The overnight FX swap rate closed at 8.30%, i.e. below the CBR’s rate on the standing deposit facility (8.50%). However, the weighted-average rate for the entire session printed at 9.51%, flat to Friday. RUONIA and overnight repo rates in the market also moved lower during the last couple of sessions, so the swap-RUONIA spread holds nearly flat. The budget has continued to pump liquidity into the banking system — the primary reason behind the liquidity surplus in the banking system. However, this is set to change soon with the beginning of tax payments. In light of the lower overnight FX swap, front-end NDF rates moved down near 6-9bp with 1M NDF closing at 11.79%, while 12M tightened to 11.21% (-9bp). Longer-dated XCCY swap rates tightened near 6bp, so the curve’s shape remained unchanged. The IRS curve widened near 5-8bp, resulting in a moderate widening of the basis swap. If the latter continues moving south in the coming days, it might actually be telling that the USD liquidity balance in the system has started changing.
VTB Capital analyst
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