DATA PLATFORM FOR FINANCIAL MARKET PROFESSIONALS AND INVESTORS
  • High performance interface for global bond market screening
  • Full information on close to 400,000 bonds from 180 countries
  • 100% coverage of Eurobonds worldwide
  • Over 300 primary sources of prices
  • Ratings data from all international and local ratings agencies
  • Stock market data from 60 world trading floors
  • Intuitive, high speed user interface
  • Data access via the website, mobile application and add-in for Microsoft Excel

VTB Capital: Money market - to the other extreme

January 28, 2016
The overnight FX swap moved to the other extreme, closing yesterday at 12.29% (+186bp). However, the CBR’s FX swap facility remained untapped, as the regulator had already left the market by the time the FX swap spiked. The weighted average FX swap rate increased to 10.48% (+51bp), which we believe helped the FX swap-RUONIA basis to pick up from the recent lows of -115bp. Given the material FX swap tightening, the subsiding demand for fixed-rate repo looked a bit puzzling yesterday: banks borrowed only RUB 140bn from the regulator vs. RUB 581bn the day before. The volume of correspondent accounts remained nearly unchanged, at RUB 1.3tn. The CBR statistics showed that MET and VAT payments absorbed RUB 607bn of liquidity to the budget. Today, companies are to pay corporate profit tax, so the bid for overnight liquidity might strengthen. The NDF curve widened 7-13bp, with the 3M NDF rate rising to 10.75% (+11bp). The XCCY curve tightened a marginal 2-4bp. 3M MosPrime inched up to 11.97%, but the IRS curve traded tighter, with the two-year rate declining to 11.73% (-6bp).
Company — VTB Capital
  • Full name
    CJSC "VTB Capital"
  • Registration country
    Russia
  • Industry
    Financial institutions