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Money market: demand for liquidity moderates


On Friday, the bid for liquidity subsided, but the overnight FX swap closed unchanged at 12.56%, with the weighted average rate printing 12.07%. The FX swap moved wider in the evening, after the regulator had already left the market, so the CBR’s FX swap window remained untapped. In addition, banks cut the volume of fixed-rate repo RUB 89bn to RUB 42bn. This week, the Treasury is to conduct two deposit auctions for a total amount of RUB 180bn, and banks have the opportunity to refinance RUB 187bn, maturing this week. However, we think that banks might prefer to rely on the CBR’s standing facilities, as they did before the CBR’s previous BoD meetings. The NDF/XCCY curve moved on average 5-10bp higher; the three-year XCCY rate jumped to 10.37% (+21bp). The IRS curve traded mixed: the one-year tenor declined to 12.44% (-9bp) and the belly rose 6-13bp, while the long end decreased 5bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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