According to the CBR money market report published yesterday, the available collateral for repo operations will not be enough to satisfy the banking system’s increasing needs for refinancing in 2013. Furthermore, non-resident’s purchases of OFZ, which have strengthened since 4Q12, are exacerbating this issue. In this regard, the CBR’s FX swaps coupled with its loans backed by non-market assets (the socalled 312-P) might become more and more actively used.
Meanwhile, the report mentions that tri-party repo is to be launched in March, while loans at floating rates (with a tenor of one week and up) have been postponed until 3Q13. In addition, the monetary authorities might introduce FX swap auctions and set their terms in line with the auction repo.
Given growing demand for liquidity, an increase in the holdings of local bonds by domestic banks simply will not be enough to cover all refinancing needs. We expected that sooner or later the CBR would be forced to redefine its refinancing strategy. Bringing the FX swap RUB leg to the auction REPO minimum rate might stabilise money market rates at that level. However, at the same time, switching to auction from stand-by facility mode for FX swaps might result in a muted effect if the limits on such auctions are set small.
Maxim Oreshkin, Daria Isakova
VTB Capital analyst
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