The overnight FX swap closed at 16.0%, while the weighted-average rate for the whole session printed at 15.82% (+15bp). Banks secured RUB 109bn in overnight repo and RUB 46bn in FX swap from CBR. Today, the Treasury is conducting a RUB 200bn deposits auction: we expect decent demand, which would help with banking liquidity. Meanwhile, we also do not rule out the CBR increasing the limit for the one-week repo today. In addition, VEB announced a RUB 160bn deposit auction for 5 March, which we think will help with banking liquidity as well.
NDF rates widened 15-25bp, with 3M closing at 18.1%. Longer dated XCCY swap rates moved up 30bp. As we have argued before, we think the main upward pressure on the NDF/XCCY swap curve comes from OFZ selling, as non-residents close the respective hedges. In our view, now is a good opportunity to sell NDFs here. We like 3- and 6-month tenors, which cover at least two of the CBR’s policy meetings, and we think there is a substantial possibility of the regulator cutting rates on that horizon. However, even without this we see the current levels as appealing.