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Money market: rates back to policy benchmark


Yesterday, the overnight FX swap closed at 11.66% (-116bp), while the weighted-average rate for the whole session came at 12.6% (-51bp). Still, some banks borrowed RUB 3bn from the CBR in the FX swap window and RUB 14bn in overnight repo, but in general the money market is calming down as the liquidity situation improves thanks mainly to the budget spending. Hence, we estimate that the consolidated budget posted a RUB 260bn deficit last month and remains in deficit so far in May. Demand at the Treasury’s one-month deposit auction was just RUB 6.6bn yesterday, amid RUB 100bn offered. In addition, banks secured only RUB 831.6bn from the CBR in the three-month 312-P refinancing auction, which was just a roll-over of the outstanding debts. 

NDF rates tightened 20-50bp following the downward move in the money market. Hence, 1M NDF closed at 14.0% (-14bp), while 3M NDF declined 55bp to 13.45%. Meanwhile, the 1M swap in the MICEX moved to 12.84% (-110bp). In contrast, the longer dated XCCY swap rate ended 20-40bp higher; specifically, the 2-year rate closed at 11.5% (+40bp). Hence, the NDF/XCCY swap curve steepened gradually. The IRS curve moved up 20-30bp. We stick with the view that receiving NDF rates at current levels looks attractive, as the CBR’s monetary easing cycle is to continue, in our view.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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