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Money market: demand for CBR’s FX swap persists


Yesterday, the overnight FX swap closed little changed at 15.0%, while the weighted-average rate ended at 14.85% (+23bp). Hence, banks secured RUB 80bn from the CBR in FX swap operations and near RUB 127bn in the overnight repo window, even though the volume of one-week repo increased RUB 100bn. However, the latter was offset by a RUB 100bn outflow from Treasury deposits.

Front-end NDF rates settled higher, with 1M closing at 16.43% (+73bp) and 3M at 15.98% (+25bp). The belly of the XCCY curve remained intact, while long dated tenors slipped some 30bp. The IRS curve moved down 30-40bp, though 3M MosPrime closed flat at 15.81%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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