Money market: NDFs wider; CBR cuts repo
Yesterday, the CBR provided only RUB 2.70tn to banks at the one-week repo auction, down from RUB 2.85tn outstanding. The average rate printed at 9.69%, while the total amount of bids was RUB 3.0tn. In addition, banks secured RUB 191bn in the overnight repo window at 10.50%, which is in line with Monday’s volume (RUB 188bn). Demand for the Treasury’s two-week deposit auction was subdued, at just RUB 92.5bn, amid a RUB 120bn offer. Hence, today the total outstanding volume of Treasury deposits is to decline to RUB 64bn. However, yesterday morning banks had near RUB 1.3tn on correspondent accounts, which is more than required by business and regulatory needs. Thus, we do not expect any substantial pressure on the money market rates today. Meanwhile, the NDF/XCCY swap curve widened 30bp yesterday, perhaps, partially due to the CBR’s imposition of a limit on the FX swap facility. Hence, 1M NDF closed at 12.16% (+25bp), while 3M NDF settled at 11.98%. We continue to think that receiving the front-end of the NDF curve looks interesting, because we suppose the CBR is to keep rates unchanged in the near term, while the beginning of next year is likely to be seasonally liquidity positive. The regulator’s cap on FX swap is a risk, certainly, but we doubt it would result in a situation when the overnight FX swap rate holds above 10.50%.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst
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