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Money market: FX swap remained elevated


Yesterday, the overnight FX swap closed at 13.65%, i.e. flat to Tuesday's levels. The weighted-average rate continued to rise, moving up 30bp to 13.28%. The volume of overnight swap with the CBR declined to RUB 72bn, but banks increased the debt on overnight repo with the regulator to RUB 53bn (+RUB 39bn). The total volume of banks’ current accounts reached RUB 1.51tn yesterday morning, so the RUB 300bn of liquidity offered by the Treasury yesterday did not arouse banks’ interest, with only RUB 7bn placed at a 12.5% average rate. Today, the Treasury will make a second attempt, tendering RUB 100bn in one-month deposits. If it fails, the volume of Treasury deposits in banks will shrink to RUB 254bn.

Despite the pressure on the overnight FX swap market, the NDF/XCCY curve shifted down. NDF rates eased 10-20bp, while the 1M NDF tenor outperformed, declining 31bp to 14.25%. XCCY rates decreased on average 5bp, with the one-year tenor going below 13.0%. The IRS curve remained intact, and so did the 3M MosPrime rate.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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