China Foreign Exchange Trade System

29^th December 2016

As China Foreign Exchange Trade System (CFETS) newly listed 11 currencies in 2016, in order to improve the calculation and publishing mechanism and strengthen the representativeness of CFETS RMB Indices’ currency baskets, CFETS publishes the adjustment rules for CFETS RMB Indices’ currency baskets, and the first issue of adjustment will be completed on 1^st January 2017.

1. Adjustment rules for CFETS RMB Indices’ currency baskets

CFETS will annually assess the currency basket for CFETS RMB Indices from 2017 and adjust the composition of currency basket and corresponding weights according to actual situations. The adjustments to currency basket will be published at the end of that year, and will be effective on 1^st January of the next year. The first issue of adjustment will be effective on 1^st January 2017. If there occurs special circumstance for occasionally adjusting currency basket, CFETS will publish it separately.

The re-fixed baseline date for new version indices is the last trade day for China interbank FX market in that year, and the re-fixed baseline indices are the corresponding old version indices on the last trade day for China interbank FX market. CFETS will calculate the new version RMB indices from 1^st January of the next year according to the new currency basket and weights.  

2. The first issue of adjustment to currency basket and weights of CFETS RMB Indices

From 1^st January 2017, according to the sampling rule of “CNY versus FX currency pair listed on CFETS”, CFETS will add 11 currencies newly listed on CFETS in 2016. And the number of basket currencies will increase from 13 to 24. The newly increased basket currencies are South African Rand, Korean Won, the United Arab Emirates Dirham, Saudi Riyal, Hungarian Forint, Polish Zloty, Danish Krone, Swedish Krona, Norwegian Krone, Turkish Lira and Mexican Peso. The sample currency weight is calculated by international trade weights with adjustments of re-export trade factors basing on the data in 2015. The sum of the weights for newly increased currencies is 21.09%. The new basket currencies cover those of the major trade partners of China, so as to strengthen the representativeness of the currency basket. The moving trend for new version index is basically in line with the old one.

Table 1: The currency basket and weights of new version CFETS RMB Index

If necessary, CFETS will adjust the currency basket to BIS Currency Basket RMB Index and SDR Currency Basket RMB Index according to official BIS Currency Basket and SDR Currency Basket. The currency basket and weights of BIS Currency Basket RMB Index will remain unchanged in 2017. In terms of the inclusion of Chinese RMB into the SDR currency basket from 1^st October 2016, IMF has adjusted the weights of SDR Currency Basket. Accordingly, CFETS will adjust the weights of SDR Currency Basket RMB Index in 2017. The re-fixed baseline rules for SDR Currency Basket RMB Index are the same with the adjustment rules for CFETS RMB Index.