Money market: demand for liquidity persists
On Friday, the situation with banking liquidity remained stretched, as banks borrowed RUB 107bn in a standing repo window, a tool nowadays used to cover the marginal liquidity needs. At the same time, the balance of correspondent accounts reached RUB 1.3tn, highlighting that banks are not willing to distribute the excessive free reserves in the interbank market. In the light of this, the weighted-average overnight FX swap rate printed at 7.02% (+18bp) on Friday. Demand for liquidity is set to increase this week due to tax payments, but the Treasury is offering a helping hand: this week three deposit auctions have been scheduled, which (if taken in full) would inject RUB 200bn into the banking system. Meanwhile, higher overnight rates spooked NDF sellers and 1M NDF closed about 10bp higher at 7.33%, while 12M NDF widened 15bp to 8.45%. Longer-dated XCCY swap rates have also picked up, near 10-15bp.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst
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