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Money market: short XCCY rates remain on rise

 
20.08.2015

The settlement of the recent regulatory auctions eased demand for liquidity. By the close, the overnight FX swap dropped to 9.67%, pushing the weighted average rate to 11.05% (-16bp). Hence, the CBR’s FX swap facility remained untapped, while the volume of overnight repo reduced to RUB 16bn. Money market rates traded mixed yesterday. The NDF curve eased 10-15bp, with the three-month tenor declining to 12.71%. The front end of the XCCY curve rose 10-20bp, with the one-year tenor closing at 12.44%, while longer tenors remained generally unchanged. The 3M MosPrime rate inched up to 11.91% (+5bp), though IRS rates shifted down 5-10bp.

 

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

Tags:
Tags: ruble, oil

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