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Money market: FX swap hits the CBR’s offer; NDF/XCCY rates ease


Amid hefty tax payments, the bid for liquidity strengthened. In the evening, the overnight FX swap hit the CBR’s offer, closing at 12.10% (+103bp), while the weighted average rate amounted to 11.28% (+16bp). Hence, banks borrowed RUB 22bn via the CBR’s FX swap window, also increasing the volume of the overnight repo to RUB 83bn. At the one-week repo auction, the CBR offered RUB 1.23tn, thus increasing the limit RUB 150bn. Banks took the limit in full at a 11.49% weighted average rate. The Treasury deposit action also met solid demand, with banks securing the whole amount of RUB 150bn, thus refinancing deposits maturing today.

RUB strengthening helped to remove some pressure from the NDF/XCCY curve. NDF rates narrowed on average 30bp, while the one-month tenor closed at 12.71% (-60bp). The XCCY curve shifted down about 25bp, though the front end was a bit more sticky: the one-year rate edged down to 13.18% (-16bp) and the three-year rate remained nearly unchanged at 11.39%. IRS rates also traded lower, with shorter tenors declining 12bp and long-end tenors easing 20-40bp. Meanwhile, 3M MosPrime moved up 10bp, ending the session at 12.11%.


Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

money market, NDF

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