Calculation Methodology of RMB Indices v1.1

1. CFETS RMB Index

CFETS RMB Index mainly refers to CFETS (China Foreign Exchange Trade System) currency basket, including CNY versus FX currency pair listed on CFETS. The sample currency weight is calculated by international trade weight with adjustments of re-export trade factors. The sample currency value refers to the daily CNY Central Parity Rate and CNY reference rate (e.g. THB). The baseline date is 31^th Dec 2014. The baseline index value is 100 points. The index is calculated by the geometric mean method.

Table 1: CFETS Currency Basket and Weights (effective from 1^st January 2017)

Currency	Weight
USD	0.2240
EUR	0.1634
JPY	0.1153
HKD	0.0428
GBP	0.0316
AUD	0.0440
NZD	0.0044
SGD	0.0321
CHF	0.0171
CAD	0.0215
MYR	0.0375
RUB	0.0263
THB	0.0291
ZAR	0.0178
KRW	0.1077
AED	0.0187
SAR	0.0199
HUF	0.0031
PLN	0.0066
DKK	0.0040
SEK	0.0052
NOK	0.0027
TRY	0.0083
MXN	0.0169

2. RMB Index based on BIS Currency Basket

RMB Index based on BIS Currency Basket mainly refers to BIS currency basket. The sample currency weight is in accordance with BIS sample currency weight. As to CNY versus FX currency pair listed on CFETS, the sample currency value refers to the daily CNY Central Parity Rate and CNY reference rate (e.g. THB). Otherwise, the sample currency value is calculated as the cross currency FX rate based on cross currency method with the daily USD Central Parity Rate and FX spot rate of this currency against USD. The baseline date is 31^th Dec 2014. The baseline index value is 100 points. The index is calculated by the geometric mean method.

Table 2: BIS Currency Basket and Weights (effective from 1^st January 2015)

Currency	Weight
USD	0.1780
EUR	0.1870
JPY	0.1410
HKD	0.0080
GBP	0.0290
AUD	0.0150
NZD	0.0020
SGD	0.0270
CHF	0.0140
CAD	0.0210
MYR	0.0220
RUB	0.0180
THB	0.0210
AED	0.0070
ARS	0.0040
BGN	0.0010
BRL	0.0140
CLP	0.0090
COP	0.0030
CZK	0.0070
DKK	0.0040
DZD	0.0010
HRK	0.0010
HUF	0.0040
IDR	0.0130
ILS	0.0040
INR	0.0220
KRW	0.0850
MXN	0.0230
NOK	0.0040
PEN	0.0030
PHP	0.0070
PLN	0.0090
RON	0.0020
SAR	0.0100
SEK	0.0080
TRY	0.0080
TWD	0.0560
VEF	0.0020
ZAR	0.0060

3. RMB Index based on SDR Currency Basket

RMB Index based on SDR Currency Basket mainly refers to SDR currency basket. The sample currency weight is calculated as the relative weights in SDR currency basket. The sample currency value refers to the daily CNY Central Parity Rate. The baseline date is 31^th Dec 2014. The baseline index value is 100 points. The index is calculated by the geometric mean method.

Table 3: SDR Currency Basket and Weights (effective from 1^st January 2017)

Currency	Weight
USD	0.4685
EUR	0.3472
JPY	0.0935
GBP	0.0908

4. Publishing Frequency

In terms of trade days in China Inter-bank FX market, CFETS publishes the indices of the last trade day of last week at 08:30 on the first trade day of this week, and publishes the indices of last trade day of last month at 08:30 on the first trade day of this month. The official publishing channel of indices data is CHINAMONEY website.