The index will track the price of the dollar
against a basket of six currencies: the Australian dollar,
sterling, Canadian dollar, euro, yen and Swiss franc. CME says
these are its most frequently traded currency futures.
"When we launched our joint venture with Dow
Jones, the goal was to leverage the collective strengths of
both companies and create new index benchmarks across multiple
asset classes, as well as develop customised index products,"
said Scot Warren, CME Group’s managing director of
equity index products.
The index is currency-weighted and inversely
quoted: when the US dollar strengthens against the basket of
currencies, the index goes down, and vice versa. It is
calculated as the basket value divided by $10,000. The
weighting will reflect economic realities as indicated by
current Federal Reserve data.
Derek Sammann, CME’s managing
director of FX and interest rate products, said: "This new
contract provides an easier way for customers to more precisely
and conveniently lay off global currency risk with a single
index. Additionally, portfolio managers can dynamically hedge
their positions against the index using the six most liquid
currency contracts traded at CME."