Goldman Sachs: Caught In The Capitulation.

Goldman Sachs note that "the CHF has been particularly volatile of late, prompting a number of client queries, especially given its status as a global risk barometer. While it certainly aligns with broader market moves to price lower growth and higher "left tail" risks, we think that is only part of the story. With market attention turning from reflation to a more staggered recovery, crowded trades have been under pressure, and we think the data suggests that recent Franc strength is likely driven by this dynamic."

• "In our models, EUR/CHF has fallen by even more than its typical betas would suggest (our cyclical fair value is now around CHF1.10), and the Franc's behavior has been comparable to other European safe haven assets like 5-Year German bunds. But EUR/CHF risk reversals show little signs of stress, and are currently positive out to three months, which indicates that recent strength is likely driven by position liquidation, rather than safe haven demand like in Q220. SNB sight deposits have picked up slightly in recent weeks, but we do not yet see clear evidence that the central bank has stepped in to curb CHF strength."
• "We still think the fundamental outlook points to a weaker Franc ahead, but it will take some stabilization in the global growth outlook for this trend to resume."