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Money market: no major changes

 
24.03.2015

On Monday, the overnight FX swap rate closed at 14.1%, albeit banks still secured RUB 9bn from the CBR in the FX swap window. The weighted-average rate printed 14.54% (-20bp). The front-end of the NDF curve rose 10-15bp, though the 6M NDF rate declined 34bp to 15.12%. The XCCY swap rates moved down 20bp, so the curve continued its slow steepening with the 1s2s spread narrowing to -160bp. 3M MosPrime closed unchanged at 15.77%, while the IRS curve shifted 5-15bp lower. The situation with banking liquidity remains comfortable on the eve of the big tax payments (VAT and MET are scheduled for tomorrow): banks are keeping RUB 1.3tn on current accounts with the CBR. In addition, today the Treasury is offering RUB 100bn at the deposit auction for 14 days.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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money market

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