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Marginal changes in one-week repo limit


Yesterday, the CBR offered RUB 1.37tn at the one-week repo auction, thus cutting the limit a moderate RUB 80bn. The money was taken in full at an average rate of 12.04%. In addition, banks showed good appetite for Treasury deposits, taking the whole size of RUB 150bn at an average rate of 11.20%. Not surprisingly, the CBR’s standing facilities did not attract great demand, with only RUB 68bn being refinanced in overnight repo operations.

In light of these factors, the overnight FX swap dropped to 10.00% at the close, while the weighted-average rate printed 10.71% (-38bp). NDF rates adjusted 25bp higher on the back of volatility on the FX market, with the three-month tenor closing at 13.25%. On the contrary, the XCCY curve shifted down 5-8bp across all the tenors, except for the one-year rate, which rose to 12.10% (+25bp). The IRS curve tightened on average 4bp, though the one-year tenor edged down to 12.41% (-14bp).

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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