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Money market: CBR surprises with low offer at one-week repo


Yesterday, the CBR announced just RUB 1.43tn in one-week repo, down RUB 20bn from last week. However, rouble liquidity is to be in greater demand this week amid the tax payments. Hence, the CBR allocated the whole lot at an average rate of 15.74% amid RUB 1.7tn of demand. Subsequently, banks turned to other liquidity provision windows. Hence, in overnight repo banks secured RUB 109bn, up from RUB 86bn on Friday. In addition, near RUB 12bn was taken in the overnight FX swap window at 16.0%.

Meanwhile, the Treasury’s two-week RUB 250bn deposit auction saw a total bid of RUB 338.8bn and the weighted-average rate printed at 15.26%. To recap, last week the two-week deposit auction drew zero demand. However, the net liquidity injection from the Treasury would only be RUB 50bn, as the rest is just a roll-over. Unless the Treasury announces more deposit auctions, net outflow of state deposits could be RUB 179bn by the end of the week. Hence, we think there is a high chance of the CBR announcing ad hoc repo auctions. Alternatively, the Treasury could conduct additional auctions to offset the liquidity outflow to the budget.

The overnight FX swap closed at 16% yesterday, while the weighted average rate for the whole session printed at 15.29% (+22bp). RUONIA likely moved up 20-30bp as well. Meanwhile, front end NDF rates saw some bids: in particular, 1M NDF closed at 17.18% (+85bp), while 6M NDF widened 90bp to 16.22%. At the same time, longer dated XCCY swap rates declined 20-30bp, with the two-year XCCY swap rate closing at 12.7%, so the curve flattened back. We think some upward pressure on the front end NDF rates might be a spillover from the OFZ market: apparently, those investors which are selling sovereign bonds now after Moody’s rating downgrade have at least partially been hedged with NDFs, so now these positions are unwinding as well. The IRS curve closed barely changed yesterday, yet 3M MosPrime nudged up 7bp to 17.18%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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