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Money market: pumping liquidity before taxes


Due to the regulatory auctions, the system has accumulated a sufficient level of free reserves to pass the tax period smoothly. As of yesterday morning, banks reported RUB 1.59tn of correspondent accounts and RUB 360bn of sight deposits. Given the ample liquidity, the weighted average overnight FX swap moved down to 10.99% (-61bp), though at the close the rate spiked to 12.21% (+169bp). Hence, the CBR’s FX swap remained untouched, while the volume of the fixed-rate repo remained flat at RUB 38bn. Despite a good liquidity cushion, appetite for Treasury deposits was strong: yesterday, banks secured the full size of RUB 50bn amid RUB 165bn of demand. The weighted average rate printed 11.44%. Despite heavy payments due next week, we do not expect any excessive pressure on the money market in the near term, given a good menu of regulatory auctions. On Monday, the CBR is to hold the 18-month 312-P auction with a RUB 500bn limit, while on Tuesday VEB announced a deposit auction, offering RUB 60bn.

Even though the pressure on the FX market increased, the NDF continued to adjust lower. The one-month tenor slipped to 12.23% (-12bp), the rest of the curve shifted down near 5bp. The XCCY curve was resilient, with only the three-year rate re-pricing 21bp higher (10.18%). Interest rate swaps moved up 5-10bp, though 3M MosPrime nudged down to 12.37%. In addition, we highlight that on Wednesday the spread between the FX swap and RUONIA turned positive again, printing at 7bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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