The SNB lately reiterated its stance to maintain a EURCHF floor of 1.20. In the process, the SNB has amassed billions of foreign currency-denominated assets, about half of which is EUR, and certainly some of dubious quality (some of the recent moves tighter in French yields have been due to Swiss central bank buying, who have been deterred from channelling any further flows into short-term German bonds paying negative yields).
One country very sensitive to economic events in Switzerland, specifically the strength of the CHF, is Hungary. Hungary has a high ratio of loans denominated in a foreign currency – over 60% of GDP – most of which is in Swiss francs. As the HUF weakens, especially if against the CHF, Hungary’s external debt position rapidly worsens. Indeed, the correlation between Hungarian CDS and CHFHUF is as high as it’s been in 2 years.