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Rates march lower, FX swap/RUONIA basis remains below zero


After the settlement of regulatory auctions, the bid for liquidity abated. At the close, the overnight FX swap moved as low as 10.60% (-154bp), with the weighted average rate declining 46bp to 11.60%. Hence, we estimate that the FX swap/RUONIA basis moved deeper into the negative zone from Tuesday’s levels of -10bp. Accordingly, banks refinanced only RUB 39bn in fixed-rate repo operations. Today, the Treasury is offering RUB 50bn in one-week deposits, so if taken in full, they would offset the RUB 37bn, maturing on Friday.

The NDF curve decreased on average 20bp yesterday, with the one-month tenor declining to 12.35% (-30bp) and the 9M NDF rate slipping to 11.79% (-22bp). Price action along the XCCY curve was a bit more moderate: rates moved down 10-15bp, with the one-year tenor decreasing to 11.66%. Given the continuing, but likely decelerating, monetary easing cycle, we think that receiving longer NDF rates or the one-year XCCY rate is attractive. The IRS curve saw choppy trading: the long end dropped 30bp, three- and four-year tenors slid 10-15bp, the other rates remained unchanged.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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