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Rates: the CBR rolled only RUB 1.5trln into the next year

Yesterday, the CBR conducted two-week repo auction in RUB 1.523trln at 5.52% with a maturity in 2014. This implies that the remaining repo indebtedness will be rolled via overnight repo (i.e. around RUB 1.5trln as well) and this will allow to limit the impact of the budget injections on the money market as banks will be able to pay back overnight repo if there is excess of liquidity. However, we consider that the impact on the money market rates in early January will be delivered via low demand for the correspondent accounts because their average level will be much above the regulatory needs. At the moment, the banks face supertight liquidity conditions as the tax period continues and there is no budget injections into the system yet. RUONIA is at 6.51% and MosPrime is 6.78% indicating to a serious stress in liquidity conditions. Banks attracted RUB 457bn via overnight FX swap, the historical high. We consider that budget expenditures will start channeling into the system in the next two days and this will bring some relief to banks.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

CBR, ruble

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