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Money market: a little post-tax relief

Yesterday, the weighted average overnight FX swap rate declined to 10.42% (-19bp) having returned within the CBR’s interest rate band. At the end of the day, it closed at 10.58%, so banks still secured near RUB 24bn from the CBR in the FX swap window. Meanwhile, yesterday banks borrowed RUB 486bn in overnight repo at 10.50%, an all-time record high. However, that should not come as a surprise, since the CBR did not roll the one-day repo auction conducted on Tuesday. Thus, the total outstanding repo volume with the CBR increased RUB 160bn to RUB 3.3tn yesterday. On Tuesday, RUONIA printed at 10.93%, the third consecutive session outside the CBR’s interest rate band. Thus, the spread between overnight FX swap and RUONIA remains at -32bp, suggesting that we are not completely past the US dollar liquidity issues. NDF rates widened 30-60bp yesterday, with 3M settling at 12.00%. The IRS curve moved up 20bp, so the basis swap spread held stable. Tomorrow, companies pay the final corporate profit tax, so expect some more stress in the money market.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market

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