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Money market: overnight drifts lower


Money market rates continued to decline yesterday due to the inflows of regulatory liquidity after the settlement. The volume of banks’ correspondent accounts picked up to RUB 1.43tn, the highest print in June. The overnight FX swap closed flat at 12.57%, though the weighted-average value decreased to 12.10% (-10bp). Banks again showed little interest in the CBR’s FX swap instrument, having attracted a tiny volume of RUB 0.5bn. Meanwhile, the bid for fixed-rate repo remained solid, with banks refinancing RUB 182bn yesterday. Given improved balances, the Treasury deposit auction registered feeble demand: only RUB 7bn was taken out of the RUB 50bn offer (the average rate was 11.80%).

The NDF curve moved down, easing on average 10-20bp. The front end enjoyed the strongest momentum, with the one-month tenor nudging down to 13.64% (-25bp) and the 3M NDF rate correcting to 13.42% (-18bp). The XCCY curve took a pause in its easing cycle, remaining broadly intact. In the meantime, the price action on the IRS curve was muted, so the basis narrowed further, with the two-year tenor reaching -50bp (-100bp in early June).

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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