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End of tax period brought some relief


The overnight FX swap rate tightened 47bp to 14.63% yesterday, yet the weighted-average rate for the entire session remained relatively elevated at 14.82%. Nevertheless, banks’ demand for overnight FX swap with the CBR declined to RUB 17bn from RUB 111bn the day before. At the same time, the volume of overnight repo increased to RUB 107bn (+RUB 82bn), so it would be preliminary to call the situation with banking liquidity ample. In particular, we highlight that the CBR provided RUB 1.65tn at the one-week repo auction at an average rate of 14.38% amid total demand of RUB 1.7tn. Hence, unless the CBR announces additional ad hoc repo auctions, the total debt of auctioned repo would decline by RUB 260bn. However, the negative effect on the liquidity balance would be offset by the injection of RUB 59bn via Treasury deposits, as banks secured RUB 159bn at the two-week auction. In addition, the Treasury is conducting a RUB 20bn overnight repo auction today, while VEB and the State Pension Fund offer RUB 48bn combined for deposit auctions.

NDF rates declined on the front end on the back of lower overnight. In particular, 1M NDF ended at 15.29%, while 6M slipped to 14.56% (-10bp). The longer-dated XCCY swap rate closed barely changed.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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