Money market: liquidity a little easier
Yesterday, banks borrowed RUB 402bn from the CBR in the overnight repo window, down from RUB 536bn on Friday. Subsequently, rouble lending rates remained elevated – in particular, the overnight repo rate in the MICEX widened 6bp to 10.50%. Meanwhile, on Friday RUONIA picked up to 10.69% and perhaps stayed elevated yesterday. Today, the Treasury is offering RUB 70bn at the one-week deposit auction at a minimum rate of 10.30%. However, these amounts do not cover this week’s redemptions in full: if the Treasury does not announce an additional deposit auction, on Friday about RUB 220bn would be sterilised as previous deposits come due, which is comparable in size with the payment of MET or VAT. As we have argued before, the mismatch between the timing of deposit withdrawal and the budget’s acute outlays contains one of the key risks liquidity wise in December. In addition, higher demand for cash is another burden on the banking system, although this factor usually comes into play during the second half of the month. Additionally, there has still not been any news on the volume of next week’s 312-P auction. Despite the liquidity situation, the overnight FX swap remained below the key rate and closed at 8.20% yesterday. The weighted-average rate for the whole session printed at 9.30% (-46bp). Onshore XCCY swap rates remained relatively low compared with NDF quotes: in the MICEX, onemonth was quoted at 11.16% vs. 13.50% NDF. Meanwhile, NDF widened around 60bp yesterday, so 3M NDF closed at 13.36%. We estimate that the NDF curve prices in an about 250bp rate hike in the not so distant future.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst
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