New Zealand's International Reserves and Foreign Currency Liquidity

30 Nov 2011
*(Information is disclosed in NZD 000's)*


I.	Official reserve assets and other foreign currency assets (approximate market value)
A.	Official reserve assets		25,816,445
	(1) Foreign currency reserves (in convertible foreign currencies)		19,235,477
		(a) Securities	12,625,151
		of which: issuer headquartered in reporting country but located abroad	0
		(b) total currency and deposits with:	6,610,326
		(i) other national central banks, BIS and IMF	6,601,035
		(ii) banks headquartered in the reporting country	0
		of which: located abroad	0
		(iii) banks headquartered outside the reporting country	9,291
		of which: located in the reporting country	0
	(2) IMF reserve position		612,533
	(3) SDRs		1,681,564
	(4) gold (including gold deposits and, if appropriate, gold swapped)		0
		volume in fine troy ounces	0
	(5) other reserve assets		4,286,871
		financial derivatives	627,855
		loans to non-bank non-residents	0
		other	3,659,016
B.	Other foreign currency assets		2,203,321
	securities not included in official reserve assets		827,283
	deposits not included in official reserve assets		94,587
	loans not included in official reserve assets		0
	financial derivatives not included in official reserve assets		1,281,451
	gold not included in official reserve assets		0
	other		0


II.	Predetermined short-term net drains on foreign currency assets (nominal value)
				Maturity breakdown
				(residual maturity)
					More than	More than 3
				Up to 1	1 and up to	months and
			Total	month	3 months	up to 1 year
1.	Foreign currency loans, securities, and deposits		-1,992,285	-1,303,847	0	-688,438
	outflows	Principal (-)	-1,965,937	-1,303,726	0	-662,211
		Interest (-)	-26,348	-121	0	-26,227
	inflows	Principal (+)	0	0	0	0
		Interest (+)	0	0	0	0
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 ( - )		-16,593,728	-5,970,257	-7,303,073	-3,320,398
	(b) Long positions (+)		4,430,252	960,237	1,673,085	1,796,930
3.	Other (specify)
	outflows related to repos (-)		0	0	0	0
	inflows related to reverse repos (+)		0	0	0	0
	trade credit (-)		0	0	0	0
	trade credit (+)		0	0	0	0
	other accounts payable (-)		0	0	0	0
	other accounts receivable (+)		0	0	0	0



III.	Contingent short-term net drains on foreign currency assets (nominal value)
			Maturity breakdown
			(residual maturity, where applicable)
					More than	More than 3
				Up to 1	1 and up to	months and
			Total	month	3 months	up to 1 year
1.	Contingent liabilities in foreign currency		0	0	0	0
	(a) Collateral guarantees on debt falling due within 1 year		0	0	0	0
	(b) Other contingent liabilities		0	0	0	0
2.	Foreign currency securities issued with embedded options (puttable bonds)		0	0	0	0
3.	Undrawn, unconditional credit lines provided by:		0	0	0	0
	(a) other national monetary authorities, BIS, IMF, and other international organisations		0	0	0	0
		other national monetary authorities (+)	0	0	0	0
		BIS (+)	0	0	0	0
		IMF (+)	0	0	0	0
		other international organisations (+)
	(b) banks and other financial institutions headquartered in the reporting country (+)		0	0	0	0
	(c) banks and other financial institutions headquartered outside the reporting country (+)		0	0	0	0
3.	Undrawn, unconditional credit lines provided to:		0	0	0	0
	(a) other national monetary authorities, BIS, IMF, and other international organisations		0	0	0	0
		other national monetary authorities (-)	0	0	0	0
		BIS (-)	0	0	0	0
		IMF (-)	0	0	0	0
		other international organisations (-)
	(b) banks and other financial institutions headquartered in reporting country (- )		0	0	0	0
	(c) banks and other financial institutions headquartered outside the reporting country ( - )		0	0	0	0
4.	Aggregate short and long positions of options in foreign currencies vis-à-vis the domestic currency		0	0	0	0
	(a) Short positions		0	0	0	0
		(i) Bought puts	0	0	0	0
		(ii) Written calls	-12,011	-2,103	-3,181	-6,727
	(b) Long positions		0	0	0	0
		(i) Bought calls	10,303	1,315	4,488	4,500
		(ii) Written puts	0	0	0	0
	PRO MEMORIA: In-the-money options
	(1) At current exchange rates		0	0	0	0
		(a) Short position	-8,916	-2,103	-1,307	-5,506
		(b) Long position	7,208	1,315	2,614	3,279
	(2) + 5 % (depreciation of 5%)		0	0	0	0
		(a) Short position	0	0	0	0
		(b) Long position	0	0	0	0
	(3) - 5 % (appreciation of 5%)		0	0	0	0
		(a) Short position	0	0	0	0
		(b) Long position	0	0	0	0
	(4) +10 % (depreciation of 10%)		0	0	0	0
		(a) Short position	0	0	0	0
		(b) Long position	0	0	0	0
	(5) - 10 % (appreciation of 10%)		0	0	0	0
		(a) Short position	0	0	0	0
		(b) Long position	0	0	0	0
	(6) Other (specify)		0	0	0	0
		(a) Short position	0	0	0	0
		(b) Long position	0	0	0	0



IV.	Memo items
1.	To be reported with standard periodicity and timeliness:
	(a) short-term domestic currency debt indexed to the exchange rate		0
	(b) financial instruments denominated in foreign currency and settled by other means (e.g., in domestic currency)		0
		derivatives (forwards, futures,or options contracts)
		short positions	0
		long positions	0
		other instruments	0
	(c) pledged assets		0
		included in reserve assets	0
		included in other foreign currency assets	0
	(d) securities lent and on repo		2,900,112
		lent or repoed and included in Section I	-611,511
		lent or repoed but not included in Section I	0
		borrowed or acquired and included in Section I	3,511,623
		borrowed or acquired but not included in Section I	0
	(e) financial derivative assets (net, marked to market)		1,909,305
		forwards	104,847
		futures	0
		swaps	1,803,931
		options	527
		other	0
	(f) derivatives (forward, futures, or options contracts) that have a residual maturity greater than one year, which are subject to margin calls.		-8,093,934
		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)	0
	(a) short positions ( – )		-10,524,182
	(b) long positions (+)		2,430,248
		aggregate short and long positions of options in foreign currencies vis-à-vis the domestic currency	0
	(a) short positions		0
		(i) bought puts	0
		(ii) written calls	0
	(b) long positions		0
		(i) bought calls	0
		(ii) written puts	0
2.	(2) To be disclosed less frequently:
	(a) currency composition of reserves (by groups of currencies)		25,816,444
		currencies in SDR basket	24,730,117
		currencies not in SDR basket	1,086,327

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 November 2011 an open position in EUROUSD3M contracts (with residual maturity over 12 months) with a nominal value of 0m 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.
Note 3: - Item IV(2)(a) - currencies not in SDR basket includes ABF2.


Last updated 23 December 2011
Source: Reserve Bank of New Zealand and New Zealand Treasury