2010年-IMF国际货币组织全球_Review_of_the_Method_of_Valuation_of_the_SDR_51页_1mb

Summary of the SDR Valuation Method Review

Core Content

This document outlines the findings and recommendations of the quinquennial review of the Special Drawing Rights (SDR) valuation method and the financial instruments used to determine the SDR interest rate. The review, conducted by the Finance Department in consultation with other departments, was approved by Andrew Tweedie and is due to take effect on January 1, 2011.

Main Points

1. SDR Valuation Method

• The SDR is valued using a basket of four currencies: the U.S. dollar, euro, Japanese yen, and pound sterling.
• The valuation method is based on the "standard basket" approach, where the SDR's value is calculated by summing the value of the basket's components at prevailing market exchange rates.
• The method has been stable since 1974 and is accepted as the best way to ensure SDR stability against major currencies under floating exchange rates.

2. Valuation Criteria

• The SDR basket is composed of the four largest exporting Fund members or monetary unions that are determined to be freely usable currencies.
• The initial weights of the currencies in the basket are calculated based on exports and official reserves held by monetary authorities of other members.
• The formula used for calculating currency weights is:
  $$
  \omega_i = \frac{X_i + R_i}{X + R}, \quad X = \sum_i X_i, \quad R = \sum_i R_i
  $$
• The currency weights are adjusted daily based on exchange rate movements, while the amounts of each currency in the basket remain fixed for the five-year period.

3. SDR Basket Composition and Currency Weights

• The SDR basket includes the currencies of the four largest exporting Fund members or monetary unions.
• The currency weights for the SDR basket in the 2005 Review were:
  • U.S. dollar: 44.0%
  • Euro: 34.0%
  • Japanese yen: 11.0%
  • Pound sterling: 11.0%
• The weighting method was not changed at this review.
• A proposal was made to round the initial weights to one decimal place instead of the nearest whole percentage point, to address concerns raised during the 2005 Review.

4. Exchange Rate Developments

• The SDR has appreciated significantly against the U.S. dollar until mid-2008, then fluctuated during the global financial crisis.
• The U.S. dollar's weight in the SDR basket decreased from 44.0% to 40.2% by October 2010.
• The euro's weight increased from 34.0% to 36.3%, and the Japanese yen's weight increased from 11.0% to 14.4%.
• The pound sterling's weight decreased from 11.0% to 9.0%.
• The SDR's exchange rate volatility has been significantly lower than that of its component currencies, reflecting the stability of the standard basket method.

5. Exports and Reserve Holdings

• China became the third-largest exporter among Fund members and monetary unions during the 2005–09 period.
• Despite this, the SDR basket currencies still dominate international financial transactions, with the U.S. dollar and euro accounting for 90% of allocated reserves.
• The share of U.S. dollars in allocated reserves declined from 65.9% in 2004 to 62.2% in 2009, while the euro's share increased from 24.8% to 27.4%.
• The Japanese yen and pound sterling saw some fluctuations, but the SDR basket currencies accounted for 96.8% of allocated reserves by the end of 2009.

6. International Financial Developments

• The four SDR basket currencies continue to dominate international banking liabilities and international debt securities.
• During 2005–09, these currencies accounted for 91.7% of international banking liabilities and 94.6% of international debt securities, slightly lower than the 2000–04 period.
• The Swiss franc and Australian and Canadian dollars are the only other currencies that exceed 1% in international debt securities, while the Chinese renminbi accounted for 0.06% of international bonds and notes by the end of 2009.

7. SDR Interest Rate Basket

• The SDR interest rate is calculated based on a basket of financial instruments.
• The interest rate basket was reviewed, and the three-month Eurepo rate replaced the three-month Euribor rate for the euro, aligning better with the freely usable currency criteria.
• The method of calculating the SDR interest rate remains unchanged.

8. Future Work and Next Review

• No changes to the SDR basket composition or currency weighting method are proposed at this review.
• The next review is planned for 2015, with any changes taking effect on January 1, 2016.
• The Executive Board is recommended to make the decision in advance of the effective date to provide sufficient notice.
• Several follow-up issues are identified for further consideration, including:
  • Indicators for selecting new currencies.
  • The number of currencies in the basket.
  • The methodology for determining initial weights.
  • Alignment of financial instrument maturity with the frequency of SDR interest rate updates.

Key Information

• SDR Basket: U.S. dollar, euro, Japanese yen, pound sterling.
• Weighting Method: Based on exports and official reserves.
• Currency Selection: Four largest exporting Fund members or monetary unions with freely usable currencies.
• SDR Value Calculation: Using a standard basket method, with fixed currency amounts adjusted daily based on exchange rates.
• Rounding Change: Initial weights will now be rounded to one decimal place.
• Next Review: Scheduled for 2015, with changes effective January 1, 2016.
• Follow-Up Work: Includes evaluating new indicators, alternative weighting schemes, and potential alignment of financial instruments with the SDR interest rate frequency.

Conclusion

The SDR valuation method and interest rate basket remain unchanged following the 2010 review. The focus is on maintaining the stability and representativeness of the basket while addressing concerns about rounding and exploring future improvements. The next review is planned for 2015, and the document outlines a work program to consider broader issues related to the international monetary system and the SDR's role.