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Rates: overnight swap from CBR is in demand as tax period approaches the end

 
27.08.2013

On Monday, the corporate sector had to pay mineral extraction tax (around RUB 220bn in gross numbers, according to our estimates). As the CBR conducted only one MTRO auction at the end of July (to recap, banks took only RUB 306bn) and continued rather heavy FX interventions, the money market is almost in the same shape as a month ago. Thus, the tax period has approached its end with money market demand for CBR FX swap. Yesterday, the CBR provided RUB 120bn via the overnight FX swap and around RUB 200bn at 5.55% via the overnight repo (however, the limit was set at RUB 390bn) indicating some collateral distribution problems in the banking system. IRS/XCCY markets were calm as the UK was on holiday.

Maxim Korovin, Anton Nikitin
VTB Capital analyst

Tags:
CBR, Russia

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