Bloomberg Fixed Income Indices

April 5, 2024

BISL Derived FX Data
Methodology
April, 2024

Bloomberg Global Equity Paris-Aligned Index Methodology

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BISL Derived FX Data Methodology

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Table of contents
Introduction

3

Section 1: Calculation

3

Outright Forward rates (against U.S. Dollar)

3

Crossing between two non-U.S. Dollar Currency Pairs

4

Spot Settlement Date5

Weekly Tenor Settlement Dates

5

Monthly Tenor Settlement Dates

5

Yearly Tenor Settlement Dates

6

Section 2: Backtest assumptions

7

Appendix I: Glossary

8

Appendix II: Currency Information

9

Change Log

14

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Introduction
This document describes the methodology for calculating the derived FX rates, and corresponding settlement dates, for use incertain Bloomberg indices.
Historically, non-U.S. Dollar Currency Pairs have developed liquidity later than U.S. Dollar ones. As a result, limited history isavailable for direct quotes between non-U.S. Dollar Currency Pairs across a significant number of currencies. This is an importantconsideration when a significant number of non-U.S. Dollar Currency Pairs are required for the local currency or hedged versions ofbroad Equity and Fixed Income benchmarks spanning many local markets. By deriving non-U.S. Dollar FX rates from rates against
the U.S. Dollar as a common denominator this methodology aims to provide both coverage and consistency across a wide range of
non-U.S. Dollar Currency Pairs and tenors.
This methodology follows the following principles:
FX rates are expressed as spot or outright forward rates
FX forward rates are typically quoted in either points (to be added to the Spot Rate) or as an outright forward rate. The
methodology first converts any input rates expressed in points into an outright forward rate, and all subsequent operations are
performed on outright forward rates.

Non-U.S. Dollar rates are derived by crossing through U.S. Dollar rates
FX Spot rates for Currency Pairs not including the U.S. Dollar (as either Base or Quote currency) are derived by crossing the rates ofeach currency against the U.S. Dollar. The absence of broadly agreed standards for currency quote conventions produces adifferentiated set of primary Currency Pairs between regions. Under the assumption of a commonly adopted order of preference1
for the Base Currency, we consider the Primary Quotes Conventions involving the U.S. Dollar to be where USD is the Base
Currency, except for EURUSD, GBPUSD, AUDUSD and NZDUSD, where it is the Quote Currency. The resulting cross rate is
produced in the quote convention required dependent on usage.

Settlement Dates are based on crossing through U.S. Dollar
The settlement date corresponding to each U.S. Dollar rate is determined according to the methodology presented in thisdocument. Settlement dates for non-U.S. Dollar rates are taken to be the later of the two settlement dates for each currency against
the U.S. Dollar.

Historic data sources are switched consistently
To provide historical FX rates required for index calculation, the input data sources switch over time dependent on availability ofthe preferred sources. The timing of the data source switches is dependent on usage. Where only spot is required for currencytranslation, the switch is made dependent only on Spot Rate availability. Where the forward curve is required, the switch isdependent on the availability of both spot and 1M rates. The switch dates for each case are provided in Table 3 (‘FX Data Sources’)in Appendix II. At the time of a switch, as the timing for forward curve usage is based on the availability of data for spot and 1M
tenors, there may be other tenors for which there is data on the previous source but not yet on the updated source. In such cases,
there may be periods for such tenors where rates are not available immediately post-switch despite being available pre-switch.

Section 1: Calculation
Outright Forward rates (against U.S. Dollar)
Typically, forward FX rates for deliverable and Latin American currencies are quoted in points, whereas those for (non-Latin
American) NDF currencies are quoted as outright rates. The outright forward rates for currencies quoted in points are determined
as follows:

1

EUR, GBP, AUD, NZD, USD, CAD, CHF, JPY

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𝑐𝑐𝑦,𝑇𝑒𝑛𝑜𝑟

𝑐𝑐𝑦,𝑇𝑒𝑛𝑜𝑟
𝑐𝑐𝑦
𝑂𝑢𝑡𝐹𝑤𝑑〈𝑡,𝑠〉= 𝑆𝑝𝑜𝑡〈𝑡,𝑠〉 + (𝑃𝑜𝑖𝑛𝑡𝑠〈𝑡,𝑠〉𝐷𝑖𝑣𝑖𝑠𝑜𝑟 𝑐𝑐𝑦)

Where:
𝑐𝑐𝑦 means the Currency crossed against the U.S. Dollar;
𝑇𝑒𝑛𝑜𝑟 means the Tenor of the FX rate;𝑡 means the Date of the quote;𝑠 means the Fixing Time of the quote (if applicable);
𝑐𝑐𝑦,𝑇𝑒𝑛𝑜𝑟

𝑂𝑢𝑡𝐹𝑤𝑑〈𝑡,𝑠〉means, with respect to Currency 𝑐𝑐𝑦 and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate in the Primary Quote
Convention for Date 𝑡 at Fixing Time 𝑠;
𝑐𝑐𝑦

𝑆𝑝𝑜𝑡〈𝑡,𝑠〉 means the Spot Rate in the Primary Quote Convention for Date 𝑡 at Fixing Time 𝑠;
𝑐𝑐𝑦,𝑇𝑒𝑛𝑜𝑟

𝑃𝑜𝑖𝑛𝑡𝑠〈𝑡,𝑠〉means, with respect to Currency 𝑐𝑐𝑦 and Tenor 𝑇𝑒𝑛𝑜𝑟, the Forward Points in the Primary Quote Convention for Date𝑡 at Fixing Time 𝑠; and𝐷𝑖𝑣𝑖𝑠𝑜𝑟 𝑐𝑐𝑦 means, with respect to Currency 𝑐𝑐𝑦, the Divisor.

Crossing between two non-U.S. Dollar Currency Pairs
The input U.S. Dollar Currency Pairs may be quoted with the U.S. Dollar as either the base or Quote Currency, depending on the
primary quotation format. Depending on the required quotation format for the resulting cross rate, the appropriate direct
calculation formula below is used.

For a non-U.S. Dollar Currency Pair with xxx as the Base Currency and yyy as the Quote Currency, the derived cross rate for a given
𝑇𝑒𝑛𝑜𝑟
tenor, date and (if applicable) fixing time, xxxyyy〈𝑡,𝑠〉is calculated in accordance with the following formulae:

𝑇𝑒𝑛𝑜𝑟
If xxxUSD𝑇𝑒𝑛𝑜𝑟
are the primary quotes against the U.S. Dollar:〈𝑡,𝑠〉 and USDyyy〈𝑡,𝑠〉
𝑇𝑒𝑛𝑜𝑟
𝑇𝑒𝑛𝑜𝑟
xxxyyy〈𝑡,𝑠〉= xxxUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉 × USDyyy〈𝑡,𝑠〉𝑇𝑒𝑛𝑜𝑟
If xxxUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉 and yyyUSD〈𝑡,𝑠〉 are both primary quotes against the U.S. Dollar:
𝑇𝑒𝑛𝑜𝑟
xxxyyy〈𝑡,𝑠〉=xxxUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉yyyUSD𝑇𝑒𝑛𝑜𝑟
〈𝑡,𝑠〉

𝑇𝑒𝑛𝑜𝑟
𝑇𝑒𝑛𝑜𝑟
If USDxxx〈𝑡,𝑠〉and USDyyy〈𝑡,𝑠〉are both primary quotes against the U.S. Dollar:
𝑇𝑒𝑛𝑜𝑟
xxxyyy〈𝑡,𝑠〉=𝑇𝑒𝑛𝑜𝑟
USDyyy〈𝑡,𝑠〉xxxUSD𝑇𝑒𝑛𝑜𝑟
〈𝑡,𝑠〉

𝑇𝑒𝑛𝑜𝑟
If USDxxx〈𝑡,𝑠〉and yyyUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉 are both primary quotes against the U.S. Dollar:
𝑇𝑒𝑛𝑜𝑟
xxxyyy〈𝑡,𝑠〉
=

1
𝑇𝑒𝑛𝑜𝑟
USDxxx〈𝑡,𝑠〉× yyyUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉Where:
xxx and yyy are non-U.S. Dollar currencies;
𝑇𝑒𝑛𝑜𝑟 means the Tenor of the FX rate;
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𝑡 means the Date of the quote;𝑠 means the Fixing Time of the quote (if applicable);𝑇𝑒𝑛𝑜𝑟
xxxyyy〈𝑡,𝑠〉means, with respect to Base Currency xxx, Quote Currency yyy and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate for Date𝑡 at Fixing Time 𝑠;xxxUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉 means, with respect to Base Currency xxx, Quote Currency USD and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate forDate 𝑡 at Fixing Time 𝑠;
𝑇𝑒𝑛𝑜𝑟
USDyyy〈𝑡,𝑠〉means, with respect to Base Currency USD, Quote Currency yyy and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate forDate 𝑡 at Fixing Time 𝑠;

yyyUSD𝑇𝑒𝑛𝑜𝑟〈𝑡,𝑠〉 means, with respect to Base Currency yyy, Quote Currency USD and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate forDate 𝑡 at Fixing Time 𝑠; and𝑇𝑒𝑛𝑜𝑟
USDxxx〈𝑡,𝑠〉means, with respect to Base Currency USD, Quote Currency xxx and Tenor 𝑇𝑒𝑛𝑜𝑟, the Outright Forward FX rate forDate 𝑡 at Fixing Time 𝑠.

Spot Settlement Date
For each currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the settlement date for the Spot Rate quoted
against the U.S. Dollar on date T is determined according to the below rule specified under column ‘Spot Rule’. The settlement
date for Spot Rates between two non-U.S. Dollar currencies is taken to be the later of the spot settlement dates for each currency
against the U.S. Dollar.
Spot Rule A: From date T, advance by the Settlement Delay number of Currency Local Weekend Settlement Days. If the resulting
day is not a Common Settlement Day, then advance to the immediately following Common Settlement Day;
Spot Rule B: From date T, advance by the Settlement Delay number of Common Settlement Days;
Spot Rule C: From date T, advance by one (1) Distinct Settlement Business Days, then advance by one (1) Currency Local Weekend
Settlement Day. If the resulting day is not a Common Settlement Day, then advance to the immediately following Common
Settlement Day;
Spot Rule D: From date T, advance by the Settlement Delay number of Currency Settlement Days. If the resulting day is not a
Common Settlement Day, then advance to the immediately following Common Settlement Day;

Weekly Tenor Settlement Dates
For each currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the settlement date for the weekly tenor
rates (e.g., 1W, 2W, etc.) quoted against the U.S. Dollar on date T is determined according to the below rule. The settlement dates
for weekly tenor rates between two non-U.S. Dollar currencies is taken to be the later of the weekly tenor settlement dates for eachcurrency against the U.S. Dollar.
Weekly Rule: Determine the Spot Settlement Date for day T, then:1.

Multiply the number of weeks specified by the tenor by 7 (seven) and add this number of days to the Spot Settlement Date.

2.

If the selected date is not a Common Settlement Day, select the next Common Settlement Day.

Monthly Tenor Settlement Dates
For each currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the settlement date for the monthly tenor
rates (e.g., 1M, 2M, etc.) quoted against the U.S. Dollar on date T is determined according to the below rule specified under column‘Tenor Rule’. The settlement dates for monthly tenor rates between two non-U.S. Dollar currencies is taken to be the later of themonthly tenor settlement dates for each currency against the U.S. Dollar respectively.
Month Rule A: Determine the Spot Settlement Date for day T. If the Spot Settlement Date is not the last Common Settlement Dayof the month, then:1.

Add the number of months specified by the monthly tenor to the Spot Settlement Date, keeping the same day of themonth. If there are not enough days in the target month, then select the last day of the month.

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If the selected date is not a Common Settlement Day, roll forward using a Modified Following Convention, to the next
Common Settlement Day.

Else, (where the Spot Settlement Date is the last Common Settlement Day of the month,) select the last Common Settlement Day of
the resulting month that is the number of months specified by the monthly tenor following the month of the Spot Settlement Date.
(This is commonly referred to as the END-END rule, or month end preservation rule.)Month Rule B: Determine the Spot Settlement Date for day T, then:1.

Add the number of months specified by the monthly tenor to the Spot Settlement Date, keeping the same day of themonth. If there are not enough days in the target month, then select the last day of the month.

2.

If the selected date is not a Common Settlement Day, roll forward using a Modified Following Convention, to the next
Common Settlement Day.

Month Rule C: Follow Rule A, with the added condition that Thursday is not considered to be a Weekend Day (where Thursday
would normally be a Weekend Day for this Currency).

Yearly Tenor Settlement Dates
For each currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the settlement date for the yearly tenor rates(e.g., 1Y, 2Y, etc.) quoted against the U.S. Dollar on date T follows the same rule as the monthly tenor rates specified under column‘Tenor Rule’, by taking each number of years specified by the year tenor multiplied by 12. The settlement dates for yearly tenor rates
between two non-U.S. Dollar currencies is taken to be the later of the yearly tenor settlement dates for each currency against the
U.S. Dollar respectively.

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Section 2: Backtest assumptions
The rules outlined above are applied historically, however the following assumptions have been made:● The calendars listed in Table 1 (‘Settlement Calculation Parameters’) represent the calendars currently used for settlement datecalculations. Where possible, the calendars used historically are used for historic settlement calculations.

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Appendix I: Glossary

Base Currency

The first Currency listed in a Currency Pair. An FX quote is for how many units of the Quote
Currency are required to be exchanged for one unit of the Base Currency.

Common Settlement Day

With respect to a Currency, each Weekday that is both not a Weekend Day for that Currency andnot a holiday with respect to either the Currency Calendar or the U.S. Dollar Calendar.

Currency

A monetary unit.

Currency Calendar

For each Currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the holiday
calendar used for FX settlement date calculations, with Bloomberg calendar code listed undercolumn ‘Calendar Code’.

Currency Local Weekend
Settlement Day

With respect to a Currency, each Weekday that is both not a Weekend Day for that Currency andnot a holiday with respect to the Currency Calendar.

Currency Pair

The two currencies for which an FX rate is quoted where the Currency listed first is the Base
Currency and the other is the Quote Currency.

Currency Settlement Day

With respect to a Currency, each Weekday that is not a holiday with respect to the Currency
Calendar.

Divisor

The scaling factor that quoted Forward Points are divided by.

Fixing TimeThe time of day for which an FX quote is priced.

Forward Points

When divided by the Divisor, the value to be added to a spot rate to determine an Outright Forward
Rate.

Modified Following
Convention

When rolling forward to the next good business day, should this be in the following month, then rollback to the previous good business day.

Outright Forward FX Rate

The exchange rate for delivery in the future for a Currency Pair.

Primary Quote Convention

Currency Pairs where USD is the Base Currency, except for EURUSD, GBPUSD, AUDUSD and
NZDUSD, where it is the Quote Currency.

Quote Currency

The second Currency listed in a Currency Pair. An FX quote is for how many units of the Quote
Currency are required to be exchanged for one unit of the Base Currency.

Settlement Delay

For each Currency listed in Table 1 (‘Settlement Calculation Parameters’) in Appendix II, the numberof days specified under column ‘Settlement Delay’.

Settlement Date

The date on which an FX transaction is due to settle.

Spot Rate

The current exchange rate for a Currency Pair.

Tenor

The standardized length of time to expiry for an FX contract.

Weekday

Monday to Friday, inclusive.

Weekend Day

With respect to a Currency, the days specified in Table 2 (‘Weekends’) in Appendix II for the typespecified under column ‘Weekend Type’ in Table 1 (‘Settlement Calculation Parameters’) in
Appendix II.

U.S. Dollar Calendar

For FX settlement date calculations, the US Federal Reserve holiday calendar, with Bloomberg
calendar code ‘FD’.

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Appendix II: Currency Information
T ABLE 1: S ETTLEMENT C ALCULATION P ARAMETERS
CURRENCY
AED
AUD
BRL
CAD
CHF
CLP
CNH
CNY
COP
CZK
DKK
EGP
EUR
GBP
GEL
HKD
HUF
IDR
ILS
INR
JPY
KRW
KWD
MXN
MYR
NOK
NZD
PEN
PHP
PKR
PLN
QAR
RUB
SAR
SEK
SGD
THB
TRY
TWD
ZAR

CALENDAR CODE
UA
AU
BZ
CA
SZ
CL
C+
C%
CO
Z%
DE
EG
TE
GB
GG
$H
H$
1I
IX
I$
JN
K%
KU
MX
MA
NO
NZ
PE
+P
PK
PD
QA
R$
S+
SW
SI
TH
TU
T+
SA

SETTLEMENT DELAY
2
2
2
1
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
1
2
2
2
1
2
2
2
2
1
2
2

SPOT RULE
D
A
B
A
A
B
A
A
B
A
A
A
A
A
A
A
A
A
C
A
A
A
D
B
A
A
A
B
A
A
A
D
A
D
A
A
A
A
A
A

TENOR RULE
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
A
B
C
A
A
A
A
A
A

WEEKEND TYPE
2
1
1
1
1
1
1
1
1
1
1
3
1
1
1
1
1
1
1
1
1
1
4
1
1
1
1
1
1
1
1
5
1
6
1
1
1
1
1
1

T ABLE 2: W EEKENDS
TYPE
1
2

WEEKENDS
Saturday and Sunday
From (included)

01 January 2007
01 January 2022

BISL Derived FX Data Methodology

To (included)

Weekend Days

31 December 2006

Thursday and Friday

31 December 2021

Friday and Saturday
Saturday and Sunday

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BISL Derived FX Data Methodology

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4

April, 2024

Friday and Saturday
From (included)

01 January 1992

To (included)

Weekend Days

31 December 1991

Sunday and Monday

31 December 2006

Thursday and Friday

01 January 2007

Friday and Saturday

5
From (included)

To (included)

Weekend Days

31 December 2004

Friday01 January 2005

Friday and Saturday

6
From (included)

To (included)

Weekend Days

31 December 2013

Friday01 January 2014

Friday and Saturday

T ABLE 3: FX D ATA S OURCES FOR L ONDON 4PM F IXINGCURRENCY
AED
AED
ARS
ARS
AUD
AUD
BRL
BRL
CAD
CAD
CHF
CHF
CLP
CLP
CNH
CNH
CNY
CNY
COP
COP
CZK
CZK
DKK
DKK
EGP
EGP
EUR
EUR
GBP
GBP

SOURCE
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL

SPOT
01 January 2009
01 January 1998
01 January 2018
01 January 1998
28 February 2007
01 January 1998
09 July 2007
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
02 January 201323 August 201002 July 2007
01 January 1998
13 November 2007
01 January 1998
28 February 2007
01 January 1998
02 January 2008
01 January 1998
26 November 2008
01 December 1998
28 February 200702 January 1998
28 February 2007
01 January 1998

BISL Derived FX Data Methodology

1M
08 May 201706 January 2003

3M

6M

28 August 2007
01 January 199805 December 201102 January 2001
27 August 2007
01 January 1998
27 August 2007
01 January 1998
03 April 201717 April 1998
24 March 2014
26 August 2010
01 May 201711 December 1998
13 August 201203 April 2000
01 April 2015
03 August 1998
01 October 201002 January 1998
10 May 2017
01 January 200927 August 2007
01 January 1999
27 August 2007
01 January 1998

27 August 2007
01 January 199805 December 201102 January 2001
27 August 2007
01 January 1998
27 August 2007
01 January 1998
02 January 2018
01 February 1999
24 March 2014
26 August 2010
01 May 201711 December 1998
01 October 201203 January 2000
01 January 201603 August 1998
03 January 201102 January 1998

27 August 2007
01 January 199805 December 201102 January 2001
27 August 2007
01 January 1998
27 August 2007
01 January 1998
03 April 2017
01 February 1999
24 March 201404 October 2010
01 May 201711 December 1998
13 August 201203 January 2000

27 August 2007
01 January 1999
27 August 2007
01 January 1998

27 August 2007
01 January 1999
27 August 2007
01 January 1998

01 January 200802 January 1998

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BISL Derived FX Data Methodology

GEL
GEL
HKD
HKD
HRK
HRK
HUF
HUF
IDR
IDR
ILS
ILS
INR
INR
JPY
JPY
KRW
KRW
KWD
KWD
MXN
MXN
MYR
MYR
NGN
NGN
NOK
NOK
NZD
NZD
PEN
PEN
PHP
PHP
PKR
PKR
PLN
PLN
QAR
QAR
RON
RON
RUB
RUB
SAR
SAR
SEK
SEK
SGD
SGD
THB
THB
TRY
TRY
TWD
TWD
ZAR
ZAR

BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL
BFIX
BGNL

29 May 2017
01 January 1998
28 February 2007
01 January 1998
01 January 201402 January 1998
09 June 2008
01 January 1998
03 July 2008
01 January 1998
04 August 2008
01 January 1998
22 June 2007
01 January 1998
28 February 2007
01 January 1998
15 April 2008
01 January 1998
23 August 2010
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
01 January 2018
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
03 November 200802 January 1998
02 July 2007
01 January 1998
05 April 2017
01 January 1998
02 July 2007
01 January 1998
15 May 2009
01 January 1998
01 January 2009
01 January 1998
28 February 2007
01 January 1998
13 July 201002 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
02 January 2012
01 January 1998
31 July 2008
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998

BISL Derived FX Data Methodology

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01 January 2015
01 January 1998

01 January 2014
01 January 1998

04 February 2015
01 January 1998

30 July 2012
01 January 2009
01 May 201702 July 2001
01 January 201602 January 2006
01 May 2017
01 February 1999
27 August 2007
01 January 1998
01 May 2017
01 February 1999
14 June 2023
01 December 2008
30 October 2008
01 September 1998
01 May 201714 September 200402 January 2018
01 February 2002
01 May 201702 July 2001
01 January 201602 January 2006
01 May 2017
01 February 1999
27 August 200702 January 1998
01 May 2017
01 February 1999

02 January 2013
01 January 2009
01 May 201702 July 2001
01 January 201602 January 2006
01 May 2017
01 February 1999
27 August 200702 January 1998
01 May 2017
01 February 1999

30 October 2008
01 January 1998
01 May 201714 September 2004

31 October 2008
01 September 1998
01 May 201714 September 2004

27 August 200702 January 1998
27 August 200702 January 1998
17 May 201702 January 2002
01 May 201702 January 2001
14 June 2023
01 February 2023
03 January 2014
21 July 1998
14 June 2023
01 January 2021
08 May 201724 January 2007
03 February 2014
01 March 2005
14 June 2023
01 December 2020
27 August 200702 January 1998
01 January 2015
01 January 1998
01 January 2016
01 January 1998
08 June 200902 January 2002
08 May 2017
01 February 1999
24 February 201102 January 1998

01 January 201502 January 1998
27 August 200702 January 1998

06 January 201502 January 1998
27 August 200702 January 1998

01 May 2017
01 February 1999

01 May 2017
01 January 200903 January 2014
02 July 2001

02 January 2013
21 July 1998

31 July 201702 January 2006

03 January 201711 January 2005

27 August 200702 January 1998
01 January 2016
01 January 1998
01 January 2016
01 January 1998
01 January 201302 January 2002
01 February 2021
02 January 2002
01 September 201102 January 1998

27 August 200702 January 1998
01 January 2016
01 January 1998
01 January 2016
01 January 1998
02 January 201302 January 2002
01 February 2021
02 January 2002
24 February 201102 January 1998

11

BISL Derived FX Data Methodology

April, 2024

T ABLE : FX D ATA S OURCES FOR N EW Y ORK 4PM F IXINGCURRENCY
AED
AED
ARS
ARS
AUD
AUD
BRL
BRL
CAD
CAD
CHF
CHF
CLP
CLP
CNH
CNH
CNY
CNY
COP
COP
CZK
CZK
DKK
DKK
EGP
EGP
EUR
EUR
GBP
GBP
GEL
GEL
HKD
HKD
HRK
HRK
HUF
HUF
IDR
IDR
ILS
ILS
INR
INR
JPY
JPY
KRW
KRW
KWD
KWD
MXN
MXN
MYR
MYR
NGN
NGN
NOK

SOURCE
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX

SPOT

1M

3M

6M

01 January 1998

06 January 2003

28 February 2007
01 January 1998
01 March 2017
01 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998

27 August 2007
01 January 1998
01 March 201702 January 2001
27 August 2007
01 January 1998
01 January 2010
01 January 1998

27 August 2007
01 January 1998
01 March 201702 January 2001
03 January 2011
01 January 1998
27 August 2007
01 January 1998

27 August 2007
01 January 1998
01 March 201702 January 2001
27 August 2007
01 January 1998
27 August 2007
01 January 1998

01 January 1998
01 May 201323 August 2010
13 February 2017
01 January 1998

17 April 1998
01 January 2016
26 August 2010
01 May 201711 December 1998

01 February 1999
02 July 2014
26 August 2010
01 May 201711 December 1998

01 February 1999
02 July 201404 October 2010
01 May 201711 December 1998

01 January 1998
28 February 2007
01 January 1998
01 January 2008
01 January 1998
02 January 201802 January 1998
28 February 200702 January 1998
28 February 2007
01 January 1998

03 January 2000
11 March 2015
03 August 1998
06 October 201002 January 1998
10 May 2017
01 January 200927 August 2007
01 January 1999
27 August 2007
01 January 1998

03 January 2000
01 January 201603 August 1998
03 January 201102 January 1998

03 January 2000

27 August 2007
01 January 1999
01 January 2010
01 January 1998

27 August 2007
01 January 1999
01 January 2014
01 January 1998

28 February 2007
01 January 1998

02 November 2015
01 January 1998

01 January 2014
01 January 1998

02 November 2015
01 January 1998

06 June 2008
01 January 1998
18 April 2016
01 January 1998
03 November 2008
01 January 1998
18 April 2016
01 January 1998
28 February 2007
01 January 1998
18 April 2016
01 January 1998

01 January 201507 January 2002
01 May 201702 July 2001
01 January 201602 January 2006
01 May 2017
01 February 1999
27 August 2007
01 January 1998
01 May 2017
01 February 1999

01 January 2015
01 February 2002
01 May 201702 July 2001
01 January 201602 January 2006
01 May 201702 August 1999
27 August 200702 January 1998
01 May 2017
01 February 1999

01 January 2015
01 January 2009
01 May 201702 July 2001
01 January 201602 January 2006
01 May 2017
01 February 1999
01 August 2013
01 January 1998
01 May 2017
01 February 1999

01 January 1998
13 April 2007
01 January 1998
03 January 2017
01 January 1998

29 October 2008
01 September 1998
01 May 201714 September 2004

29 October 2008
01 September 1998
01 May 201714 September 2004

29 October 2008
01 September 1998
01 May 201714 September 2004

28 February 2007

01 April 2015

01 April 2015

03 February 2015

BISL Derived FX Data Methodology

01 January 201302 January 1998

12

BISL Derived FX Data Methodology

NOK
NZD
NZD
PEN
PEN
PHP
PHP
PKR
PKR
PLN
PLN
QAR
QAR
RON
RON
RUB
RUB
SAR
SAR
SEK
SEK
SGD
SGD
THB
THB
TRY
TRY
TWD
TWD
ZAR
ZAR

BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN
BFIX
BGN

April, 2024

01 January 1998
28 February 2007
01 January 1998

02 January 1998
27 August 200702 January 1998

02 January 1998
27 August 2007
01 January 1998

02 January 1998
27 August 2007
01 January 1998

02 January 1998
18 April 2016
01 January 1998

02 January 2003
01 May 2017
01 February 1999

01 May 2017
01 February 1999

01 May 2017
01 February 1999

02 January 1998
06 August 2008
01 January 199805 January 2015
21 July 199805 January 2015
02 July 200105 January 2015
21 July 1998

01 January 2015
01 January 1998

03 January 2017
01 March 2005

01 January 201502 January 2006

03 January 201711 January 200502 January 1998
28 February 2007
01 January 1998
28 February 2007
01 January 1998
02 January 2012
01 January 1998
02 January 2012
01 January 1998
13 February 2017
01 January 1998
28 February 2007
01 January 1998

03 August 200902 January 1998
01 January 2015
01 January 1998
01 January 2016
01 January 1998
01 January 201602 January 2002
08 May 2017
01 February 1999
01 January 201602 January 1998

01 January 201002 January 1998
01 January 2016
01 January 1998
01 January 2016
01 January 1998
01 January 2016
01 January 200901 February 2021
02 January 2002
01 January 201602 January 1998

27 August 200702 January 1998
01 January 2016
01 January 1998
01 January 2016
01 January 1998
02 March 201502 January 2002
01 February 2021
02 January 2002
04 March 201502 January 1998

01 January 1998

BISL Derived FX Data Methodology

13

BISL Derived FX Data Methodology

April, 2024

Change Log
Version

Reviewer

Review Date

3

Clarinda Tsang

5 April 2024

2

Clarinda Tsang

29 Sep 2022

1

Christopher Houghton

29 July 2022

BISL Derived FX Data Methodology

Comments
Updated with FX Data Sources for New York 4pm Fixing
and additional London 4pm Fixings for KWD, PKR, QAR,
SAR and RON.
Updated with additional tenors and settlement datecalculation, added CNH currency
Launched Derived FX Data Methodology to INP andwebsite14

BISL Derived FX Data Methodology

April, 2024

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