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Money market: more of the same


At the close, the overnight FX swap rate jumped to 11.13% (+113bp), but the weighted average rate remained flat at 10.68%. Consequently, banks refrained from the CBR’s FX swap once again and reduced the debt on fixed-rate repo operations to RUB 20bn. The averaging period is coming to an end, so banks’ correspondent accounts dropped to RUB 928bn yesterday, putting no pressure on the money market. However, the amount of sight deposits with the CBR grew to RUB 495bn. Today, the Treasury is to conduct one more deposit auction, offering RUB 70bn for a one-month term, but we do not expect high demand.

The NDF curve was trading on average 20bp lower, though the one-month tenor widened to 13.20% (+15bp). The XCCY curve turned a bit more inverted, as long rates declined 10-15bp and short tenors remained sticky. IRS rates rose a moderate 4-6bp, while 3M MosPrime closed at 12.43%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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