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Foreign currency investments and Swiss franc bond investments (end of Q3 2014)

Investment structure at the end of Q3 2014

As at 30 September 2014, the key asset allocation data for the foreign currency investments and the Swiss franc bond investment portfolio were as follows (figures of previous quarter are indicated in brackets):

 
Foreign currency investments
CHF bond investments
Currency allocation, excluding investments and liabilities from foreign exchange swaps
 
 
 
 
CHF
-
-
100%
(100%)
USD
29%
(27%)
-
-
EUR
45%
(46%)
-
-
GBP
7%
(7%)
-
-
JPY
9%
(9%)
-
-
CAD
4%
(4%)
-
-
Other (1)
6%
(7%)
-
-
Investment categories
 
 
 
 
Investments with banks
0%
(0%)
-
-
Government bonds (2)
73%
(73%)
40%
(39%)
Other bonds (3)
11%
(11%)
60%
(61%)
Equities
16%
(16%)
-
-
 
 
 
 
 
Breakdown of fixed income assets (4)
 
 
 
 
AAA-rated
63%
(65%)
73%
(73%)
AA-rated
29%
(27%)
26%
(27%)
A-rated
3%
(3%)
1%
(0%)
Other
5%
(5%)
0%
(0%)
Investment duration (years)
4.0
(3.8)
7.1
(6.9)

(1) Mainly AUD, 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 the three major credit rating agencies.

Equities are managed on a purely passive basis, whereby broad market indices of advanced 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’.

Currency allocation of foreign exchange reserves since 1997