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Money market: NDF breaks through the upper end of the CBR's policy band


The situation with banking liquidity remains stable. Banks have near RUB 1.4tn on sight deposits with the CBR and the accumulated average balance in the current mandatory reserves maintenance period is around RUB 1.3tn, which sufficiently covers banks' averaging requirements. In addition, the volume of the Treasury's deposits increased RUB 30bn to RUB 418bn, yesterday.

Hence, it is not a surprise that the overnight FX swap continues trading in a narrow range around the key rate: yesterday, it closed at 11.07% and the weighted average rate stayed nearly unchanged at 11.12% (+6bp). Therefore, unless the CBR substantially cuts the limit for the one-week repo today, we think that the money market in Russia will stay calm. Meanwhile, banks secured only RUB 32bn in the standing overnight repo window, while demand for the Treasury's overnight repo moderated to RUB 51bn, from RUB 100bn last week.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, NDF

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