14 Mar 2016
Yuan: Mysteries of the fix revealed - ANZ
ANZ has modified its CNY fixing model after clarifications from CFETS around how the daily fix is calculated.
Key Quotes
"Based on our model, the fixings are heavily weighted towards changes in the EUR, JPY and GBP – given the high weights these currencies have in all three baskets (39.9% in CFETS, 35.7% in BIS and 58.1% in SDR)."
"Oil prices now have an indirect effect on the fixing via its impact on oil sensitive currencies in the basket, such as CAD, RUB, MYR, MXN and NOK. If we include the wider commodity linked currencies (eg AUD and NZD), then they make up 18.5% of the CFETS and 12.5% of the BIS baskets."
Key Quotes
"Based on our model, the fixings are heavily weighted towards changes in the EUR, JPY and GBP – given the high weights these currencies have in all three baskets (39.9% in CFETS, 35.7% in BIS and 58.1% in SDR)."
"Oil prices now have an indirect effect on the fixing via its impact on oil sensitive currencies in the basket, such as CAD, RUB, MYR, MXN and NOK. If we include the wider commodity linked currencies (eg AUD and NZD), then they make up 18.5% of the CFETS and 12.5% of the BIS baskets."