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Money market: relief as the CBR offers a generous limit for one-week repo


Yesterday, the overnight FX swap closed at 11.94% (-34bp), while the weighted-average rate for the whole session printed at 12.27% (-14bp). The CBR provided RUB 1.45tn in the one-week repo tender at an average rate of 12.11%. Even though the total amount of bids was near RUB 2.0tn, we think that the offering size fitted the current situation well in the interbank market. Thus, the CBR cut the one-week repo only RUB 120bn, while the regulator usually tightens the liquidity provision more substantially after the end of the tax period (i.e. by RUB 300-400bn). Meanwhile, banks secured RUB 326bn in overnight standing facilities (combined repo and FX swap windows), up from RUB 249bn on Monday.

NDF rates were mostly flat yesterday, with the 1M rate closing at 13.7%, while 3M ended at 13.28%. Longer dated XCCY swap rates were unchanged, as was the IRS curve.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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