Swiss Repo Agreement
The securities accepted for SNB deposits include interest-rate bonds in Swiss francs and foreign currencies, usually without the issuance of financial institutions. The SNB`s minimum requirements for credit quality and marketing of these securities are high compared to the rest of the world. Rating requirements are based on the rating of international rating agencies Standard & Poor`s, Moody`s and Fitch. For Swiss public service bodies that do not have such a rating, the rating assigned by fedafin can be recovered. In order to benefit from a SNB deposit guarantee, securities must have a second best credit rating of at least AA/Aa3. If there is only one credit quality available for a given security, it may be used to determine the eligibility of rights. In addition, securities must have a minimum value depending on the outstanding amount of the currency of issue. The following foreign currencies are currently accepted: euro, US dollar, pound sterling, Swedish krone, Danish krone, Norwegian krone. More than 90% of the volume of guarantees eligible for the SNB are denominated in foreign currencies.
In addition, other criteria must be met (information sheet on guarantees eligible for SNB deposit). The values accepted by the SNB are included in the list of guarantees adapted to the SNB-Repos (SNB GC Basket). The SNB may also accept other guarantees in areas other than repo operations, for example under the SNB`s COVID-19 refinancing facility. In December, the SNB had 6.5 billion Swiss francs ($6.72 billion) in repurchase receivables on its balance sheet, its highest figure since April 2012, according to balance sheet information released on Friday. In July 2011, bankers and the financial press feared that if the U.S. debt ceiling crisis were to result in a default in 2011, it could lead to significant disruptions in the repo market. This is because treasuries are the most widely used collateral in the U.S. repo market and a default would have downgraded the value of Treasuries, repo borrowers would have had to deposit much more collateral. [10] Breitung J., Nautz D. (2001) The empirical performance of the ECB`s repo auctions: evidence from aggregated and individual bidding data. .
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