CHF review

Quotes from Societe Generale Cross Asset Research:

-The broad-based weakness of the Swiss franc this week and this month indicates that the SNB may have developed sufficient momentum to keep market forces from betting against an appreciation of the franc. The unchanged level of sight deposits last week suggests that the SNB has halted its FX interventions, but this does not prevent it from re-weighting its currency reserves.

-It was mooted that the central bank was on the bid yesterday in USD/CHF, which helped EUR/CHF to motor to a post-floor era high of 1.0803. The three-month RR shot up to -2.47, while the implied three-month vol has dropped to 10.76.

-The fall of the CHF against every single G10 currency this month will inevitably add speculation to the view that the central bank is transitioning towards to a different currency regime, possibly targeting a basket of currencies like the MAS of Singapore. Details of any strategic FX policy change may be unveiled as soon as the March meeting.