Public Announcement of China Foreign Exchange Trade System on Adjusting Currency Baskets of CFETS RMB Indices

Font size:BigMiddleSmall
Publishing date: 2019-12-31 17:00:00

In order to strength the representativeness of currency baskets of CFETS RMB Indices, China Foreign Exchange Trade System (CFETS) will adjust weights for CFETS RMB Index, and currency basket and weights for BIS Currency Basket RMB Index according to the adjustment rules for CFETS RMB Indices’ currency baskets. New version indices will be effective on 1st January 2020.

1.Adjustments to the weights for CFETS RMB Index

The weights for CFETS RMB Index are calculated by international trade weights with adjustments of re-export trade factors. The current weights are calculated by trade data on 2015. In order to strength the representativeness of CFETS RMB Index, CFETS will replace the weights with trade data on 2018. Through historical trial calculation, the operating trend between new weights and current weights for CFETS RMB index is basically consistent.

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

Currency

Weight

USD

0.2159

EUR

0.1740

JPY

0.1116

HKD

0.0357

GBP

0.0275

AUD

0.0520

NZD

0.0057

SGD

0.0282

CHF

0.0144

CAD

0.0217

MYR

0.0370

RUB

0.0365

THB

0.0298

ZAR

0.0148

KRW

0.1068

AED

0.0157

SAR

0.0216

HUF

0.0037

PLN

0.0084

DKK

0.0040

SEK

0.0058

NOK

0.0021

TRY

0.0073

MXN

0.0198

 

2. Adjustments to the currency basket and weights for BIS Currency Basket RMB Index

Bank for International Settlements (BIS) adjusted the currency basket of the effective exchange rate index in April 2019, and therefore CFETS plans to adjust the currency basket and weights for BIS Currency Basket RMB Index. Compared with the current index, the new currency basket will add Icelandic Krona and reduce Venezuelan Bolivar, respectively. The weights for new index will be the same with BIS effective exchange rate index.

Table 2: The currency basket and weights for new version BIS Currency Basket RMB Index

Currency

Weight

USD

0.196807605546305

EUR

0.180341487906990

JPY

0.119337085872547

HKD

0.009545347000566

GBP

0.030100023232646

AUD

0.013762591023056

NZD

0.002288156660129

SGD

0.029627571487147

CHF

0.014074414390102

CAD

0.020534052391550

MYR

0.021461977052835

RUB

0.014234779188439

THB

0.021525322330631

AED

0.007726583944420

ARS

0.003832921664745

BGN

0.000906653219964

BRL

0.012050618379314

CLP

0.007589438341455

COP

0.002905041182442

CZK

0.006722982818794

DKK

0.004097265334114

DZD

0.001884431374940

HRK

0.000401733441415

HUF

0.004312711927208

IDR

0.013609912681645

ILS

0.004464240559451

INR

0.025170316543314

KRW

0.087769079809287

MXN

0.025457186558152

NOK

0.003527240428385

PEN

0.002907146893037

PHP

0.008420955588068

PLN

0.009643059812242

RON

0.002595755432589

SAR

0.009053862821189

SEK

0.007192810679931

TRY

0.009107158356225

TWD

0.059407216805689

ZAR

0.005433822973667

ISK

0.000169438345375

 

3. Remain SDR Currency Basket RMB Index unchanged

The new version weights for IMF SDR currency basket remains unchanged from inclusion of Chinese RMB in the SDR currency basket on 1st October 2016, and therefore CFETS will also remain currency basket and weights for SDR Currency Basket RMB Index unchanged.

Table 3: The currency basket and weights for SDR Currency Basket RMB Index

Currency

Weight

USD

0.4685

EUR

0.3472

JPY

0.0935

HKD

0.0908

 

China Foreign Exchange Trade System

26stDecember 2019