Yesterday, the overnight FX swap was down 46bp to 14.57%, while the weighted-average rate remained flat at 14.81%. During the session, the overnight FX swap touched 15.0%, so banks borrowed RUB 15bn from the regulator in the FX swap window. The CBR provided RUB 170bn at an ad hoc overnight repo auction. Total demand printed at RUB 422bn and the average rate was set at 14.50%. This helped to ease tensions in the money market. Subsequently, banks reduced the volume of fixed rate repo to RUB 25bn (-RUB 100bn). The Treasury’s deposit auction was taken in full at a 14.23% average rate amid RUB 231bn total demand. Thus, RUB 100bn came into the system today, covering Wednesday’s withdrawals from Treasury deposits. Furthermore, VEB is offering RUB 145bn at a one-month deposit auction today, which should partially offset the recent RUB 246bn outflow of pension funds from the banking system.
The front-end NDF rates continued to rise: in particular, 1M NDF closed 68bp up at 17.1%, while 6M moved to 15.6% (+20bp). Hence, from the bottom that was reached prior to the CBR’s monetary policy meeting, front-end NDF rates moved up near 120-150bp, as we expected. In our view, NDFs now look to be priced fair and justified, which opens opportunities to build up a rate-receiving position, as we think the regulator will continue with monetary easing. Meanwhile, longer-dated XCCY rates nudged down 20-30bp. The 3M MosPrime rate closed flat at 15.82%, though the IRS curve shifted down 25bp.