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Money market: respite for the NDF/XCCY curve


Yesterday, liquidity was restored slightly, with correspondent accounts picking up to RUB 1.08tn as of the morning. The overnight FX swap traded a bit higher, with the weighted average inching up to 11.19% (+8bp). By the close, the bid for liquidity had strengthened, pushing the overnight FX swap to 11.93%. Nevertheless, the CBR’s FX swap facility remained untapped, while banks reduced the overnight repo debt to RUB 23bn. Yesterday, the Treasury held a successful one-month deposit auction, allocating its offer in full. Hence, today, the system is to gain RUB 50bn of fresh liquidity.

Amid yesterday’s RUB spurt, the NDF/XCCY curve shifted down 30-50bp. Thus, 3M NDF eased to 13.0%, still looking attractive for selling, as we expect the CBR to remain on hold in September. The one-year XCCY rate declined to 12.93%, while two-year tenor edged down to 11.89%. IRS rates also adjusted lower, narrowing 15-20bp across the curve. The one-year rate nudged down to 12.85%. 3M MosPrime closed at 12.08%.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

money market, NDF

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