HSBC Reserve Management Trends 2019
First published:
ISBN: 978 1 78272 982 2
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Appendix 1: Survey questionnaire
Appendix 1: Survey questionnaire
Foreword
The cashless society?
Executive summary
Trends in reserve management: 2019 survey results
Implementing a corporate bond portfolio: lessons learned at the NBP
Sovereigns and ESG: Is there value in virtue?
A methodology to measure and monitor liquidity risk in foreign reserves portfolios
Reserve management: A governor’s eye view
How Singapore manages its reserves
Appendix 1: Survey questionnaire
Appendix 2: Survey responses and comments
Appendix 3: Reserve statistics
Central Bank: ...................................................................................................
E-mail: .............................................................................................................
Answers given will be used to draft a report, which will be circulated to respondents, but neither names of respondents nor central banks will be mentioned in the report.
Survey of Official Reserve Management – January 2019
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Which in your view are the most significant risks facing reserve managers in 2019? (Please rank the following 1-5, with 1 being the most significant.)
US-China trade war ☐ Brexit ☐ US recession ☐ Stock market fall ☐ China and emerging markets sell-off ☐ Please comment:
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Do you see geopolitical factors impacting currency allocation in the following?
Yes No Your central bank’s reserves ☐ ☐ Global central bank reserves ☐ ☐ Please comment:
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To what extent do you agree that the US dollar is still the safe-haven currency? (Please check one of the following.)
Strongly agree ☐ Agree ☐ Disagree ☐ Strongly disagree ☐ Please comment:
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The US Federal Reserve is expected to reduce the rate of policy normalisation in 2019. Have you made any changes to your dollar exposure in light of this?
Yes ☐ No ☐ Please comment:
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The European Central Bank has halted its asset purchase programme and has signalled the possibility of a rate hike in 2019. Have you made any changes to your euro exposure in light of this?
Yes ☐ No ☐ Please comment:
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Do you see Brexit as having any impact on global central banks’:
Yes No Holdings of sterling reserves ☐ ☐ Holdings of euro reserves ☐ ☐ Trading and risk management practices ☐ ☐ Banking and asset management relations ☐ ☐ Do you see Brexit as having any impact on your central bank’s:
Yes No Holdings of sterling reserves ☐ ☐ Holdings of euro reserves ☐ ☐ Trading and risk management practices ☐ ☐ Banking and asset management relations ☐ ☐ Please comment:
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What is the current duration of your central bank’s reserves portfolio?
0 – 6 months ☐ 6 months – 1 year ☐ 1 – 2 years ☐ 2 – 3 years ☐ 3 – 5 years ☐ > 5 years ☐ Has this changed in the past year?
Yes ☐ No ☐ Are you considering any change in duration in 2019-20?
Yes ☐ No ☐ Please comment:
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What is your primary market risk indicator?
Modified duration ☐ Value at Risk ☐ Conditional Value at Risk (CVaR)/expected shortfall ☐ Tracking error volatility ☐ Maximum drawdown ☐ Other (please specify) ☐ Has this changed in the past year?
Yes ☐ No ☐ Please comment:
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Do you stress test your portfolio?
Yes ☐ No ☐ Please comment:
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The 2018 Reserve Management Trends survey noted considerable interest in environmental, social and governance (ESG) principles in reserve management. Which of the following best describes your central bank’s stance? (Please check one.)
Implementing ESG principles in investment decisions ☐ Considering implementing ESG principles in investment decisions ☐ Not considering implementing ESG principles in investment decisions ☐ Rejected implementing ESG principles in investment decisions ☐ Please comment, including saying what percentage of your AUM is managed according to ESG principles:
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If you answered one of the first two options, what were your reasons?
Good market practices ☐ Implementing ethical view in investment decision process ☐ Protection of portfolio against potential downside risks ☐ Lower volatility of ESG investments ☐ Improved public perception ☐ Creation of alpha in portfolio ☐ Please comment:
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If you answered either the third or fourth options, what were your reasons?
Lower returns of ESG investments ☐ Lower liquidity of ESG investments ☐ Lower portfolio diversification ☐ Problem with the definition of ESG principles ☐ Costs of obtaining ESG data ☐ Please comment:
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Do you apply any form of tranching in the management of your central bank’s reserves?
Yes ☐ No ☐ If yes, please give details:
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Tranche Name or function % of reserves Holdings of sterling reserves ☐ ☐ Holdings of euro reserves ☐ ☐ Trading and risk management practices ☐ ☐ Banking and asset management relations ☐ ☐ Has this changed in the past 2-3 years?
Yes ☐ No ☐ Please comment:
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When accounting for your reserves, do you designate any of your reserves as “held-to-maturity”?
Yes ☐ No ☐ If yes, please say what proportion of your reserves:
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Please comment on the motivation behind this:
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Do you make use of any algorithmic trading strategies in your reserve management?
Yes ☐ No ☐ If yes, please comment, including what proportion of your reserves is assigned to this:
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What proportion of your reserves is managed by external managers?
% 0 – 10 ☐ 11 – 20 ☐ 21 – 30 ☐ 31 – 40 ☐ 41 – 50 ☐ 51 – 60 ☐ 61 – 70 ☐ 71 – 80 ☐ 81 – 90 ☐ 91 – 100 ☐ Please comment:
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Where, over the next 2-3 years, do you see potential for use of external managers in your central bank?
New asset classes ☐ New markets ☐ New currencies ☐ Active management ☐ Passive management ☐ Factor-based investing ☐ Benchmarking ☐ Please comment:
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Which of the following best represents your view of the value gold brings to reserves portfolios in central banking today? (Please rank 1-6, with 1 being closest to your view.)
Portfolio diversifier ☐ Inflation hedge ☐ Liquid asset (to trade and lend) ☐ Liquid asset (for use as last resort) ☐ Safe haven ☐ Symbolic ☐ Do you see central banks globally increasing or decreasing their exposure to gold over the next 2-3 years?
Increasing ☐ Decreasing ☐ Please comment:
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Have you added (removed) and any asset class to (from) your central bank’s reserve portfolio in the past 12-18 months?
Added ☐ Removed ☐ Please comment:
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Which view best describes your attitude to the following asset classes? (Please check one box per asset class.)
Investing in now Considering investing in now Would consider investing in 5–10 years No interest in investing Government bonds (AAA) ☐ ☐ ☐ ☐ Government bonds (AA) ☐ ☐ ☐ ☐ Government bonds (AA) ☐ ☐ ☐ ☐ Government bonds (BBB) ☐ ☐ ☐ ☐ Government bonds (below BBB) ☐ ☐ ☐ ☐ Corporate bonds (above BBB) ☐ ☐ ☐ ☐ Corporate bonds (below BBB) ☐ ☐ ☐ ☐ Emerging market bonds ☐ ☐ ☐ ☐ Inflation linked bonds ☐ ☐ ☐ ☐ Agencies ☐ ☐ ☐ ☐ Deposits ☐ ☐ ☐ ☐ ABS ☐ ☐ ☐ ☐ MBS ☐ ☐ ☐ ☐ Covered bonds ☐ ☐ ☐ ☐ Gold ☐ ☐ ☐ ☐ (other) Commodities ☐ ☐ ☐ ☐ Equities ☐ ☐ ☐ ☐ Hedge funds ☐ ☐ ☐ ☐ Please comment:
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If your central bank is investing in equities, please say how you access this asset class?
Direct purchases ☐ Passive mandate ☐ Factor-based investment ☐ ETF ☐ Futures ☐ Please comment:
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Which view best describes your attitude to the following currencies? (Please check one box per currency.)
Investing in now Considering investing in now Would consider investing in 5–10 years No interest in investing Australian dollar ☐ ☐ ☐ ☐ Brazilian real ☐ ☐ ☐ ☐ Canadian dollar ☐ ☐ ☐ ☐ Chinese renminbi ☐ ☐ ☐ ☐ Danish krone ☐ ☐ ☐ ☐ Indian rupee ☐ ☐ ☐ ☐ Indonesian rupiah ☐ ☐ ☐ ☐ Korean won ☐ ☐ ☐ ☐ Malaysian ringgit ☐ ☐ ☐ ☐ Mexican peso ☐ ☐ ☐ ☐ New Zealand dollar ☐ ☐ ☐ ☐ Norwegian krone ☐ ☐ ☐ ☐ Polish złoty ☐ ☐ ☐ ☐ Russian rouble ☐ ☐ ☐ ☐ Singapore dollar ☐ ☐ ☐ ☐ South African rand ☐ ☐ ☐ ☐ Swedish krona ☐ ☐ ☐ ☐ Thai baht ☐ ☐ ☐ ☐ Turkish lira ☐ ☐ ☐ ☐ If investing in the renminbi, please give the amount invested: ☐ %
Please comment, including if you hedge your renminbi exposure:
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The IMF added the renminbi to the SDR in October 2016 with a weight of just below 11%. What percentage of global reserves do you think will be in the renminbi by:
2019 (end of) ☐ 2020 ☐ 2025 ☐ 2030 ☐ Please comment:
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What percentage of your central bank’s reserves do you think will be in renminbi by:
2019 (end of) ☐ 2020 ☐ 2025 ☐ 2030 ☐ Please comment:
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Survey ends. Thank you very much for your participation.
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