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Money market: pressure on NDF/XCCY rates resumes


Yesterday, the overnight FX swap returned into the CBR’s policy rates band, closing at 10.87%. The weighted average rate changed little, printing 10.54%. Hence, we estimate that the spread between the overnight FX swap and RUONIA remained negative, standing near Tuesday’s levels of -35bp. Banks continued actively to use the fixed-rate repo with the CBR, securing RUB 134bn yesterday. Today, the Treasury is to offer RUB 50bn in one-month deposits, and we expect good demand, given the tight one-week repo limit and low probability of a rate cut on 11 September.

Volatility on the FX market translated into the NDF/XCCY curve. The 1M NDF rate rose to 11.95% (+26bp), while other NDF tenors widened 45bp, with the 6M NDF rate jumping to 12.89%. The front end of the XCCY curve increased 35bp, with the one-year tenor rising to 12.66% and the three-year rate closing at 11.21%. In the meantime, the price action along the IRS curve was fairly muted: the curve widened on average 3-6bp, with only long tenors jumping 25bp.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

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