Yesterday, RUB did not receive good support from the results of the FOMC meeting and RUBBASK opened near 37.80, moving to 37.85 by the middle of the day (after the new band levels were announced). By closing, RUBBASK was at 37.87, i.e. in the zone of USD 400mn of interventions. USDRUB opened at 32.95 but then strengthened to 33.08 by the end of the day on the back of a weaker EURUSD.
The CBR announced the volume of FX interventions for the previous month. In July, they amounted to USD 4.7bn (USD 4.2bn and EUR 376mn), with around USD 3.3bn being ‘target’ interventions. Thus, the CBR shifted its dual-currency corridor band to 31.85-38.85, in line with its mechanical rule (to recap, the CBR shifts the band 5 kopeks once accumulated non-target interventions reach USD 450mn). Hence, it seems that the daily ‘target’ interventions were almost unchanged since June, amounting to USD 150mn per day. Hence, if the CBR sells USD 400mn per day during a month, then the dual-currency basket band should be moved by 50 kopeks and the CBR effectively reduces the implied carry in RUB (if FX demand is assumed to be inelastic and driven by global environment) and it is easier for the market to play from the long USD-BASK side. Furthermore, the FX market suggests that the CBR effectively balances the market with the average daily interventions slightly above USD 200mn. So, it seems that the dual-currency band could move to 32.0-39.0 by the end of August.