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Money market: FX swap rate holds near CBR offer


The overnight FX swap yesterday returned to the CBR’s offer level, hitting 15.09% at the close. The weighted-average rate gained 13bp to 14.88%. Hence, the regulator provided RUB 147bn via FX swaps and RUB 55bn via the overnight repo. VEB reported that it had allocated RUB 75.6bn of one-week deposits at Tuesday’s auction, thus placing only 70% of the offer, despite a favourable 12.50% minimal offering rate. The average rate was set at 13.02%. In addition, the State Pension Fund yesterday conducted a deposit auction, placing RUB 18bn at an average rate of 14.88%; the offer was fully covered with just one bid. Today, the Treasury is holding its second auction of the week, offering RUB 100bn. We estimate that even if banks take the whole amount, the net outflow of budgetary deposits would reach RUB 44bn this week; however, it seems that until the next CBR policy meeting, banks will continue to rely more on overnight facilities, anticipating a substantial rate cut.

NDF rates remained intact, with the one-month tenor trading flat to the overnight FX swap and 3M NDF rate standing at 14.0%. Shorter XCCY rates also closed intact, while longer tenors moved down near 20bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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