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: rates surged to 30% during Treasury deposits outflow

Yesterday, the overnight FX swap traded as high as 32.1% having closed at 29.7%, while the weighted-average rate for the whole session was near 24%. At the Treasury’s one-week deposit auction for RUB 150bn, total demand was RUB 330bn, but only one bank secured the entire amount offered at a 29% rate. Nevertheless, on a net basis, the Treasury today withdraws RUB 250bn from deposits, bringing the total outstanding amount down to RUB 430bn. In addition, Vedomosti reports that some banks are experiencing an outflow of retail funds. As we have argued before, there is no outright rouble liquidity deficit in the banking system, but rather the issues are a decrease in the efficiency of the interbank lending market amid the recent spike in FX volatility and the narrowed volume of the collateral pool following the universal price slippage. Addressing the latter issue, the CBR cut haircuts on the 312-P refinancing facility (loans used as collateral) yesterday: the lowest haircut is now 5% (used to be 15%), the highest is 30% (used to be 45%). Given that currently there is RUB 3.6tn outstanding in 312-P debt, the lower haircuts might add near RUB 350-400bn in refinancing. Meanwhile, banks turned to the CBR as the main liquidity source: yesterday, the volume of overnight repo was RUB 539bn, while RUB 123bn was taken at the overnight FX swap window. The NDF rate continued to widen yesterday with 1M closing at 50%, while 3M NDF surged to 37%. Longer-dated XCCY swap rates moved up as well, but to a smaller extent.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market

Back to the list

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