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Money market: bidding for liquidity everywhere

 
16.09.2015

Yesterday, the CBR’s one-week repo auction garnered solid demand, with total bids exceeding RUB 1.69tn. The regulator offered RUB 1.10bn, which were taken in full at the 11.60% average rate. Hence, the overnight FX swap remained on rise, closing at 11.78% (the weighted average rate level). Nevertheless, banks returned RUB 80bn to the regulator in FX swap operations, increasing their debt on the overnight repo to RUB 139bn (+RUB 57bn). The Treasury’s deposit auction was successful too: it allocated the full offer of RUB 150bn amid RUB 355bn ofdemand. The average rate printed at 10.77%. The NDF curve widened 7-10bp, while the 1M NDF rate hiked to 12.14% (+37bp). In contrast, XCCY rates tightened 9bp across the curve, with the one-year tenor nudging down to 12.34% (-14bp). The IRS curve remained nearly unchanged, while 3M MosPrime rose to 11.99% (+7bp).

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

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