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How do the Morgan Stanley Foreign Exchange (MSFXSM) Indices work?

April 26, 2017foreign exchange indices Morgan msfxsm Stanley

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How do the Morgan Stanley Foreign Exchange (MSFXSM) Indices work?

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These total return indices (USD, EUR and GBP) aim to reflect the daily change in the rate of exchange between a single currency position against the base currency, plus, in the case of G-10 currencies, the overnight interest rate differential. There is also a collateral yield based on the risk free rate. Exposures offered include G-10 currency pairs and two Emerging Market currencies the Chinese Yuan (CNY) and Indian Rupee (INR) versus the USD.