Tomorrow, the anniversary of the Swiss Franc unpegging. How often does a major developed market currency pair move 30%...

On January 15th, 2015, the Swiss National Bank suddenly announced it would no longer hold the swiss franc at a fixed exchange rate with the euro. The consequent move was sharp - one euro went from being worth 1.2 Francs to 0.85 Francs - a move unprecedented for a major currency pair.

The move was so unprecedented, many major dealer banks turned off their algorithmic pricing engines and many of them had reverted to manual trading.

It's a day I remember as I was at ICAP and our platform EBS was the primary venue for trading the EUR/CHF pair. The decline in bank proprietary trading and the rising levels of internalization were killing our business but at a time like that traders came back to the interbank CLOBs and our trading volumes skyrocketed to near record levelslevels.citi

Citi, Deutsche Bank, and Barclays - at the time the big 3 in FX trading - together lost more than $400m that day.

But this hit the broader FX market and the thinly capitalized retail FX brokers hard as they were unable to cover margin calls by dealer banks from client collateral. Many retail FX brokers went bust and one prominent one needed a $300m capital injection.

The EUR/CHF trading range had been tight and related volatility very low ever since the Swiss National Bank had said they would use their balance sheet to ensure the 1.2 Franc level wasn’t breached in 2011. Consequently, many online retail brokers were offering a huge amount of leverage of around 50:1 to their clients.

The Swiss Franc unpegging had a structural impact on the whole FX ecosystem. It changed the way FX prime brokerage worked.

But it was also a good old-fashioned reminder - like a VIX chart that goes sideways for years and then suddenly pops - of WWII mathematician Abraham Wald's lesson to not look for only the bullet holes.