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Money market: rates calming down


Yesterday, rates continued to decline amid the settlement of regulatory auctions, while the volume of correspondent accounts restored to RUB 1.31tn (as of Wednesday morning), picking up RUB 200bn. The overnight FX swap closed flat at 11.96%, while the weighted-average rate eased to 12.02% (-25bp). Hence, demand for the CBR’s standing facilities lowered, with banks securing RUB 118bn in overnight repo operations and leaving the FX swap untapped. Yesterday, the State Pension Fund placed a one-month deposit of RUB 15bn in one bank, so if today’s Treasury deposit auction is taken in full, the total volume of budgetary money in the system is to increase to RUB 354bn.

The NDF curve moved down 15-25bp, with the one-month tenor tightening to 13.38% (-31bp) and three-month rates closing at 12.56%. The XCCY curve became a bit more inverted, as the short rates decreased 10bp and longer tenors shifted down 20bp. Hence, the one-year rate nudged slightly below 12.00% and the two-year tenor ended the session at 11.00%. The 3M MosPrime rate remained unchanged at 12.52%, while IRS rates decreased 8-10bp along the whole curve.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market

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