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Money market: all quiet on the liquidity front


Yesterday, the overnight FX swap closed at 12.26% (+61bp), but the weighted-average rate continued to decline, printing 11.99%. In light of this, banks did not tap the CBR’s standing FX swap facility again, but borrowed RUB 184bn of the overnight repo debt. Furthermore, yesterday the State Pension Fund placed RUB 13bn on banks’ deposits, so today the total amount of government deposits is to increase to RUB 246bn. Despite the ongoing tax period, the level of liquidity in the system remains comfortable, as banks’ correspondent accounts grew to RUB 1.6tn yesterday morning (the highest print since January). We believe that the liquidity outlook remains favourable, given higher budget spending in the coming months and continuing FX purchases by the CBR.

The NDF/XCCY curve moved down near 15bp, with the 3M NDF rate easing to 12.95% and the 6M NDF rate closing at 12.48%. In addition, the onshore 1M swap rate moved down 91bp to 11.00%, while the IRS curve remained unchanged.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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