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FX swap normalises; CBR launches fine-tuning FX swap auctions


Yesterday’s session was calm for the money market. The overnight FX swap moved back inside the policy rates band, trading at 12.03% at the close; the weighted-average rate printed 12.16%. Nevertheless, banks borrowed RUB 44bn in the CBR’s FX swap window, securing an additional RUB 147bn in the overnight repo operations. The regulator slightly increased the limit on the one-week repo auction yesterday, offering RUB 1.7tn (+RUB 120bn) to the market. The funds were allocated in full amid RUB 2.19tn of demand (the average rate printed 11.91%). Given the tight level of sight deposits, the Treasury deposit auction also deserved some attention, with two banks securing RUB 101bn yesterday at an average rate of 11.50%.

The NDF curve remained sticky, with only 3M NDF rate inching up to 13.43% (+16bp); XCCY rates widened back 10bp. In turn, 3M MosPrime continued to adjust lower, easing 46bp to 12.61%. The IRS rates followed its move, tightening 10-20bp along the curve.

Yesterday, the CBR announced the launch of fine-tuning FX swap auctions. The instrument is to supplement the CBR’s liquidity toolkit, providing an additional opportunity for banks to borrow RUB funds for a term of 1-2 days. The minimum rate on the RUB leg is to be equal to the key policy rate, while the rate on the FX leg is set to zero. Bids are to be fulfilled at a single cut-off rate. The move is rather technical, in our view, and it complements the ‘fine-tuning’ repo operations of CBR. This is unlikely to have any visible impact on the money market, since there is plenty of spare collateral in the banking system now.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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