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Money market: no relief

Yesterday, NDF rates continued widening in the offer-less market. Hence, 1M NDF moved up 3.3pp to 23.4%, while 3M NDF closed at 22.2% (+4.2pp). Longer dated tenors closed elevated as well: 12M NDF settled at 17.6% (+190bp), whilst the 2-year XCCY swap rate surged to 15.2% (+145bp). The onshore XCCY swap market was calmer: the 1M MICEX XCCY swap rate moved up ‘just’ 115bp to 12.60%. Hence, the spread between offshore and onshore rates continued sharply widening: now, the spread between one-month rates stands close to 1,100bp, with the one-week at 865bp. Meanwhile, the overnight FX swap closed at 8.30% (-32bp), i.e. below the CBR’s deposit rate. However, the weighted average rate for the whole session was 9.06% (+37bp). Nevertheless, we estimate the spread between the overnight FX swap rate and RUONIA is holding near -100bp, another illustration of the acute issues with the distribution of USD liquidity within the banking system. The IRS curve moves less than NDF/XCCY: the one-year rate moved up 80bp to 16.7%. Hence, the one-year basis swap moved up to positive 100bp. Separately, we highlight that the Treasury announced two one-week deposit auctions this week for a total of RUB 550bn, which would partially cover the redemptions. However, the deposit outflow at the end of the week would still be around RUB 202bn. The Treasury is pushing redemptions towards the end of the year, which is positive for the liquidity balance and increases the chances that deposit withdrawals would be matched with budget’s outlays. Last (but not the least) are the results of yesterday’s 312-P auction: banks borrowed RUB 500bn amid RUB 674.8bn of demand for three-months. The rate was set at 10.16%, i.e. 41bp above the minimum threshold. The highest spread level since the CBR’s launch of the 312-P auction facility in July 2013.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market

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