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Money market: FX swap keeps on rising

 
14.08.2015

Yesterday, the overnight FX swap rate remained on the rise, with the weighted average rate increasing to 10.91% (+35bp). As the day before, in the evening the pressure on the FX swap mounted, with the rate jumping to 11.65% (+18bp) just a few minutes before the bell. Banks’ correspondent accounts decreased to RUB 1.17tn, but bid for liquidity remained moderate. At the Treasury deposit auction, banks secured only RUB 40bn out of RUB 50bn offer, while out of the CBR’s facilities, banks used only overnight repo, borrowing RUB 46bn. The pressure on the NDF curve eased a bit, but still the belly tenors continued to widen, rising 4-8bp. The front end of the XCCY curve narrowed 15-20bp, with one-year rate edging down at 12.17%. The rest of the XCCY curve closed nearly unchanged, while the IRS curve traded choppy, with rates moving within the ±10bp range.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

Tags:
money market

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