For individuals: Internet bank
Select your city:

VTB Bank call center

+7 (800) 200-77-99
+7 (495) 739-77-99
For general information and enquiries

Money market: overnight FX swap a tad higher

Yesterday, the weighted-average overnight FX swap for the whole session closed at 6.75% (+26bp), while in the end it settled at 7.41% (in line with Wednesday). One of the reasons behind some upward pressure on the o/n USDRUB swap was the CBR’s decision to place a bid in the market. However, a stronger driver was the increase of rouble interest rates due to the outflow of CBR refinancing. In particular, we highlight that RUONIA has widened 74bp this week to 8.84%. As a result, banks had to tap the standing repo facility on Wednesday for RUB 197bn at 9.0%. However, yesterday the CBR provided an additional RUB 150bn in the six-day repo auction at an average rate of 8.40% as demand was RUB 422bn. Subsequently, the demand for the standing repo declined to RUB 74bn (still a high amount, given the absence of heavy tax payments). Meanwhile, we highlight that the State Pension Fund has allocated RUB 131bn on banks’ deposits, while the Treasury also conducted a deposit auction for RUB 50bn (the whole size was secured). Therefore, the liquidity situation is likely to find some relief at some point today. Overall, yesterday’s performance of the overnight FX swap highlights that banks are ready to source USD liquidity at 2.00% overnight rates, a fresh record high. Meanwhile, NDF rates closed 10-15bp higher on the frontend amid wider FX swap. Hence, 3M NDF ended at 7.43% and 12M NDF at 8.28%. Longer dated XCCY swap rates moved 10bp higher with the 2-year rate closing at 8.05%. The IRS curve followed the same path, so the basis swap remained almost unchanged.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

rouble, CBR

Back to the list

VTB group news subscribe
  • E-mail subscribe
  • RSS lent
Download the list of cities.....