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Foreign currency operations: Foreign exchange transactions | Foreign currency reserve investments
Foreign exchange transactions
The New York Fed carries out foreign exchange-related activities on behalf of the U.S. monetary authorities (the Federal Reserve System and the U.S. Department of the Treasury). In this capacity, the New York Fed is occasionally directed to intervene in the foreign exchange market to counter disorderly conditions. Foreign exchange intervention transactions are rare and are conducted in close consultation and cooperation with the Treasury.
Separately, the New York Fed regularly conducts transactions in currencies with market counterparties to accommodate the routine provision of foreign exchange account services to the U.S. Treasury and foreign official institutions. These purchases and sales are not U.S. foreign exchange intervention, nor do they reflect any policy initiative of the U.S. monetary authorities.
Further information: Details on Federal Reserve foreign exchange operations and currency market developments are provided in quarterly reports available on this website. Additional background information on U.S. foreign exchange intervention, the Federal Reserve’s roles in the international arena and the services the New York Fed provides to central banks and international institutions is also available.
* Data reporting commenced July 22, 2010
Data Element Descriptions |
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Trade date
Date upon which the details of the currency exchange were agreed upon
Currency Purchased
Currency received by the New York Fed on the settlement date: Australian dollar (AUD), British pound (GBP), Canadian dollar (CAD), euro (EUR), Japanese yen (JPY), Swedish krona (SEK), Swiss franc (CHF), U.S. dollar (USD)
Amount sold2
Amount of currency delivered by the New York Fed on the settlement date
Counterparty
Name of the entity that purchased currency from, or sold currency to, the New York Fed
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Settlement date
Date upon which the U.S. dollars and foreign currency were exchanged
Amount purchased2
Amount of currency received by the New York Fed on the settlement date
Exchange Rate
Rate used to determine the amount of foreign currency or U.S. dollars exchanged in the transaction
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Transaction category1
Indicates whether the transaction is part of a U.S. intervention operation (FX intervention) or a transaction undertaken to accommodate foreign exchange account services provided to the U.S. Treasury and foreign official institutions (customer)
Currency Sold
Currency delivered by the New York Fed on the settlement date: Australian dollar (AUD), British pound (GBP), Canadian dollar (CAD), euro (EUR), Japanese yen (JPY), Swedish krona (SEK), Swiss franc (CHF), U.S. dollar (USD)
Exchange Rate Units
Units in which the exchange rate is quoted: U.S. dollars per foreign currency or foreign currency per U.S. dollar
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1 For customer transactions, data pertain to the New York Fed's transactions conducted with foreign exchange dealers in order to fulfill customer requests to buy or sell dollars against foreign currencies.
2 When the New York Fed conducts an intervention for the U.S. monetary authorities (the Federal Reserve and the U.S. Department of the Treasury), the reported amounts reflect only that portion of the transaction conducted on behalf of the Federal Reserve.
Foreign Currency Reserve Investments
The Federal Reserve holds foreign currency reserves to support intervention in the foreign exchange market should it, in consultation and cooperation with the U.S. Department of the Treasury, decide it appropriate to counter disorderly conditions in that market. The foreign currency reserves of the Federal Reserve's SOMA are denominated in euro and yen and are invested by the New York Fed in a variety of instruments that yield market-related rates of return and have a high degree of liquidity and credit quality.
Foreign currency reserve investment transactions are conducted through competitive processes with dealers active in the cash or repurchase agreement markets for euro- and yen-denominated securities.
Further information: Details on the SOMA's holdings of foreign reserves are provided in the quarterly reports available on this website.
Foreign Sovereign Debt
A significant portion of the SOMA's foreign currency reserves is invested on an outright basis in German, French and Japanese government securities.
* Data reporting commenced July 22, 2010
Data Element Descriptions |
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Trade date
Date upon which the security was bought or sold
Currency
Foreign currency in which the security is valued: euro (EUR), Japanese yen (JPY)
Security Description
Security type, coupon rate and maturity date associated with the security purchased or sold
Accrued Interest
Accrued interest of the security at the time of transaction, in foreign currency units
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Settlement date
At the time of the purchase or sale, the date agreed upon for the delivery of the security and payment of funds
Trade Amount
Face value of the security purchased or sold, in millions of foreign currency units
ISIN
A security identifier, the International Securities Identification Number
Total Amount Transferred
Total amount transferred in the trade, in millions of foreign currency units
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Transaction category
Indicates whether the transaction was a purchase or a sale
Issuer
Entity that issued or guaranteed the security purchased or sold by the New York Fed: French government (France), German government (Germany), Japanese government (Japan)
Price
Price at which the security was bought or sold, excluding accrued interest (clean price). The price is per 100 par value.
Counterparty
Name of the entity that purchased the security from, or sold the security to, the New York Fed
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Euro Repurchase and Reverse Repurchase Agreements
Another portion of the SOMA's euro-denominated foreign currency reserves is invested in repurchase agreements (repos). In a repo, the New York Fed buys a security under an agreement to resell that security in the future. For these transactions, sovereign debt backed by the full faith and credit of the following governments are eligible: Belgium, France, Germany, Italy, the Netherlands and Spain. In a reverse repurchase agreement (reverse repo), the New York Fed sells securities under an agreement to repurchase those securities in the future. As a matter of prudent planning to maintain operational readiness, the New York Fed, as authorized by the FOMC, may occasionally conduct small value operations.
* Data reporting commenced July 22, 2010
Note: The New York Fed typically settles the euro-denominated repo and reverse repo transactions it conducts through a tri-party arrangement. In a tri-party arrangement, a third party (the tri-party bank) acts as custodian and agent for the buyer and seller. The tri-party agent is responsible for screening and approving eligible securities, as identified by type by the buyer and seller, from the seller's pool of available securities, determining the current market value of the eligible securities, and ensuring, every day that a transaction is outstanding, that the buyer receives, in its account at the tri-party bank, eligible securities having a market value (based on the market value and agreed upon margins) at least equal to each outstanding repo trade amount.
Data Element Descriptions |
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Trade date
Date upon which the details of the repo or reverse repo were agreed
Transaction Category1
Indicates the type of transaction: in all foreign currency reserve investments, a repo or reverse repo
Trade Amount
Amount of funds paid by the New York Fed for the securities subject to the repo or reverse repo, in millions of foreign currency units
Security Type2
Type of securities that were delivered in the repo or reverse repo. Prior to October 28, 2011: as to any repo transaction, any sovereign debt obligations of six countries. After October 28, 2011: as to each transaction, any sovereign debt obligations of one of six countries, either (1) Belgian sovereign debt obligations, (2) French sovereign debt obligations, (3) German sovereign debt obligations, (4) Italian sovereign debt obligations, (5) Dutch sovereign debt obligations or (6) Spanish sovereign debt obligations. In addition, note that for each of the six baskets, counterparties also had the option to deliver the sovereign debt obligations of the country listed in addition to the sovereign debt obligations of Germany. As to any reverse repo transaction, any sovereign debt obligations of six countries (Belgium, France, Germany, Italy, the Netherlands, Spain).
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Settlement date
Date upon which the repo or reverse repo started, when funds and securities were initially exchanged
Term
Number of calendar days the repo or reverse repo was outstanding (from settlement date to repurchase date)
Repo Rate
Rate for each trade, in percent, implied by the difference between the price at which the securities were bought and sold
Amount of Securities
Market value of the securities subject to the repo or reverse repo, net of margin and interest accrued on the transaction, purchased by the New York Fed, in millions of foreign currency units
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Repurchase Date
Date upon which the repo or reverse repo ended, when funds and securities were re-exchanged
Currency
Denomination of the foreign security and the foreign currency used in the transaction: euro (EUR)
Counterparty
Name of the entity that entered into the repo or reverse repo with the New York Fed
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1 In a repo transaction, the New York Fed buys securities under an agreement to resell those securities in the future. In a reverse repo, the New York Fed sells securities under an agreement to repurchase those securities in the future.
2 Prior to October 28, 2011, the New York Fed conducted euro repo operations as individual transactions as to which any securities in a single basket of securities consisting of the sovereign debt obligations of six countries were eligible securities. On October 28, 2011, the New York Fed changed its practice such that for each individual transaction, only securities from one of six baskets of securities are eligible securities. The New York Fed selects in advance of the transaction the single basket applicable to the transaction. Each single basket corresponds to the sovereign debt obligations of one of six countries. This technical modification to euro repo operations was made to be more consistent with euro repo market practices.
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