Russia still has about $300 billion of foreign currency held in offshore swaps -- enough to disrupt money markets if they are frozen by sanctions or moved suddenly to avoid them.
That's according to Credit Suisse Group AG strategist Zoltan Pozsar, who parsed data from the Bank of Russia and financial markets to calculate the figure.
“When flows change, spreads can gap,” Pozsar wrote in a report Thursday. “If things escalate, it's hard not to see a direct impact on FX swaps and U.S. dollar Libor fixings given Russia's vast financial surpluses and where those surpluses are deployed.”
Russia's central bank and private sector have almost $1 trillion of liquid wealth, with a much larger share of this held in U.S. dollars than most people realize, even after the country sold all its Treasuries holdings in 2018, Pozsar wrote. He estimates about $200 billion is held in foreign-exchange swaps, with another $100 billion in deposits at foreign banks.
That's a large enough amount to substantially shift funding markets, according to Pozsar. The Bank of Russia's U.S. dollar exposure is about 50%, compared with the 20% it reports, Credit Suisse estimates.
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