Money market: liquidity still ample
Yesterday, the liquidity situation remained comfortable: the CBR attracted RUB 180bn for its one-day deposit at an average rate of 7.53%. Nevertheless, deposits at the CBR are gradually receding as banks pay back some of their debt to the CBR and the Treasury. As far as the latter is concerned, the Treasury yesterday allocated RUB 50bn on one-month deposits at an average rate of 8.2%, which was still not enough to cover the maturities. Therefore, on a net basis, today the Treasury is going to withdraw RUB 90bn from banks. Another highlight of yesterday’s session is that the CBR’s FX swap window has been tapped for the tiny amount of RUB 112mn, which still raises eyebrows, given there is plenty of liquidity at the headline level. In our view, this underlines the fact the interbank market remains fragmented. Nevertheless, the overnight FX swap rate was low, with the weighted average rate closing at 7.24% – although, in the end, the FX swap had picked up to 9.06%. NDF rates remained under pressure: 3M was up 5bp to 9.90%, while the 12M NDF closed at 9.78%. The longer-dated XCCY swap gained near 10bp in average, so the curve has steepened a little. 3x6 FRA widened 15bp to 10.40%, while 3M MosPrime remained unchanged at 10.17%. In the light of this, the IRS curve closed unchanged, so the basis has narrowed 5-10bp on the front end and the belly. In particular, the one-year basis closed up 9bp at -66bp. Generally speaking, the market has prepared for a 25bp hike in September.
Maxim Korovin, Anton Nikitin
VTB Capital analyst
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