Back Matter
  • 1, International Monetary Fund


  • Bakker, Age and Ingmar van Herpt, 2007, “Central Bank Reserve Management: New Trends, from Liquidity to Return,” Edward Elgar Publishing Limited.

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  • IMF, 2000, “Debt- and Reserve-Related Indicators of External Vulnerability,” available at

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  • IMF, 2001, “Guidelines for Foreign Exchange Reserve Management,” available at

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  • IMF 2001, “Issues in Reserves Adequacy and Management”, available at

  • IMF, 2011, “Assessing Reserve Adequacy,” available at

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  • Lim, Ewe-Ghee, 2006, “The Euro’s Challenge to the Dollar: Different Views from Economists and Evidence from COFER (Currency Composition of Foreign Exchange Reserves) and Other Data,” IMF WP/06/153.

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  • McCauley and Rigaudy, 2011, “Managing Foreign Exchange Reserves in the Crisis and After,” BIS Paper 58, available at

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  • Pihlman, Jukka, and Han van der Hoorn, 2010, “Procyclicality in Central Bank Reserve Management: Evidence from the Crisis,” IMF Working Paper 10/150, available at

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  • Pringle, Robert and Nick Carver, 2006, “Trends in Reserve Management—2006 Survey Results,” in RBS Reserve Management Trends 2006 (London: Central Banking Publications).

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  • Pringle, Robert and Nick Carver, 2012, “Trends in Reserve Management—2012 Survey Results,” in RBS Reserve Management Trends 2012 (London: Central Banking Publications).

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  • Philip D. Wooldridge, 2006, “The Changing Composition of Official Reserves,” BIS Quarterly Review, September 2006.


The authors would like to acknowledge the important role of Jukka Pihlman, Samar Maziad, and Robert Sheehy in preparing and issuing the underlying survey, Alexander Attie, Han van der Hoorn, Kelly Eckhold, and Pascal Farahmand for their comments on the draft paper, and all survey participants for their valuable time to share information with the IMF; and in this way with the wider audience of reserve managers.


Official reserves are projected to increase from the equivalent of 29 percent of OECD debt (issued by countries with CDS spreads under 200 bp) in 2011 to 38 percent by 2016.


Crisis and Asset Allocation: Some Lessons for Managing International Reserves, IMF WP forthcoming.


Central banks are generally hesitant to fully disclose their reserve management policies and decisions; as too much disclosure can potentially impact on the effectiveness of its reserve management activities. Detailed public information on the composition of reserve portfolios and how these portfolios are managed by reserve managers is relatively scarce. The data for the SDDS reserve template provide a good insight in the broad categories.


There is little evidence that alternative to credit rating agencies, such as “in-house” systems, would result in superior outcomes. In-house credit rating systems require significant investment in human resources, IT capabilities and frequent updates. Moreover credit rating agencies do aim to rate through the cycle, and in house systems may aim for a lower standard in this regard, worsening the procyclicality.


Some survey respondents were from central banks located in currency unions.


The source of this and further tables is the survey.


The survey was carried out at end-2006 among 28 central banks accounting for some 80 percent of world reserves. The material was revised and updated in mid-2007.


The traditional range of asset classes (treasury bills, bank deposits and highly rated government and supranational bonds) were still making up the bulk of reserve portfolios.


The Special Drawing Right (SDR) basket is comprised of USD, GBP, EUR and JPY.


A liquidity tranche would typically be invested in the most liquid and risk adverse instruments based on the assessment of the potential need for liquidity on demand. An investment tranche may be used where reserves are held to provide an additional cushion. In such cases greater emphasis is placed on return as well as the overriding concerns of liquidity and safety. In some countries, tranching is also used to immunize market and foreign exchange risks on the reserve balance sheet, by establishing characteristics for a particular asset portfolio that match those of a group of counterpart foreign liabilities (IMF, 2001).


This would be more appropriate for central banks with limited chance of drawdown of the reserves that are invested with a long maturity. Also to protect against such risk, investing in Treasury Inflation Protected Securities (TIPS) or other inflation protected assets would be most appropriate to cover such risks.


The application of ALM techniques involves calculating the duration of the liability side of the balance sheet and then matching this duration to the asset side of the balance sheet as appropriate. One respondent went as far as to say that they have no explicit duration target but instead completely rely on their ALM framework to set the length of their reserve portfolio. The use of risk factors is also widespread, with many respondents stating the risk/return trade-off is a key input into setting the target duration. A number of reserve managers employ a shortfall approach, whereby the duration of the portfolio is chosen such that the probability of negative returns is set as a pre-specified low level within a certain time period.


Ewe-Ghee (2006) also reports using econometric results that rebalancing is the dominant portfolio strategy.

Survey of Reserve Managers: Lessons from the Crisis
Author: Aideen Morahan and Mr. Christian B. Mulder