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Money market: overnight FX swap shot at 10.50%

Yesterday, the overnight FX swap traded near 10.50% at the end of the session, while the weighted-average rate for the entire day printed at 10.06%. Hence, banks borrowed RUB 85bn in the CBR’s FX swap window, down from RUB 210bn on Friday. At the same time, the amount of overnight repo picked up to RUB 190bn from RUB 57bn on Friday. Nevertheless, the total debt to the CBR declined near RUB 96bn yesterday, as budget spending likely helped with liquidity. Looking forward, we expect more relief liquidity-wise from the budget’s side, but demand for CBR refinancing to remain intact, since the average balance of correspondent accounts in the October-November averaging regulation period is running at a relatively low level. Despite the elevated overnight FX swap, front-end NDF rates continued tightening yesterday. Specifically, 1M NDF closed at 10.70% (-80bp) and 3M NDF settled at 10.60% (-60bp). At the same time, longer-dated rates inched up near 10bp with 12M NDF closing at 10.27% (+11bp).
Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market

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