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Money market: overnight facilities in demand


Yesterday, banks continued sourcing liquidity with the help of the CBR’s standing facilities at 15.0% rates. Hence, the regulator provided RUB 112bn at the FX overnight swap window in addition to RUB 160bn secured at the overnight repo. However, the CBR substantially increased the offering limit for the one-week repo, to RUB 2.06tn (+RUB 608bn to the outstanding one-week repo volume). Banks secured the entire amount, and almost all bids were fulfilled at an average of 14.22%. The injection of fresh liquidity would help offset the reduction in 312-P debt and outflows of Treasury and State Pension Fund deposits.

The overnight FX swap closed down 67bp at 14.47%, though the weighted average rate rose 10bp to 14.75%. The Treasury deposit auction was still lacking demand, despite the fact funds were tendered at the key rate level. As a result, the Treasury allocated only RUB 74bn out of RUB 200bn, and the average rate was set at 14.02%. The NDF/XCCY curve shifted upward, with the front end gaining 30-50bp and the longer-dated yields rising 10-20bp. Hence, the 3M NDF closed 50bp higher at 14.00%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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