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Money market: more of the same


Yesterday, the overnight FX swap closed at 14.98%; the weighted-average rate was flat at 13.71%. Hence, banks secured RUB 9.0bn from the CBR’s FX swap window. With the end of the averaging period, banks’ current accounts dropped RUB 205bn to RUB 949mn, and deposits decreased to RUB 215bn. Banks continued to show little interest in regulatory funds, securing from the CBR RUB 34bn at the overnight repo window, while, the Treasury’s one-month deposit auction saw feeble demand, with only two bids placed. Just RUB 8bn out of RUB 100bn was allocated, at an average rate of 14.26%. As a result, the net outflow of sovereign deposits today will near RUB 40bn.

Despite strong RUB performance, NDF rates came under moderate upward pressure: the 1M NDF rate climbed 80bp to 14.88%; other short tenors moved up 40bp. Meanwhile, the longer rates fell 20-25bp, so the curve flattened. The IRS curve tightened 20-40bp, so the basis widened marginally.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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