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Banks tap CBR’s FX swap window

The overnight FX swap saw some volatility yesterday. During most of the session, it traded at fairly low levels (around 8.5%). Hence, the weighted-average rate on the day printed at 8.96%, i.e. 10bp lower than Monday. However, late in the evening the overnight FX swap spiked to 10.53%, so banks secured RUB 33bn from the CBR at 10.50%. Simultaneously, the volume of overnight repo declined to RUB 34bn (-RUB 100bn) yesterday. We think some technical factors resulted in an overnight FX swap spike. Hence, yesterday was the last day of the November-December averaging period, while banks had been running rather a low balance of correspondent accounts lately, thanks to the previously accumulated average balance. However, perhaps one or more banks miscalculated client inflows, so had to boost the average balance quickly, while the overnight repo window was already closed. Meanwhile, the CBR provided RUB 3.21tn in one-week repo at an average rate of 9.98% amid RUB 3.4tn of total demand. Separately, the State Pension Fund announced a RUB 162bn 60-day deposit auction for today, which would help to offset the outflow of Treasury’s deposits this week. NDF rates continued widening, with 1M closing at 24.1%, while the 1M MICEX XCCY swap rate ended at 14.7% (+200bp). The IRS curve also moved up, so the basis remained mostly unchanged.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market, CBR

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