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Money market: CBR overnight repo remains popular


On Friday, the situation with liquidity remained comfortable. Banks' correspondent accounts were at RUB 1.49tn in the morning, the largest print in June. Hence, the FX overnight swap went ahead with easing, having closed at 12.03% (-55bp). The weighted-average rate printed 12.07%, flat to the previous session. Given that, the CBR's FX swap was again left untapped, though banks continued to borrow actively via overnight repo, rolling over its entire size of RUB 181bn. The bid for liquidity is set to increase this week due to the busy tax schedule, while the determining factor for the money market is to be the limit on the one-week repo auction. The Treasury is ready to allocate RUB 130bn in total at two auctions, which could result in RUB 124bn net liquidity inflow (if taken in full). 

NDF rates widened back 10-20bp, with longer tenors moving the most. The XCCY curve remained generally intact, except for the two-year rate, which closed at 11.50% (+22bp). The IRS curve steepened a bit, as the long end increased 10bp and shorter tenors closed flat. 

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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