The SNB released its foreign reserves data for August:

Compared with the July data:

  1. The total are CHF420.8bn compared to 408.12bn.
  2. Deposits with foreign banks are now 88.35bn, lower than the July figure of 95.19bn.
  3. Securities holdings are 332.23bn, 19.3bn more than the 312.93bn July figure.

Overall, the SNB increased its reserves by roughly 12bn during August, the month during which the ECB announced its intentions to ‘protect the Euro at all costs’. The increase was moved into securities investments with liquid deposits dropping, probably because short-term money market rates are very low, especially since July.

Compared to April 2012, the SNB securities holdings grew from 221.64bn to 332.23bn. Given the fact that the euro share increased from 50% to 60%, euro securities should have grown from 110.82bn to 199.34bn. In other words, during a 4-month period the SNB was a net buyer of more than €70bn in AAA securities. This represents a significant share of the total supply of ‘safe assets’ (mainly those of Germany, France, Austria, Netherlands and Finland) and the purchases should have pushed their spreads compared to periphery bonds even wider. That amount is almost as large as the ECB SMP purchases of periphery debt during 2011H2. Looking into the effects of the SNB currrency floor on the Euro bond market would be an interesting exercise.

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