BLOOMBERG DOLLAR SPOT INDEX 2016 REBALANCE

Transcription

1 BLOOMBERG DOLLAR SPOT INDEX 2016 REBALANCE

2 2016 REBALANCE OVERVIEW 2016 WEIGHTS Euro No currencies added or deleted in % 4.4% 3.0% 2.1% Japanese Yen Canadian Dollar Euro has largest percentage weight increase and maintains largest weight in index 6.1% 9.5% 31.8% Mexican Peso British Pound Australian Dollar Japanese Yen has largest percentage weight decrease 9.9% 11.5% 18.4% Swiss Franc South Korean Won Chinese Renminbi Brazilian Real

3 STEPS TO COMPUTE 2016 MEMBERS & WEIGHTS Fed Reserve s Trade Data BIS Liquidity Survey Remove pegged currencies to USD Remove currency positions under 2% Cap exposure of Chinese Renminbi to 3% Average liquidity & trade weights Bloomberg Dollar Spot Index Members & Weights

4 2016 WEIGHTS Currency Ticker 2016 Weight Euro EUR 31.75% Japanese Yen JPY 18.45% Canadian Dollar CAD 11.48% Mexican Peso MXN 9.87% British Pound GBP 9.46% Australian Dollar AUD 6.10% Swiss Franc CHF 4.37% South Korean Won KRW 3.43% Chinese Renminbi CNH 3.00% Brazilian Real BRL 2.08% Currency % Change (from 2015 to 2016) Euro 0.176% Mexican Peso 0.150% Swiss Franc 0.049% South Korean Won 0.031% China Renminbi 0.000% British Pound % Australian Dollar % Canadian Dollar % Brazil Real % Japanese Yen %

5 GEOGRAPHIC DISTRIBUTION OF MEMBER CURRENCIES Global 45.59% 23.43% 30.98% Americas Asia/Pacific EMEA Asia Pacific EMEA Americas 11.07% 9.68% 19.69% 59.56% Japanese Yen Australian Dollar South Korean Won Chinese Renminbi 20.76% 9.59% 69.65% Euro British Pound Swiss Franc 8.89% 42.11% 49.00% Canadian Dollar Mexican Peso Brazilian Real

6 CURRENCY RANKINGS LIQUIDITY: BIS TRIENNIAL SURVEY (2013) Currency Percentage Share Rank EUR JPY GBP AUD CHF CAD MXN CNY NZD SEK RUB HKD NOK SGD TRY KRW ZAR BRL INR DKK Triennial Central Bank Survey TRADE WEIGHTS: FEDERAL RESERVE H.10 (2015) Country or Region Currency Trade Weight Rank China CNY Euro area EUR Canada CAD Mexico MXN Japan JPY Korea KRW United Kingdom GBP Taiwan TWD Brazil BRL India INR Switzerland CHF Singapore SGD Malaysia MYR Thailand THB Russia RUB Hong Kong HKD Australia AUD Israel ILS Indonesia IDR Saudi Arabia SAR Foreign Exchange Rates - H.10 - Total Trade Weights

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