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 RBNZ to support effective management of overall Crown cash flows.
Liquidity Management
| As at 30 June 2012 | 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 disbursement account | 4,418 | 4,418 | - | - | - | - |
| Creditors and payables | 283 | 283 | - | - | - | - |
Financial Liabilities |
||||||
| Treasury bills - market | 9,601 | 9,601 | - | - | - | - |
| Treasury bills - non-market | 480 | 480 | - | - | - | - |
| Government bonds - market | 73,080 | 13,231 | 2,601 | 16,518 | 36,379 | 4,351 |
| Government bonds - non-market | 5,580 | 1,551 | 180 | 1,243 | 2,395 | 211 |
| Inflation-indexed bonds - market | 2,008 | 77 | 77 | 1,854 | - | - |
| Inflation-indexed bonds - non-market | 388 | 15 | 15 | 358 | - | - |
| Kiwi bonds | 235 | 176 | 29 | 30 | - | - |
| Euro-commercial paper | - | - | - | - | - | - |
| Foreign currency debt | 310 | 180 | 9 | 121 | - | - |
| Collateral | 1,067 | 1,067 | - | - | - | - |
| Departmental deposits | 155 | 155 | - | - | - | - |
| IMF allocation | 1,638 | 1,638 | - | - | - | - |
| Immigration investor policy bonds | 53 | 46 | 7 | - | - | - |
| Other | 1 | - | - | 1 | - | - |
| Total Non-derivative Liabilities | 99,297 | 32,918 | 2,918 | 20,125 | 38,774 | 4,562 |
Derivative Inflows[13] |
||||||
| FX contracts | 4,115 | 3,996 | 70 | 49 | - | - |
| Cross-currency swaps | 9,423 | 1,208 | 1,880 | 5,255 | 1,080 | - |
| Interest-rate swaps | 1,667 | 383 | 324 | 772 | 188 | - |
| Total Derivative Inflows | 15,205 | 5,587 | 2,274 | 6,076 | 1,268 | - |
Derivative Outflows[13] |
||||||
| FX contracts | 4,032 | 3,914 | 69 | 49 | - | - |
| Cross-currency swaps | 8,623 | 1,002 | 1,754 | 4,941 | 926 | - |
| Interest-rate swaps | 1,145 | 218 | 206 | 559 | 162 | - |
| Total Derivative Outflows | 13,800 | 5,134 | 2,029 | 5,549 | 1,088 | - |
Notes
- [13]Derivative flows include both derivatives in gain and derivatives in loss.
