New Zealand's International Reserves and Foreign Currency Liquidity

30 Jun 2004

(Information is disclosed in NZD 000's)

I. Official reserve assets and other foreign currency assets (approximate market value)

A. Official reserve assets

7,283,259

(1) Foreign currency reserves (in convertible foreign currencies)

4,193,690

(a) Securities

3,848,008

of which: issuer headquartered in reporting country but located abroad

(b) total currency and deposits with:

345,683

(i) other national central banks, BIS and IMF

318,426

(ii) banks headquartered in the reporting country

of which: located abroad

(iii) banks headquartered outside the reporting country

27,257

of which: located in the reporting country

(2) IMF reserve position

812,700

(3) SDRs

48,295

(4) gold (including gold deposits and, if appropriate, gold swapped)

-volume in fine troy ounces

(5) other reserve assets

2,228,574

-financial derivatives

14,636

-loans to non-bank non-residents

-other

2,213,938

B. Other foreign currency assets

272,785

-securities not included in official reserve assets

79,561

-deposits not included in official reserve assets

98,935

-loans not included in official reserve assets

-financial derivatives not included in official reserve assets

94,289

-gold not included in official reserve assets

-other

II. Predetermined short-term net drains on foreign currency assets (nominal value)

Maturity breakdown (residual maturity)

Total

Up to 1 month

More than 1 and up to 3 months

More than 3 months and up to 1 year

1. Foreign currency loans, securities, and deposits

-outflows (-)

Principal

(1,663,982)

(413,845)

(312,438)

(937,699)

Interest

(164,089)

(4,611)

(6,217)

(153,261)

-inflows (+)

Principal

Interest

2. Aggregate short and long positions in forwards and futures in foreign currencies vis-à-vis the domestic currency (including the forward leg of currency swaps)

(a) Short positions ( - )

(4,712,880)

(1,447,122)

(2,613,214)

(652,544)

(b) Long positions (+)

2,753,431

727,058

1,481,777

544,596

3. Other (specify)

-outflows related to repos (-)

-inflows related to reverse repos (+)

-trade credit (-)

-trade credit (+)

-other accounts payable (-)

-other accounts receivable (+)

III. Contingent short-term net drains on foreign currency assets (nominal value)

Maturity breakdown (residual maturity, where applicable)

Up to 1 month

More than 1 and up to 3 months

More than 3 months and up to 1 year

Total

1. Contingent liabilities in foreign currency

(a) Collateral guarantees on debt falling due within 1 year

(b) Other contingent liabilities

2. Foreign currency securities issued with embedded options (puttable bonds)

3. Undrawn, unconditional credit lines provided by:

(a) other national monetary authorities, BIS, IMF, and other international organisations

-other national monetary authorities (+)

-BIS (+)

157,233

157,233

-IMF (+)

(b) banks and other financial institutions headquartered in the reporting country (+)

(c) banks and other financial institutions headquartered outside the reporting country (+)

Undrawn, unconditional credit lines provided to:

(a) other national monetary authorities, BIS, IMF, and other international organisations

-other national monetary authorities (-)

-BIS (-)

-IMF (-)

(b) banks and other financial institutions headquartered in reporting country (- )

(c) banks and other financial institutions headquartered outside the reporting country ( - )

4. Aggregate short and long positions of options in foreign currencies vis-à-vis the domestic currency

(a) Short positions

(i) Bought puts

(ii) Written calls

(b) Long positions

(i) Bought calls

(ii) Written puts

PRO MEMORIA: In-the-money options

(1) At current exchange rates

(a) Short position

(b) Long position

(2) + 5 % (depreciation of 5%)

(a) Short position

(b) Long position

(3) - 5 % (appreciation of 5%)

(a) Short position

(b) Long position

(4) +10 % (depreciation of 10%)

(a) Short position

(b) Long position

(5) - 10 % (appreciation of 10%)

(a) Short position

(b) Long position

(6) Other (specify)

(a) Short position

(b) Long position

IV. Memo items

(1) To be reported with standard periodicity and timeliness:

(a) short-term domestic currency debt indexed to the exchange rate

(b) financial instruments denominated in foreign currency and settled by other means (e.g., in domestic currency)

-non-deliverable forwards

-short positions

-long positions

-other instruments

(c) pledged assets

-included in reserve assets

-included in other foreign currency assets

(d) securities lent and on repo

-lent or repoed and included in Section I

(1,158,722)

-lent or repoed but not included in Section I

-borrowed or acquired and included in Section I

2,174,619

-borrowed or acquired but not included in Section I

(e) financial derivative assets (net, marked to market)

-forwards

(218)

-futures

3,940

-swaps

105,378

-options

-other

(f) derivatives (forward, futures, or options contracts) that have a residual maturity greater than one year, which are subject to margin calls.

-aggregate short and long positions in forwards and futures in foreign currencies vis-à-vis the domestic currency (including the forward leg of currency swaps)

(a) short positions ( - )

(b) long positions (+)

(f) derivatives (forward, futures, or options contracts) that have a residual maturity greater than one year, which are NOT subject to margin calls. - per requirements in paragraph 244 of guidelines.

(a) short positions ( - )

(1,313,214)

(b) long positions (+)

-aggregate short and long positions of options in foreign currencies vis-à-vis the domestic currency

(a) short positions

(i) bought puts

(ii) written calls

(b) long positions

(i) bought calls

(ii) written puts

(2) To be disclosed less frequently:

(a) currency composition of reserves (by groups of currencies)

-currencies in SDR basket

6,184,225

-currencies not in SDR basket

1,099,034

Memo Item Notes

Note 1 - Item IV(1)(f) - No Futures data has been included in Derivatives with a residual maturity greater than one and subject to margin calls since there are no known predetermined flows.

At 30 June 2004 an open position in EUROUSD3M contracts (with residual maturity over 12 months) with a nominal value of 408m USD was outstanding.

Note 2 - The template requires the disclosure of the key characteristics of internal models used to calculate the market values of financial derivatives.

Apart from Futures all future cash flows are discounted back to the reference date using curves generated from market information. For Futures actual market prices are utilised.