BLOOMBERG DOLLAR SPOT INDEX 2016 REBALANCE

BLOOMBERG DOLLAR SPOT INDEX 2016 REBALANCE

2016 REBALANCE OVERVIEW 2016 WEIGHTS Euro No currencies added or deleted in 2016 3.4% 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

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

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 -0.014% Australian Dollar -0.016% Canadian Dollar -0.017% Brazil Real -0.063% Japanese Yen -0.296%

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

CURRENCY RANKINGS LIQUIDITY: BIS TRIENNIAL SURVEY (2013) Currency Percentage Share Rank EUR 33.41192 1 JPY 23.03742 2 GBP 11.80972 3 AUD 8.63847 4 CHF 5.154265 5 CAD 4.567056 6 MXN 2.53116 7 CNY 2.237096 8 NZD 1.959659 9 SEK 1.763845 10 RUB 1.597392 11 HKD 1.448896 12 NOK 1.435516 13 SGD 1.39594 14 TRY 1.315276 15 KRW 1.201133 16 ZAR 1.11476 17 BRL 1.107047 18 INR 0.987233 19 DKK 0.783316 20 Triennial Central Bank Survey TRADE WEIGHTS: FEDERAL RESERVE H.10 (2015) Country or Region Currency Trade Weight Rank China CNY 21.562 1 Euro area EUR 16.638 2 Canada CAD 12.664 3 Mexico MXN 12.119 4 Japan JPY 6.462 5 Korea KRW 3.929 6 United Kingdom GBP 3.322 7 Taiwan TWD 2.387 8 Brazil BRL 2.052 9 India INR 1.991 10 Switzerland CHF 1.804 11 Singapore SGD 1.665 12 Malaysia MYR 1.536 13 Thailand THB 1.381 14 Russia RUB 1.37 15 Hong Kong HKD 1.328 16 Australia AUD 1.23 17 Israel ILS 1.01 18 Indonesia IDR 1.007 19 Saudi Arabia SAR 0.957 20 Foreign Exchange Rates - H.10 - Total Trade Weights

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