BLOOMBERG DOLLAR INDEX 2018 REBALANCE

Transcription

1 BLOOMBERG DOLLAR INDEX 2018 REBALANCE

2 2018 REBALANCE HIGHLIGHTS Euro maintains largest weight 2018 BBDXY WEIGHTS Euro Canadian dollar largest percentage weight decrease Swiss franc has largest percentage weight increase Mexican peso s weight continues to increase (2007: 6.98% to 2018: 10.04%) 5.1% 3.7% 4.5% 10.5% 10.0% 11.4% 3.0% 2.1% 31.5% 18.0% Japanese Yen Canadian Dollar Mexican Peso British Pound Australian Dollar Swiss Franc South Korean Won Chinese Renminbi Indian Rupee

3 STEPS TO COMPUTE 2018 MEMBERS & WEIGHTS Fed Reserve s Trade Data BIS Liquidity Survey Remove pegged currencies to USD Remove currency positions under 2% Set Cap exposure to Chinese Renminbi to 3% Average liquidity & trade weights Bloomberg Dollar Index Members & Weights

4 2018 TARGET WEIGHTS- BLOOMBERG DOLLAR INDEX Currency Name Currency Ticker 2018 Target Weight 2017 Target Weights Difference Euro EUR 31.52% 31.56% -0.04% Japanese Yen JPY 18.04% 17.94% 0.10% Canadian Dollar CAD 11.42% 11.54% -0.12% British Pound GBP 10.49% 10.59% -0.10% Mexican Peso MXN 10.05% 9.95% 0.09% Australian Dollar AUD 5.09% 5.12% -0.03% Swiss Franc CHF 4.51% 4.39% 0.12% South Korean Won KRW 3.73% 3.81% -0.08% Chinese Renminbi CNH 3.00% 3.00% 0.00% Indian Rupee INR 2.14% 2.09% 0.06%

5 GEOGRAPHIC DISTRIBUTION OF MEMBER CURRENCIES GLOBAL 21.47% 32.01% 46.53% Americas Asia/Pacific EMEA APAC EMEA AMER 9.37% 6.70% Japanese Yen 9.70% 11.67% 15.90% 56.36% Australian Dollar South Korean Won Chinese Renminbi Indian Rupee 22.56% 67.74% Euro British Pound Swiss Franc 46.80% 53.20% Canadian Dollar Mexican Peso

6 HISTORICAL TARGET WEIGHTS OF BBDXY 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Indian Rupee Brazilian Real New Taiwan Dollar Singapore Dollar Swedish Krona Chinese Renminbi South Korean Won Australian Dollar Swiss Franc Mexican Peso British Pound Canadian Dollar Japanese Yen Euro

7 CURRENCY RANKINGS LIQUIDITY: BIS TRIENNIAL SURVEY (2017) Currency Share Ranking EUR JPY GBP AUD CAD CHF CNY SEK NZD MXN SGD HKD NOK KRW TRY RUB INR BRL ZAR DKK Triennial Central Bank Survey TRADE WEIGHTS: FEDERAL RESERVE (2017) Country or Region Currency Trade Weight Ranking China CNY Euro area EUR Mexico MXN Canada CAD Japan JPY Korea KRW United Kingdom GBP Taiwan TWD Switzerland CHF India INR Brazil BRL Singapore SGD Malaysia MYR Thailand THB Hong Kong HKD Australia AUD Isreal ILS Indonesia IDR Russia RUB Saudi Arabia SAR Foreign Exchange Rates - H.10 - Total Trade Weights

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