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Money market: rates remain subdued


Yesterday, the overnight FX swap remained well below the key rate level, closing at 11.02% (+28bp). The weighted-average rate nudged down further to 11.09% (-15bp), so not surprisingly banks refrained from tapping the CBR FX swap window again. Besides, banks continued to unwind the overnight repo debt, reducing it to RUB 67bn. The averaging period is due on Thursday, while banks have accumulated enough liquidity to pass all regulatory requirements. Given the combined volume of correspondent accounts and deposits of RUB 1.37tn, banks have comfortable leeway in liquidity positions. Today, the Treasury is offering RUB 150bn in two-week deposits, but we think demand for standing facilities and budgetary funds is likely to remain subdued this week, unless the CBR substantially cuts the limit on the one-week repo auction.

The NDF curve tightened 10bp, while the one-month tenor declined to 12.99% (-39bp). The XCCY curve was trading mixed, with the front end decreasing 10bp and long tenors moving up 12bp. The IRS curve closed intact, with the 3M MosPrime rate ending the session at 12.48%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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