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Money market: NDFs widened sharply

The situation with RUB liquidity was barely unchanged yesterday. Banks secured only RUB 25bn from the CBR, so the volume of correspondent accounts likely remained near RUB 800bn. Meanwhile, the Treasury allocated RUB 150bn to banks’ one-week deposits at an average rate of 10.96%, while demand totalled RUB 312bn. The overnight FX swap traded low for most of the session – the weighted-average rate for the whole day printed at 8.69% (+12bp). It traded as low as 8.25%, but in the end widened to 10.54%. NDF rates blew up yesterday – front-end rates widened 100-130bp with 3M closed at 14.8%, while 12M ended at 14.06%. Price action took place amid very low liquidity in the absence of offers. Meanwhile, onshore XCCY swap rates saw less volatility – in particular, the 1M XCCY MICEX swap traded at 10.20%. The IRS curve surged accordingly, and so the basis remained unchanged.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market

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