From ANZ Research on the new RMB basket

In brief:

  • The weighting of the USD (including USD-pegged currencies), EUR, and JPY will be reduced by 2.41, 5.05, and 3.15 percentage points, respectively. Meanwhile, the weighting of EM currencies will be raised by 12.39 percentage points to 28.54%. ·
  • Given a higher weighting of inherently volatile EM currencies, we expect higher volatility in the USD/CNY fixing and spot rate, with uncertainty in US policy (particularly US-China relations) already likely to boost volatility in 2017.·
  • Also, upward pressure on USD/CNY may intensify in 2017 if EM currencies come under selling pressure amid USD strength as we expect.

-

I posted on the new basket yesterday (Ryan had the initial info in late December): China - Yuan basket increased from 13 to 24 currencies on January 1 this year