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Money market: calm days continue


Liquidity was still on the rise in the system, with the combined volume of correspondent accounts and deposits increasing to RUB 1.59tn, as of yesterday morning. The FX overnight swap continued to trade well below the CBR’s offering level, closing at 11.77% (-23bp). In the meantime, the CBR’s overnight repo remained the main tool for managing marginal liquidity needs, with banks raising their debt to the regulator to RUB 67bn. Today, the Treasury is offering RUB 30bn at the one-week deposits, but we do not expect great demand given the sufficient liquidity cushion at the moment and the inflow of RUB 138bn from the matured RFLB 15 6.88 (series 25075).

The NDF curve shifted up 5bp, with the three-month rate picking up to 12.67%. XCCY rates migrated higher: the one-year rate inched up to 11.96%, while the three-year tenor ended the session at 10.42%. Short IRS rates moved down 10bp, making the curve less inverted.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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