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Money market rates little changed; tax period is over


Yesterday, money market rates were unchanged. At the same time, front-end rates remained elevated; in particular, the cost of the FX swap in the market was 6.49%, while the repo rate remained near 6.23% (+3bp). Meanwhile, banks borrowed RUB 336.9bn from the CBR at the overnight repo auction, up RUB 28.9bn from Wednesday. Given that the CBR’s limit was RUB 360bn (so all bids were covered), the average rate printed at 5.55%. The volume of correspondent accounts dropped RUB 81bn to RUB 687.7bn amid tax payments, However, banks can use more free reserves (bringing the balance of correspondent accounts in the CBR down further) thanks to the high level of NOSTRO accounts accumulated at the beginning of the August-September averaging period. Nevertheless, the tax period is over, so we might see some relief in the money market — although the CBR’s ongoing interventions remain a drag on liquidity. IRS and cross-currency swap rates were little changed yesterday.

Maxim Korovin, Anton Nikitin
VTB Capital analyst

money market

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