Bank of England Foreign Currency Assets and Liabilities - May 2012
1. In this presentation, gross reserve assets exclude the mark to market value of foreign currency forwards and swaps (including the sterling leg) (Section IA.5 of the UK International Reserves and Foreign Currency Liquidity Template). These derivatives are shown (excluding sterling leg) within liabilities (see footnote 2).
2. Net present value of foreign currency forwards, interest rate and currency swaps (excluding sterling leg).
3. Market value of liabilities to repay foreign currency received in repo transactions.
4. Figures may not sum due to rounding.
5. The change in the level of the reserves attributable to the effect of price and exchange rate fluctuations on the mark to market valuation of foreign assets and liabilities, and the net income accruing on them.
6. Represents the amount by which the total value of the reserves has fallen or risen as a result of transactions against sterling during the month. Based on sales and purchases of currency against sterling, currency leg of swaps against sterling and interest paid or received in currency from swap deals against sterling (taking the currency side and omitting the sterling leg).