BLOOMBERG
DOLLAR INDEX
2017 REBALANCE
2017 REBALANCE HIGHLIGHTS
•
Indian rupee added
•
Brazilian real removed
2017 BBDXY WEIGHTS
Euro
3.0%
•
•
3.8%
Euro maintains largest weight
Australian dollar largest percentage weight
decrease
Japanese Yen
2.1%
Canadian Dollar
4.4%
5.1%
Mexican Peso
31.6%
10.6%
Australian Dollar
10.0%
•
•
British pound largest percentage weight increase
Mexican peso’s weight continues to increase YoY
since 2007
British Pound
11.5%
Swiss Franc
17.9%
South Korean Won
Chinese Renminbi
Indian Rupee
STEPS TO COMPUTE 2017 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
2017 TARGET WEIGHTS- BLOOMBERG DOLLAR INDEX
Currency Name
Currency Ticker
2017 Target Weight
Euro
EUR
31.56%
Japanese Yen
JPY
17.94%
Canadian Dollar
CAD
11.54%
British Pound
GBP
10.59%
Mexican Peso
MXN
9.95%
Australian Dollar
AUD
5.12%
Swiss Franc
CHF
4.39%
South Korean Won
KRW
3.81%
Chinese Renminbi
CNH
3.00%
Indian Rupee
INR
2.09%
Currency
Indian rupee
British pound
South Korean won
Mexican peso
Canadian dollar
Swiss franc
China renminbi
Euro
Japanese yen
Australian dollar
Brazil real
% Change from 2016 to 2017
*added
2.090%
1.128%
0.382%
0.084%
0.064%
0.019%
0.000%
-0.195%
-0.510%
-0.978%
*deleted
-2.083%
GEOGRAPHIC DISTRIBUTION OF MEMBER CURRENCIES
GLOBAL
Americas
21.50%
46.54%
31.96%
11.93%
9.39%
APAC
56.13%
16.02%
EMEA
AMER
EMEA
Japanese Yen
6.54%
Asia/Pacific
Australian
Dollar
South Korean
Won
Chinese
Renminbi
Indian Rupee
9.44%
Canadian
Dollar
Euro
46.30%
22.76%
67.80%
British
Pound
Swiss Franc
53.70%
Mexican Peso
HISTORICAL TARGET WEIGHTS OF BBDXY
100%
Indian Rupee
90%
Brazilian Real
80%
New Taiwan Dollar
70%
Singapore Dollar
60%
Swedish Krona
Chinese Renminbi
50%
South Korean Won
40%
Australian Dollar
30%
Swiss Franc
Mexican Peso
20%
10%
0%
British Pound
Canadian Dollar
Japanese Yen
Euro
CURRENCY RANKINGS
LIQUIDITY: BIS TRIENNIAL SURVEY (2016)
TRADE WEIGHTS: FEDERAL RESERVE H.10 (2017)
Currency
Share
Ranking
Country or Region
Currency
Trade Weight
Ranking
EUR
31.3911
1
China
CNY
21.892
1
JPY
21.62171
2
Euro area
EUR
17.056
2
GBP
12.80012
3
Mexico
MXN
12.6
3
AUD
6.874189
4
Canada
CAD
11.977
4
CAD
5.139336
5
Japan
JPY
6.281
5
CHF
4.804041
6
Korea
KRW
3.994
6
CNY
3.987705
7
United Kingdom
GBP
3.679
7
SEK
2.216743
8
Taiwan
TWD
2.317
8
NZD
2.05279
9
Switzerland
CHF
1.982
9
MXN
1.915476
10
India
INR
1.975
10
SGD
1.805479
11
Brazil
BRL
1.808
11
HKD
1.730755
12
Singapore
SGD
1.694
12
NOK
1.671953
13
Malaysia
MYR
1.59
13
KRW
1.654686
14
Thailand
THB
1.447
14
TRY
1.43699
15
Hong Kong
HKD
1.378
15
RUB
1.146153
16
Australia
AUD
1.157
16
INR
1.143721
17
Russia
RUB
1.063
17
BRL
1.00031
18
Israel
ILS
1.019
18
ZAR
0.972872
19
Indonesia
IDR
0.969
19
DKK
0.836402
20
Saudi Arabia
SAR
0.791
20
Triennial Central Bank Survey
Foreign Exchange Rates - H.10 - Total Trade Weights
Bloombergindices.com
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