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Money market: debt to CBR lowest since mid-October


Yesterday, the CBR offered RUB 1.3tn at the one-week repo auction: banks secured the whole amount amid RUB 1.9tn demand at an average rate of 15.60%. Hence, the total amount of outstanding auction repo is to decline by RUB 770bn; however, the Treasury’s RUB 135bn liquidity injection via deposit auctions would partially offset this. Yet, as usual for the beginning of the month, the consolidated budget is set to be running a slight negative balance. Finally, banks have near RUB 651bn on deposits in the CBR with the balance of correspondent accounts at RUB 956bn. We think banks would cut the amount of deposits, although, as we have argued before, the volume of free reserves is sufficient. On a micro level, there could be a misbalance in the interbank market, so we do not rule out that demand for standing repo facilities will increase today. Overall, the total debt of banks to the CBR has declined to RUB 5.1tn, the lowest since mid-October last year – to recap, in November, the CBR sterilised RUB 1.2tn with FX interventions. Front-end NDF rates rallied near 150-180bp, as the overnight FX swap closed at 14.00% yesterday: 1M ended at 16.5%, while 6M NDF fell to 15.07%. We think 1M NDF might tighten a bit further, but longer tenors look fairly priced here against the current overnight rates, unless one expects the widening of the spread between the overnight FX swap and RUONIA and/or further rate cuts in March. Longer-dated XCCY slipped near 20-40bp. Subsequently, the NDF/XCCY swap curve continued gradually steepening. The IRS curve moved down near 30-50bp, so the basis remained almost unchanged.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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