Changes in the value of the CHF and in the assets held by the SNB can impact the value of reported reserves, as well as any potential SNB currency intervention. To estimate potential currency intervention, we valuation-adjust reported reserves (for more details, see Modelling SNB currency intervention, dated 5 April).
On Friday, data for February was released. In February, the CHF rose by 0.5% (versus its foreign-currency-weighted-basket) and our model estimates that the value of the SNB’s portfolio increased by 0.4% in local currency, implying reserves should have decreased by CHF 3.6bn (all else equal). FX reserves decreased by CHF 1.1bn (to CHF 735.3bn), we estimate. Therefore, our model estimates a difference – and a potential CHF-selling intervention – of CHF 2.5bn in February. Valuation adjustments are approximate, with simplifying assumptions. Assumptions are updated following publication of the SNB’s portfolio asset allocation (quarterly, with a lag), which can affect estimates of prior months’ intervention.
Such a relatively small difference of CHF 2.5bn (Figure 1) is less likely to reflect actual currency intervention than it is a difference in estimated and actual valuation adjustments, in our view. Therefore, we think it seems appropriate to conclude the SNB did not intervene in currency markets in February.
