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Money market: building correspondent accounts


Yesterday, banks actively bid for funds in the money market, pushing the overnight FX swap rate to the CBR’s offer. Hence, the overnight FX swap closed up 115bp at 15.14%, the while weighted-average rate rose 82bp to 14.65%. Banks secured RUB 124bn at the CBR’s FX swap window, borrowing an additional RUB 114bn via fixed-rate repo. Meanwhile, at the 312-P auction, banks borrowed RUB 714bn at the average rate of 14.25%, but this will not even be enough to cover the RUB 796bn maturing this week. With the beginning of a new averaging period, current accounts recovered to RUB 1.07tn, but banks need to build them up further to run daily client operations smoothly and to comply with averaging requirements. In light of this, we expect a healthy appetite for RUB 310bn of combined Treasury and VEB deposits on offer today. We highlight that VEB cut the minimum rate for its RUB 110bn one-week deposit auction to 12.5% in an attempt to allocate the whole size, as last week banks secured just RUB 5.0bn out of RUB 100bn offered at 13.7%. Meanwhile, MinFin continues offering deposits at a slight premium to the key rate.

The NDF curve closed flat, with the 3M NDF remaining at 13.50%, while the XCCY curve settled higher 15-20bp. As a result, the spread between the 3M NDF and the overnight FX swap widened further to -115bp. Also, the spread between overnight FX swap and RUONIA turned negative, dipping to -41bp on Friday. At the same time, the IRS curve moved down 10bp, so the basis narrowed marginally.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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