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Money market: end of tax period


Overnight rates remained elevated, with the one-day FX swap closing at 15.1%, whilst the weighted-average rate printed at 14.84%, i.e. flat to Friday. Meanwhile, the CBR injected RUB 340bn at the two-day ad hoc repo auction at an average rate of 14.36% amid RUB 445.2bn of demand. Separately, we highlight that yesterday the Ministry of Finance redeemed RUB 100bn of short-term OFZs issued at the end of December last year. However, it appears that was not enough to compensate for all the liquidity outflow due to the payment of corporate profit tax. Hence, in addition to all the liquidity provisions from regulators, banks borrowed RUB 111bn in the overnight FX swap window and RUB 25bn in one-day repo. NDF rates widened marginally on the front end, with the 3M rate closing at 15.38%, while 12M NDF climbed to 13.98%. Longer dated XCCY swap rates remained largely unchanged, did IRS rates.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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