Currencies


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Volatility in the aftermath of the SNB decision to lift FX floor on EURCHF

The following two charts illustrate the increased volatility that can be observed since the SNB decision was taken to cancel the floor on EURCHF. Even though the two charts are intraday charts of January 27th 2015. Chart 2 shows that after 9am CET the FX rate is suddenly extremely volatile. At the same the chart 1 shows that the SMI moved up as the CHF strengthend and then also weakened…


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SNB successfully front-running ECB Printing Press

Luckily the SNB has given up the EURCHF exchange rate of 1.20. Many market participants believe they had to preempt the next wave of speculation (pressure on swiss franc) that would have occured with the impending ECB decision to buy government bonds in the former ‘PIGS’. Also see this comment on reuters: It came a week before the European Central Bank is expected to unveil a massive bond-buying program that might…



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EURCHF FX – Price Level vs Volume Level – Heat Map Chart

Think this chart is great. It was presented by Dewet Moser, Alternate Member of the Governing Board of the SNB today at the SNB Apéro 2014. I swapped the captions from German to English. Very interesting to see how the heat map has turned cold with just short bursts of volume and price action two times in last 18 months. Such heat maps are useful in gaging investor psychology and key technical…


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Emerging Markets: Brasil and Turkey 10-Year Yield 2007-2014, 2013-2014 and 2010-2014

The above chart is from the brilliant website tradingeconomics.com, with text and boxes added by me. The list of countries with fragile economies certainly isn’t getting any shorter as of late. But the charts below shows that the yield on the 10-year brasilian and turkish gov bond have been at elevated levels for over 6 months. The difference with regard to euro periphery countries which also had elevated yield levels…


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Thomas Jordan: Statements Regarding Monetary Policy Autonomy / Minimum Rate (EURCHF) Contradicting?

Reading Thomas Jordans (of the Swiss National Bank) speech he held yesterday in Zürich (Zürcher Volkswirtschaftliche Gesellschaft) I came across something which could be termed as a contradiction in his statements: “Der Mindestkurs schränkt unsere geldpolitische Au-tonomie nicht ein, wie dies vereinzelt fälschlicherweise behauptet wird, sondern ist Ausdruck der gelebten geldpolitischen Autonomie. Der Mindestkurs stellt keine Annäherung und schon gar keine Anbindung an den Euro dar.” The (EURCHF) minimum rate…


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Lombard Odier Outlook 2014 Presentation

Today I participated in a presentation at the Bellevue, Berne (a beautiful venue) organsied by the first class Swiss Private Bank Lombard Odier. I won’t go into the actual outlook they gave but more into what participants views were. During one of the presentations participants (mostly HNWI, company or state & diplomatic representatives) were given the possibility to vote on different questions (with a credit card sized device each participant found…


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Swiss National Bank (SNB) Top 100 US Equity Holdings = 12.4bn USD (Top 2400 = 24bn USD, Worldwide holdings USD 89bn?)

In the middle of this post is a list of the top investments by size on the books of the Swiss National Bank according to SEC filings. If we assume the SNB is using the MSCI weightings as of Dec 30th, 2013 as a benchmark for their worldwide equity investments, 54% would be invested in the US. Further we could then assume that SNB holds USD 4bn in the UK…


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SNB FX Holdings in EUR Including & Excluding Derivatives

From data published by the SNB I compiled the following charts, which show how the EUR holdings as a percentage of total FX reserves have seen massive fluctuations. Also interesting to note how the holdings including and excluding derivatives diverged substantially from mid/end 2011 to mid 2012. Light Blue (above): Currency breakdown of foreign currency investments, excluding foreign exchange derivatives (quarterly) Dark Blue (above): Currency breakdown of foreign currency investments,…