Who ate all the gilts? Was it you, SNB? An interesting nugget from Nomura's Geoffrey Kendrick on the Swiss National Bank data released earlier, as it pertains specifically to sterling: On GBP specifically we estimate that SNB buying accounted for two-thirds of all non-resident buying of gilts in Q3. The marked increase, which saw GBP go from 3 per cent of the SNB's foreign reserves in the second quarter of 2012 to 7 per cent in the third, can be seen in this table: That's an estimated SFr17bn going into sterling. From Nomura again (with our emphasis): The GBP buying is particularly interesting as it represents the first time the SNB has aggressively diversified into GBP. It also indicates how important SNB buying of GBP was in Q3. The best data source for non-resident buying of gilts comes from the ONS quarterly balance of payments release. However, as these data are not released until late in the quarter, we also use Bank of England monthly data to get a feel for the most recent quarter. When we do that for Q3, and adjust for valuation, we estimate that non-residents bought a total of GBP17bn worth of gilts in Q3. From the above estimate we think the SNB accounted for around GBP11bn (CHF17bn = GBP11bn) of this. EUR/CHF price action in Q4 to date suggests little to no SNB intervention. With the share of reserves now "back to plan" the support provided to GBP (and others) is gone. Indeed, our non-SNB active inflow of GBP6bn into gilts in Q3 is structurally weak and comes on the back of an active inflow estimate of GBP6bn in Q2... One to keep an eye on as, or if, the SNB's diversification trend peters out as Nomura expect. Related links: The SNB's increasingly tangled web [updated with rebuttals aplenty] - FT Alphaville "Two plus two equals four, even at the Bank of England" - FT Alphaville