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Money market: liquidity squeezed by taxes

 
26.03.2015

The payment of VAT and MET did not go unnoticed in the money market. The overnight FX swap rate rose 52bp to 15.11%, with the weighted-average rate climbing to 14.92%. Hence, banks borrowed RUB 160bn in FX swap from the regulator, securing an additional RUB 182bn in the overnight repo facility. Today, the Treasury is offering RUB 100bn at the two-week deposit auction and we expect solid demand as banks need to roll over maturing RUB 100bn deposits tomorrow.

The NDF curve followed the overnight FX swap rate and ignored FX spot, with the 1M NDF rate rising 65bp to 16.04%, while the three-month tenor closed at 15.21% (+17bp). At the same time, XCCY rates adjusted 10-25bp lower, so the curve steepening stalled for a while. The IRS curve moved down 15-30bp, so the basis widened near 13bp.

Maxim Korovin, Tatiana Zueve
VTB Capital analysts

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