BAML believes there is a ‘de facto’ floor
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The SNB had to show its hand once more as it continues to establish a line in the sand in CHF appreciation, which we believe is 1.08 in EUR/CHF and 0.95 in USD/CHF
And even though the latest weekly sight deposit data did not hint at suspected SNB intervention on 30 September given the sharp intraday move higher, settlement convention (T+2) may mean that intervention could show up in next week’s data. Nonetheless, the weekly changes in sight deposits through September indicate that further (albeit modest) intervention took place from mid-month onward. Without explicitly mentioning the 1.08 level as an official floor (and thus fuelling unwarranted speculation pressure), that level has held for much of the year.
