Bloomberg US Dollar Spot Index Fact Sheet

June 28, 2024

Bloomberg US Dollar Spot Index (BBDXY)
Overview
The Bloomberg Dollar Spot Index (BBDXY) tracks the performance of a basket of leading global currencies versus the U.S. Dollar.
This document intends to provide an indicative summary of the index. Please see here for the full methodology.
The index represents both developed and emerging market currencies that have the highest liquidity in the currency markets andthe biggest trade flows with the U.S. The annually updated composition and diversified representation of currencies aims to provide
a global measure of the U.S. Dollar.

Index Summary
Rebalancing

Annual. The Index rebalances once a year on the last business day of June.

Allocation

Trade (50%) – Federal Reserve Survey of major trading partners versus the U.S. Dollar.
Liquidity (50%) – Bank for International Settlements (BIS) Triennial Central Bank Survey of Foreign exchange
turnover.

ConstituentsIndex constituents are a set of top currencies based on trading and liquidity. The weightings of index constituentsare a function of both trading and liquidity. (see Fig. 2 below).

Exclusions

Currencies pegged to the US Dollar.
Currencies with weights of less than 2%.

Exceptions

Offshore Chinese Renminbi (CNH) has its exposure capped to 7%.

Notable changes in the 2024 Rebalance•There was no change to the ranking order of currencies in the index.

•EUR remained the highest weight and increased by 0.14% to 29.28%.

•CAD, CHF, JPY, KRW, and SGD all had their weights decreased, the largest being JPY at -0.21%.

Composition

Effective after the close of June 28, 2024, see Fig.1 below.

Currency

Region2024 Weight2023 Weight

Difference

Euro

EUR

EMEA

29.28%

29.14%+0.14%

Japanese Yen

JPY

APAC

12.61%

12.82%-0.21%

Canadian Dollar

CAD

AMER

11.54%

11.55%-0.01%

British Pound Sterling

GBP

EMEA

10.19%

10.16%+0.03%

Mexican Peso

MXN

AMER

9.41%

9.31%

+0.10%

Offshore Chinese Renminbi

CNH

APAC

7.00%

7.00%

+0.00%

Swiss Franc

CHF

EMEA

4.72%

4.81%

-0.09%

Australian Dollar

AUD

APAC

4.39%

4.35%

+0.04%South Korean Won

KRW

APAC

3.26%

3.27%

-0.01%

Indian Rupee

INRAPAC

2.81%

2.73%

+0.08%

Singapore Dollar

SGD

APAC

2.52%

2.61%

-0.09%

Taiwan Dollar
Fig. 1

TWD

APAC

2.28%

2.25%

+0.03%

Bloomberg US Dollar Spot Index (BBDXY)

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Bloomberg US Dollar Spot Index Fact SheetRankings

June 28, 2024

Effective after the close of June 28, 2024.

•Liquidity ranking remained the same and will remain so until the next BIS survey due in 2025.

•Trade ranking changed slightly from 2023 with Mexico increasing to 2nd rank swapping places with Offshore Chinese
Renminbi (CNH) which dropped to 3rd.

•Swiss Franc dropped a rank to 9th and Indian Rupee gained one place from 9th to 8th, leaving all other rankings unchanged.
Currency

Region2024 Weight

Liquidity Rank *Trade Rank **

Euro

EUR

EMEA

29.28%

11Japanese Yen

JPY

APAC

12.61%

25

Canadian Dollar

CAD

AMER

11.54%

64

British Pound Sterling

GBP

EMEA

10.19%

36

Mexican Peso

MXN

AMER

9.41%

152

Offshore Chinese Renminbi

CNH

APAC

7.00%

43

Swiss Franc

CHF

EMEA

4.72%

79

Australian Dollar

AUD

APAC

4.39%

516

South Korean Won

KRWAPAC

3.26%

117Indian Rupee

INRAPAC

2.81%

148

Singapore Dollar

SGDAPAC

2.52%

912

Taiwan Dollar

TWDAPAC

2.28%

1610Fig. 2Regional Split* BIS 2022** Fed Reserve 2024

Effective after the close of June 28, 2024.

•Currencies from Asia-Pacific region constitute 34.87%, a slight decrease from 35.03% in 2023.

•This decrease was split almost evenly between a gain of +0.07% in European currencies, which remain the largest weight at44.18%, and the Americas region gain of +0.09%, comprising the Canadian dollar and Mexican peso.

BBDXY Regional split (As of June 28, 2024)
AMER,
20.95%

EMEA,
44.18%

APAC,
34.87%EMEA

Bloomberg US Dollar Spot Index (BBDXY)

APAC

AMER

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Bloomberg US Dollar Spot Index Fact Sheet

June 28, 2024

Historical Performance Effective after the close of June 28, 2024.
•The BBDXY has returned 4.67% year to date.

•Year to date, the Japanese Yen (JPY) underperformed the most against the U.S. Dollar (USD) at -12.33%.

•All currencies in the index dropped against the U.S. Dollar (USD) year to date.

Annual Returns BBDXY (by Month)
JanFebMar

AprMayJunJul

AugSepOctNovDec

AnnualReturn2005+2.32%-0.96%+1.40%+0.01%+3.01%+0.91%+0.34%-1.51%+1.51%+0.84%+1.18%-0.54%+8.73%

2006-2.13%+0.86%+0.64%-3.61%-0.93%+0.78%-0.19%-0.21%+0.97%-0.90%-1.71%+0.90%-5.50%

2007+1.10%-0.99%-0.74%-1.10%+0.61%-0.27%-1.35%-0.05%-2.97%-1.52%-0.15%+0.54%-6.74%

2008-1.68%-1.84%-1.56%+0.77%+0.15%-0.11%+0.62%+5.03%+2.81%+8.24%+1.59%-4.87%+8.86%

2009+4.97%+3.16%-2.87%-1.51%-6.04%+1.15%-2.28%+0.11%-1.78%-0.61%-2.05%+3.42%-4.76%

2010+1.17%+0.58%+0.17%+0.39%+5.09%-0.86%-4.23%+1.55%-4.39%-1.90%+3.89%-2.80%-1.79%

2011-0.83%-1.05%-0.89%-3.61%+1.69%-0.28%-1.26%+1.04%+6.61%-2.98%+2.11%+1.68%+1.83%

2012-1.88%-0.11%+0.52%-0.48%+5.01%-1.94%+0.31%-1.10%-1.41%+0.28%+0.24%+0.05%-0.70%

2013+0.16%+2.76%+0.47%-0.95%+2.70%+0.27%-1.42%+0.84%-2.18%-0.01%+0.90%-0.13%+3.34%

2014+1.19%-1.44%-0.10%-0.76%+0.27%-0.74%+1.85%+0.74%+4.03%+0.92%+2.41%+2.18%+10.95%2015+3.26%+0.38%+2.41%-2.95%+2.29%-0.94%+2.34%-0.13%+0.58%-0.33%+2.32%-0.42%+8.98%

2016+1.58%-1.79%-3.85%-1.93%+3.70%-1.40%-0.39%+0.60%-0.43%+2.15%+3.91%+0.94%+2.82%

2017-2.61%+0.41%-1.32%-0.53%-1.47%-1.24%-2.57%-0.04%+0.65%+1.76%-1.46%-0.35%-8.52%

2018-3.43%+1.42%-0.95%+1.95%+2.09%+0.90%-0.56%+0.66%+0.06%+2.30%-0.17%-1.04%+3.15%

2019-1.26%+0.77%+0.72%+0.10%+0.55%-1.60%+1.85%+0.64%+0.18%-1.89%+1.11%-2.00%-0.93%

2020+0.94%+1.14%+3.10%-0.36%-1.16%-0.68%-3.34%-1.52%+1.39%-0.41%-2.35%-2.15%-5.45%

2021+0.86%+0.48%+1.48%-1.66%-1.31%+2.13%-0.13%+0.54%+1.60%-0.40%+1.91%-0.78%+4.75%

2022+0.84%-0.24%+0.95%+4.46%-1.46%+2.72%+0.56%+2.24%+3.23%-0.24%-4.83%-1.83%+6.23%

2023-1.88%+2.57%-1.95%-0.28%+1.57%-1.05%-1.21%+1.81%+2.08%+0.82%-2.93%-2.10%-2.70%

2024+2.08%+0.46%+0.13%+1.65%-1.14%+1.45%YTD* Currency returns
Spot Returns v USD,YTD*JPY-12.33%MXN-7.35%
KRW-6.42%
CHF-6.39%
TWD-5.33%
CAD-3.19%
EUR-2.95%
SGD-2.63%
CNH-2.30%
AUD-2.08%
GBP-0.68%
INR-0.22%+4.67%

Annual Returns BBDXY+15.00%+10.00% +8.73%+10.95%+8.98%+8.86%+5.00%+1.83%+3.34%+2.82%+6.23%+4.75%+3.15%+4.67%+0.00%
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

-1.79%-5.00%-10.00%-5.50%-6.74%-0.70%-0.93%-4.76%-2.70%-5.45%-8.52%*Year to date as of, June 28, 2024

Bloomberg US Dollar Spot Index (BBDXY)

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Bloomberg US Dollar Spot Index Fact Sheet

June 28, 2024

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