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CBR cuts repo further

Yesterday, the situation in the money market remained calm and slow. RUB deposit rates remained slightly under 17%, while the overnight FX swap closed at 16.50%. Therefore, the cost of USD liquidity in the Russian interbank lending market remains at a comfortable level and far from December’s highs. Meanwhile, the CBR cut the limit on the one-week repo facility to RUB 2.2tn. Banks secured the whole offering size amid RUB 2.6tn demand, at an average rate of 17.4%. VAT is due on Friday this week, but we believe that there is unlikely to be elevated stress on the money market, given the still-high level of free reserves. In particular, the CBR raised RUB 223bn on deposits at an average rate of 16.94%. Separately, Deputy Finance Minister Alexei Moiseev said that the government could consider “converting” some of the Reserve Fund into RUB this month. Previously MinFin had guided that the Treasury would allocate free reserve money to bank deposits. In addition, Moiseev pre-announced the launch of a Treasury OFZ repo, which essentially simulates the CBR’s facility. The key question is the Treasury’s policy regarding the limits on these operations. Meanwhile, NDF rates tightened 20-40bp on the front end, with the 1M NDF closing at 20.8%, while the 3M NDF declined 36bp to 20.86%. Onshore NDF rates outperformed: the 1M XCCY swap rate on the MICEX traded down 150bp to 17.1%. Longer-dated XCCY swap rates moved lower as well, as the one-year rate closing down 17bp at 17.6%.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

money market, CBR

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