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Money market: uneventful session

Rate markets saw dull trading, just like FX spot yesterday. The USDRUB overnight FX swap did not trade due to no settlement in USD, but the EURRUB rate ended at 16.4%, i.e. little changed. The situation in the rouble deposit market was stable as well, so we assume RUONIA remained below 17.0%. The Treasury announced two deposit auctions for this week totalling RUB 300bn. This represents a net liquidity injection, which we think will help banks to enter the tax period. Meanwhile, cash continues returning into the banking system, helping to offset the negative impact from the fiscal side and FX interventions. Overall, as we suggested before, in the absence of large sterilisation in the FX market, the medium-term liquidity outlook is fairly positive, while the CBR’s power over the money market rates could well increase. The NDF market also saw little swings. 1M NDF moved up 1.0pp to 21.05%, while 3M NDF ended 60bp lower at 21.2%, so the 1m3m spread remained in the positive range. Meanwhile, the onshore 1M XCCY swap rate traded down to 17.4% (-1.0pp). Longer dated NDF/XCCY swap rates closed barely changed yesterday. The IRS curve moved up on the belly and front end, with the 1Y rate closing at 21% (+30bp), while the 3-year rate was at 17.08% (+28bp). At the same time, 3M MosPrime moved down 17bp to 22.3%. The basis swap spread narrowed near 50bp to -273bp.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market

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