Schweizerische Nationalbank · SIX:SNBN
Schweizerische Nationalbank — Swiss National Bank — Sixth Annual NBP-SNB Joint Seminar (June 2009)
17 slides from Schweizerische Nationalbank's conference presentation, Jun 16, 2009
Slide 1: Tensions in the money market: Measures taken by the SNB
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange Tensions in the money market: Measures taken by the SNB Martin Schlegel M Money M Market k t & Foreign F i Exchange E h Measures taken by the SNB Sixth Annual NBP-SNB Joint Seminar Mar
Slide 2: CHF 3M-Libor and SNB Repo Rate; Regular Monetary Policy Instruments
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 3 CHF 3M-Libor and SNB Repo Rate % 4.00 3.50 3.00 Target range 2.50 CHF 3M-Libor 2.00 Repo rate SNB 1.50 1.00 Measures taken by the SNB 0.50 Martin Schlegel 16 June 2009 0.00 May 00 Ma
Slide 3: SNB's repo auction; Auctions: Bids and allotment ratio
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 5 SNB‘s repo auction Measures taken by the SNB Martin Schlegel 16 June 2009 Source: Eurex Zürich AG 6 Auctions: Bids and allotment ratio Bids 1W Allocation rate (rhs) CHF bn % 50 100 4
Slide 4: The money market in normal times; Tension in the money market
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 7 The money market in normal times SNB Assets Liabilities RepoSNB 20 Reserves 5 Bank „short“ Money Market Assets Liabilities Reserves 2 RepoSNB 20 D S Assets Interbank 10 D Bank „long“
Slide 5: Risk premium on money market; Overview of measures taken by the SNB
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 9 Risk premium on money market Spread between the 3M Libor and the 3M OIS CHF EUR USD GBP PP 4.00 3.50 3.00 2.50 2.00 1.50 Measures taken by the SNB 1.00 0.50 Martin Schlegel 16 June 2
Slide 6: Stabilizing the monetary policy stance
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 11 Stabilizing the monetary policy stance 'aimed level' CHF 3M-Libor SNB 1W Repo-rate % 3.50 3.00 2.50 2.00 1.50 1.00 Measures taken by the SNB 0.50 Martin Schlegel 16 June 2009 0.00 A
Slide 7: Fine tuning operations
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 13 Fine tuning operations 2.8% Fine tuning operations (SNB cash provider) 2.6% Interbank Repo Trades (ON) 2.4% 2.2% 2.0% 1.8% Fine tuning operations (SNB cash taker) Measures taken by
Slide 8: Longer term repo operations
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 15 Longer term repo operations CHF bn Outstanding volume of repo operations 70 60 50 40 30 20 1 1-week k Measures taken by the SNB 10 > 1-week Martin Schlegel 16 June 2009 0 Jan 07 Apr
Slide 9: Long term repos: Easing funding pressures; Broadening eligible collateral
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 17 Long term repos: Easing funding pressures Days to maturity* of the SNB's Swiss franc repo operations Days 100 90 80 70 60 50 40 Measures taken by the SNB 30 20 10 Martin Schlegel 16
Slide 10: Eligible collateral for SNB-repos; Rating of delivered collateral
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 19 Eligible collateral for SNB-repos SNB GC CHF GC GOV GC INTL GC CHF EUR, USD, GBP, CHF, EUR, USD, GBP, CHF, DKK, SEK, NOK DKK, SEK, NOK A/A2 (Foreign Debtors) AA-/Aa3 AA-/Aa3 min. Vo
Slide 11: Impact of EURCHF-swap operations; EURCHF-swap: balance sheets
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 21 Impact of EURCHF-swap operations % TOIS Fixing CHF TN unsecured CHF TN Repo 5.0 Valuta Datum Lehman Brothers Lehman Brothers Introduction FX-Swap of EURCHF swaps 4.5 40 4.0 3.5 3.0
Slide 12: Eligible counterparties in EURCHF-swaps; Bids in EURCHF-swap auctions
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 23 Eligible counterparties in EURCHF-swaps • Regular counterparties (Swiss and domiciled abroad) + Banks B k contributing t ib ti in i th the Lib Libor-fixing fi i + Banks contributing
Slide 13: Issue of SNB Bills; Balance sheet SNB (April 2009)
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange Issue of SNB Bills • Instrument to absorb liquidity q y • Variable rate tender auction (discriminatory) • Term 1-week (weekly); synchronized with EURCHF-swaps • Eligible for SNB-repos
Slide 14: SNB balance sheet: assets; The SNB as money market intermediary
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 27 SNB balance sheet: assets Claims from repo transaction CHF Claims from repo transaction USD Foreign exchange swaps Gold & claims from gold transaction FX reserves Loan to stabilisat
Slide 15: Expansion of reserves; Withdrawing excess reserves
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 29 Expansion of reserves sight deposits average in maintenance periode CHF bn 90 80 70 60 50 40 30 Measures taken by the SNB 20 10 Martin Schlegel 16 June 2009 0 Feb 07 Jul 07 Dec 07 M
Slide 16: Currency in circulation; Contact
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange Currency in circulation bn CHF (1 July = 0) 10 2002 2003 2004 2005 2006 2007 2008 8 6 4 2 Measures taken by the SNB 0 -2 Martin Schlegel 16 June 2009 January March June September Decem
Slide 17: Copyright, limitation of liability
Tensions in the money market: Measures taken by the SNB 10.06.2009 Martin Schlegel, Money Market & Foreign Exchange 33 Copyright ©, limitation of liability Copyright © The Swiss National Bank (SNB) respects all third-party rights, in particular rights relating to works protected by copyright (inform
Swiss National Bank — Sixth Annual NBP-SNB Joint Seminar (June 2009) on 6ix