International Reserves and Foreign Currency Liquidity

About International Reserves and Foreign Currency Liquidity

International Reserves
by Reporting Country

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Time Series Data for EUROPEAN CENTRAL BK. (U.S. Dollars)

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EUROPEAN CENTRAL BK.	Last Updated: April 4, 2016
International Reserves and Foreign Currency Liquidity

(Information to be disclosed by the monetary authorities and other central government, excluding social security) ^1,2,3

Contents

Country Notes

Official reserve assets and other foreign currency assets

Predetermined short-term net drains on foreign currency assets

Contingent short-term net drains on foreign currency assets

Memo items


Current Data: In Millions of US Dollars (end of period)

I. Official reserve assets and other foreign currency assets (approximate market value) ⁴


	February 2016
A. Official reserve assets	75,150.06
(1) Foreign currency reserves (in convertible foreign currencies)	53,274.98
(a) Securities	45,856.99
of which: issuer headquartered in reporting country but located abroad	0.00
(b) total currency and deposits with:	7,417.99
(i) other national central banks, BIS and IMF	5,778.26
(ii) banks headquartered in the reporting country	26.13
of which: located abroad
(iii) banks headquartered outside the reporting country	1,613.60
of which: located in the reporting country
(2) IMF reserve position	0.00
(3) SDRs	776.31
(4) gold (including gold deposits and, if appropriate, gold swapped)⁵	19,918.51
-volume in millions of fine troy ounces	16.23
(5) other reserve assets (specify)	1,181.35
-financial derivatives	-43.55
-loans to nonbank nonresidents	1,224.90
-other	0.00
B. Other foreign currency assets (specify)	2,004.48
-securities not included in official reserve assets	0.00
-deposits not included in official reserve assets	2,067.63
-loans not included in official reserve assets	0.00
-financial derivatives not included in official reserve assets	-64.24
-gold not included in official reserve assets	0.00
-other	0.00


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 ⁶		0.00	0.00	0.00	0.00
-outflows (-)	Principal	0.00	0.00	0.00	0.00
	Interest	0.00	0.00	0.00	0.00
-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) ⁷
(a) Short positions ( - )		-2,128.60	-446.41	-1,243.41	-438.79
(b) Long positions (+)		2,013.19	420.28	1,174.82	418.10
3. Other (specify)		-87.10	-87.10	0.00	0.00
-outflows related to repos (-)		-87.10	-87.10	0.00	0.00
-inflows related to reverse repos (+)
-trade credit (-)
-trade credit (+)
-other accounts payable (-)		0.00	0.00
-other accounts receivable (+)		0.00	0.00


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


		Maturity breakdown (residual maturity, where applicable)
	Total	Up to 1 month	More than 1 and up to 3 months	More than 3 months and up to 1 year
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) ⁸
3. Undrawn, unconditional credit lines⁹ provided by:
(a) other national monetary authorities, BIS, IMF, and other international organizations
-other national monetary authorities (+)
-BIS (+)
-IMF (+)
-other international organizations (+)
(b) with banks and other financial institutions headquartered in the reporting country (+)
(c) with banks and other financial institutions headquartered outside the reporting country (+)
4. Undrawn, unconditional credit lines provided to:
(a) other national monetary authorities, BIS, IMF, and other international organizations
-other national monetary authorities (-)
-BIS (-)
-IMF (-)
-other international organizations (-)
(b) banks and other financial institutions headquartered in reporting country (- )
(c) banks and other financial institutions headquartered outside the reporting country ( - )
5. Aggregate short and long positions of options in foreign currencies vis-à-vis the domestic currency ¹⁰
(a) Short positions
(i) Bought puts
(ii) Written calls
(b) Long positions
(i) Bought calls
(ii) Written puts
PRO MEMORIA: In-the-money options ¹¹
(1) At current exchange rate
(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:¹²
(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) ¹³
-derivatives (forwards, futures, or options contracts)
-short positions
-long positions
-other instruments
(c) pledged assets¹⁴
-included in reserve assets
-included in other foreign currency assets
(d) securities lent and on repo¹⁵	1,136.71
-lent or repoed and included in Section I	-87.10
-lent or repoed but not included in Section I
-borrowed or acquired and included in Section I
-borrowed or acquired but not included in Section I	1,223.81
(e) financial derivative assets (net, marked to market) ¹⁶	-106.70
-forwards	0.00
-futures
-swaps	-106.70
-options
-other
(f) derivatives (forward, futures, or options contracts) that have a residual maturity greater than one year.
-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 (+)
-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 at least once a year:
(a) currency composition of reserves (by groups of currencies)
-currencies in SDR basket
-currencies not in SDR basket
-by individual currencies (optional)



Footnotes:

1. In principle, only instruments denominated and settled in foreign currency (or those whose valuation is directly dependent on the exchange rate and that are settled in foreign currency) are to be included in categories I, II, and III of the template. Financial instruments denominated in foreign currency and settled in other ways (e.g., in domestic currency or commodities) are included as memo items under Section IV.

2. Netting of positions is allowed only if they have the same maturity, are against the same counterparty, and a master netting agreement is in place. Positions on organized exchanges could also be netted.

3. See definition of monetary authorities in paragraph 21 of the Guidelines.

4. In cases of large positions vis-à-vis institutions headquartered in the reporting country, in instruments other than deposits or securities, they should be reported as separate items.

5. The valuation basis for gold assets should be disclosed; ideally this would be done by showing the volume and price.

6. Including interest payments due within the corresponding time horizons. Foreign currency deposits held by nonresidents with central banks should also be included here. Securities referred to are those issued by the monetary authorities and the central government (excluding social security).

7. In the event that there are forward or futures positions with a residual maturity greater than one year, these should be reported separately under Section IV.

8. Only bonds with a residual maturity greater than one year should be reported under this item, as those with shorter maturities will already be included in Section II, above.

9. Reporters should distinguish potential inflows and potential outflows resulting from contingent lines of credit and report them separately, in the specified format.

10. In the event that there are options positions with a residual maturity greater than one year, these should be reported separately under Section IV.

11. These "stress-tests" are an encouraged, rather than a prescribed, category of information in the IMF's Special Data Dissemination Standard (SDDS). Results of the stress-tests could be disclosed in the form of a graph. As a rule, notional value should be reported. However, in the case of cash-settled options, the estimated future inflow/outflow should be disclosed. Positions are "in the money" or would be, under the assumed values.

12. Distinguish between assets and liabilities where applicable.

13. Identify types of instrument; the valuation principles should be the same as in Sections I-III. The notional value of derivatives should be shown in the same format as for the nominal/notional values of forwards/futures in Section II and options in Section III.

14. Only assets included in Section I that are pledged should be reported here.

15. Assets that are lent or repoed should be reported here, whether or not they have been included in Section I of the template, along with any associated liabilities (in Section II). However, these should be reported in two separate categories, depending on whether or not they have been included in Section I. Similarly, securities that are borrowed or acquired under repo agreements should be reported as a separate item and treated symmetrically. Market values should be reported and the accounting treatment disclosed.

16. Identify types of instrument. The main characteristics of internal models used to calculate the market value should be disclosed.


Country Notes:
Section I.A of the template encompasses official reserve assets. In line with the recommendations in the 5th Edition of the IMF Balance of Payments Manual, reserve assets of the euro area are highly liquid, marketable and creditworthy claims held by the ECB ("pooled reserves") on non-residents of the euro area and denominated in foreign currency (i.e. in currencies other than the euro), plus gold, reserve positions in the IMF and SDR holdings.
Section I.B covers other assets of the ECB denominated in foreign currency and readily available upon demand but not included in the category of official reserve assets (i.e. foreign currency claims on residents of the euro area).
Sections II and III encompass, respectively, predetermined and contingent short-term liabilities, and claims not liquid enough to be considered in section I. They comprise financial instruments denominated in foreign currency and with a remaining maturity below one year; the residency of the counterpart is not relevant.
Section IV comprises additional information deemed relevant for assessing risk exposure in foreign exchange, but not covered in sections I-III. Additional details on instruments disclosed in the preceding sections are also presented. A currency split between the external reserves denominated in currencies included in the SDR basket (USD, JPY, EUR and GBP) and those denominated in other currencies is published quarterly, with a four-month delay after the reference period. In addition, the details of the currency composition of the ECB's reserve assets are published annually for the end-year data at the end of April.
Valuation:
Instruments in section I (I.A and I.B) are valued on the basis of market prices. Holdings of reserve assets, including gold, are valued using closing mid-market prices at the end of the appropriate period (including the calculation of the accrued interest), and converted into euro using the closing mid-market exchange rates prevailing on the last day of the reference period. Sections II and III show foreign exchange commitments which could or will certainly give rise to receipts and payments in the coming year when the relevant contracts mature. In section IV, both nominal values and market values are used, as specified in the heading of each sub-category.
These valuation practices are consistent with international statistical standards and, hence, are not fully coincident with accounting valuation rules.
Classifications:
The methodology applied conforms to the guidelines provided by the IMF for the implementation of the template on international reserves and foreign currency liquidity, with the exception of the treatment of claims arising from reverse repos vis-?-vis NCBs or private financial institutions, which are classified under currency and deposits instead of under other reserve assets.
Regarding other specific items in section I.A, holdings of monetary gold remain unchanged in all reversible gold transactions (gold swaps, repos, loans and deposits).
Foreign-currency-denominated securities repo transactions (including repos, securities lending and sell-buy-back transactions) are treated as collateralised loans in line with international statistical standards.
Deposits and loans are classified according to the economic nature of the counterpart. Transactions in which the counterpart is an NCB or any other financial institution are recorded as foreign exchange/currency and deposits, while they are classified as loans in the case of all other counterparts and recorded under other claims. In this context, the term "financial institution" should be understood in a broad sense, encompassing any type of counterpart of a financial nature.
Asset and liability positions in financial derivatives falling into the category of official reserve assets are netted out and classified under Reserve assets/Other claims. Assets and liabilities are not recorded separately.
Finally, the short and long positions in forwards and futures in foreign currency, which are included in Section II of the ECB template, comprise both cross currency transactions and transaction vis-?-vis the euro.