually using liquidity, diversification limits, and term structure for each commodity
constituent. The new target weights are applied during the January roll period.

The base Bloomberg Enhanced Roll Yield Indices methodology is available here.

Annex 1 illustrates the coverage of the Indices.
Further breakdowns and associated fact sheets may be found here or by entering
INP <GO> on the Bloomberg Terminal® and selecting “Fact Sheets”.
Participants in the commodity futures market include commercial and/or
institutional commodities producers or commodity consumers (such as
manufacturers) who trade futures as a hedge to maximize the value of their coreassets, and to reduce the risk of financial losses from commodity price movements,
while other participants are commodity speculators and other investors who aim to
profit from such movements.

(i) information on actual or
potential participants in themarket;(ii) an indication of the sizeof the market or economic
reality.
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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, a descriptionof instances when the accuracy
and reliability of themethodology used for
determining the benchmark can
no longer be ensured, such as
when the administrator deems
the liquidity in the underlying
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.
[RTS 1(3)]A Bloomberg Professional Services offering

Benchmark limitations:Though the Indices are designed to be representative of the markets they measureor otherwise align with their stated objective, they may not be representative in every
case or achieve their stated objective in all instances. They are designed andcalculated strictly to follow the rules of 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 commodity market interests which the
Indices intend to measure or upon which the Indices are dependent in order toachieve their stated objective. For example, trading in futures contracts on physicalcommodities, including trading in the Index components, is speculative and can be
extremely volatile. Market prices of the Index components and the underlying
physical commodities may fluctuate rapidly based on numerous factors, includingchanges in supply and demand relationships (whether actual, perceived, anticipated,unanticipated or unrealized); weather; agriculture; trade; fiscal, monetary andexchange control programs; domestic and foreign political and economic eventsand policies; disease; pestilence; technological developments; changes in interest
rates, whether through government action or market movements; and monetary andother government policies, action and inaction.
The current or “spot” prices of the underlying physical commodities may also affect,in a volatile and inconsistent manner, the prices of futures contracts in respect to therelevant commodity. These factors may affect the value of the Indices in varying ways,
and different factors may cause the prices of the Index components, and thevolatilities of their prices, to move in inconsistent directions at inconsistent rates.
In addition, market trends and changes to market structure may render the objectiveof the Index unachievable or to become impractical to replicate by investors.
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.

Unavailable Data and Unexpected Events
Trading in futures contracts on physical commodities, including trading in the Index
components, is speculative and can be extremely volatile. Market prices of the Index
components and the underlying physical commodities may fluctuate rapidly basedon numerous factors, including changes in supply and demand relationships(whether actual, perceived, anticipated, unanticipated or unrealized); weather;agriculture; trade; fiscal, monetary and exchange control programs; domestic andforeign political and economic events and policies; disease; pestilence; technologicaldevelopments; changes in interest rates, whether through government action ormarket movements; and monetary and other government policies, action andinaction. The current or “spot” prices of the underlying physical commodities may
also affect, in a volatile and inconsistent manner, the prices of futures contracts in
respect to the relevant commodity. These factors may affect the value of the Index,
related indices and subindices in varying ways, and different factors may cause theprices of the Index components, and the volatilities of their prices, to move ininconsistent directions at inconsistent rates.
“Market Disruption Event” means (a) the termination or suspension of, or material
limitation or disruption in, the trading of any Lead Future or Next Future used in the

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calculation of the Index on that day, (b) the Settlement Price of any such contractreflects the maximum permitted price change from the previous day’s Settlement
Price, (c) the failure of an exchange or other official source to publish official
Settlement Prices for any such contract, (d) the Settlement Price of any such contract
is at or below zero . The existence of a Market Disruption Event shall be determinedby BISL. If a Market Disruption Event occurs due to an exchange's failure to produce
a settlement price of such futures contract, BISL will use the prior Index Business Day's
settlement price with respect to such Index Commodity.
“Missing Slope” means, a day where a slope cannot be calculated due to “One-Year
Deferred Designated Contract” having a First Trade Date that has not been met yet;or not having no liquidity; or due to holidays and disruptions which prevent the
publication of a Settlement Price for either the Nearby Designated Contract or the“One-Year Deferred Designated Contract”. Where a Commodity has more Missing
Slopes than the Maximum Missing Slopes within the 756 Index Business Days leading
up to the Target Weight Determination Date, then the Average Slope and Slope
Score are set to zero for that respective Commodity and Target Weight Determination
Date.
Where historical data was incomplete or missing (e.g., historical Limit Price Events or
MDEs), the Index Administrator relied on assumptions it believes are reasonable but
could have an effect on hypothetical performance returns. Nothing contained hereinshould be construed as investment advice, either on behalf of a particular security oran overall investment strategy. Past performance is not indicative of future results.

(4)

The benchmark statement shalllay down technical specifications
that clearly and unambiguously
identify the elements of thecalculation of the benchmark in
relation to 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 the benchmark or

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 tothe 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 are reported to the Product, Risk &Oversight Committee (PROC), BISL’s governance committee, which operates under
the supervision of BISL’s oversight function, the Benchmark Oversight Committee(BOC). BISL also maintains and enforces a code of ethics to prevent conflicts ofinterest from inappropriately influencing index construction, production, anddistribution, including the use of expert judgment or discretion.

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benchmarks, the benchmark
statement shall include an
outline of each step of theprocess 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.
[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.
[BMR27(2)(b)]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.
[RTS 1(5)]BISL will review the Indices (both the rules of construction and data inputs) on aperiodic 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 their stated objective. More frequent reviews may result fromextreme market events and/or material changes to the applicable underlying market
interests. 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 andmaterials 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
the rationale for any proposed changes as well as the timeframe and process forresponses. 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 theevent of exigent market circumstances, this period may be shorter. Subject torequests for confidentiality, stakeholder feedback and BISL’s responses will be madeaccessible upon reasonable request.
In determining whether a change to an Index is material, the following factors shallbe taken into account:•••

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 andthe underlying market interest it seeks to measure.

Simple rules corrections that do not functionally change the Indices would notnecessarily be a material change leading to stakeholder engagement. Regardless,
BISL reserves the right to consult with stakeholders on all changes whether or notthey are deemed by BISL to be material, including via it IAC process, discussed below.

Material changes will be reflected and tracked in updated versions of themethodology.

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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 lackof requisite data, insufficient usage, or for other regulatory or practical concerns. The
process for terminating 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 andother such factors. If termination is approved, users will be provided as much priornotice 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 terminatedwith less (or no) notice, as applicable. In the event the Discontinued Indices arelicensed for use as the basis of an ETF or other widely-available financial product oris 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 andcalculating such benchmark during such period (for example, BISL has access torequisite data on commercially reasonable terms, is not subject to any litigation orother 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.

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 and to provide
ideas for new products. IACs are generally constituted on an annual basis. Whilepotential benchmark changes are discussed through this process, all feedback
received is non-binding and all final decisions on benchmark index rules are madeby BISL after the review period has ended.
(6)

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

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 structuralchanges 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 Indicesas the basis of an index-linked financial product or an investment fund, they should
consider the possibility that factors, including external factors, may necessitatechanges to, or the cessation of the Indices or components thereof, including thepotential need to terminate or modify the terms of a financial product resulting fromthe termination of the calculation of one or more of the Indices.

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A Bloomberg Professional Services offering[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
Indices available 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 beprovided under this Article andat least every two years.

BISL shall review this Statement on a periodic basis, at least once every two years, oras otherwise warranted in the event of any material changes to the information
provided herein.

[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, andincluding 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 the benchmark
statement is for a family ofbenchmarks, in themethodology used for
determining any benchmark
within the family of benchmarks.

[RTS 6](10)

A benchmark statement shallcontain at least the criteria andprocedures used to determine
the benchmark, including aConstituent Selection
As described under “Market or economic reality measured by the benchmark family”
in row (2) above, Bloomberg Enhanced Roll Yield Indices provide an equallyweighted exposure to energy and metal commodities.

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description of the input data, thepriority given to different typesof input data, the minimum dataneeded to determine abenchmark, the use of any
models or methods ofextrapolation and any procedure
for rebalancing the constituentsof a benchmark's index.
[BMR 27(2)(c)]A Bloomberg Professional Services offering

Annex 1 illustrates, at a high level, the Indices are segregated and organized.
The Indices hold a long position of 26 commodity futures contracts traded on the
Chicago Mercantile Exchange (CME), London Metals Exchange (LME), and theIntercontinental Exchange (ICE). Please refer to the publicly-available methodology
for the Indices available here.
Rebalancing
Bloomberg Enhanced Roll Yield Index are rebalanced annually during the Januaryroll period. The Indices hold a long positions of multiple contracts (tenors) for 26
commodity futures contracts traded on the Chicago Mercantile Exchange (CME),
London Metals Exchange (LME), and the Intercontinental Exchange (ICE). The
multiple contract weights for each commodity are equally reset on a monthly basis.
To maintain a long position, contracts are ‘rolled’ from the expiring futures contract
to a new contract farther down the futures curve with a longer expiry date. The
composition of the Indices is determined by BISL each year pursuant to theprocedures set forth in the methodology by index managers operating within the
PROC (defined below) governance body under the oversight of the BOC (defined
below) oversight function. Any material deviations or changes from establishedprocedures are subject to review by such bodies. In addition, to the extent
practicable, BISL may solicit stakeholder feedback, including by means of the Index
Advisory Council. Once approved, the new composition of the Index is publicly
announced and takes effect in the month of January immediately following theannouncement.
Pricing
The Indices utilize the official settlement prices provided by the relevant futures
exchanges. In addition, U.S. Treasury Bill prices are required in the determination of
a subset of the Indices.
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.

See row (4) above.

[BMR27(2)(d)]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:

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A Bloomberg Professional Services offering(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
limitations of the benchmark insuch periods.

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

[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 publication anddissemination, a notification will be sent to index owners alerting them of such error
and the expected date of a revised publication, if warranted.
To the extent a material error in Index values is uncovered following its publicationand dissemination, 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 thefollowing factors to determine whether to restate. Not all conditions need to bepresent to warrant a restatement, and certain factors may be more determinative that
others depending on the circumstances of the given error.








(14)

A benchmark statement shallcontain at least the identificationof potential limitations of thebenchmark, including its
operation in illiquid orfragmented 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; andThe impact of the restatement on analytical tools.

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

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Specific disclosure
requirements for regulated
data benchmarks.

A Bloomberg Professional Services offering

Not applicable.

In addition to the information to
be included pursuant to Article 1,
for a regulated-data benchmark
or, where applicable, family of
regulated-data benchmarks, thebenchmark statement shall state
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, where applicable,family of interest ratebenchmarks, the benchmark
statement shall include at least
the following information:(a) a reference alerting users to
the additional regulatory regime
applicable to interest ratebenchmarks 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

Not applicable.

In addition to the information to
be included pursuant to Article 1,

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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 ofbenchmarks as prescribed by
Article 19 of that Regulation;(b) include an explanation as towhy Title II of or, as the case may
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

Not applicable.

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, thebenchmark 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

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delay in the publication of thebenchmark or of any redetermination of thebenchmark, and indicating the(expected) duration of
measures.
[RTS 5]BLOOMBERG, BLOOMBERG INDICES and Bloomberg Enhanced Roll Yield Indices (the “Indices”) are trademarks or service marksof Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited, the administratorof 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
than financial 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
Bloomberg Enhanced Roll Yield Indices
Index TypeIndex Name

Index Ticker

Spot Return

Bloomberg Enhanced Roll Yield Spot Index

BERYSP

Excess Return

Bloomberg Enhanced Roll Yield Excess Return Index

BERY

Total Return

Bloomberg Enhanced Roll Yield Total Return Index

BERYTR

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Annex 2 – Climate-Related Disclosures

CLIMATE -RELATED DISCLOSURESSECTION 1 - CONSIDERATION OF ESG FACTORS(1)Name of the benchmark
administrator.

Bloomberg Index Services Limited(2) Type of benchmark.

Other Benchmarks(3) Name of the benchmark.

Refer to Annex 1(4) Does the benchmark pursue ESG
objectives?

No(5) Where the response to (4) isnegative, is any EU Climate
Transition Benchmark or EU Parisaligned Benchmark available in theportfolio of the benchmark
administrator
or
does
the
benchmark administrator havebenchmarks that pursue ESG
objectives or take into account ESG
factors?

See https://www.bloomberg.com/professional/product/indices/(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 aggregated weighted average value of the benchmark.
(a) List of combined ESG factors: N/A

Details on each ESG factor: N/A(b) List of environmental factors: N/A

Details on each ESG factor: N/A(c) List of social factors: N/A

Details on each ESG factor: N/A(d) List of governance factors: N/A

Details on each ESG factor: N/A(7) Data and standards used.
(a) Description of data sources used toprovide information on the ESG
factorsinthebenchmarkstatement.

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.

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A Bloomberg Professional Services offering

N/A

List the supporting standards used
for the reporting under (6).

SECTION 2 – ADDITIONAL DISCLOSURE REQUIREMENTS(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 using the active share at
asset level.

N/A

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARISAGREEMENT(9) For significant equity benchmarks, significant bond benchmarks, EU Climate Transition
Benchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall also disclose thefollowing information:(a) the temperature scenario, in
accordance with international
standards, used for thealignment with the target of
reducing GHG emissions or theattainment of the objectives of
the Paris Agreement;

N/A(b) the name of the provider of thetemperature scenario used forthe alignment with the target of
reducing GHG emissions or theattainment of the objectives of
the Paris 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 thetemperature scenario used.

N/A

Information updated on:

09 June 2021

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