Stats › Currencies and commodities › Franc 2015
The day the franc floor went
At 09:30 GMT on Thursday 15 January 2015 the Swiss National Bank put out a press release saying it was discontinuing the minimum exchange rate of CHF 1.20 per euro. No warning. Three days earlier a board member had called the floor a cornerstone of policy.
For about forty four seconds nothing much happened. Then the market worked out what it had read, and the next twenty minutes produced one of the largest moves ever recorded in a major currency pair. Two retail brokers were gone by the following week. One of the largest in the world needed a $279 million loan overnight to stay open.
I put this page together because it is unusually well documented for a market event. The SNB published its statement and its loss. The Bank of England published a staff working paper reconstructing the order flow minute by minute. The CFTC filed a complaint with exact capital numbers. The FCA published on the broker that failed. So instead of the usual folklore, you get the primary record, including the parts where the primary record disagrees with itself.
The SNB set the CHF 1.20 floor on 6 Sep 2011 and abandoned it at 09:30 GMT on 15 Jan 2015, cutting the sight deposit rate to -0.75%. The Bank of England's reconstruction finds the market did not react significantly until about 44 seconds after the announcement, and that over 75% of the franc's appreciation in the 20 minutes to 09:50 came from bank algorithms. Published estimates of the move range from over 20% on the day to 40% within minutes, because there was no single market. Alpari (UK) entered special administration on 19 Jan 2015 with over 100,000 customers. FXCM was at least $200m short of its capital requirement and took a $279m loan the next morning, later booking $257.3m of bad debt. The SNB itself lost CHF 23.3bn in 2015.
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