Turns out it wasn't just Goldman's muppet clients who were slaughtered by one of Goldman's "Top Trades" for 2015, when the reco to short the CHKSEK plunged 16.5% and the trade was stopped out. It was Goldman itself. From the Goldman Sachs Asset Management disclosure on the impact of the SNB floor removal:
What changed? In recent months, SNB reserves have started to pick up (an increase of CHF400bn from Jan 10 to today), while the European Central Bank (ECB) is closer to introducing a sovereign Quantitative Easing (QE) program. Maintaining the exchange rate floor in a Eurozone QE scenario would likely have required substantial interventions by the SNB.
So in case there still was confusion, Goldman has blessed its former employee to turn on the printing presses in Europe. That much is clear.
However, this is more important:
In our portfolios with currencies, we have been short the CHF on the grounds that it was an expensive currency which we expected would experience capital outflows as European growth normalized. We were surprised by the sudden removal of the peg. Although the CHF real effective exchange rate is lower than during the European crisis of 2011, it has actually appreciated in recent months. We exited a substantial portion of our CHF short today and are monitoring the situation closely.
And yet, this makes little sense considering Goldman, in its earnings call explaining why it just had the worst FICC quarter since Lehman, also said this:
- GOLDMAN CFO SAYS MOVE IN SWISS FRANC WAS `IMMATERIAL' TO FIRM
So who is lying? Goldman or Goldman.
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