There are many angles to the Cyprus events. One issue is the value of foreign-currency deposits:
1. for a euro area investor, there will be some range of judgements about the relative safety of euro-denominated deposits in different euro area countries. If one wishes to shift into a non-euro deposit, currency fluctuations map into volatile returns once the conversion back into euro is taken into account (unless a currency hedge is also purchased). Since summer 2012, both the dollar and sterling have depreciated by about 9 percent against the euro so foreign-currency deposits can experience significant capital losses (or gains).
2. for a non-euro investor, holding a euro deposit carries the symmetric currency risk. For example, the rouble has appreciated by about 11 percent against the euro since summer 2009 (so that Russian investors in Cyprus have already experienced a significant capital loss over that time period). [The rouble depreciated by about 29 percent in late 2008 / early 2009, so euro deposits provided a very good hedge for Russian investors during the worst phase of the global crisis.]
3. currency movements are not predictable so ex-ante expected returns can look similar across currencies (interest rate differentials are typically small across the major currencies) but ex-post realised returns can be very different.