BAML believes there is a 'de facto' floor
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.
In our view, the evidence points to further SNB intervention in the latter part of September. 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.
Without stating as much, but keeping alive the threat of constant intervention, the SNB appears to have created a floor in EUR/CHF for now.
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