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NDF/CCS widens amid increased FX volatility


Yesterday’s session promised a fairly calm day at the beginning, with the overnight FX swap opening at around 5.5%. However, elevated pressure on the FX market pushed cross-currency rates higher at the end of the day. Thus, in the evening the overnight FX swap closed at 6.38%, whilst the weighted-average rate for the whole day was 5.64%. Meanwhile, NDF rates nudged up slightly, while mid-term CCS rates widened 15-20bp; in particular, the three-year CCS rate closed at 7.15%, while 1M NDF settled near 6.80% in the end. Meanwhile, FRAs also climbed, with the 3x6 rate closing at 7.45% (+9bp), though 3M MosPrime ended unchanged at 7.07%. In light of this, the IRS curve moved up 5-7bp with the one-year IRS ending at 7.61%. Therefore, the basis swap curve narrowed about 10bp, with the one-year basis seen at -36bp in the end. Separately, we highlight that the Treasury has allocated RUB 35bn on three-month deposits at average rate of 6.70% amid RUB 50bn of demand (although just two banks participated).

Nevertheless, on a net basis the amount of Treasury deposits is to decline to RUB 260bn (-RUB 5.0bn). Meanwhile, RUB 200bn from Monday’s 312-P auction were channelled to banks yesterday, supporting the liquidity, so the total amount of the debt under the 312-P window was brought up to RUB 1.46tn. 

Maxim Korovin, Anton Nikitin
VTB Capital analyst

money market

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