Bloomberg Publishes Updated Currency Index Methodologies

Bloomberg Dollar Spot Index now provides a better measure of global currencies against the US dollar.

Bloomberg, the global business financial information and news provider, today announced the composition and 2017 weights for the Bloomberg Dollar Spot Index, together with changes to the rebalance schedule of its euro and British pound indices.

Global Currencies vs USD

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

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Target weights of index components for 2017, together with their comparative weights in 2016, are shown in the table below, courtesy of Bloomberg. The Indian rupee (INR) will be included in the index this year with a target weight of 2.09%, while the Brazilian real (BRL) will exit the index.

bloomberg-chart-1

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The index rebalances once a year to capture the most important trading partners of the US 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 USD are excluded and currencies heavily managed have their exposure capped.

More Accurate Measure

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

Bloomberg Euro and British Pound 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.

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