2005年-IMF国际货币组织全球_Review_of_the_Method_of_Valuation_of_the_SDR_44页_693kb

Summary of the Review of the Method of Valuation of the SDR

Core Content

This document outlines the 2005 review of the Special Drawing Rights (SDR) valuation method and interest rate basket, as conducted by the International Monetary Fund (IMF). It discusses the rationale, methodology, and proposed changes to the SDR basket and interest rate components, with the aim of ensuring the SDR remains a stable and representative reserve asset.

Main Issues and Decisions

• The SDR valuation method was last reviewed in 2000 and will be reviewed again in 2005.
• The review proposes to maintain the current methodology for selecting and weighting currencies in the SDR basket.
• The SDR basket is composed of the four largest exporting Fund members or monetary unions, which are deemed freely usable currencies.
• The SDR interest rate basket includes market yields for three-month U.S. Treasury bills, three-month Euribor for the euro, thirteen-week Japanese government financing bills, and three-month U.K. Treasury bills.
• The SDR interest rate basket will be updated in 2006 by replacing three-month Euribor with the three-month Eurepo rate for the euro.
• The next review is proposed to take place in 2010, with changes effective from January 1, 2011, unless significant developments in the international monetary system require an earlier review.

SDR Valuation Methodology

Currency Selection Criteria

• The SDR basket includes the currencies of the four largest exporting Fund members or monetary unions.
• These currencies must be freely usable in accordance with Article XXX (f) of the IMF Articles of Agreement.
• Exports from these members are averaged over the five-year period ending 12 months before the review date.
• Official reserves held by monetary authorities outside the issuing country or monetary union are also considered.

Currency Weighting

• The weight of each currency is determined by a combination of its export value and official reserve holdings.
• The weights are adjusted based on the average exchange rates of the preceding three months.
• The current weights are based on the 2000 review and will be recalculated for the 2006-10 period.
• The proposed changes to the weights suggest a decline in the U.S. dollar and Japanese yen, and an increase in the euro, while the pound sterling remains unchanged.

Currency Amounts

• The currency amounts are fixed on the date the review becomes effective and are calculated using the average exchange rate of the preceding three months.
• These amounts remain unchanged for the subsequent five-year period.
• Daily fluctuations in exchange rates cause changes in the actual weight of each currency in the SDR.

Key Developments in Valuation-Related Variables

Exchange Rate Developments

• The SDR has appreciated against the U.S. dollar since 2001, reflecting the depreciation of the dollar, especially against the euro.
• The actual weight of the U.S. dollar decreased from 45% to 37% by end-2004, while the euro's weight increased from 29% to 37%.
• The yen and pound sterling showed relatively stable shares.

Exports and Reserve Holdings

• The United States, euro area, United Kingdom, and Japan continue to be the largest exporters.
• Exports from China (including Hong Kong SAR) grew significantly but were still below those of the top four exporters.
• Official reserve holdings are dominated by U.S. dollars, which accounted for 66.2% of total holdings as of end-2004.
• The euro's share in reserves increased from 20.5% in 2001 to 24.8% by end-2004.

International Banking and Financial Market Developments

• International financial transactions have grown rapidly, with external bank liabilities increasing by 11% annually and derivatives increasing by 26%.
• The four currencies in the SDR basket account for a large share of international banking and financial transactions.
• They represent approximately 92% of external banking liabilities, 95% of outstanding international securities, and 82% of global foreign exchange turnover.

SDR Interest Rate Basket

• The interest rate basket includes:
  • U.S. dollar: Three-month U.S. Treasury bill yield.
  • Euro: Three-month Eurepo rate (replacing three-month Euribor).
  • Japanese yen: Thirteen-week Japanese government financing bill rate.
  • Pound sterling: Three-month U.K. Treasury bill yield.
• The interest rate is calculated by applying the exchange rate and interest rate of each currency to the fixed currency amount, and summing the results.

Transition to the New SDR Basket

• The new SDR basket will take effect on January 1, 2006, unless the Executive Board decides otherwise.
• The transition process involves recalculating the currency amounts based on the new weights and exchange rates.
• The decision is proposed to be made before January 1, 2006, to inform interested parties and allow for necessary consultations.

Supplementary Financial Variables

• The possibility of including supplementary financial variables in the SDR valuation method is considered.
• These variables are intended to enhance the representativeness of the SDR basket and improve its relevance to the evolving international financial system.

Timing of the Next Review

• The next review of the SDR valuation method is proposed to take place in 2010.
• Any changes resulting from this review would take effect on January 1, 2011.
• The review may be accelerated in the event of significant changes in the international monetary system.

Conclusion

• The review reaffirms the stability and representativeness of the SDR basket.
• It proposes to maintain the current valuation method and currency composition, with minor adjustments to the weights of the currencies.
• The SDR interest rate basket is updated to reflect the most appropriate market rates.
• The review highlights the importance of maintaining a consistent and predictable valuation method for the SDR.