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Money market: increased appetite for liquidity


Bid for liquidity is strengthening gradually, pushing the overnight FX swap away from the lower bound of the CBR’s policy rates band. Yesterday, the overnight FX swap closed at 10.34% (-62bp), but the weighted average rate widened to 10.51% (+18bp). The CBR continued to cut one-week repo limits, offering RUB 900bn yesterday vs. RUB 1.12tn last week. Banks secured the money in full; the weighted average rate printed 11.45%. The tighter one-week repo limit spurred demand for Treasury deposits: banks secured RUB 150bn in full, with total bids amounting to RUB 309bn.

NDF rates corrected down 30-50bp, with the 3M NDF rate declining to 12.03% and 9M NDF rate closing at 11.85%. At the same time, the XCCY curve widened 4-6bp. The one-year tenor rose to 12.20%, and looks appealing to receive at current levels. The IRS curve shifted up 10-20bp, 3M MosPrime closed flat at 11.83%.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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