In recent days, Swiss franc’s correlation with the 2-year yield spread (US-Swiss 2 year) has dropped to 25 percent but time on time again it shows relatively high positive correlation, as high as 80 percent at times. Just before and after the Brexit referendum in the UK, the 20-day rolling correlation was averaging above 60. Hence, it is vital to keep a watch on the Swiss yields.
Just after the Swiss floor shock in January 2015 when the Swiss National Bank (SNB) removed a floor in EUR/CHF at 1.20 this relation went to negative and stayed there until October with occasional bounces to positive territory. It hasn’t gone to the negative since and was closely related to the yield (above 80 percent) in January this year.
Unlike the euro or the pound, the Swiss franc is considered a safe haven, hence the yield relation sometimes gets overlooked.
However, Swiss yields are a must watch as they are the lowest for any government bonds in the world and any shift in that will mark a major turnaround in trend. The above chart explains how the relation between the spread and exchange rate has unfolded since 2012.


Australia’s Economic Growth Slows in Q3 Despite Strong Investment Activity
FxWirePro: Daily Commodity Tracker - 21st March, 2022
Indonesia Aims to Strengthen Rupiah as Central Bank Targets 16,400–16,500 Level
Dollar Holds Steady as Markets Shift Focus to 2026 Rate Cut Expectations
South Korea Posts Stronger-Than-Expected 1.3% Economic Growth in Q3
RBA Reassesses Pricing Behaviors and Policy Impact Amid Inflation Pressures
Fed Officials Split as Powell Weighs December Interest Rate Cut
U.S. May Withhold $30.4 Million From Minnesota Over Improper Commercial Driver Licenses
BOJ Governor Ueda Highlights Uncertainty Over Future Interest Rate Hikes
BOJ’s Noguchi Calls for Cautious, Gradual Interest Rate Hikes to Sustain Inflation Goals




