Four issuers supply 62 percent of Swiss interbank repo collateral
Four issuers account for 62 percent of Swiss interbank repo collateral, research from the Swiss National Bank (SNB) finds. AAA-rated securities represent 71 percent of collateral, while Swiss franc-denominated securities account for 90 percent.
Domestic issuers dominate the pool
Pfandbriefzentrale and Pfandbriefbank together supply 45 percent of collateral backing outstanding repos, followed by the Swiss Confederation at 12 percent and the SNB at 4 percent.
Rounded shares total 62 percent.
Swiss cantons contribute 9 percent and 432 other issuers supply 29 percent.
AAA-rated securities account for 71 percent, AA-rated securities for 19 percent, lower ratings for 5 percent and unrated securities, primarily SNB Bills, for 5 percent.
Residual maturities exceed one year for 85 percent of collateral, five years for 44 percent and ten years for 12 percent.
By contrast, 87 percent of repos mature within one month.
Swiss franc cash and collateral transactions represent 79 percent of outstanding volume; cross-currency repos account for 20 percent.
A broad basket, selective use
Damien Klossner, Igor Mlikota and Sabrina Stadelmann analyze 416,783 trades backed by 3,934 securities on SIX's CO:RE platform.
Data cover June 2020–June 2026; results cover January 2021–June 2026 and exclude SNB, intragroup and intraday trades.
The SNB General Collateral Basket backs 89 percent of outstanding volume.
Daily, weekly, monthly and annual usage reaches 20, 27, 33 and 40 percent of eligible securities; Swiss franc securities reach 60, 73, 82 and 84 percent.
The authors examine initial collateral only, excluding later substitutions and valuation changes.
High ratings, residual risks
The authors find that high credit quality balances issuer concentration risk.
Longer maturities and foreign currencies still expose cash providers to interest rate and exchange rate risk after default.
They conclude that broad eligibility and strict credit standards support monetary policy transmission.