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Money market: FX swap approaching CBR offer


Yesterday, the overnight FX swap continued to move north, with the weighted average rate rising to 11.21% (+11bp). In the evening, bid for liquidity strengthened, pushing the overnight FX swap to 11.88% by the close. The CBR slightly increased the limit on the one-week repo, offering banks RUB 1.08tn (+RUB 180bn). Banks secured the whole amount amid RUB 1.34tn demand; the weighted average rate was set at 11.57%. The Treasury deposit auction also attracted high demand, with total bids amounting to RUB 270bn. Hence, banks took RUB 90bn in full, rolling over maturing funds today. The weighted average rate printed 10.8%, still remaining below the key rate.

The NDF curve remained under pressure yesterday, rising another 20bp and shifting to the 12.7-12.8% area. 3M NDF was hit the most, trading at 12.86% at the moment, while one-month tenor remains the tightest print on the curve, trading at 12.46%. The XCCY curve traded mixed yesterday. The front end narrowed 10-20bp, with the one-year rate tightening to 12.33%. The belly tenors were up 5bp, while long rates closed 15bp higher. On the IRS curve, we also noted some pressure, which pushed the rates 5-10bp higher.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, NDF

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