![]() Next, we show cumulative net flows by investor sector for the repricing period. Because all of the active investor sectors were on net buying CHF as it appreciated, market makers were left as the only market participants selling CHF during this critical stage, and while we don't measure the connection directly, this may have amplified the move in EUR/CHF during the SNB repricing period. Less-active investors were largely absent during the repricing period. After a large initial purchase of CHF, banks made some small sales, but on net were buyers of CHF over the full repricing period. Net flows were consistent with the move in exchange rates-EUR/CHF dropped from 1.201 to 0.895 over the same period. Here, we see that the net flows during the 24-minute repricing period following the surprise announcement from the SNB indicate that net risk transferred was largely one way-all investor sectors were either buying CHF or absent. Next, we show cumulative net flows by investor sector for the repricing period, which covers the time interval immediately after the SNB announcement when EUR/CHF fell sharply. The surprise nature of the SNB announcement did not allow for pre-event position adjustments and could account for the buying of CHF immediately after the news broke.Ĭumulative Net Flows by Investor Sector during the Repricing Period The large purchases of CHF during this three-minute period coincide with a 2.5 percent appreciation of CHF vs. The direction of overall net flows during the repricing period was consistent with the prevailing changes in the FX rate-in the three minutes following the SNB press release, we see buying of nearly $1 billion scaled CHF against other currencies. Therefore, net flows alone cannot account for the sharp exchange rate changes. From this, we can see that while the amount of risk transferred during the period of sharp exchange rate repricing was large, it was not completely unprecedented relative to risk transferred during the more stable period that followed. Next, we show the evolution of the exchange rate alongside aggregated (over three-minute intervals) net flows for all institutional investors during the 24-hour event period. ![]() dollars, we may apply a rate we have established without prior notice to you.Īdditional terms specific to outgoing wire transfers or consumer international wire transfers are contained in your wire transfer agreements.Total Net Flows (Risk Transferred) by Institutional Investors If we complete a foreign currency exchange on your behalf, such as exchanging a foreign currency incoming wire transfer into U.S. The exchange rate may vary among customers depending on your relationship, products with us, or the type of transaction being conducted, the dollar amount, type of currency, and the date and time of the exchange, and whether the transaction is a debit or credit to your account. The exchange rate we use will include a spread and may include commissions or other costs that we, our affiliates, or our vendors may charge in providing foreign currency exchange to you. You should expect that these foreign exchange rates will be less favorable than rates quoted online or in publications. We may make a commission providing foreign currency exchange services to you. The foreign exchange rates we use are determined by us in our sole discretion.
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