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Money market: CBR reveals terms for the October 312-P auction

Yesterday, the overnight FX swap surged to 9.0%, a level not seen since July. At the same time, this was just a local spike perhaps explained by the liquidity squeeze in one of a few banks as corporates submitted MET to the budget. Meanwhile, the weighted-average rate printed at 7.35% (+35bp), i.e. in line with Monday’s levels amid VAT payment. The pressure on liquidity is likely to subside today, thanks to the Treasury’s deposit auction; yesterday it allocated RUB 30bn on one-month deposits at an average rate of 9.1%, compared with the minimum threshold of 8.50%. Meanwhile, we also highlight that banks prefer to run the balance of correspondent accounts above what we estimate to be the minimally comfortable level. Hence, yesterday in the morning banks had near RUB 1.36tn on correspondent accounts in total, while we think they need a maximum of RUB 1.0tn in order to meet the regulation for minimum reserve requirements and run clients’ day-to-day operations smoothly. Meanwhile, the CBR has announced the terms for the next 312-P refinancing auction, which is to take place on 13 October (settlement T+2). The regulator is going to offer RUB 600bn for three months. We highlight that about RUB 564bn of outstanding 312-P debt matures within 30 days. To recap, on 14 July banks secured RUB 588bn for three months (maturity falls on 15 October), but perhaps some of them decided to prepay the facility a bit earlier. Overall, the net liquidity injection would quite modest and barely change the liquidity balance in the system. In response to higher overnight FX swap, NDF rates widened just 5bp, while longer dated XCCY swaps declined 2bp. The IRS curve moved up near 5bp, so the basis has widened a tad.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

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