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Money market: demand for cash surged

Yesterday, the overnight FX swap closed at 14.65%, while the weighted-average rate for the whole session printed at 16.01%. Nevertheless, some banks secured RUB 19bn in the FX swap window from the CBR, though the regulator kept the limit on rouble liquidity provision operations in the FX swap window at USD 10bn equivalent. Meanwhile, total demand at the CBR’s ad hoc repo auction was RUB 368.8bn, while banks also secured RUB 255bn in overnight repo. Total debt under the repo window declined RUB 128bn. Demand at the 312-P auction was just RUB 262bn (below our expectations) against a RUB 500bn offering ticket. Nevertheless, banks extensively used the standing 312-P facility, bringing the total debt up to RUB 3.97tn last Friday. Yesterday, the CBR published final liquidity statistics for last week, which showed a large (RUB 700bn) increase in the demand for cash, which was the biggest negative factor, liquidity-wise. Today, the Ministry of Finance is offering RUB 150bn for 3-day deposits, which would be a pure liquidity injection, so we expect some decent demand. NDF rates calmed down following the stronger FX spot market: 1M NDF closed at 24.8%, while 3M settled at 23.0%. The front-end NDF curve looks rather elevated compared with the level of overnight FX swaps. It still looks interesting to receive NDF here, in our view, but poor market liquidity, as links with Russian counterparties are broken, and elevated volatility last week might limit the room for further tightening, in our view.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market

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