The Treasury

Global Navigation

Personal tools

Liquidity Risk

Liquidity risk is defined as not being able to meet expected and unexpected cash flow needs. The objective of NZDMO's liquidity policy is to ensure that NZDMO can meet all cash obligations as they fall due. To manage liquidity risk in its foreign currency portfolios, liquid assets are required to be held in each currency to cover cash flow obligations over one-day, two-day and six-week intervals. For New Zealand-dollar liquidity risk, NZDMO has established cash management arrangements with the Reserve Bank of New Zealand to support effective management of overall Crown cash flows.

Liquidity Management
As at 30 June 2009

Contractual
Cash Flows

$m

0-12
Months

$m

1-2 Years

$m

2-5 Years

$m

5-10 Years

$m

> 10 Years

$m

Overdrafts and Payables

            
Crown balances with Westpac 3,609 3,609 - - - -
Creditors and payables 5 5 - - - -

Financial Liabilities

            
Treasury bills - market 7,500 7,500 - - - -
Treasury bills - non-market 5 5 - - - -
Government bonds - market 28,371 5,432 1,089 10,710 10,132 1,008
Government bonds - non-market 8,772 2,002 332 3,652 2,755 31
Inflation-indexed bonds - market 2,074 72 72 215 1,715 -
Inflation-indexed bonds - non-market 619 21 21 64 513 -
Kiwi bonds 500 413 87 - - -
Foreign currency debt 1,063 196 105 551 211 -
Collateral 889 889 - - - -
Departmental deposits 117 117 - - - -
IMF allocation 336 336 - - - -
Immigration investor policy bonds 96 1 6 89 - -
Other 7 6 1 - - -
Total Non-derivative Liabilities 53,963 20,604 1,713 15,281 15,326 1,039

Derivative Inflows[20]

            
Foreign exchange contracts 19,930 19,633 152 145 - -
Foreign exchange options - - - - - -
Cross currency swaps 6,007 454 192 2,363 2,998 -
Interest rate swaps 2,571 520 463 956 632 -
Total Derivative Inflows 28,508 20,607 807 3,464 3,630 -

Derivative Outflows[20]

            
Foreign exchange contracts 19,840 19,561 147 132 - -
Foreign exchange options - - - - - -
Cross currency swaps 5,755 363 81 2,185 3,126 -
Interest rate swaps 2,000 251 304 838 607 -
Total Derivative Outflows 27,595 20,175 532 3,155 3,733 -

Notes

  • [20]Derivative flows include both derivatives in gain and derivatives in loss.
Page top