JPMorgan Chase Institute
FX Markets Move on Surprise News
Institutional Investor Trading Behavior around Brexit, the US Election, and the Swiss Franc Floor
This JPMorgan Chase Institute report is our first study based on a new, proprietary data asset composed of institutional investor transactions. We explore trading around three recent events that led to the largest one-day moves in the relevant currencies in the last 20 years: the Brexit referendum, the 2016 presidential election, and the decision by the Swiss National Bank (SNB) to remove the Swiss Franc floor. The granularity of our transaction data allows us to provide an inside look at the trading behavior of various types of institutional investors during these three major market events and spotlight which investor sectors transferred risk during the price discovery process and which sectors waited until exchange rates had stabilized to transfer risk.
Does the Timing of Central Bank Announcements Matter?
Trade-Level Data on Hedge Fund Behavior Before Swiss National Bank Meetings
This follow-up report builds on FX Markets Move on Surprise News: Institutional Investor Trading Behavior around Brexit, the US Election, and the Swiss Franc Floor, focusing on hedge fund trading during the Swiss National Bank’s (SNB) Minimum Exchange Rate policy period. The report leverages a data asset of 395 million de-identified transactions executed by over 44,000 institutional investors to measure hedge fund net flows in EUR/CHF spot and forward transactions during the SNB’s Minimum Exchange Rate policy period. The granularity of our data asset allows us to explore hedge fund trading behavior during this major market event and ultimately highlight implications for central banks as they consider how their choices with respect to communicating policy changes might impact financial market stability.
Swiss Franc Floor
January 15th, 2015
At 9:30AM GMT, the Swiss National Bank (SNB) abandoned its floor on the EUR/CHF exchange rate via a surprise press release. The announcement shocked the market—EUR/CHF dropped 12.3 percent. See the institutional investor reaction here.
June 23rd, 2016
See how various types of institutional investors reacted after UK voters surprised the world by voting to “Leave” the European Union, causing GBP/USD to drop 11 percent overnight.
November 8th, 2016
Before the election, forecasters widely expected Hillary Clinton to win. See how institutional investors behaved as early returns from swing states pointed to an unexpected Trump victory.
This material is a product of JPMorgan Chase Institute (“JPMCI”) and is provided to you solely for general information purposes. Unless otherwise specifically stated, any views or opinions expressed herein are solely those of the authors listed, and may differ from the views and opinions expressed by JPMS’s Research Department or other departments or divisions of JPMorgan Chase & Co. or its affiliates. This material is not a product of the Research Department of J.P. Morgan Securities LLC (“JPMS”). Information has been obtained from sources believed to be reliable but JPMorgan Chase & Co. or its affiliates and/or subsidiaries (collectively J.P. Morgan) do not warrant its completeness or accuracy. Opinions and estimates constitute our judgment as of the date of this material and are subject to change without notice. The data relied on for this report are based on past transactions and may not be indicative of future results. The opinion herein should not be construed as an individual recommendation for any particular client and are not intended as recommendations of particular securities, financial instruments or strategies for a particular client. This material does not constitute a solicitation or offer in any jurisdiction where such a solicitation is unlawful.
Copyright 2018 JPMorgan Chase & Co. All rights reserved. This publication or any portion hereof may not be reprinted, sold or redistributed without the written consent of J.P. Morgan.