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Money market: waiting for the CBR’s decision


Yesterday, the overnight FX swap market remained calm, with the rate continuing to move closer to the lower bound of the CBR’s policy rates corridor. At the close, the FX swap was quoted at 10.83% (+4bp), while the weighted average rate printed 10.95% (-8bp). Needless to say, the CBR’s FX swap facility remained untapped again, though banks increased the volume of overnight repo operations to RUB 60bn. Banks’ correspondent accounts stayednearly flat, at RUB 1.18tn, as of yesterday morning, while the bid for liquidity remained subdued. The Treasury deposit auction saw feeble demand, with only RUB 10bn being secured out of the RUB 50bn offer.

In anticipation of the CBR’s move, money market rates adjusted lower, though both the NDF/XCCY and IRS curves see rather limited room for manoeuvre (about 25bp). Hence, NDF rates declined 10bp, while the one-month tenor edged down to 12.15% (-16bp), which is still attractive for selling, in our view. The price action along the XCCY curve was mild, with the rates remaining nearly flat. The 3M MosPrime rate declined to 12.23% (-10bp), pushing the IRS curve down near 4bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

money market, CBR

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