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Money market: subdued demand for CBR repo

The CBR yesterday conducted a one-week repo auction for RUB 3.67tn. However, total demand was only RUB 3.1tn, which was fulfilled at an average rate of 17.39%. Meanwhile, there were no bids for the overnight standing repo facility. In turn, banks secured RUB 125bn at the FX swap window at 18.0%. In our view, this is another example of how conventional marketable collateral is becoming a constraint. Nevertheless, the weighted-average overnight FX swap was 17.58% yesterday; it closed at 14.6%. Separately, banks borrowed RUB 50bn at the Treasury’s deposit auction, yet the total outflow for the whole week is still some RUB 400bn. NDF rates jumped 5-8pp on the back of the CBR’s rate hike and FX volatility. The IRS curve performed accordingly, with 3M MosPrime up 591bp at 20.75%.
Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market

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