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/CHF: Markets Lean Towards Cut From SNB, Analysts Biased Towards A Hold

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SNB dated-OIS shows ~72% odds of a cut at the impending SNB decision.

  • Analysts are tilted more towards the idea of no change in rates, with 16/28 surveyed by BBG looking for that outcome.
  • A 25bp cut is fully discounted through the September meeting, with ~32bp of cumulative cuts then showing through year end.
  • EUR/CHF vols have surged ahead of the decision, hitting levels not seen in well over a year and implying a sizeable intraday reaction in FX. An ATM straddle break-even on a ~60 pip swing in the cross, keeping cycle lows at 0.9478 under pressure on any hawkish impulse.
  • Inter-meeting commentary from President Jordan has pulled CHF STIR markets away from dovish extremes seen in the wake of the March SNB decision and supported CHF.
  • Inflation has accelerated in line with SNB expectations since the March meeting but remained well within the target range.
  • Our full preview of today’s decision can be found here: https://roar-assets-auto.rbl.ms/files/64861/SNBPreview-2024-06.pdf
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SNB dated-OIS shows ~72% odds of a cut at the impending SNB decision.

  • Analysts are tilted more towards the idea of no change in rates, with 16/28 surveyed by BBG looking for that outcome.
  • A 25bp cut is fully discounted through the September meeting, with ~32bp of cumulative cuts then showing through year end.
  • EUR/CHF vols have surged ahead of the decision, hitting levels not seen in well over a year and implying a sizeable intraday reaction in FX. An ATM straddle break-even on a ~60 pip swing in the cross, keeping cycle lows at 0.9478 under pressure on any hawkish impulse.
  • Inter-meeting commentary from President Jordan has pulled CHF STIR markets away from dovish extremes seen in the wake of the March SNB decision and supported CHF.
  • Inflation has accelerated in line with SNB expectations since the March meeting but remained well within the target range.
  • Our full preview of today’s decision can be found here: https://roar-assets-auto.rbl.ms/files/64861/SNBPreview-2024-06.pdf