Money market: overnight rates calmer
Yesterday, the USDRUB swap did not trade due to the US holidays. However, the EURRUB overnight swap only briefly touched 10.50%, while the weighted average rate printed at 10.37% for the whole session. We therefore believe that banks secured a tiny amount of RUB liquidity from the CBR in terms of FX swaps. Demand for the CBR’s refinancing has declined a touch, as banks borrowed RUB 454bn in overnight repo (RUB 32bn less than on Wednesday). The treasury allocated RUB 181.8bn in two-week bank deposits at an average rate of 10.74%, down from the 11.05% of just a couple of days ago. However, companies today pay corporate profit tax to the budget, which would increase the pressure on the money market. NDFs barely traded yesterday, despite the swings in the FX spot market. Perhaps their relative resilience was due to the US holidays and a reaction will follow today. All other things being equal, RUB’s weakness increases the probability of additional rate hikes by the CBR; or shadow tightening via outright limits on liquidity provision volumes, which is less preferable, in our view. We therefore expect some widening of the implied NDF rates.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst
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