Money market: rates stay elevated
On Monday, RUONIA was 23.36%, according to the CBR’s data, i.e. 94bp down from Friday and 5.3pp lower than Thursday’s peak. Hence, the situation with rouble liquidity is calming down gradually, but tax payments keep rates at a relatively high level. Meanwhile, the overnight FX swap continued trading with a visible discount to RUONIA. In particular, yesterday’s weighted-average overnight FX swap rate was 16.8% (up 80bp from Monday). However, in the end it spiked to 18.0%, with banks securing RUB 9bn from the CBR in the FX swap window. Yesterday, the CBR conducted two repo auctions: for the one-week, with RUB 3.79tn offering, and for the one-day, with a RUB 460bn limit. Total demand for one-week money was RUB 3.0tn, i.e. RUB 98bn less than outstanding. Hence, all bids were satisfied at an average rate of 17.25%. The take out in the overnight repo auction was RUB 332.2bn at an average rate of 17.15%. Thus, the total amount of auction-based repo declined RUB 37bn to RUB 3.43tn yesterday. Separately, the Ministry of Finance allocated RUB 150bn at 3-day deposits at an average rate of 17.98% in two banks. This is a pure liquidity injection, which we think will help banks to pass the taxes this week more smoothly. NDF rates widened 180-250bp yesterday, with 1M closing at 27.4% and 12M at 16.94%. The 1s2s XCCY swap spread remained negative, at 300bp.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst
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