世界发展银行-Central-Bank-Reserve-Management-Practices---Insights-into-Public-Asset-Management_72页_2mb

Summary of Central Bank Reserve Management Practices - Third RAMP Survey

Core Content

The Third RAMP Survey conducted by the World Bank Treasury in 2021 provides insights into the evolving practices of central banks in managing foreign exchange reserves. It gathered responses from 119 central banks across different regions, income groups, and reserve levels, covering topics such as investment policies, asset allocation, risk management, ESG investing, and business continuity.

Main Findings

1. Governance and Investment Objectives

• Self-insurance against external shocks remains the primary objective of holding reserves.
• Macroeconomic objectives (foreign exchange policy, servicing international debt) have become more relevant, while intergenerational savings is less emphasized.
• Safety and liquidity are still considered the most critical principles in reserve management, with 94% of respondents identifying them as highly relevant.
• Income generation is viewed as less important, with only 33% of central banks considering it highly relevant.

2. Strategic Asset Allocation

• Tranching is a common practice in strategic asset allocation, with 73% of respondents using it.
• Tranching decreased by 10% from 2020 to 2021, possibly due to more central banks participating in the survey.
• The investment tranche accounts for the largest share of reserves (46%), followed by the liquidity tranche (39%) and working capital tranche (19%).
• Currency composition has shifted slightly, with a rise in Chinese renminbi and a decline in US dollar and euro.
• Nontraditional assets (e.g., corporate bonds, equities) are used by most central banks, but only up to 5% of their reserves on average.

3. Risk Management

• Value at Risk (VaR) is the most common metric for defining institutional risk tolerance.
• 43% of central banks use the probability of negative returns.
• Over 40% of central banks use more than one risk metric.
• Only 20% of central banks that use active risk deploy tracking error and risk budgeting frameworks.
• Risk management practices require improvement, especially for institutions investing in corporate credit or diversified portfolios.

4. Use of External Managers

• 75% of central banks use external managers for investment operations.
• Motivations include knowledge transfer, return enhancement, and exposure to nontraditional assets.
• The use of external management programs has increased slightly from 69% in 2018 to 72% in 2021.

5. Business Continuity

• The pandemic exposed operational vulnerabilities, with 50% of central banks unprepared for a pandemic in 2019.
• Remote work was implemented, but technological constraints and cybersecurity concerns limited the extent of full remote operations.

6. Public Disclosure

• Public disclosure of reserve management activities is limited.
• 60% disclose currency composition, 50% disclose eligible asset classes, 44% report performance, and 41% disclose asset allocations.
• Fewer than 25% disclose investment policies, guidelines, or risk metrics.

7. ESG Investing

• ESG investing is rarely adopted by central banks.
• Only less than a quarter of respondents have included ESG objectives in their investment policy.
• ESG instruments are not commonly found in reserve portfolios due to their focus on high-quality fixed-income assets.

Key Trends and Patterns

• Reserve levels have grown significantly, with an average increase of 12% from 2019 to 2020.
• Diversification into more currencies and asset classes is ongoing, especially within fixed income.
• High-income countries have the highest allocation to nontraditional assets (13.8%).
• Liquidity needs influence the size of tranches, with smaller reserves leading to larger liquidity tranches.
• Credit risk is managed through investment in high-rated debt, with 82% using other methodologies to assess credit risk.
• Risk metrics such as VaR and expected shortfalls are not used as hard limits by most central banks.

Conclusion

The third RAMP survey highlights a conservative approach to reserve management, with a strong emphasis on safety and liquidity. While diversification is increasing, risk management frameworks and ESG integration remain underdeveloped. The pandemic underscored the need for business continuity planning and cybersecurity measures, which are still in early stages of implementation. Central banks are gradually adopting new practices, but improvements in governance, transparency, and risk management are still needed to ensure long-term stability and effectiveness in reserve management.