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Money market: generous limit at one-week repo auction


Yesterday, the overnight FX swap closed nearly unchanged at 11.99%, the weighted average rate did the same print. The spread between FX swap and RUONIA narrowed a bit, but remained negative at -10bp. At the one-week repo auction, the CBR set a surprisingly loose limit, offering RUB 1.62tn to banks (up RUB 390bn on the previous week). It seems that the decision was motivated by the upcoming heavy tax payments, with the regulator pre-emptively deciding to smooth the pressure on the money market. The banks took the full limit, with the average rate printing 12.03%. The Treasury deposit auction also met decent demand, with the total bid volume amounting to RUB 407bn. Hence, banks secured the whole offer of RUB 130bn, but on a net basis the system is still going to lose RUB 20bn of deposits today. Demand for the CBR’s standing facilities was modest, with only RUB 44bn being refinanced in the overnight repo operations.

The NDF/XCCY curve moved down 10-15bp, with the 3M NDF rate touching the upper boundary of the CBR’s policy rates band and the one-year XCCY rate closing at 11.81%. In the meantime, the IRS curve stayed at the previous close levels.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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