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Money market: one more skipped Treasury auction


Yesterday, the overnight FX swap remained near 15.08%, the weighted average rate slightly increased to 14.94%. The volume of the overnight FX swap with the CBR rose to RUB 149bn, a fresh high in April, while the debt on the fixed-rate repo operations increased to RUB 76bn (+RUB 23bn). Treasury deposit auctions continued to lack demand. Yesterday, banks took only RUB 22bn in 35-day deposits; the average rate printed 14.16%.

The NDF/XCCY curve shifted up 10-15bp, although the 1M NDF rate froze at 15.05%. Hence, the 1m3m spread narrowed 10bp, but remained in negative territory (-95bp). In turn, the IRS curve moved down 10-20bp, so the basis tightened a marginal 5-10bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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