CHF: Where is SNBs pain threshold? – Nordea Markets

EUR/CHF has dropped markedly in recent weeks (due to Italian and Turkish stress), and it will be interesting to see whether SNB has intervened against the CHF strength during the week, according to analysts at Nordea Markets.

Key Quotes

“We argued a few weeks back that the extreme short positioning in CHF revealed that the market had started to accept a notion that SNB would safe-guard 1.15 on the downside in EUR/CHF.”

“We don’t expect today’s sight deposit data (Monday) to reveal any intervention last week, despite levels substantially below 1.15 in EUR/CHF. After all, the SNB has not intervened in any volume since the run-up to the French election in 2017, when EUR/CHF traded below 1.10. In TWI-terms CHF is though almost as strong as in Jan-March of 2017, but judged from the historical sight deposit data our best guess is that 1.10 in EUR/CHF serves as a more important pain-threshold than 1.15 for SNB.”