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Foreign exchange reserves and Swiss franc bond investments (end of Q3 2016)

Investment structure at the end of Q3 2016

As at 30 September 2016, the key asset allocation data for the foreign exchange reserves and the Swiss franc bond investment portfolio were as follows (figures of previous quarter are indicated in brackets):

 
Foreign exchange reserves
CHF bond investments
Currency allocation, incl. derivatives positions
 
 
 
 
CHF
-
-
100%
(100%)
USD
33%
(34%)
-
-
EUR
42%
(41%)
-
-
GBP
7%
(7%)
-
-
JPY
8%
(8%)
-
-
CAD
3%
(3%)
-
-
Other (1)
7%
(7%)
-
-
Investment categories
 
 
 
 
Investments with banks
0%
(0%)
-
-
Government bonds (2)
69%
(69%)
42%
(42%)
Other bonds (3)
11%
(11%)
58%
(58%)
Equities
20%
(20%)
-
-
 
 
 
 
 
Breakdown of fixed income assets (4)
 
 
 
 
AAA-rated
59%
(59%)
76%
(74%)
AA-rated
26%
(25%)
24%
(25%)
A-rated
10%
(11%)
0%
(1%)
Other
5%
(5%)
0%
(0%)
Investment duration (years)
4.3
(4.2)
8.3
(8.4)

(1) Mainly AUD, CNY, DKK, KRW, SEK and SGD plus small holdings in additional currencies in the equity portfolios.
(2) Government bonds in their own currencies, deposits with central banks and BIS; in the case of CHF investments, also bonds issued by Swiss cantons and municipalities.
(3) Government bonds in foreign currency, covered bonds, bonds issued by foreign local authorities, supranational organisations, corporate bonds, etc.
(4) Average rating, calculated from the ratings of leading credit rating agencies.

Equities are managed on a purely passive basis, whereby broad market indices of advanced and emerging economies are replicated. Exchange rate and interest rate risks are managed using derivative instruments such as interest rate swaps, interest rate futures, forward foreign exchange transactions and foreign exchange options. In addition, futures on equity indices are used to manage the equity investments.

The investment structure at year-end is also published in the Annual Report under ‘Asset management’.