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Money market rates unchanged; long OFZs firmed a little

The money market remained stable on Friday, as the CBR increased the offering limit for the overnight repo auction after banks borrowed RUB 33bn on Thursday in FX swaps. Thus, on Friday banks secured RUB 485.9bn at an average rate of 5.52% (+RUB 129.4bn to Thursday) and the cost of FX swap in the market ended at 6.15% (flat) and the overnight repo rate in MOEX settled at 6.09% (flat as well). Thanks to the increased repo volumes, banks refrained from using the FX swap window with the CBR. Meanwhile, IRS rates continued moving higher on Friday on the longer end, with 7-10Y rates up about 5bp, while mid-term rates remained unchanged or even nudged down a little. 3M MosPrime did not move on Friday (6.79%), but 6x9 FRA tightened near 3bp to 6.52%. Cross-currency rates reacted slightly to the lower USTs yields, so the basis tightened a little. Activity in the OFZ market was not huge on Friday as investors waited for NFP numbers. Afterwards, we noted longer-dated notes gained near 25bp, with the RFLB 28 7.05 yield down to 8.05%. Apart from this, there was no price action of note on the OFZ curve.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

OFZ, money market

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