Money market: accepting the CBR's bid
On Friday, for the second consecutive day, banks continued borrowing USD from CBR on the swap market: in total, the regulator provided USD 285mn. Overall, the banking liquidity situation remains difficult, as banks heavily use the free reserves accumulated during the previous four weeks. Meanwhile, the weighted-average overnight FX swap rate printed at 6.07% on Friday, the lowest since early February. Subsequently, NDF rates continued tightening, with the 1M NDF closing down 42bp at 6.98%, while the 3M NDF slipped 23bp to 7.47%. The longer-dated XCCY swap rate closed barely changed, so the curve bull-steepened, with the 3m12m NDF spread surging 16bp to 62bp. The IRS curve inched down a bit, so the basis has narrowed slightly.
Tatyana Zueva, Maxim Korovin
VTB Capital analyst
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