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Money market: rates go down

 
17.09.2015

Yesterday, the overnight FX swap closed at 11.26% (-52bp), while the weighted average rate nudged down to 11.64% (-13bp). Hence, the CBR’s FX swap remained untapped once again, while banks increased the volume of overnight repo with the regulator to RUB 162bn. Amid strong RUB dynamics, the NDF curve shifted down 15-25bp, with the front end easing to 12.0% and the 6M NDF rate declining to 12.14%. The XCCY curve moved down 3-5bp at the front end and in the belly, while long tenors decreased 10bp. Hence, the one-year tenor closed at 12.29%, while the three-year rate slid to 11.10%. IRS rates were down 10-15bp, with the one-year tenor closing at 12.65%. At the same time, 3M MosPrime continued to mark near the upper bound of the CBR’s policy rate band of 10-12%.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

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