UK International Reserves and Foreign Currency Liquidity Template
Main Page | Introduction | Summary | Methodology
UK Methodology and Definitions
The UK’s International Reserves are now being published in accordance with methodology developed by the International Monetary Fund in the context of revisions to their Special Data Dissemination Standard (SDDS), and the G10 central banks in their report "Enhancing transparency regarding authorities’ foreign currency liquidity position" (This is a link to BIS publications - the paper referred to is paper no.9 under "Committee on the Global Financial System"). The United Kingdom began to disclose additional information on its foreign currency assets and liabilities from July 1999. The following describes some of the main conventions now employed:
- Data Capture
- Section I : Reserve Assets and other Foreign Currency Assets
- Section II(i) : Predetermined Short-term Net Drains on Foreign Currency Assets
- Section II(ii) : Total Outstanding Foreign Currency Liabilities
- Section III : Contingent Short Term Net Drains
- Section IV : Memo Items
Data is now published on a done date basis whereas they were previously published on a settled basis. This removes the distinction between the spot and forward books (the former comprises all settled transactions, the latter all unsettled transactions). The template integrates on-balance sheet and off-balance sheet international financial assets and liabilities. With effect from Aug 2001 data, foreign currency holdings of Central Government, which are not classed as reserve assets, have been included in section IB and IV of the template. Associated foreign currency drains are scored against the UK Govt in Section II.
Section I : Reserve Assets and Other Foreign Currency assets
Valuation
Mark to market (MTM) using end-period market prices for financial instruments, and exchange rates for foreign currencies.
Coverage
Assets |
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| 1a | Securities: | Bonds, notes and money market instruments |
| 1b | Foreign Currency and Deposits: | Foreign currency deposits, nostro and call accounts |
| 2 | IMF: | Reserve tranche position at the IMF (asset of the UK Government only) |
| 3 | SDRs: | Holdings of SDR (asset of the UK Government only) |
| 4 | Gold: | Monetary gold held and transactions in gold (deposits, swaps etc) valued at the prevailing market price based on the London 3pm fix at the end of the period |
| 5 | Other: | Includes capital items, etc. (investments and participation in international financial institutions, together with the net claim on other central banks arising from participation in the TARGET system (assets of Bank of England only)), foreign currency forwards and swap positions (net MTM value of foreign currency forwards, interest rate and cross currency swaps (incl. sterling leg)) and reverse repo (claims on counterparties for foreign currency lent in reverse repos) |
Section II(i) : Predetermined Short-term Net Drains on Foreign Currency Assets
Valuation
Nominal future cash flows
Coverage
Future known cash flows in foreign currency over the next 12 months (for the purposes of this section 1 month refers to a period of 30 days)
| 1 | Foreign currency loans and securities: | Principal and interest payments due on foreign currency notes, bonds and bills issued by HM Treasury and the Bank of England; and principal and interest repayments due on foreign currency loans received; including the Bank of England’s liability to commercial banks in relation to participation in the TARGET system |
| 2 | Short and long positions in forwards and swaps vis-à-vis sterling : | Currency leg of forwards and swaps done against sterling |
| 3 | Repo and other : | Liabilities to repay foreign currency received in repo transactions |
Section II(ii): Total Outstanding Foreign Currency Liabilities
Valuation
Mark to market using end period market prices and exchange rates
Coverage
This is not a prescribed template item but has been included to enable the calculation of a net position. The liabilities are those included in Section II (i.e. includes off balance sheet items).
| Securities: | Principal and interest payments due on foreign currency notes, bonds and bills issued by HM Treasury and the Bank of England |
| Loans : | Principal and interest payments due on foreign currency loans received. UK Government includes non-marketable long-term debt arising from loans made by the US and Canadian governments during World War II. Bank of England includes customers’ foreign currency call accounts |
| Repos : | Liabilities to repay foreign currency received in repo transactions |
| Forwards and swaps vis-à-vis sterling : | Net present value of currency leg of forwards and swaps done against sterling (excluding the sterling leg) |
| Participation in the TARGET system : | Net liabilities of the Bank of England to commercial banks participating in the TARGET system |
Section III : Contingent Short Term Net Drains
Valuation
Nominal value of contingent foreign currency drains
Valuation
Mark to market using end- period market prices and exchange rates
Coverage
| a – c | Not applicable to UK data | |
| d | Repo collateral | Collateral taken in reverse repo transactions and reserve assets provided as collateral under repo transactions |
| e | Off-balance sheet items: | Net present value of forwards and swaps, including sterling cashflows |
Foreign Currency Assets and Liabilities Summary
Valuation
Mark to market using end- period market prices and exchange rates
| Transactions against Sterling : | 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 done against sterling (taking the currency side and omitting the sterling leg). |
| Valuation Effects: | 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. |
Key Resources
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Detailed Current Data Download Spreadsheet (783k) |
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Detailed Current Data Download PDF (234k) |
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Detailed Historic Data Download Spreadsheet (2095k) |
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Detailed Historic Data Download PDF (531k) |
