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Money market: calm end to the averaging period


On Friday, the bid for liquidity remained modest, holding the overnight FX swap rate within the lower bound of the CBR’s policy rates band. The overnight FX swap closed at 9.77%, while the weighted average rate printed 10.07% (-10bp). Hence, no funds were secured via the CBR’s FX swap, with banks only refinancing RUB 43bn in the overnight repo. Other money market rates traded choppy. The NDF curve closed flat, except for one- and six-month tenors, which inched up 10bp. The XCCY curve shifted down on average 5bp, though the long end was trading 6bp higher, while the four-year rate dropped to 9.87% (-22bp). The belly and the long end of the IRS curve widened a moderate 3-4bp, while short tenors rose 15-30bp. At the same time, 3M MosPrime closed intact at 11.84%. Today, the new averaging period kicks off, so banks’ appetite for liquidity is likely to re-emerge. One of the key events to watch today is the three-month 312-P auction.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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