Currency Composition
Table 1 below shows the change since December 1998 of the currency composition of the Bank’s investment portfolio as between euro- and non-euro-denominated assets. It can be seen that over 97 per cent of the portfolio is now denominated in euro. Furthermore, the exchange rate risk on the small non-euro portion (held in US dollars) is hedged. This ensures that the Bank has virtually no exposure to volatility of returns arising from the impact of exchange rate movements on the euro value of its investments.
Table 1: Currency composition (%) of the investment portfolio since EMU
|
Dec 98
|
Dec 99
|
Dec 00
|
Dec 01
|
Dec 02
|
Dec 03
|
Dec 04
|
Dec 05
|
Dec 06
|
Dec 07
|
Dec 08
|
Dec 09
|
Dec 10
|
|
Euro
|
29
|
28
|
27
|
28
|
43
|
68
|
80
|
95.5
|
96.2
|
96.5
|
97.0
|
97.2
|
97.0
|
|
Non-euro
|
71
|
72
|
73
|
72
|
57
|
32
|
20
|
4.5
|
3.8
|
3.5
|
3.0
|
2.8
|
3.0
|
Over the year, the Bank managed its investment assets (both foreign currency and euro denominated) by reference to benchmark portfolios created by Merrill Lynch on behalf of the Bank. These benchmark portfolios incorporate the Bank’s preferences for liquidity, risk and return.