IMF Modifies Rounding Methodology for Determining Currency Amounts in the SDR Basket and Publishes Illustrative Currency Amounts for the New Valuation Period

IMF News, July 25, 2016

Source details

Canonical URL

IMF Modifies Rounding Methodology for Determining Currency Amounts in the SDR Basket and Publishes Illustrative Currency Amounts for the New Valuation Period

Other formats

• Markdown version
• Structured JSON version
• Bundle manifest

Bibliographic details

• Published: July 25, 2016

Executive decision and rounding methodology

• On July 20, 2016, the IMF Executive Board adopted a decision amending the rounding methodology for determining currency amounts in the Special Drawing Right (SDR) basket to make it less complex and to more closely align the currency weights with those approved by the IMF Executive Board.
• The Board decision was taken on a lapse-of-time basis.
• Key features of the amended methodology:
  • Currency amounts will be rounded to five significant digits based on the sixth significant digit.
  • If necessary to ensure the same value on the transition date of the old and new SDR in terms of the U.S. dollar (same value), an adjustment will be made to the amount of the U.S. dollar (the currency against which the values of the other SDR basket currencies are determined).
  • In the unlikely event that calculations do not yield the same value for the SDR in five significant digits, the same steps will be followed but rounding will be to six significant digits based on the seventh significant digit.
  • The amended methodology eliminates the complex iterative rounding procedure used under the previous methodology, making currency amount calculations easier to replicate for SDR users and market participants.
• The calculated currency amounts will ensure that, on the last business day before the new SDR basket enters into effect (transition date), the value of the SDR in U.S. dollar terms is the same as the value of the prevailing SDR. Moreover, the methodology ensures that the weight of each SDR basket currency, evaluated at the average exchange rates for the three-month period ending on the transition date, corresponds to the weight approved by the IMF Executive Board at the time of concluding the SDR Valuation Review (Press Release No. 15/543).

Illustrative currency amounts and publication schedule

• The new SDR basket (effective October 1, 2016) comprises five currencies: U.S. dollar, euro, Chinese renminbi, Japanese yen, and pound sterling (decision concluded November 30, 2015).
• Final currency amounts for the new valuation period will be determined and published on September 30, 2016 (transition date), based on exchange rates from July 1, 2016 through September 30, 2016.
• The IMF publishes illustrative currency amounts in the lead up to the transition date to assist SDR users:
  • Illustrative currency amounts were published based on exchange rates for the three-month period up to July 25, 2016.
  • Updated illustrative currency amounts will be published on a weekly basis every Monday through September 26 (except for one publication on Tuesday September 6, as September 5 is an IMF holiday).
  • Final currency amounts to be published on September 30, 2016.

Illustrative currency amounts and related figures (based on exchange rates for the three-month period up to July 25, 2016)

• Currency percentage weights and values (as presented):
  • U.S. dollar
  • Percentage weight: 41.73
  • Base Period Average Exchange Rates (BEX): 1
  • Transition Date Exchange Rates (TEX) on July 25, 2016: 0.58545
  • Illustrative Currency Amounts: 0.585450
  • Euro
  • Percentage weight: 30.93
  • BEX: 1.12234
  • TEX on July 25, 2016: 1.0989
  • Illustrative Currency Amounts: 0.38662
  • U.S. Dollar Equivalents on July 25, 2016: 0.424857
  • Chinese yuan
  • Percentage weight: 10.92
  • BEX: 0.151498
  • TEX on July 25, 2016: 0.149530
  • Illustrative Currency Amounts: 1.0112
  • U.S. Dollar Equivalents on July 25, 2016: 0.151205
  • Japanese yen
  • Percentage weight: 8.33
  • BEX: 0.00939707
  • TEX on July 25, 2016: 0.00940822
  • Illustrative Currency Amounts: 12.436
  • U.S. Dollar Equivalents on July 25, 2016: 0.117001
  • Pound sterling
  • Percentage weight: 8.09
  • BEX: 1.40700
  • TEX on July 25, 2016: 1.3131
  • Illustrative Currency Amounts: 0.080665
  • U.S. Dollar Equivalents on July 25, 2016: 0.105921
• SDR value:
  • SDR1 = US$ 1.384434 (value in U.S. dollars of one SDR, rounded to six significant digits)
• Adjustment note:
  • An adjustment of 0.00001 was applied to the U.S. dollar currency amount to meet the equality condition. (See Currency Amounts in the SDR Basket - Proposed Changes to the Rounding Methodology (July 13, 2016) for details of calculation and rounding of currency amounts.)
• Source for table figures: IMF Finance Department

Background and operational implications

• Currency amounts refer to the number of units of each currency in the SDR basket and are central to the daily valuation of the SDR.
• Currency amounts are determined on the transition date and remain fixed over the five year SDR valuation period.
• Each business day during the valuation period, the value of the SDR (in U.S. dollars) is calculated as the sum of the currency amounts, valued at daily exchange rates of the currencies against the U.S. dollar.

Source: IMF Finance Department

References

• Special Drawing Rights (SDRs) -- A Factsheet
• Press Releases
• PRESS CENTER
• Currency Amounts in the New SDR Basket
• Currency Amounts in the SDR Basket - Proposed Changes to the Rounding Methodology
• Q&As on the New SDR Basket that Comes into Effect October 1, 2016
• Illustrative Currency Amounts in New Special Drawing Right (SDR) Basket
• Press Release No. 15/543
• Press Release No. 15/540
• Currency Amounts in the SDR Basket - Proposed Changes to the Rounding Methodology
• https://www.imf.org/en/home