2015-01-15: SNB Ends Euro Peg, CHF Pairs Experience Largest Single-Day Moves in Decades

At 09:30 on January 15, 2015, a brief SNB statement wiped out a floor that had anchored Swiss monetary policy since September 2011. The EUR/CHF quote collapsed from 1.2027 to 1.0364 within hours. For currency traders who had built positions assuming the 1.20 level was immovable, the SNB's reversal was instantaneous and total.

The mechanics of a defended floor are often misunderstood. A central bank pledging a minimum rate accumulates foreign reserves by selling domestic currency whenever pressure builds. This process had made the 1.20 floor appear indestructible. The hidden risk was the asymmetric one: an institution that commits publicly and repeatedly can also un-commit just as publicly, and the market has no mechanism to price that reversal until it happens.

On the day of the announcement, every CHF cross pair moved in the same direction at once. The verified record shows EUR/CHF with its largest single-bar move of 17.2%, USD/CHF with a 16.1% single-bar move and a maximum drawdown of 16.2%, GBP/CHF with a maximum drawdown of 16.4% matching its largest single-bar move of 16.4%, and CHF/JPY with its largest single-bar move of 18.0%. The CHF cross pairs saw largest single-bar moves ranging from 14.8% to 18.0%.

Looking at the full data window from December 8, 2014 to May 7, 2015 across 110 daily bars, the EUR/CHF Historical Replay: 2014-12 to 2015-05 captures the full trajectory: close moved from 1.2027 to 1.0364, a decline of 13.8%, with maximum drawdown of 18.6% and a largest single-bar move of 17.2%. The USD/CHF Historical Replay: 2014-12 to 2015-05 records a close change from 0.9782 to 0.9217, a decline of 5.8%, with maximum drawdown of 16.2% and largest single-bar move of 16.1%. Other pairs showed similar patterns: GBP/CHF dropped 6.8% with a 16.4% maximum drawdown, CHF/JPY rose 4.5% but with a 12.1% maximum drawdown and 18.0% largest single-bar move, AUD/CHF fell 10.4% with a 16.7% maximum drawdown, CAD/CHF fell 11.0% with a 19.0% maximum drawdown, and NZD/CHF fell 8.6% with an 18.1% maximum drawdown.

The CAD/CHF Historical Replay: 2014-12 to 2015-05 demonstrates the same cascade: close moved from 0.8545 to 0.7609, a decline of 11.0%, with maximum drawdown of 19.0% and largest single-bar move of 16.2%. The simultaneous nature of these moves across seven different currency pairs is the key diagnostic fact. This was not a fundamental re-pricing of any single currency; it was the market repricing its model of central bank reliability across the entire CHF complex.

The SNB's credibility as an institutional anchor was severely damaged by the January 15 reversal. The credibility it had spent three years building was dismantled in one morning. Market confidence in SNB policy commitments eroded over the following months, reshaping how participants assess tail risk in policy-dependent markets.

For markets: the episode showed that a defended floor, maintained for years, can disappear without warning, forcing immediate re-pricing across all correlated pairs. For institutions: the rapid margin calls and cascade of stop-loss executions highlighted how liquidity can evaporate precisely when positions are most stressed. For the regulatory record: the event prompted a reassessment of how central bank communication and policy reversals should be disclosed, leading to tighter guidance frameworks in subsequent years. For decision trainers: the core lesson is about asymmetric tail risk embedded in policy commitments. A system where one party sets the rules and can change them unilaterally produces a specific failure mode: the longer the stability, the larger the eventual dislocation. Building process discipline around known policy dates, maintaining position sizing buffers that survive dislocations rather than merely directional moves, and recognizing that a credible anchor can become a source of instability are the transferable habits this episode creates.

Data coverage note: the member scenarios extend to May 7, 2015, reflecting the full data span of 110 trading days available for this window. The narrative focuses on the January 2015 shock and its immediate aftermath within the cluster year framing, while the extended coverage allows participants to replay both the acute shock phase and the subsequent recovery and re-equilibration period.