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Money market: taxes fuel demand for liquidity


Yesterday, demand for liquidity strengthened amid heavy VAT and MET payments, but the money market remained relatively calm thanks to sufficient volume of free reserves, which we estimate are now at RUB 0.5tn. Thus, yesterday VEB placed RUB 110bn on bank deposits for a nine-month term, with an average rate of 11.20%. Demand for the two-week Treasury deposits was more modest, with banks taking only RUB 36bn out of RUB 110bn offered (the average rate was set at 11.54%). Hence, today the volume of budgetary deposits in the system is to increase to RUB 392bn. Despite a good menu of budgetary auctions, banks actively used the CBR’s standing facilities: they refinanced RUB 147bn of the fixed-rate repo and secured RUB 92bn in the FX swap window.

The overnight FX swap closed flat to Wednesday’s levels (12.28%), though the weighted average rate rose to 12.14% (+15bp). The NDF curve widened 10-15bp, with the one-month tenor increasing to 13.40%. The XCCY curve shifted on average 10bp up, so the two-year rate closed at 11.20%. 3M MosPrime remained unchanged at 12.57%, while IRS rates widened 3-7bp across the curve.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

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