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Dow Jones FXCM IndicesMethodologyJune 2022S&P Dow Jones Indices: Index Methodology
Table of ContentsIntroduction2Index Objective2Partnership2Highlights and Index Family2Supporting Documents2Index Construction3Dow Jones FXCM Dollar Index3Dow Jones FXCM Yen Index4Index Maintenance6Rebalancing6Extraordinary Events6Currency of Calculation and Additional Index Return Series6Base Dates and History Availability6Index GovernanceIndex CommitteeIndex Policy778Announcements8Holiday Schedule8Rebalancing8Recalculation Policy8Real-Time Calculation8Contact Information8Index Dissemination9Tickers9Index Data and Web site9Appendix10EU Required ESG DisclosuresDisclaimerS&P Dow Jones Indices: Dow Jones FXCM Indices Methodology10111
IntroductionIndex ObjectiveThe Dow Jones FXCM Dollar Index measures the value of the U.S. dollar against an equally weightedbasket of the euro, British pound, Japanese yen, and Australian dollar. The Dow Jones FXCM Yen Indexmeasures the value of the Japanese yen against an equally weighted basket of the U.S. dollar, euro,Australian dollar, and New Zealand dollar.PartnershipThe indices are offered collaboratively by S&P Dow Jones Indices and FXCM.For more information on FXCM, please refer to their Web site, www.fxcm.com.Highlights and Index FamilyDow Jones FXCM Dollar Index. Introduced in March 2011, the index is designed to reflect the changein value of the U.S. dollar measured against a basket of four liquid currencies. The index is built by equalweighting the following currency pairs: EUR/USD, GBP/USD, USD/JPY, and AUD/USD.Dow Jones FXCM Yen Index. Introduced in June 2012, the index is designed to reflect the change invalue of the Japanese yen measured against a basket of four liquid currencies. The index is built by equalweighting the following currency pairs: USD/JPY, EUR/JPY, AUD/JPY, and NZD/JPY.Supporting DocumentsThis methodology is meant to be read in conjunction with supporting documents providing greater detailwith respect to the policies, procedures and calculations described herein. References throughout themethodology direct the reader to the relevant supporting document for further information on a specifictopic. The list of the main supplemental documents for this methodology and the hyperlinks to thosedocuments is as follows:Supporting DocumentS&P Dow Jones Indices’ Equity Indices Policies& Practices MethodologyS&P Dow Jones Indices’ Index MathematicsMethodologyURLEquity Indices Policies & PracticesIndex Mathematics MethodologyThis methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective ofmeasuring the underlying interest of each index governed by this methodology document. Any changes toor deviations from this methodology are made in the sole judgment and discretion of S&P Dow JonesIndices so that the index continues to achieve its objective.S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology2
Index ConstructionDow Jones FXCM Dollar IndexApproaches. Because the index is designed to reflect U.S. dollar fluctuations against the basket of fixedFX spot positions, the index’s weighting scheme is “Equal FX spot positions in U.S. dollar terms,” with theweightings set as equal at inception and rebalancings.Selection Criteria. The index comprises the following four currency pairs, which were selected for theirliquidity and for their ability to reflect geographically balanced currency exposure: EUR/USD (Euro) GBP/USD (British pound) USD/JPY (Japanese yen) AUD/USD (Australian dollar)Input Data. The index’s input data are individual currency pairs calculated based on the conventionalquote format and derived from Refinitiv’s consolidated data feed of multiple contributors.Each input value is calculated as a mid-point between bid and ask quotes.Example (EUR/USD):EUR/USD Bid 1.2741EUR/USD Ask 1.2743EUR/USD Mid 1.2742 (Bid Ask)/2Please note that the mid-point is rounded to four decimals for EUR/USD, GBP/USD, and AUD/USD. Themid-point is rounded to two decimals for USD/JPY.Inception Value. The index’s inception value is set at 10,000 as of January 1, 2011, using closing pricesof the components as of December 31, 2010.FX Spot Quotes (Source: Refinitiv, as of January 1, 2011):EUR/USD 1.3370GBP/USD 1.5601USD/JPY 81.21AUD/USD 1.0218Equal FX Spot Positions in U.S. Dollar Terms (Source: Refinitiv, as of January 1, 2011):EUR Position in U.S. Dollar terms 1.3370 7,479 10,000GBP Position in U.S. Dollar terms 1.5601 6,410 10,000JPY Position in U.S. Dollar terms 812,150 81.21 10,000AUD Position in U.S. Dollar terms 1.0218 AU 9,787 10,000S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology3
Formulas. Index calculation example at inception, as of January 1, 2011 (Source: Refinitiv):Index [ 80,000 – (1.3370 7,479) – (1.5601 6,410) – ( 812,150 81.21) – (1.0218 AU 9,787)] / DivisorPlease note that at inception, the divisor is calculated to establish the index value of 10,000.00.General index calculation:Index [( 20,000 – (EUR/USDMid-Point Position)) ( 20,000 – (GBP/USDMid-Point Position)) ( 20,000 – ( Position USD/JPYMid-Point)) ( 20,000 - (AUD/USDMid-Point AU Position))] / DivisorPlease note that , , , AU Fixed foreign currency positions are calculated at rebalancing.Dow Jones FXCM Yen IndexApproaches. Because the index is designed to reflect Japanese yen fluctuations against the basket off ixed FX spot positions, the index’s weighting scheme is “equal FX spot positions in Japanese yen terms,”with the weightings set as equal at inception and rebalancings.Selection Criteria. The index comprises the following four currency pairs, which were selected for theirliquidity and on real capital flows between the represented economies. Geographic diversification wasanother f actor considered in selecting the currencies. USD/JPY EUR/JPY AUD/JPY NZD/JPYInput Data. The index’s input data are individual currency pairs calculated based on the conventionalquote format and derived from Refinitiv’s consolidated data feed from multiple contributors.Each input value is calculated as a mid-point between bid and ask quotes.Example (USD/JPY):USD/JPY Bid 80.25USD/JPY Ask 80.27USD/JPY Mid 80.26 (Bid Ask)/2Inception Value. The index’s inception value is set at 10,000 as of December 31, 2010.FX Spot Quotes (Source: Refinitiv, as of December 31, 2010):USD/JPY 81.15EUR/JPY 108.63AUD/JPY 82.95NZD/JPY 63.13S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology4
Fixed foreign currency quantities per 10,000 are calculated as follows (FX rates as of December 31,2010; Source: Refinitiv):USD Quantity per 10,000 10,000 81.15 USD/JPY 123EUR Quantity per 10,000 10,000 108.63 EUR/JPY 92NZD Quantity per 10,000 10,000 63.13 NZD/JPY NZ 158AUD Quantity per 10,000 10,000 82.95 AUD/JPY AU 121Formulas. Index calculation example at inception, as of December 31, 2010 (Source: Refinitiv):Index [ 80,000 – (81.15USD/JPY 123) – (108.63EUR/JPY 92) – (63.13NZD/JPY x NZ 158)– (82.95AUD/JPY AU 121)] / DivisorPlease note that at inception, the divisor is calculated to establish the index value of 10,000.00.General index calculation:Index [( 20,000 – (USD/JPY Quantity)) ( 20,000 – (EUR/JPY Quantity)) ( 20,000 –(NZD/JPY NZ Quantity)) ( 20,000 – (AUD/JPY AU Quantity))] / DivisorS&P Dow Jones Indices: Dow Jones FXCM Indices Methodology5
Index MaintenanceRebalancingAs time goes by, position values fluctuate and deviate from their original 10,000* value. For the purposesof protection of the index’s integrity and security, the value of each position must not fall below 1,000* (or-90%). The position monitoring rule was created to protect the index by alerting the index administratorthat an individual position reached a critical level of 1,000* (or -90%) on its way from 10,000* to 0*.Where possible, rebalancings will be planned and announced at least five trading days in advance.* for Dow Jones FXCM Dollar Index and for Dow Jones FXCM Yen Index.Extraordinary EventsIn the case of qualified structural changes in the marketplace, rebalancings where possible will beplanned and announced at least one month in advance.Currency of Calculation and Additional Index Return SeriesIn addition to the indices detailed in this methodology, additional return series versions of the indices maybe available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse,leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJIMethodology & Regulatory Status Database.For more information on index calculation, please refer to S&P Dow Jones Indices’ Index MathematicsMethodology.For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fairvalue, and risk control indices, please refer to the Parameters documents available atwww.spglobal/spdji.com.Base Dates and History AvailabilityIndex history availability, base dates, and base values are shown in the table below.IndexDow Jones FXCM Dollar IndexDow Jones FXCM Yen IndexLaunch Date03/23/201106/21/2012First ValueDate12/31/199812/31/1998S&P Dow Jones Indices: Dow Jones FXCM Indices MethodologyBase Date12/31/201012/31/2010BaseValue10,00010,0006
Index GovernanceIndex CommitteeAn S&P Dow Jones Indices Index Committee maintains the index. All committee members are full-timeprof essional members of S&P Dow Jones Indices’ staff. The committee meets regularly. At each meeting,the Index Committee reviews any significant market events. In addition, the Index Committee may reviseindex policy covering rules for timing of rebalancing or other matters.S&P Dow Jones Indices considers information about changes to its indices and related matters to bepotentially market moving and material. Theref ore, all Index Committee discussions are confidential.S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying themethodology if the need arises. In any scenario where the treatment differs from the general rules statedin this document or supplemental documents, clients will receive sufficient notice, whenever possible.In addition to the daily governance of indices and maintenance of index methodologies, at least oncewithin any 12-month period, the Index Committee reviews the methodology to ensure the indices continueto achieve the stated objectives, and that the data and methodology remain effective. In certain instances,S&P Dow Jones Indices may publish a consultation inviting comments from external parties.For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P DowJones Indices’ Equity Indices Policies & Practices Methodology.S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology7
Index PolicyAnnouncementsIndex data is evaluated daily. Anything affecting the daily index calculation is announced to clients via anindex announcement.Holiday ScheduleThe indices are calculated daily, throughout the calendar year. The only days the index is not calculatedare on days when Ref initiv exchange rates services are not published.A complete holiday schedule for the year is available on the S&P Dow Jones Indices’ Web site atwww.spglobal/spdji.com.RebalancingThe Index Committee may change the date of a given rebalancing for reasons including market holidaysoccurring on or around the scheduled rebalancing date. Any such change will be announced with properadvance notice where possible.Recalculation PolicyFor inf ormation on the recalculation policy please refer to S&P Dow Jones Indices’ Equity Indices Policies& Practices Methodology.For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, pleaserefer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.Real-Time CalculationReal-Time, intra-day, index calculations are executed for each index every 15 seconds, during applicabletrading hours. Real-time indices are not restated.Contact InformationFor any questions regarding an index, please contact: index services@spglobal.com.S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology8
Index DisseminationIndex levels are available through S&P Dow Jones Indices’ Web site at www.spglobal/spdji.com, majorquote vendors (see codes below), numerous investment-oriented Web sites, and various print andelectronic media.TickersThe table below lists headline indices covered by this document. All versions of the below indices thatmay exist are also covered by this document. Please refer to the S&P DJI Methodology & RegulatoryStatus Database for a complete list of indices covered by this document.Index (Price Return)Dow Jones FXCM Dollar Index (USD)Dow Jones FXCM Yen Index ndex Data and Web siteDaily index levels and data are available via subscription.For further information, please refer to S&P Dow Jones Indices’ Web site at www.spglobal/spdji.com.S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology9
AppendixEU Required ESG DisclosuresEXPLANATION OF HOW ENVIRONMENTAL, SOCIAL & GOVERNANCE (ESG) FACTORS AREREFLECTED IN THE KEY ELEMENTS OF THE BENCHMARK METHODOLOGY 11. Name of the benchmark administrator.S&P Dow Jones Indices LLC.Underlying asset class of the ESG2.N/Abenchmark. 2Name of the S&P Dow Jones Indices3.S&P DJI Currency Indices Benchmark Statementbenchmark or family of benchmarks.Do any of the indices maintained by this4. methodology take into account ESGNofactors?Appendix latest update:Appendix first publication:January 2021January 20211The information contained in this Appendix is intended to meet the requirements of the European Union Commission DelegatedRegulation (EU) 2020/1817 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regardsthe minimum content of the explanation of how environmental, social and governance factors are reflected in the benchmarkmethodology.2The ‘underlying assets’ are defined in European Union Commission Delegated Regulation (EU) 2020/1816 supplementingRegulation (EU) 2016/1011 of the European Parliament and of the Council as regards the explanation in the benchmark statementof how environmental, social and governance factors are reflected in each benchmark provided and published.S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology10
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Dow Jones FXCM Dollar Index 03/23/2011 12/31/1998 12/31/2010 10,000 Dow Jones FXCM Yen Index 06/21/2012 12/31/1998 12/31/2010 10,000 . S&P Dow Jones Indices: Dow Jones FXCM Indices Methodology 7 . are on days when Refinitiv exchange rates services are not published. A complete holiday schedule for the year is available on the S&P Dow Jones .
