Table 1 – International reserves - actively managed portfolios
|Market Value||Average return in reserve currencies. p.a.|
|EUR mil||Share||5 years||3 years||1 year|
|Liquidity tranche||24 587||20.5%||0.52%||0.87%||2.95%|
|Investment tranche||95 080||79.5%||1.73%||−0.22%||4.71%|
Table 2 – Division of the actively managed international reserves portfolios by investment instrument
|Type of investment||Share|
|– government agencies||6.1%|
|– supranational issuers||2.8%|
|– MBS and covered bonds||3.7%|
|Money market instruments||16.8%|
Table 3 – Currency allocation of the international reserves
- The average return in reserve currencies p.a. is calculated as the weighted average of the returns on portfolios in the currencies of the respective portfolios; the weights are the ratios of the portfolios’ market value to the total;
- Five years. three years and one year are moving periods. i.e.. for example. a one-year period contains data for the last four quarters.
- Bonds are broken down into four major categories:
- bonds issued by governments.
- bonds of government agencies. i.e. issuers with a close relationship with the central government. whose liabilities are usually explicitly guaranteed by the government.
- supranational issuers include. for example. the BIS. IBRD. EBRD. EIB. etc..
- MBS bonds and covered bonds are mortgage-backed bonds (bonds guaranteed by selected US agencies – MBS or covered bonds typically issued in Europe).
- Other is the sum of the market value of gold and derivative positions. for example. positions in futures contracts. interest rate and FX swaps. etc.