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Money market: NDFs hit 20%

On Friday, the rates market saw substantial upward pressure. In particular, the 1M NDF rate surged to 20%, while 3M closed at 18%. Longer dated XCCY swap rates widened 100-150bp, with 12M NDF ending at 15.7%, while 2-year XCCY climbed to 13.7%. Therefore, the 1s2s spread now stands at -190bp. Meanwhile, the 1M XCCY swap in the MICEX closed at 11.3% (+100bp), so the difference between the offshore and onshore rate markets hit an all-time high. Overall, deteriorating liquidity fuelled much of Friday's price action, as the move happened in the almost complete absence of offers. Hence, it might reverse back in the same fashion. Meanwhile, we highlight that the overnight FX swap remained quite low: it closed at 8.62% and the weighted-average rate for the whole session printed at 8.69%. The liquidity situation likely deteriorated somewhat on Friday as banks secured RUB 251bn in the overnight repo window, up from RUB 25bn the day before. Hence, the spread between the overnight FX swap and RUONIA likely stayed deeply negative, yet the situation with USD liquidity was improving last week thanks to the CBR's FX interventions.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market

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