Macro Transmission Workbench: Yen Intervention → Swiss Franc Depreciation Spillover
Active Rotation
Intervention & Macro Shocks
Scenario Presets
Mechanics: MoF/Fed buying JPY sparks volatility and short-squeeze risks in JPY funding. Traders pivot borrowing to the liquid Swiss Franc (CHF), driving CHF supply down against USD and EUR, weakening CHF and improving Swiss export pricing power.
Relocated to CHF Funding$28.0BFrom JPY carry channels
CHF Depreciation-340 bps~3.40% FX relief
Post-Shock CHF Net Carry3.65%Net annualized yield
Post-Shock JPY Net Carry1.15%Drag from yen squeeze