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Komfie Manalo, Opalesque Asia:

The Swiss National Bank’s (SNB) decision to scrap the cap on the Swiss franc (CHF) triggered a sharp movement on both local FX and equity markets. The unexpected decision brings the currency not far from the level where it stood when the SNB implemented the cap in September 2011, said Lyxor Asset Management in its Weekly Briefing.

According to Lyxor, several CTAs had long CHF exposures and will post gains on the move. Meanwhile, some Global Macro managers were using the CHF to fund long USD positions and will as a result post losses on the market move. L/S Equity will be barely impacted by the fall in Swiss stocks. A couple of managers had long positions on Swiss companies but potential losses will be offset by other winning positions as the fall in Swiss stocks did not impact European markets.

"Fundamentally, the SNB could not continue to intervene forever. Since the cap was implemented in September 2011, the balance sheet of the SNB rose by more than 40%, i.e. a massive injection of liquidity (the Fed’s QE3 increased the balance sheet of the Fed by 60% between Sept. 2012 and Oct. 2014). Implications for hedge funds are moderate. Although the data we report here excludes the market move related to the SNB decision, we can infer that CTAs are likely to post gains on the CHF rise, Global Macro may post moderate losses, and L/S Equity would be barely impacted," said Phi......................

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