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Money market: nothing new

 
19.02.2015

The situation with rouble liquidity remains comfortable. In particular, the CBR injected RUB 250bn with the settlement of the one-week repo auction, while the Treasury announced an additional RUB 180bn deposit auction for today. In light of this, the money market is sticking around the CBR key rate: in particular, the weighted-average overnight FX swap rate was 14.90% yesterday. Meanwhile, the liquidity outlook remains quite positive, especially as MinFin confirmed yesterday that it intended to allocate funds from the Reserve Fund on banks’ deposits, which would effectively release the collateral. MinFin also said that RUB 75bn from the National Wealth Fund could be channelled to the Yamal LNG project by the end of the week.

Front-end NDF rates tightened 40-50bp yesterday, with 1M NDF closing at 17.2%, while 12M NDF settled at 14.5%. Longer dated XCCY swap rates moved down 10-15bp. The IRS curve moved down accordingly, so the basis remained almost unchanged.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

Tags:
money market

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