Bloomberg Announces Updates to Currency Index Methodologies

NEW YORK, Dec. 22, 2016 /PRNewswire/ -- Bloomberg today announced the composition and 2017 weights for the Bloomberg Dollar Spot Index, as well as changes to the rebalance schedule of its Euro and British Pound indices.

The Bloomberg Dollar Spot Index tracks the performance of a basket of the leading global currencies versus the U.S. dollar, and represents developed and emerging market currencies that have the highest liquidity in the currency markets and the biggest trade flows with the U.S.

Target weights of index components for 2017, as well as their comparative weights in 2016, are provided in the table below. Indian Rupee (INR) will be included in the index this year with target weight of 2.09%, while Brazilian Real (BRL) will exit the index.

The Index rebalances once a year to capture the most important trading partners of the U.S. as reported by the Federal Reserve and the triennial survey of the most liquid currencies as reported by the Bank of International Settlements. Currencies pegged to the U.S. dollar are excluded and currencies heavily managed have their exposure capped. Weights of the Index are determined in accordance with the rules described in the index methodology.

Through its updated composition of diversified currencies that are important from trade and liquidity perspectives, Bloomberg Dollar Spot Index provides a better measure of the U.S. dollar compared to indices that do not update their composition and are comprised of a handful of currencies with concentrated weights.

Users of the Bloomberg Professional service can view Bloomberg Dollar Spot index data on the Terminal by typing BDXY<GO>.

Bloomberg Euro and British Bound Index Update

Bloomberg has also revised the rebalancing schedules of its Euro and British Pound indices, to allow reflection of a full year's trade data from underlying sources in the index construction.  From 2017, the rebalance schedules are adjusted to the last business day in June each year, in lieu of year-end rebalances.

Weights of the Index are determined in accordance with the rules described in the index methodology.  Users of the Bloomberg Professional service can view currency index data on the Terminal by typing IN<GO>.

More information on Bloomberg's Currency Indices is available at https://www.bloombergindices.com/currency

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SOURCE Bloomberg

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