Refinitiv Convertible IndicesQualified Global Convertible
Monthly Hedged Index
Methodology
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Qualified Global Convertible Monthly Hedged Index Methodology

2Contents
1.

Introduction ..........................................................................................................................................................................42.

Selection method .................................................................................................................................................................43.

Hedging Process ..................................................................................................................................................................4
3.1 Overview ...............................................................................................................................................................................4
3.2 Settlement Date ....................................................................................................................................................................4
3.3 Roll Contracts ........................................................................................................................................................................5
3.4 Rebalance Contracts .............................................................................................................................................................5
3.4.1 Treatment of CNH priced securities ................................................................................................................................5
3.5 Reset Contracts ....................................................................................................................................................................5
3.5.1 Hedge Ratio ....................................................................................................................................................................5
3.5.2 Adjustment Ratio ............................................................................................................................................................53.5.3 Reset Contract Calculation .............................................................................................................................................6
3.6 Forward Contract Set Up Rates ............................................................................................................................................64.

Calculation of Index..............................................................................................................................................................6
4.1 Overview of Calculation Approach ........................................................................................................................................6
4.2 Forward MTM Calculation .....................................................................................................................................................6
4.3 Crystallised P&L ....................................................................................................................................................................6
4.4 Detail of Index Calculation.....................................................................................................................................................6
4.4.1 Daily Index Calculation ...................................................................................................................................................7
4.4.2 Index Base Date .............................................................................................................................................................8
4.4.3 Forward Contract Adjustments .......................................................................................................................................84.4.4 Forward Contract Adjustments .......................................................................................................................................8
4.4.5 Forward Rates Source ....................................................................................................................................................8
4.4.6 Forward Rates - Holidays ...............................................................................................................................................8
4.5 Historical Index Data .............................................................................................................................................................8
4.5.1 Coverage ........................................................................................................................................................................8
4.5.2 Historic Interpolated Forward Rates ...............................................................................................................................8
4.5.2.1 USD, EUR and GBP Indexes ..............................................................................................................................8
4.5.2.2 CHF Index ...........................................................................................................................................................94.5.3 Historic Settlement Dates ...............................................................................................................................................95.

Appendix 1 ......................................................................................................................................................................... 10
5.1 Sources used for Reference Rates – USD Hedged Index...................................................................................................10
5.2 Sources used for Reference Rates – EUR Hedged Index...................................................................................................11
5.3 Sources used for Reference Rates – GBP Hedged Index...................................................................................................11
5.4 Sources used for Reference Rates – CHF Hedged Index ...................................................................................................12
5.5 Sources used for HISTORIC Reference Rates – CHF Hedged Index ................................................................................. 13

6.

Appendix 2 ......................................................................................................................................................................... 15

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6.1 Sources used for settlement dates for Reference Rates – USD Hedged index ..................................................................15
6.2 Sources used for settlement dates for Reference Rates – EUR Hedged index ..................................................................15
6.3 Sources used for settlement dates for Reference Rates – GBP Hedged index ..................................................................16
6.4 Sources used for settlement dates for Reference Rates – CHF Hedged index...................................................................16

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1. Introduction
This document describes the calculation process for the Refinitiv Qualified Global Convertible Monthly Hedged Indexseries. The series is calculated for a number of different currencies, within this document “Index” refers to a specificcurrency variant of the series and “Base Currency” refers to the currency of the Index.
The selection and weighting of the constituents of the Index are the same as for the Refinitiv Qualified Global Convertible
Index (“Parent Index”), details of the methodology are contained in the Refinitiv Qualified Global Convertible Index
Methodology.
Defined terms used in this document have the meaning ascribed to them in Parent Index unless otherwise defined.

2. Selection method
The selection method for the index is the same as the selection method for the Parent Index. The relative weight of
constituents is identical to the relative weights in the Parent Index.
The absolute weight of constituents will vary as the Index includes a monthly hedging process.

3. Hedging Process
3.1 Overview
The hedging process uses forward currency contracts to incorporate currency hedging into the calculation of Index value.
The hedging process follows a monthly cycle; the two key dates in the cycle are the Roll Date and Rebalance Date.
• The Roll Date is the working day prior to the Index Review Effective Date.
• The Rebalance Date is the Index Review Effective Date.
At EoD on the Roll Date all open forward contracts are closed, and the Base Currency cash is adjusted to reflect the
crystallised P&L. New contracts are opened; the new contracts reflect the net position of contracts closed in each currency.
The new contracts are referenced in this documentation as the “Roll Contracts”.
On the Rebalance Date new contracts are opened to provide the overall net exposure required in each currency based on
the anticipated Index currency profile following the index review. The new contracts are referenced in this documentation as
the “Rebalance Contracts”.
The Index value calculation incorporates the mark to market (MTM) valuation of all open forward positions.
The Hedge Ratio of the Index is monitored and if the Hedge Ratio exceeds 105% or falls below 95% then additional
forward contracts will be incorporated into the calculation of the Index value. The new contracts are referenced in thisdocumentation as the “Reset Contracts”.

3.2 Settlement Date
The Settlement Date used for each currency for the Roll Contracts is also used for the Rebalance Contracts executed on
the day following the Roll Date and any Reset Contracts opened on any day from the Roll Date until the day before thefollowing Roll Date.
The “Natural Settlement Date” is the second working day after the Rebalance Date. This date will be amended to reflect thesettlement calendar of each currency pair using the following rules:• If any of the 8 “Key Currencies” (USD, EUR, CHF, GBP, JPY, AUD, HKD, SGD) does not settle on the Natural
Settlement Date then the Settlement Date is advanced for all currencies to the first available date on which all
currencies can settle, this date is referenced as the “General Settlement Date”.
• If any currency does not settle on the General Settlement Date, then the Settlement Date for that currency only isadvanced to the first available date on which that currency can settle.

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3.3 Roll Contracts
The required exposure for the new Roll Contract for each currency is the sum of the delivery amounts for the open
Roll Contract, the open Rebalance Contract and any open Reset Contracts.

3.4 Rebalance Contracts
The Required Exposure for each currency is calculated based on the information available at EoD on Roll Date.
The Required Exposure is calculated using the Index constituents and weights that will be effective following the securities
rebalance that occurs at EoD on the Rebalance Date.
The Percentage Required Exposure for a specific currency is calculated as:

𝐴𝑛𝑡𝑖𝑐𝑖𝑝𝑎𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑠𝑒𝑐𝑢𝑟𝑖𝑡𝑦 𝑝𝑜𝑠𝑖𝑡𝑖𝑜𝑛𝑠
𝑝𝑟𝑖𝑐𝑒𝑑 𝑖𝑛 𝑡ℎ𝑒 𝑠𝑝𝑒𝑐𝑖𝑓𝑖𝑒𝑑 𝑐𝑢𝑟𝑟𝑒𝑛𝑦
𝑃𝑒𝑟𝑐𝑒𝑛𝑡𝑎𝑔𝑒 𝑅𝑒𝑞𝑢𝑖𝑟𝑒𝑑 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 =𝐴𝑛𝑡𝑖𝑐𝑝𝑎𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝐼𝑛𝑑𝑒𝑥
Where the anticipated market values are calculated using the bid price for each security as of close on Roll Date, the FX
rates used for index calculation at close on Roll Date and the weighting that will be applied to the security following thesecurities rebalance.
The Required Exposure for a specific currency is:

𝑅𝑒𝑞𝑢𝑖𝑟𝑒𝑑 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 = 𝑃𝑒𝑟𝑐𝑒𝑛𝑡𝑎𝑔𝑒 𝑅𝑒𝑞𝑢𝑖𝑟𝑒 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 × 𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐼𝑛𝑑𝑒𝑥 𝑖𝑛 𝑠𝑝𝑒𝑐𝑖𝑓𝑖𝑒𝑑 𝑐𝑢𝑟𝑟𝑒𝑛𝑐𝑦
Where the market value of the index is the market value of the index at close on Roll Date converted to the specified
currency using the FX rates used for index calculation on Roll Date.
The Rebalance Contract for each currency is the difference between the Roll Contract and the Required Exposure.

3.4.1 Treatment of CNH priced securities
For CNH priced constituents the forward contracts are executed in CNY and the Required Exposure is calculated asfollows:

𝐴𝑛𝑡𝑖𝑐𝑖𝑝𝑎𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝑠𝑒𝑐𝑢𝑟𝑖𝑡𝑦 𝑝𝑜𝑠𝑖𝑡𝑖𝑜𝑛𝑠
𝑝𝑟𝑖𝑐𝑒𝑑 𝑖𝑛 𝐶𝑁𝐻 𝑜𝑟 𝐶𝑁𝑌
𝑃𝑒𝑟𝑐𝑒𝑛𝑡𝑎𝑔𝑒 𝑅𝑒𝑞𝑢𝑖𝑟𝑒𝑑 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 =𝐴𝑛𝑡𝑖𝑐𝑝𝑎𝑡𝑒𝑑 𝑚𝑎𝑟𝑘𝑒𝑡 𝑣𝑎𝑙𝑢𝑒 𝑜𝑓 𝐼𝑛𝑑𝑒𝑥
𝑅𝑒𝑞𝑢𝑖𝑟𝑒𝑑 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 = 𝑃𝑒𝑟𝑐𝑒𝑛𝑡𝑎𝑔𝑒 𝑅𝑒𝑞𝑢𝑖𝑟𝑒 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒 × 𝑀𝑎𝑟𝑘𝑒𝑡 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐼𝑛𝑑𝑒𝑥 𝑖𝑛 𝐶𝑁𝑌

3.5 Reset Contracts
Reset Contracts are included if the Hedge Ratio is observed to be outside the specified limits (95% - 105%). The Hedge
Ratio is calculated at each EoD and if outside the specified limits Reset Contracts are opened on the following Workday. If
the Hedge Ratio is observed to be outside the specified limits when measured at EoD on the Roll Date then no ResetContracts are opened on the following Workday as the Rebalance Contracts will reset the Hedge Ratio.

3.5.1 Hedge Ratio
The Hedge Ratio is calculated at each EoD as

𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐹𝑜𝑟𝑤𝑎𝑟𝑑𝑠 +𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐵𝑎𝑠𝑒 𝐶𝑢𝑟𝑟𝑒𝑛𝑐𝑦 𝑠𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠 + 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐵𝑎𝑠𝑒 𝐶𝑢𝑟𝑟𝑒𝑛𝑐𝑦 𝑐𝑎𝑠ℎ𝐻𝑒𝑑𝑔𝑒 𝑅𝑎𝑡𝑖𝑜 =𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑆𝑒𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠 + 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝐶𝑎𝑠ℎWhere the Value of Forwards is the sum of the net currency amount to deliver in each currency
converted to Base Currency. All values are converted to the Base Currency using the FX rates used
for calculation of the Index value at EoD.
The calculation of Hedge Ratio on the Rebalance Date uses the security positions and cash following the securities
rebalance.

3.5.2 Adjustment Ratio
If the Hedge Ratio is outside the specified limits at EoD an Adjustment Value is calculated.
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If the Hedge Ratio is greater than 105% then

𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡 𝑉𝑎𝑙𝑢𝑒 =(𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑆𝑒𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠 + 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝐶𝑎𝑠ℎ) × (103% − 𝐻𝑒𝑑𝑔𝑒 𝑅𝑎𝑡𝑖𝑜)
𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐹𝑜𝑟𝑤𝑎𝑟𝑑𝑠

If the Hedge Ratio is less than 95% then

𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡 𝑉𝑎𝑙𝑢𝑒 =(𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝑆𝑒𝑐𝑢𝑟𝑖𝑡𝑖𝑒𝑠 + 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝑎𝑙𝑙 𝐶𝑎𝑠ℎ) × (97% − 𝐻𝑒𝑑𝑔𝑒 𝑅𝑎𝑡𝑖𝑜)
𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐹𝑜𝑟𝑤𝑎𝑟𝑑𝑠

3.5.3 Reset Contract Calculation
The Reset Contracts are applied on the Workday following the EoD at which the Hedge Ratio was observed to be outside
the specified limits.

The value of the Reset Contract for a particular currency is:

𝑅𝑒𝑠𝑒𝑡 𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡 𝑑𝑒𝑙𝑖𝑣𝑒𝑟𝑦 𝑎𝑚𝑜𝑢𝑛𝑡 = 𝑁𝑒𝑡 𝑑𝑒𝑙𝑖𝑣𝑒𝑟𝑦 𝑎𝑚𝑜𝑢𝑛𝑡 𝑜𝑓 𝑎𝑙𝑙 𝑜𝑝𝑒𝑛 𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡𝑠 × 𝐴𝑑𝑗𝑢𝑠𝑡𝑚𝑒𝑛𝑡 𝑉𝑎𝑙𝑢𝑒

3.6 Forward Contract Set Up Rates
Forward contracts are set up using the Interpolated Forward Rate for the relevant currency pair and Settlement Date.
Section 4.4.4 contains details of the calculation of the Interpolated Forward Rate.

4. Calculation of Index
4.1 Overview of Calculation Approach
The calculation of the hedge Index uses the same approach as the Parent Index but incorporates the MTM valuation of theopen forwards positions together with the crystallised P&L arising when the open positions are closed on Roll date.

4.2 Forward MTM Calculation
For each open contract, the MTM Valuation is calculated as:

𝑇𝑎𝑟𝑔𝑒𝑡 𝐶𝑢𝑟𝑟𝑒𝑛𝑐𝑦 𝑡𝑜 𝑑𝑒𝑙𝑖𝑣𝑒𝑟
𝑀𝑇𝑀 𝑉𝑎𝑙𝑢𝑎𝑡𝑖𝑜𝑛 = 𝐵𝑎𝑠𝑒 𝐶𝑢𝑟𝑟𝑒𝑐𝑦 𝑡𝑜 𝑟𝑒𝑐𝑒𝑖𝑣𝑒 − ()
𝐼𝑛𝑡𝑒𝑟𝑝𝑜𝑙𝑎𝑡𝑒𝑑 𝐹𝑜𝑟𝑤𝑎𝑟𝑑 𝑅𝑎𝑡𝑒
The Interpolated Forward Rate is for the period from the EoD date of the MTM calculation to the Settlement Date for thecontract.
The Forward MTM P&L for the Index is the sum of the MTM valuations for all open contracts.

4.3 Crystallised P&L
On Roll Date all open contracts are closed and the crystallised value for each open contract is:

𝑇𝑎𝑟𝑔𝑒𝑡 𝐶𝑢𝑟𝑟𝑒𝑛𝑐𝑦 𝑡𝑜 𝑑𝑒𝑙𝑖𝑣𝑒𝑟
𝐶𝑟𝑦𝑠𝑡𝑎𝑙𝑙𝑖𝑠𝑒𝑑 𝑉𝑎𝑙𝑢𝑒 = 𝐵𝑎𝑠𝑒 𝐶𝑢𝑟𝑟𝑒𝑐𝑦 𝑡𝑜 𝑟𝑒𝑐𝑒𝑖𝑣𝑒 − ()
𝐼𝑛𝑡𝑒𝑟𝑝𝑜𝑙𝑎𝑡𝑒𝑑 𝐹𝑜𝑟𝑤𝑎𝑟𝑑 𝑅𝑎𝑡𝑒
The Interpolated Forward Rate is for the period from the Roll Date to the Settlement Date for the contract.
The Crystallised P&L for the index is the sum of the Crystallised Values for all open contracts.

4.4 Detail of Index Calculation
The index calculation will be carried out in the same manner as the index calculation of the Parent Index with the exceptionof the treatment of the forward MTM P&L and the Crystallised P&L, which are treated as set out in the sections below.

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Qualified Global Convertible Monthly Hedged Index Methodology

4.4.1 Daily Index Calculation
The daily index calculation is as shown below. In order to derive:
The value of the index on day 𝒕. Index values are only computed for weekdays and if day 𝒕 is
a Friday then day 𝒕 +1 will be the following Monday

𝑽𝒕

The values required are:𝑫𝒕𝒊

The dirty cash value of one unit of the 𝒊 th issue in the index on day 𝒕.

𝑩𝒕

The combined value of all cash balances on day 𝒕, each held in the currency of receipt andconverted to the index currency using the relevant Eod FX rate for index calculation. Thisvalue includes the Crystallised P&L generated at EoD on Roll Date.

𝑴𝒕

The Forward MTM P&L for the Index on day 𝒕.

𝑺𝒕𝒊

The issue size outstanding in units of the 𝒊 th issue in the index on day 𝒕

𝑿𝒕𝒊

The exchange rate used to convert the cash price of the 𝒊 th issue in the index on day 𝒕 to theindex currency.

𝑭𝒕

The index factor on day 𝒕𝒏𝒕

The number of issues in the index on day 𝒕

The value of the index is given by:
𝒕

𝒕

𝑽 =

𝒕 𝒕
𝒕
𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏
𝒊=𝟏 (𝑫𝒊 ∗𝑺𝒊 ∗𝑿𝒊 )𝑭𝒕

The value of F will remain unchanged except in any the following circumstances:• A change to the constituents of the index that is not reflected solely as a change in the cash balances• A change to the issue size of one or more of the constituents that is not reflected solely as a change in the cash
balances• The Index Review Effective Date when the cash balances are re-invested in the Index
The derivation of the new value for the index factor in each of these circumstances is shown below. Where:

𝒏𝒆𝒘_𝑩𝒕

The combined value of all cash balances on day 𝒕, each held in the currency of receipt and converted
to the index currency using the relevant Eod FX rate for index calculation. This value will be the sameas 𝑩𝒕 except in the case when cash balances are re-invested when 𝒏𝒆𝒘_𝑩𝒕 will be set to zero.

𝒏𝒆𝒘_𝑺𝒕𝒊

The issue size outstanding in units of the 𝒊 th issue in the index on day 𝒕 following the change incircumstances for which the factor is to be adjusted.

𝒏𝒆𝒘_𝑭𝒕

The index factor on day 𝒕 following the change in circumstances for which the factor is to be
adjusted.

𝒏𝒆𝒘_𝒏𝒕

The number of issues in the index on day 𝒕 following the change in circumstances for which thefactor is to be adjusted.

The value of the index will be𝒕

𝒏𝒆𝒘_𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏𝒆𝒘_𝒏(𝑫𝒕𝒊 ∗𝒏𝒆𝒘_𝑺𝒕𝒊 ∗𝑿𝒕𝒊 )𝒊=𝟏
𝒏𝒆𝒘_𝑭𝒕
The value of the index is unchanged by the change in circumstances and therefore
𝒕

𝒕

𝒕

𝑽 =

𝒕 𝒕
𝒕
𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏
𝒊=𝟏 (𝑫𝒊 ∗𝑺𝒊 ∗𝑿𝒊 )𝑭𝒕

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𝒏𝒆𝒘_𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏𝒆𝒘_𝒏(𝑫𝒕𝒊 ∗𝒏𝒆𝒘_𝑺𝒕𝒊 ∗𝑿𝒕𝒊 )𝒊=𝟏
𝒏𝒆𝒘_𝑭𝒕7

Qualified Global Convertible Monthly Hedged Index Methodology

And thus𝒕𝒕

𝒏𝒆𝒘_𝑭 =

𝒏𝒆𝒘_𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏𝒆𝒘_𝒏(𝑫𝒕𝒊 ∗𝒏𝒆𝒘_𝑺𝒕𝒊 ∗𝑿𝒕𝒊 )
𝒊=𝟏
𝒕

𝒕 𝒕
𝒕
𝑩𝒕 +𝑴𝒕 +∑𝒊=𝒏
𝒊=𝟏 (𝑫𝒊 ∗𝑺𝒊 ∗𝑿𝒊 )4.4.2 Index Base Date
The Index Factor values at inception (11 April 2003) are set such that the Index Value on 10 September 2014 is 100 for all
currency variants of the Index.

4.4.3 Forward Contract Adjustments
When the index factor is adjusted then all forward contracts are adjusted pro-rata to the change in index factor.
The impact of this adjustment is that the Percentage Required Exposure is maintained.

4.4.4 Forward Contract Adjustments
Interpolated forward rates are calculated using the relevant Spot Rate together with Premium/Discount (“Offset”) for Spot
Week, One Month and Two Months (“Reference Rates”)
When the target Settlement Date does not fall on the settlement date for one of the Reference Rates the Offset isinterpolated from the adjacent reference rates using linear interpolation.

4.4.5 Forward Rates Source
All Reference Rates are based on the WM/Reuters Closing Rate Fix (4pm London). The RICs used for each Reference
Rate are listed in Appendix 1
The rates used for calculation of the Interpolated Forward Rates are mid rates which are calculated as the simple averageof the Bid and Ask rates.
The settlement dates used for the Reference Rates are obtained as described in Appendix 2

4.4.6 Forward Rates - Holidays
WM/Reuters do not provide data on certain holidays (notably Christmas Day and Good Friday).
The Index is calculated on all weekdays. In the event that Reference Rates are not available then the Index is calculatedusing the latest available Reference Rates and associated settlement dates.

4.5 Historical Index Data
4.5.1 CoverageIndex values for the period from 11 April 2003 to 7 February 2018 were calculated using historic data.

4.5.2 Historic Interpolated Forward Rates
4.5.2.1 USD, EUR and GBP Indexes
The Reference Rates used for the historic calculation for the period 11 April 2003 to 29 December 2017 were calculatedusing historic outright and spot rates from WM/Reuters.
The Reference Rates used for the historic calculation for the period 1 Jan 2018 to 7 February 2018 were taken from thehistorical data available for the RICs used for each Reference Rate as listed in Appendix 1
The settlement dates used for the reference rates was based on Refinitiv historic settlement diaries.
On dates for which Reference Rates were not available the Index was calculated using the Reference Rates andsettlement dates used for the prior day’s calculation.

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94.5.2.2 CHF Index
The Reference Rates used for the historic calculation for the period 11 April 2003 to 27 November 2012 were calculatedusing historic spot rates and offset rates obtained for the RICs as listed in Appendix 1 Section 5.5
The Reference Rates used for the historic calculation for the period 28 November 2012 onwards were calculated from thehistorical data available for the RICs used for each Reference Rate as listed in Appendix 1. For HKD and TWD only, for theperiod 28 Oct 2013 – 12 Nov 2013, the Reference Rates used were calculated using the method described for the periodprior to 28 November 2012.
The settlement dates used for the reference rates was based on Refinitiv historic settlement diaries.
On dates for which Reference Rates were not available the Index was calculated using the Reference Rates andsettlement dates used for the prior day’s calculation.

4.5.3 Historic Settlement Dates
For the period 11 April 2003 to 31 December 2007 the Settlement Date was based on notional settlement diaries for USD,
GBP and EUR only.
For the period from 1 January 2008 to 7 February 2018 the Settlement Date was based on Refinitiv historic settlement
diaries for all currencies

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10

5. Appendix 1
5.1 Sources used for Reference Rates – USD Hedged Index
Index
Currency

TargetCurrency

Spot Week
OffsetOne Month
OffsetTwo months
Offset

Notes

USD

EUR

USDEURFIX=WM

USDEURSWFIX=WM

USDEUR1MFIX=WM

USDEUR2MFIX=WM

Inverted

USD
USD

GBP

USDGBPFIX=WM

USDGBPSWFIX=WM

USDGBP1MFIX=WM

USDGBP2MFIX=WM

Inverted

CHF

USDCHFFIX=WM

USDCHFSWFIX=WM

USDCHF1MFIX=WM

USDCHF2MFIX=WM

USD

AUD

USDAUDFIX=WM

USDAUDSWFIX=WM

USDAUD1MFIX=WM

USDAUD2MFIX=WM

USD

CAD

USDCADFIX=WM

USDCADSWFIX=WM

USDCAD1MFIX=WM

USDCAD2MFIX=WM

USD

CNY

USDCNYFIX=WM

USDCNYSWFIX=WM

USDCNY1MFIX=WM

USDCNY2MFIX=WM

USD

HKD

USDHKDFIX=WM

USDHKDSWFIX=WM

USDHKD1MFIX=WM

USDHKD2MFIX=WM

USD

JPY

USDJPYFIX=WM

USDJPYSWFIX=WM

USDJPY1MFIX=WM

USDJPY2MFIX=WM

USD

KRW

USDKRWFIX=WM

USDKRWSWFIX=WM

USDKRW1MFIX=WM

USDKRW2MFIX=WM

USD

SEK

USDSEKFIX=WM

USDSEKSWFIX=WM

USDSEK1MFIX=WM

USDSEK2MFIX=WM

USD

SGD

USDSGDFIX=WM

USDSGDSWFIX=WM

USDSGD1MFIX=WM

USDSGD2MFIX=WM

USD

THB

USDTHBFIX=WM

USDTHBSWFIX=WM

USDTHB1MFIX=WM

USDTHB2MFIX=WM

USD

TWD

USDTWDFIX=WM

USDTWDSWFIX=WM

USDTWD1MFIX=WM

USDTWD2MFIX=WM

USD

ZAR

USDZARFIX=WM

USDZARSWFIX=WM

USDZAR1MFIX=WM

USDZAR2MFIX=WM

Spot

The rates marked “Inverted” in the notes column are inverted as described below before being used in the Index Calculation.
𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑 = 1⁄𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶
𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑 = 1⁄𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑 = (1⁄[𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶]) − 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑
𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑 = (1⁄[𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶]) − 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑
Where Tenor is Spot Week, One Month or Two Months
Example, calculating GBP 2M Bid Offset
𝐺𝐵𝑃 2𝑀 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (1⁄[𝑈𝑆𝐷𝐺𝐵𝑃𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 + 𝑈𝑆𝐷𝐺𝐵𝑃2𝑀𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟]) − (1⁄𝑈𝑆𝐷𝐺𝐵𝑃𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 )Revision 2 – 7 May 2018

InvertedQualified Global Convertible Monthly Hedged Index Methodology

5.2 Sources used for Reference Rates – EUR Hedged Index
Index
Currency

TargetCurrency

Spot

Spot Week
OffsetEUR

One Month
OffsetTwo months
OffsetUSD

EURUSDFIX=WM

EURUSDSWFIX=WM

EURUSD1MFIX=WM

EURUSD2MFIX=WM

EUR

GBP

EURGBPFIX=WM

EURGBPSWFIX=WM

EURGBP1MFIX=WM

EURGBP2MFIX=WM

EUR

CHF

EURCHFFIX=WM

EURCHFSWFIX=WM

EURCHF1MFIX=WM

EURCHF2MFIX=WM

EUR

AUD

EURAUDFIX=WM

EURAUDSWFIX=WM

EURAUD1MFIX=WM

EURAUD2MFIX=WM

EUR

CAD

EURCADFIX=WM

EURCADSWFIX=WM

EURCAD1MFIX=WM

EURCAD2MFIX=WM

EUR

CNY

EURCNYFIX=WM

EURCNYSWFIX=WM

EURCNY1MFIX=WM

EURCNY2MFIX=WM

EUR

HKD

EURHKDFIX=WM

EURHKDSWFIX=WM

EURHKD1MFIX=WM

EURHKD2MFIX=WM

EUR

JPY

EURJPYFIX=WM

EURJPYSWFIX=WM

EURJPY1MFIX=WM

EURJPY2MFIX=WM

EUR

KRW

EURKRWFIX=WM

EURKRWSWFIX=WM

EURKRW1MFIX=WM

EURKRW2MFIX=WM

EUR

SEK

EURSEKFIX=WM

EURSEKSWFIX=WM

EURSEK1MFIX=WM

EURSEK2MFIX=WM

EUR

SGD

EURSGDFIX=WM

EURSGDSWFIX=WM

EURSGD1MFIX=WM

EURSGD2MFIX=WM

EUR

THB

EURTHBFIX=WM

EURTHBSWFIX=WM

EURTHB1MFIX=WM

EURTHB2MFIX=WM

EUR

TWD

EURTWDFIX=WM

EURTWDSWFIX=WM

EURTWD1MFIX=WM

EURTWD2MFIX=WM

EUR

ZAR

EURZARFIX=WM

EURZARSWFIX=WM

EURZAR1MFIX=WM

EURZAR2MFIX=WM

5.3 Sources used for Reference Rates – GBP Hedged Index
GBP Hedged Index

Index
Currency

TargetCurrency

Spot

Spot Week
OffsetOne Month
OffsetTwo months
Offset

GBP
GBP

USD

GBPUSDFIX=WM

GBPUSDSWFIX=WM

GBPUSD1MFIX=WM

GBPUSD2MFIX=WM

EUR

GBPEURFIX=WM

GBPEURSWFIX=WM

GBPEUR1MFIX=WM

GBPEUR2MFIX=WM

GBP

CHF

GBPCHFFIX=WM

GBPCHFSWFIX=WM

GBPCHF1MFIX=WM

GBPCHF2MFIX=WM

GBP

AUD

GBPAUDFIX=WM

GBPAUDSWFIX=WM

GBPAUD1MFIX=WM

GBPAUD2MFIX=WM

GBP

CAD

GBPCADFIX=WM

GBPCADSWFIX=WM

GBPCAD1MFIX=WM

GBPCAD2MFIX=WM

GBP

CNY

GBPCNYFIX=WM

GBPCNYSWFIX=WM

GBPCNY1MFIX=WM

GBPCNY2MFIX=WM

GBP

HKD

GBPHKDFIX=WM

GBPHKDSWFIX=WM

GBPHKD1MFIX=WM

GBPHKD2MFIX=WM

GBP

JPY

GBPJPYFIX=WM

GBPJPYSWFIX=WM

GBPJPY1MFIX=WM

GBPJPY2MFIX=WM

GBP

KRW

GBPKRWFIX=WM

GBPKRWSWFIX=WM

GBPKRW1MFIX=WM

GBPKRW2MFIX=WM

GBP

SEK

GBPSEKFIX=WM

GBPSEKSWFIX=WM

GBPSEK1MFIX=WM

GBPSEK2MFIX=WM

GBP

SGD

GBPSGDFIX=WM

GBPSGDSWFIX=WM

GBPSGD1MFIX=WM

GBPSGD2MFIX=WM

GBP

THB

GBPTHBFIX=WM

GBPTHBSWFIX=WM

GBPTHB1MFIX=WM

GBPTHB2MFIX=WM

GBP

TWD

GBPTWDFIX=WM

GBPTWDSWFIX=WM

GBPTWD1MFIX=WM

GBPTWD2MFIX=WM

GBP

ZAR

GBPZARFIX=WM

GBPZARSWFIX=WM

GBPZAR1MFIX=WM

GBPZAR2MFIX=WM

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12

5.4 Sources used for Reference Rates – CHF Hedged Index
Index
Currency

TargetCurrency

Spot Week
OffsetOne Month
OffsetTwo months
Offset

CHF

AUD

CHF

EUR

CHFAUDFIX=WM

USDAUDSWOR=WM

USDAUD1MOR=WM

USDAUD2MOR=WM

Invert & Cross

CHFEURFIX=WM

EURCHFSWOR=WM

EURCHF1MOR=WM

EURCHF2MOR=WM

Invert Outright

CHF

USD

CHFUSDFIX=WM

USDCHFSWOR=WM

USDCHF1MOR=WM

USDCHF2MOR=WM

Invert Outright

CHF

GBP

CHFGBPFIX=WM

GBPCHFSWOR=WM

GBPCHF1MOR=WM

GBPCHF2MOR=WM

Invert Outright

CHF

CAD

CHFCADFIX=WM

USDCADSWOR=WM

USDCAD1MOR=WM

USDCAD2MOR=WM

Cross

CHF

CNY

CHFCNYFIX=WM

USDCNYSWOR=WM

USDCNY1MOR=WM

USDCNY2MOR=WM

Cross

CHF

HKD

CHFHKDFIX=WM

USDHKDSWOR=WM

USDHKD1MOR=WM

USDHKD2MOR=WM

Cross

CHF

JPY

CHFJPYFIX=WM

USDJPYSWOR=WM

USDJPY1MOR=WM

USDJPY2MOR=WM

Cross

CHF

KRW

CHFKRWFIX=WM

USDKRWSWOR=WM

USDKRW1MOR=WM

USDKRW2MOR=WM

Cross

CHF

SEK

CHFSEKFIX=WM

USDSEKSWOR=WM

USDSEK1MOR=WM

USDSEK2MOR=WM

Cross

CHF

SGD

CHFSGDFIX=WM

USDSGDSWOR=WM

USDSGD1MOR=WM

USDSGD2MOR=WM

Cross

CHF

THB

CHFTHBFIX=WM

USDTHBSWOR=WM

USDTHB1MOR=WM

USDTHB2MOR=WM

Cross

CHF

TWD

CHFTWDFIX=WM

USDTWDSWOR=WM

USDTWD1MOR=WM

USDTWD2MOR=WM

Cross

CHF

ZAR

CHFZARFIX=WM

USDZARSWOR=WM

USDZAR1MOR=WM

USDZAR2MOR=WM

Cross

USDCHFSWOR=WM

USDCHF1MOR=WM

USDCHF2MOR=WM

Spot

CHF Cross Rate

Calculation Method

The rates in the Offset columns above are outright rates which are processed as described below to generate the Offsets which
are used in the Index Calculation.
The rates marked “Invert Outright” in the Calculation Method column are inverted as described below before being used in the
Index Calculation.
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (1⁄𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝑂𝑓𝑓𝑒𝑟) − 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑
𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 = (1⁄𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝐵𝑖𝑑 ) − 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟
Where Tenor is Spot Week, One Month or Two Months
Example, calculating GBP 2M Bid Offset
𝐺𝐵𝑃 2𝑀 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (1⁄𝐺𝐵𝑃𝐶𝐻𝐹2𝑀𝑂𝑅=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 ) − 𝐶𝐻𝐹𝐺𝐵𝑃𝐹𝐼𝑋=𝑊𝑀 𝐵𝑖𝑑

The rates marked “Cross” in the calculation are crossed as described below before being used in the Index Calculation.
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝐵𝑖𝑑 ⁄𝑇𝑒𝑛𝑜𝑟 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑂𝑓𝑓𝑒𝑟) − 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑
𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 = (𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝑂𝑓𝑓𝑒𝑟⁄𝑇𝑒𝑛𝑜𝑟 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝐵𝑖𝑑) − 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟
Where Tenor is Spot Week, One Month or Two Months
Example, calculating HKD 2M Bid Offset
𝐻𝐾𝐷 2𝑀 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (𝑈𝑆𝐷𝐻𝐾𝐷2𝑀𝑂𝑅=𝑊𝑀 𝐵𝑖𝑑⁄𝑈𝑆𝐷𝐶𝐻𝐹2𝑀𝑂𝑅=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟) − 𝐶𝐻𝐹𝐻𝐾𝐷𝐹𝐼𝑋=𝑊𝑀 𝐵𝑖𝑑
The rates marked “Invert & Cross” in the calculation are crossed as described below before being used in the Index
Calculation.
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = ([1⁄𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝑂𝑓𝑓𝑒𝑟]⁄𝑇𝑒𝑛𝑜𝑟 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑂𝑓𝑓𝑒𝑟) − 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑
𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 = ([1⁄𝑇𝑒𝑛𝑜𝑟 𝑂𝑢𝑡𝑟𝑖𝑔ℎ𝑡 𝐵𝑖𝑑 ]⁄𝑇𝑒𝑛𝑜𝑟 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝐵𝑖𝑑) − 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟
Where Tenor is Spot Week, One Month or Two Months
Example, calculating AUD 2M Bid Offset
𝐴𝑈𝐷 2𝑀 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = ([1⁄𝑈𝑆𝐷𝐴𝑈𝐷2𝑀𝑂𝑅=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 ]⁄𝑈𝑆𝐷𝐶𝐻𝐹2𝑀𝑂𝑅=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 ) − 𝐶𝐻𝐹𝐴𝑈𝐷𝐹𝐼𝑋=𝑊𝑀 𝐵𝑖𝑑

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Qualified Global Convertible Monthly Hedged Index Methodology

13

5.5 Sources used for HISTORIC Reference Rates – CHF Hedged Index
For dates prior to 28 Nov 2012 the reference rates were calculated using the sources and calculations below. In addition, for
HKD and TWD only, these sources were used for the period 28 Oct 2013 – 12 Nov 2013 inclusive.
Index
Currency

TargetCurrency

Spot

Spot Week Offset

One Month Offset

Two months Offset

Calculation
MethodCHF

AUD

USDAUDFIX=WM

USDAUDSWFIX=WM

USDAUD1MFIX=WM

USDAUD2MFIX=WM

Invert & Cross

CHF

EUR

EURCHFFIX=WM

EURCHFSWFIX=WM

EURCHF1MFIX=WM

EURCHF2MFIX=WM

InvertCHF

USD

USDCHFFIX=WM

USDCHFSWFIX=WM

USDCHF1MFIX=WM

USDCHF2MFIX=WM

InvertCHF

GBP

GBPCHFFIX=WM

GBPCHFSWFIX=WM

GBPCHF1MFIX=WM

GBPCHF2MFIX=WM

InvertCHF

CAD

USDCADFIX=WM

USDCADSWFIX=WM

USDCAD1MFIX=WM

USDCAD2MFIX=WM

Cross

CHF

CNY

USDCNYFIX=WM

USDCNYSWFIX=WM

USDCNY1MFIX=WM

USDCNY2MFIX=WM

Cross

CHF

HKD

USDHKDFIX=WM

USDHKDSWFIX=WM

USDHKD1MFIX=WM

USDHKD2MFIX=WM

Cross

CHF

JPY

USDJPYFIX=WM

USDJPYSWFIX=WM

USDJPY1MFIX=WM

USDJPY2MFIX=WM

Cross

CHF

KRW

USDKRWFIX=WM

USDKRWSWFIX=WM

USDKRW1MFIX=WM

USDKRW2MFIX=WM

Cross

CHF

SEK

USDSEKFIX=WM

USDSEKSWFIX=WM

USDSEK1MFIX=WM

USDSEK2MFIX=WM

Cross

CHF

SGD

USDSGDFIX=WM

USDSGDSWFIX=WM

USDSGD1MFIX=WM

USDSGD2MFIX=WM

Cross

CHF

THB

USDTHBFIX=WM

USDTHBSWFIX=WM

USDTHB1MFIX=WM

USDTHB2MFIX=WM

Cross

CHF

TWD

USDTWDFIX=WM

USDTWDSWFIX=WM

USDTWD1MFIX=WM

USDTWD2MFIX=WM

Cross

CHF

ZAR

USDZARFIX=WM

USDZARSWFIX=WM

USDZAR1MFIX=WM

USDZAR2MFIX=WM

Cross

USDCHFFIX=WM

USDCHFSWFIX=WM

USDCHF1MFIX=WM

USDCHF2MFIX=WM

CHF Cross Rate

The rates in the columns are processed as described below to generate the Offsets which are used in the Index Calculation.
The rates marked “Invert” in the Calculation Method column are inverted as described below before being used in the Index
Calculation.
𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑 = 1⁄𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶
𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑 = 1⁄𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑 = (1⁄[𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶]) − 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑
𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑 = (1⁄[𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶]) − 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑
Where Tenor is Spot Week, One Month or Two Months
Example, calculating GBP 2M Bid Offset
𝐺𝐵𝑃 2𝑀 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 = (1⁄[𝐺𝐵𝑃𝐶𝐻𝐹𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 + 𝐺𝐵𝑃𝐶𝐻𝐹2𝑀𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟]) − (1⁄𝐺𝐵𝑃𝐶𝐻𝐹𝐹𝐼𝑋=𝑊𝑀 𝑂𝑓𝑓𝑒𝑟 )The rates marked “Cross” in the calculation are crossed as described below before being used in the Index Calculation.
𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑 = 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 ⁄𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶
𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑 = 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶⁄𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶
𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑=

𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶− 𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑢𝑠𝑒𝑑
𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶

𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑢𝑠𝑒𝑑=

Revision 2 – 7 May 2018

𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝑂𝑓𝑓𝑒𝑟 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝑅𝐼𝐶− 𝑆𝑝𝑜𝑡 𝑂𝑓𝑓𝑒𝑟 𝑢𝑠𝑒𝑑
𝑆𝑝𝑜𝑡 𝐵𝑖𝑑 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶 + 𝑇𝑒𝑛𝑜𝑟 𝐵𝑖𝑑 𝑂𝑓𝑓𝑠𝑒𝑡 𝑓𝑟𝑜𝑚 𝐶𝐻𝐹 𝐶𝑟𝑜𝑠𝑠 𝑅𝑎𝑡𝑒 𝑅𝐼𝐶

Qualified Global Convertible Monthly Hedged Index Methodology

14

Where Tenor is Spot Week, One Month or Two Months Example, calculating HKD 2M Bid Offset

The rates marked “Invert & Cross” in the calculation are crossed as described below before being used in the Index Calculation

Where Tenor is Spot Week, One Month or Two Months Example, calculating AUD 2M Bid Offset

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Qualified Global Convertible Monthly Hedged Index Methodology

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6. Appendix 2
6.1 Sources used for settlement dates for Reference Rates – USD Hedged index

Index

TargetCurrency
USD

Currency
EUR

USD
USD

Spot

Spot Week

One Month

Two months

USDEURSW=R

USDEURSW=R

USDEUR1M=R

USDEUR2M=R

GBP

USDGBPSW=R

USDGBPSW=R

USDGBP1M=R

USDGBP2M=R

CHF

CHFUSDSW=R

CHFUSDSW=R

CHFUSD1M=R

CHFUSD2M=R

USD

AUD

USDAUDSW=R

USDAUDSW=R

USDAUD1M=R

USDAUD2M=R

USD

CAD

CADUSDSW=R

CADUSDSW=R

CADUSD1M=R

CADUSD2M=R

USD

CNY

CNYUSDSW=R

CNYUSDSW=R

CNYUSD1M=R

CNYUSD2M=R

USD

HKD

HKDUSDSW=R

HKDUSDSW=R

HKDUSD1M=R

HKDUSD2M=R

USD

JPY

JPYUSDSW=R

JPYUSDSW=R

JPYUSD1M=R

JPYUSD2M=R

USD

KRW

KRWUSDSW=R

KRWUSDSW=R

KRWUSD1M=R

KRWUSD2M=R

USD

SEK

SEKUSDSW=R

SEKUSDSW=R

SEKUSD1M=R

SEKUSD2M=R

USD

SGD

SGDUSDSW=R

SGDUSDSW=R

SGDUSD1M=R

SGDUSD2M=R

USD

THB

THBUSDSW=R

THBUSDSW=R

THBUSD1M=R

THBUSD2M=R

USD

TWD

TWDUSDSW=R

TWDUSDSW=R

TWDUSD1M=R

TWDUSD2M=R

USD

ZAR

ZARUSDSW=R

ZARUSDSW=R

ZARUSD1M=R

ZARUSD2M=R

The settlement date for Spot rates use the start date information from the RIC, the settlement date for the forward rates is takenfrom the maturity date information from the RIC.

6.2 Sources used for settlement dates for Reference Rates – EUR Hedged index

Index

TargetCurrency
EUR

Currency
USD

EUR

GBP

EUR
EUR

Spot

Spot Week

One Month

Two months

USDEURSW=R

USDEURSW=R

USDEUR1M=R

USDEUR2M=R

EURGBPSW=R

EURGBPSW=R

EURGBP1M=R

EURGBP2M=R

CHF
AUD

EURCHFSW=R
EURAUDSW=R

EURCHFSW=R
EURAUDSW=R

EURCHF1M=R
EURAUD1M=R

EURCHF2M=R
EURAUD2M=R

EUR

CAD

EURCADSW=R

EURCADSW=R

EURCAD1M=R

EURCAD2M=R

EUR

CNY

EURCNYSW=REURCNYSW=REURCNY1M=R

EURCNY2M=R

EUR
EUR

HKD
JPY

EURHKDSW=REURJPYSW=REURHKDSW=REURJPYSW=REURHKD1M=R
EURJPY1M=R

EURHKD2M=R
EURJPY2M=R

EUR

KRW

EURKRWSW=R

EURKRWSW=R

EURKRW1M=R

EURKRW2M=R

EUR

SEK

EURSEKSW=R

EURSEKSW=R

EURSEK1M=R

EURSEK2M=R

EUR
EUR

SGD
THB

EURSGDSW=REURTHBSW=R

EURSGDSW=REURTHBSW=R

EURSGD1M=R
EURTHB1M=R

EURSGD2M=R
EURTHB2M=R

EUR

TWD

EURTWDSW=R

EURTWDSW=R

EURTWD1M=R

EURTWD2M=R

EUR

ZAR

EURZARSW=R

EURZARSW=R

EURZAR1M=R

EURZAR2M=R

The settlement date for Spot rates use the start date information from the RIC, the settlement date for the forward rates is takenfrom the maturity date information from the RIC.

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6.3 Sources used for settlement dates for Reference Rates – GBP Hedged index

Index

TargetCurrency
GBP

Currency
USD

GBP

EUR

GBP
GBP

Spot

Spot Week

One Month

Two months

USDGBPSW=R

USDGBPSW=R

USDGBP1M=R

USDGBP2M=R

GBPEURSW=R

GBPEURSW=R

GBPEUR1M=R

GBPEUR2M=R

CHF
AUD

GBPCHFSW=R
GBPAUDSW=R

GBPCHFSW=R
GBPAUDSW=R

GBPCHF1M=R
GBPAUD1M=R

GBPCHF2M=R
GBPAUD2M=R

GBP

CAD

GBPCADSW=R

GBPCADSW=R

GBPCAD1M=R

GBPCAD2M=R

GBP

CNY

GBPCNYSW=R

GBPCNYSW=R

GBPCNY1M=R

GBPCNY2M=R

GBP
GBP

HKD
JPY

GBPHKDSW=R
GBPJPYSW=R

GBPHKDSW=R
GBPJPYSW=R

GBPHKD1M=R
GBPJPY1M=R

GBPHKD2M=R
GBPJPY2M=R

GBP

KRW

GBPKRWSW=R

GBPKRWSW=R

GBPKRW1M=R

GBPKRW2M=R

GBP

SEK

GBPSEKSW=R

GBPSEKSW=R

GBPSEK1M=R

GBPSEK2M=R

GBP
GBP

SGD
THB

GBPSGDSW=R
GBPTHBSW=R

GBPSGDSW=R
GBPTHBSW=R

GBPSGD1M=R
GBPTHB1M=R

GBPSGD2M=R
GBPTHB2M=R

GBP

TWD

GBPTWDSW=R

GBPTWDSW=R

GBPTWD1M=R

GBPTWD2M=R

GBP

ZAR

GBPZARSW=R

GBPZARSW=R

GBPZAR1M=R

GBPZAR2M=R

The settlement date for Spot rates use the start date information from the RIC, the settlement date for the forward rates is takenfrom the maturity date information from the RIC.

6.4 Sources used for settlement dates for Reference Rates – CHF Hedged index
Index

TargetSpot Week

One Month

Two months

CHFUSDSW=R

CHFUSDSW=R

CHFUSD1M=R

CHFUSD2M=R

EUR
GBP

CHFEURSW=RCHFGBPSW=R

CHFEURSW=RCHFGBPSW=R

CHFEUR1M=R
CHFGBP1M=R

CHFEUR2M=R
CHFGBP2M=R

CHF

AUD

CHFAUDSW=R

CHFAUDSW=R

CHFAUD1M=R

CHFAUD2M=R

CHF

CAD

CHFCADSW=RCHFCADSW=RCHFCAD1M=R

CHFCAD2M=R

CHF
CHF

CNY
HKD

CHFCNYSW=RCHFHKDSW=R

CHFCNYSW=RCHFHKDSW=R

CHFCNY1M=R
CHFHKD1M=R

CHFCNY1M=R
CHFHKD2M=R

CHF

JPY

CHFJPYSW=RCHFJPYSW=RCHFJPY1M=R

CHFJPY2M=R

CHF

KRW

CHFKRWSW=RCHFKRWSW=RCHFKRW1M=R

CHFKRW2M=R

CHF
CHF

SEK
SGD

CHFSEKSW=R
CHFSGDSW=R

CHFSEKSW=R
CHFSGDSW=R

CHFSEK1M=R
CHFSGD1M=R

CHFSEK2M=R
CHFSGD2M=R

CHF

THB

CHFTHBSW=R

CHFTHBSW=R

CHFTHB1M=R

CHFTHB2M=R

CHF

TWD

CHFTWDSW=R

CHFTWDSW=R

CHFTWD1M=R

CHFTWD2M=R

CHF

ZAR

CHFZARSW=RCHFZARSW=RCHFZAR1M=R

CHFZAR2M=R

Currency
CHF

Currency
USD

CHF
CHF

Spot

The settlement date for Spot rates use the start date information from the RIC, the settlement date for the forward rates is takenfrom the maturity date information from the RIC.

Revision 2 – 7 May 2018