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Money market: balance is preserved


Yesterday, the level of banks' correspondent accounts declined to RUB 1.0tn as the CBR sterilised RUB 470bn in one-week. However, the accumulated average balance in the present average period is close to RUB 1.2tn, which is more than enough, especially, given that the new regulatory period starts on Monday. Therefore, it is not surprising that the weighted-average overnight FX swap rate was unchanged at 10.12%, yesterday. NDF rates widened marginally with 12M up 2bp to 11.9% on the back of FX spot weakness. Shorter rates remained almost unchanged. The IRS curve steepened marginally with the 3-year rate down 26bp to 11.5%, while the 5-year tenor widened 20bp to 11.5%. We still think that it looks appealing to receive 12M NDF here, using every spot driven spike as a selling opportunity.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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