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Money market: roll back

On Friday, rouble rates have declined following the relief in the FX. Hence, 1M and 12M NDFs closed down 10-15bp at 8.83% and 8.95%, respectively. Longer-dated XCCY swap rates slipped in line with 5-year rate closed 8.15%. IRS curve has also nudged down abou 15bp, although 3M Mosprime performed controversally having ended at 9.47% (+9bp). Therfore, basis swap has narrowed a bit with 1-year rate closed at -86bp. Situation with liquidity has changed much on Friday. Banks have paid back near RUB 69bn of 312-P debt, which was offset by a RUB 51bn increase in FX swap and RUB 30b inflow on Treasyry's deposits. Today, tax period kicks off with the payment of VAT, so we expect increase of demand for FX swap with CBR. At the same time, Treasury is offering RUB 100bn at banks' deposits for two-weeks, which could boost the liquidity. However, the key event this week is CBR's monetary policy meeting on 25 July. We think CBR is to remain on hold as inflation is still elevated, but absence of pressure on the FX side allows for some policy flexibility. However, clearly, if currency continues falling, regulator is likely to consider some supportive steps.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

money market

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