Swiss National Bank (SNB) Foreign exchange reserves and Swiss franc securities (end of the Q3 2011)

Foreign exchange reserves and Swiss franc securities (end of the Q3 2011)

Investment structure at the end of the Q3 2011

As at 30 September 2011, the key asset allocation data for the foreign exchange reserves and the monetary CHF portfolio were as follows (figures of previous quarter are indicated in brackets):


	Foreign exchange reserves		CHF securities
Currency breakdown of foreign currency investments, excluding investments and liabilities in connection with foreign exchange swaps
CHF	-	-	100%	(100%)
USD	25%	(25%)	-	-
EUR	55%	(55%)	-	-
GBP	4%	(3%)	-	-
JPY	9%	(10%)	-	-
CAD	4%	(4%)	-	-
Other (1)	3%	(3%)
Investment categories
Investments with banks	0%	(0%)	-	-
Government bonds (2)	82%	(84%)	34%	(34%)
Other bonds (3)	9%	(6%)	66%	(66%)
Equities	9%	(10%)	-	-

Breakdown of fixed income assets (4)
Bonds with AAA rating	83%	(83%)	79%	(79%)
Bonds with AA rating	13%	(14%)	20%	(21%)
Bonds with A rating	2%	(1%)	1%	(0%)
Other bonds	2%	(2%)	0%	(0%)
Duration of bonds (years)	3.9	(3.9)	6.1	(5.9)

(1) AUD, SEK, DKK, SGD

(2) Government bonds in their own currencies, and – in the case of CHF investments – bonds issued by Swiss cantons and municipalities.
(3) Government bonds in foreign currencies, covered bonds, bonds issued by foreign local authorities and supranational organisations, corporate bonds, etc.
(4) Ratings: Average of the ratings of the three main rating agencies.

The equities are managed on a purely passive basis, whereby broad market indices in euros, US dollars, yen, pounds sterling and Canadian dollars 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.

Currency breakdown of foreign exchange reserves since 1997