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Money market: liquidity relief

Yesterday, the overnight FX swap rate declined to 8.14% by the end of the day. Hence, it was no surprise that banks’ demand for FX swap with the CBR declined to RUB 12bn. A little unexpectedly, a good chunk of liquidity came from the budget, while VEB and State Pension Fund also had two successful deposit auctions. Combined there was a RUB 211bn on the offer, while total demand printed at RUB 432bn. The offering limit was used in full. Meanwhile, we highlight that banks continue hoarding cash on correspondent accounts: the balance has reached RUB 1,215.4bn (+RUB 40.1bn). In addition, deposits in the CBR doubled to RUB 90.8bn (+RUB 48.1bn). That parked liquidity would help banks to pass the MET payday, while banks do not need such a large amount of cash in the CBR to meet the required reserve regulation. NDF rates inched up 10bp yesterday despite the lower overnight FX swap. It comes as no surprise, given that the spread to the CBR’s overnight FX swap offer has tightened visibly. However, longer dated XCCY rates nudged lower, so the curve has flattened. The IRS curve performed in line with XCCY, so the basis remained almost unchanged.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

money market, CBR

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