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CBR

  • 25
    FEB15
    Money market: CBR surprises with low offer at one-week repo

    Yesterday, the CBR announced just RUB 1.43tn in one-week repo, down RUB 20bn from last week. However, rouble liquidity is to be in greater demand this week amid the tax payments. Hence, the CBR allocated the whole lot at an average rate of 15.74% amid RUB 1.7tn of demand....

  • 19
    FEB15
    MinFin – Ministry finalises conversion of USD 8.01bn via accounts at the CBR

    ... to be executed directly within the balance sheet of Bank of Russia and will not include open market operations. MinFin is taking action on the announcement made on 14 January by Deputy Minister Alexey Moiseev. The conversion is to take place on the CBR’s balance sheet and will not have any side-effects on the FX market. To reiterate, the conversion of part of the Reserve Fund will not decrease the size of the CBR’s international reserves as it is an operation which only affects the currency ...

  • 10
    FEB15
    Money market: overnight FX swap at upper end of CBR band

    Yesterday, the total balance of banks’ correspondent accounts with the CBR declined, to RUB 789bn, as we had expected, amid the January-February averaging period drawing to a close today. Nevertheless, the combined volume of deposits and correspondent accounts remained near RUB 1.5tn. The State Pension Fund pulled near RUB ...

  • 5
    FEB15
    Money market: overnight FX swap hits CBR’s bid

    Yesterday, the overnight FX swap closed at 12.57%, i.e. the level of the CBR’s bid in the FX swap market, whilst the weighted-average rate for the whole session printed at 14.16% (-24bp). We think that RUONIA probably also moved down substantially, given that the overnight repo rate in the MICEX tumbled to 15% (-100bp), ...

  • 4
    FEB15
    Money market: debt to CBR lowest since mid-October

    Yesterday, the CBR offered RUB 1.3tn at the one-week repo auction: banks secured the whole amount amid RUB 1.9tn demand at an average rate of 15.60%. Hence, the total amount of outstanding auction repo is to decline by RUB 770bn; however, the Treasury’s RUB 135bn ...

  • 3
    FEB15
    Money market: debt to CBR continues narrowing

    Yesterday, banks’ total debt to the CBR under the 312-P facility declined RUB 188bn to RUB 3.8tn. Banks repaid near RUB 405bn of mid-term funding, but partially covered this with RUB 215bn borrowed up until one month. Perhaps, some banks decided to cut the relatively long 312-P funding ...

  • 2
    FEB15
    Macro week ahead – digesting CBR's early roll-back in emergency tightening

    .... As we noted previously, the latest weekly CPI prints, admittedly moderating from the extremes of December, remain elevated, suggesting either i) a larger or ii) a more front-loaded path of the pass-through from RUB weakness. We, and apparently the CBR as well, believe the latter is more likely, but we need to see more sustained moderation in weekly CPI prints before drawing far-reaching conclusions. It would also be interesting to scrutinise details on the monthly CPI report for signs of moderation ...

  • 2
    FEB15
    Money market: rates down on CBR

    In terms of liquidity, the situation changed little at the end of last week. The only thing is that banks moved a good portion of funds from correspondent accounts to deposits, but the combined volume remained barely changed, at around RUB 1.6tn. The CBR's decision to cut rates caught the market by surprise, so front-end NDF rates tightened 200-250bp with 1M NDF closing at 18.74% and 12M NDF ending at 15.55%. Longer-dated XCCY swap rates declined 70-90bp, with the 2-year rate settling at 13.43%. Hence,...

  • 30
    JAN15
    Russia: CBR policy meeting in focus

    We expect the CBR to leave the key policy rate unchanged at 17% today. The extreme FX and interest rate shock continues to send waves of pain across the banking and real sector, arguing for policy easing. Encouragingly, there is tentative evidence that depositor behaviour ...

  • 21
    JAN15
    CBR cuts repo further

    ... RUB deposit rates remained slightly under 17%, while the overnight FX swap closed at 16.50%. Therefore, the cost of USD liquidity in the Russian interbank lending market remains at a comfortable level and far from December’s highs. Meanwhile, the CBR cut the limit on the one-week repo facility to RUB 2.2tn. Banks secured the whole offering size amid RUB 2.6tn demand, at an average rate of 17.4%. VAT is due on Friday this week, but we believe that there is unlikely to be elevated stress on the ...

  • 12
    DEC14
    Local sovereign debt: stronger on CBR decision

    Yesterday, the OFZ market rallied, as the CBR announced a 100bp rate hike, while the market priced in something between 150bp and 200bp, we estimated. Hence, hot on the heels of the CBR’s announcement, the OFZ curve shifted down near 50bp yield wise. However, the gains were partially pared ...

  • 12
    DEC14
    Russia: CBR increases rates 100bp on inflation grounds

    The CBR, after raising rates 100bp yesterday, stressed its readiness to tighten policy further if inflation risks and RUB devaluation expectations increase. We had expected a heftier rate hike (150bp) and did not rule out a temporary widening of the rates ...

  • 11
    DEC14
    CBR – Monetary policy preview – waiting for a big bazooka

    The CBR is due to hold a monetary policy meeting today, with the pressure to deliver bold policy action having increased significantly over the last two weeks, following the brisk decline in oil prices and consequent pressure on the currency. The CBR is unlikely ...

  • 11
    DEC14
    RUB: all eyes on the CBR now

    ... to USD 63.75/bbl. Subsequently, NOK closed 0.5% weaker. However, the EM FX index ended the day 0.4% in the red, with ZAR down 0.7%, while MXN and BRL slipped 0.8-0.9%. Thus, at the end of the day RUB weakened 0.8% against USD (or 40% YTD). Today, the CBR’s policy meeting is of high importance: the market is waiting for some bold policy response to the FX volatility.

  • 11
    DEC14
    CBR policy meeting – expectations high than ever

    The pressure to deliver bold policy action has increased significantly over the last two weeks, following the brisk decline in oil prices and consequent pressure on the currency. We believe the CBR is unlikely to put off raising interest rates substantially in an attempt to stem FX volatility. We expect another 150bp hike in the key policy rate and do not rule out the regulator lifting the cap of the rates corridor further, guiding for a more ...

  • 10
    DEC14
    Banks tap CBR’s FX swap window

    ... session, it traded at fairly low levels (around 8.5%). Hence, the weighted-average rate on the day printed at 8.96%, i.e. 10bp lower than Monday. However, late in the evening the overnight FX swap spiked to 10.53%, so banks secured RUB 33bn from the CBR at 10.50%. Simultaneously, the volume of overnight repo declined to RUB 34bn (-RUB 100bn) yesterday. We think some technical factors resulted in an overnight FX swap spike. Hence, yesterday was the last day of the November-December averaging period,...

  • 4
    DEC14
    RUB: CBR in the market

    Yesterday, the Russian FX market opened in the red with USDRUB quickly spiking to 54.85-54.90. However, around noon the CBR reportedly intervened for a second time in the week, pushing USDRUB as low as 52.50-52.80. We understand that the CBR has a trailing offer selling FX in portions at the market’s price. Hence, the regulator does not defend any particular level in ...

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