Money market: NDF blew up on weaker FX
The overnight FX swap remained sticky near the CBR’s offer at 10.50%, while the weighted average rate for the whole session printed at 10.28% (+22bp). Thus, banks borrowed RUB 93bn (+RUB 8bn) from the CBR in the FX swap window. At the same time, banks secured only RUB 110bn in overnight repo, so the total debt to the CBR remained almost unchanged. We also highlight that the Treasury saw good demand for the one-month RUB 200bn deposit auction. Total bids equalled RUB 376bn and the average rate printed at 10.15%. The net liquidity injection today is to constitute RUB 105bn. Meanwhile, we highlight that NDF rates widened considerably yesterday. Specifically, 1M NDF closed 70bp higher at 11.40%, while 3M ended at 10.82% (+30bp). Meanwhile, longer dated rates surged 20-30bp with the two-year XCCY swap rate closing at 9.90%. The IRS curve also moved up, but to a visibly smaller extent. In particular, 3M MosPrime gained 13bp to 11.83%, as did one-two year IRS rates. However, longer dated rates actually nudged 10-15bp lower. Thus, the basis swap narrowed 15-18bp along the whole curve. Overall, we see the basis swap narrowing as an illustration that the US Dollar deficit issue is not on the table right now thanks to the CBR’s FX interventions in October. The O/N FX swap-RUONIA spread is also positive-to-flat now. In our view, this is yet another argument that households’ bid is driving pressure on the FX spot now.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst
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