Foreign Currency Exposure, Australia methodology

1 This publication presents results in respect of 31 March 2022, from an ABS survey of Australian resident enterprises with exposure to foreign currency. This is the sixth occasion this survey has been conducted; the first was conducted in respect of 30 June 2001 as a supplementary survey to the Survey of International Investment, with results published in the December quarter 2001 issue of Balance of Payments and International Investment Position (cat. no. 5302.0). Subsequent surveys were conducted in respect of 31 March 2005, 31 March 2009, 31 March 2013 and 31 March 2017, with results published in the 2005, 2009, 2013 and 2017 issues of Foreign Currency Exposure, Australia (cat. no. 5308.0).

2 The scope of the survey was all Australian resident enterprises with significant foreign currency exposure through foreign currency denominated balance sheet positions and/or expected future foreign currency receipts and payments from trade of goods and services. This included government and private institutions, primarily financial corporations, importers and exporters. Expected future foreign currency receipts and payments from trade are not available for 30 June 2001, but are included in the results for 31 March 2005, 2009, 2013, 2017 and 2022.

3 The survey population was designed to include those enterprises that cover in excess of approximately 90 per cent of foreign currency exposure for assets and liabilities, and was supplemented with a sample of importers and exporters with significant foreign currency denominated trade in goods and/or services.

4 Through continuing processes to refine the quality of the survey population, the ABS identified an undercoverage issue in the frame for the 2005 and 2009 surveys. The ABS amended the coverage for the 2013 survey, but was unable to source comparable data to revise historical estimates. As a result, estimates for expected future payments from trade with respect to the 31 March 2013 survey onward are not comparable with results from previous surveys.

5 The sectors used in this publication reference the Standard Economic Sector Classifications of Australia 2008 (SESCA) (cat. no. 1218.0). Classification of individual enterprises to subsectors used four-digit classes specified in the Standard Institutional Sector Classification of Australia (SISCA), grouping units according to similar economic functions and structural characteristics. For this publication, the SISCA classes were classified into sectors as follows:

BANKS

• 2121 Banks

RESERVE BANK OF AUSTRALIA

• 2110 Reserve Bank of Australia

OTHER FINANCIAL CORPORATIONS

• 2129 Other Depository Corporations
• 2131 Superannuation Funds
• 2132 Life Insurance Corporations
• 2133 Non-Life Insurance Corporations
• 2141 Money Market Funds
• 2142 Non-Money Market Financial investment Funds
• 2191 Securitisers
• 2199 Other Financial Intermediaries
• 2200 Financial Auxiliaries
• 2309 Money Lenders and Other Captive Financial Institutions

CENTRAL BORROWING AUTHORITIES & GENERAL GOVERNMENT

• 2301 Central Borrowing Authorities
• 3000 General Government

OTHER RESIDENT SECTORS

• 1001 Non-Financial Investment Funds
• 1009 Other Non-Financial Corporations
• 4000 Households
• 5000 Not-for-profit Institutions Serving Households

6 The basic unit that is classified by sector is the institutional unit, which is defined as an economic entity that is capable, in its own right, of incurring liabilities and engaging in economic activities and transactions with other entities.
 

7 The unit for which statistics were reported in the survey was the Australian enterprise unit. This consists of all the entities within an Australian enterprise group classified to the same SESCA subsector.

8 Data contained in this publication relate to foreign currency denominated financial positions (balance sheet) and expected future foreign currency receipts and payments from trade collected from selected enterprises as at 31 March 2022. Summary data from the previous surveys are also included.

9 Care should be exercised in the use and interpretation of data in this publication. While every effort is made to ensure the accuracy and reliability of data it is still possible that the variability within data can be significant.

10 Care should be taken when comparing output between reference periods. Changes to the collection instrument as well as differences in the classification of data at output may result in data items not being directly comparable to previous numbers.

11 Responses were received from approximately 91% of the surveyed enterprises.

12 Where figures have been rounded, a discrepancy may occur between the sum of the component items and the total. Published percentages are calculated prior to rounding of figures and therefore a discrepancy may occur between the published percentages and percentages which could be calculated using the published estimates.

13 Contrary to the balance of payments conventions, this publication uses the natural sign convention in the presentation of data, analysis and associated commentary.

 

14 Data are expressed in Australian dollars. Amounts denominated in a foreign currency are collected in Australian currency at the market exchange rate at the reference date.

15 In these statistics all asset and liability positions are valued at market prices.

16 The principal value is reported for all financial derivative currency contracts. The principal of a derivative contract is the underlying notional amount upon which the transaction is based.

17 There is a legislative requirement to protect the privacy of businesses represented in the data published by the ABS. In order to do this, a confidentialisation process has been applied to data presented in SFCE to ensure no business is able to be identified.

18 This process is expected to maximise the availability of data without introducing any bias. It perturbs data in such a way that the data presented at detailed levels will not always be additive. That is, component values will not always sum to the total (both horizontally and vertically) due to perturbation. Each cell is individually perturbed, and the effect on individual cells is minimal.

19 Only 2022 data has been subject to perturbation. Data between 2001 and 2017 does not have perturbation applied and will be consistent with previous publications.

1. Foreign Currency Exposure, at end of period

2. Foreign Currency Exposure – by sector

3. Foreign Currency Exposure of assets and liabilities – by currency

4. Foreign Currency Exposure of derivative contracts – by currency

5. Foreign currency debt assets and liabilities, by maturity – by sector

6. Foreign currency assets and liabilities, by counterparty – by currency

7(a–e). Foreign currency assets and liabilities, sector – by currency

8(a–e). Foreign currency denominated debt security liabilities, sector, by maturity – by currency

9(a–e). Foreign currency denominated assets and liabilities, sector, by level of hedging – by currency

10(a–e). Hedging of foreign currency denominated debt security liabilities, sector – by currency

11(a–e). Maturity matched hedging of foreign currency denominated debt security liabilities, sector – by currency

12. Foreign currency denominated expected receipts and payments from trade

13(a–e). Hedging of foreign currency denominated receipts and payments, sector – by currency

14. Type of derivative contract, by sector

15. Type of derivative contract, by currency

16. Value of derivative contracts, by maturity – by sector

17(a–e). Value of derivative contracts, sector, by counterparty – by currency

18. Hedging policy – Foreign equity assets

19. Hedging policy – Foreign currency denominated debt assets

20. Hedging policy – Expected future foreign currency denominated receipts from trade

21. Hedging policy – Foreign currency denominated debt liabilities

22. Hedging policy – Expected future foreign currency denominated payments from trade

23. Determinants of Hedging Strategy – Foreign equity assets

24. Determinants of Hedging Strategy – Foreign currency denominated debt assets

25. Determinants of Hedging Strategy – Expected future foreign currency denominated receipts from trade

26. Determinants of Hedging Strategy – Foreign currency denominated debt liabilities

27. Determinants of Hedging Strategy – Expected future foreign currency denominated payments from trade