New Zealand's International Reserves and Foreign Currency Liquidity

30 Sep 2006
*(Information is disclosed in NZD 000's)*


I.	Official reserve assets and other foreign currency assets (approximate market value)
A.	Official reserve assets		18,406,236
	(1) Foreign currency reserves (in convertible foreign currencies)		10,590,098
		(a) Securities	9,845,480
		of which: issuer headquartered in reporting country but located abroad	0
		(b) total currency and deposits with:	744,618
		(i) other national central banks, BIS and IMF	541,911
		(ii) banks headquartered in the reporting country	0
		of which: located abroad	0
		(iii) banks headquartered outside the reporting country	202,706
		of which: located in the reporting country	0
	(2) IMF reserve position		232,795
	(3) SDRs		51,944
	(4) gold (including gold deposits and, if appropriate, gold swapped)		0
		volume in fine troy ounces	0
	(5) other reserve assets		7,531,400
		financial derivatives	429,862
		loans to non-bank non-residents	0
		other	7,101,537
B.	Other foreign currency assets		402,373
	securities not included in official reserve assets		38,579
	deposits not included in official reserve assets		117,254
	oans not included in official reserve assets		0
	financial derivatives not included in official reserve assets		246,540
	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		-951,359	-499,589	-403,601	-48,169
	outflows	Principal (-)	-857,994	-489,572	-368,422	0
		Interest (-)	-93,365	-10,017	-35,179	-48,169
	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 ( - )		-19,017,820	-7,859,782	-7,944,301	-3,213,737
	(b) Long positions (+)		7,498,010	3,901,471	3,567,203	29,336
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
	(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
	(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	0	0	0	0
	(b) Long positions		0	0	0	0
		(i) Bought calls	0	0	0	0
		(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	0	0	0	0
		(b) Long position	0	0	0	0
	(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	-



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
		non-deliverable forwards	0
		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		5,733,676
		lent or repoed and included in Section I	-666,970
		lent or repoed but not included in Section I	-574,394
		borrowed or acquired and included in Section I	6,975,040
		borrowed or acquired but not included in Section I	0
	(e) financial derivative assets (net, marked to market)		683,520
		forwards	287,793
		futures	26
		swaps	395,701
		options	0
		other	0
	(f) derivatives (forward, futures, or options contracts) that have a residual maturity greater than one year, which are subject to margin calls.		0
		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 ( – )		0
	(b) long positions (+)		0
	(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.		0
	(a) short positions ( – )		-4,204,143
	(b) long positions (+)		0
		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)		18,406,236
		currencies in SDR basket	12,890,392
		currencies not in SDR basket	5,515,844

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 September 2006 an open position in EUROUSD3M contracts (with residual maturity over 12 months) with a nominal value of 10m 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 include ABF 2.
Note 4 - Securities lent under 'securities lending agent arrangements' are recorded in Item IV (1)(d) - lent or repoed and included in Section 1 (as the securities are liquid and available on demand).

Last updated 18 June 2007
Source: Reserve Bank of New Zealand and New Zealand Treasury