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Money market: calm before the tax

Yesterday, the overnight FX swap stayed below the 8.50% threshold for most of the session and only in the evening did it move to the CBR’s offering level. Hence, the situation with banking liquidity was quite comfortable, as banks had secured enough liquidity earlier in preparation for today’s taxes. In addition, the State Pension Fund allocated RUB 160bn to one-month deposits at an average rate of 8.09%. Today, we expect to see some pressure on the money market and elevated demand for the CBR’s FX swap facility. Meanwhile, NDF rates moved up 15-20bp, with 3M NDF closing at 9.48%, while the 12M rate ended at 9.23% (+18bp). RUB’s weakness once again fuelled concerns that the CBR might hike rates to support the FX market amid still elevated inflation numbers. As we have argued, this is not our base case scenario, so we continue to think that front end NDFs look attractive to receive. Longer-dated XCCY swap rates widened near 10bp yesterday. The price action on the IRS curve was similar to what happened with XCCY, so the basis remained unchanged.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

money market

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