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Money market: FX swap hits the CBR’s offer


As the new averaging period kicked off, banks’ demand for liquidity strengthened. However, yesterday the CBR offered only RUB 1.62tn at the one-week repo auction, thus reducing the offering limit RUB 710bn as compared with the previous week. The funds were allocated in full amid RUB 1.88tn of demand (the average rate printed at 12.72%), so banks were looking for additional liquidity on the money market. Consequently, the overnight FX swap came under upward pressure, and closed at 13.62% (+121bp); the weighted-average rate increased 113bp to 12.97%. Subsequently, banks borrowed RUB 105bn from the regulator, up RUB 97bn on Friday’s numbers. In addition, they secured RUB 14bn in overnight repo operations.

The NDF curve followed the money market rates: the 1M NDF rate increased to 14.56% (+38bp), the other tenors rose 30bp. At the same time, the XCCY curve remained intact. 3M MosPrime eased to 13.75%, while the IRS curve closed more or less flat.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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