On Friday, the overnight FX swap closed 22bp down at 14.35%, as the situation with banking liquidity improved: the Treasury and VEB injected RUB 216bn via the deposit auctions. At the same time, the weighted average overnight FX swap rate for the whole session came in at 14.74% (-7bp), so banks secured RUB 6bn from the CBR in the overnight FX swap window and about RUB 49bn in overnight repo. This week might prove challenging for the money market, if the CBR sets a tight limit for the one-week repo auction. Meanwhile, the Treasury announced two deposit auctions for a total amount of RUB 200bn, but even if banks take this in full, the total volume of outstanding Treasury deposits would decline RUB 59bn this week.
We think that the situation with banking liquidity could remain tense, if the regulator sets a relatively tight limit for the weekly refinancing operation. However, receiving front-end rate at current levels still looks interesting, in our view. In particular, NDF rates tightened 20-40bp on Friday, with 3M NDF closing at 15.6%, while 9M NDF settled at 14.5%. Longer dated XCCY swap rates moved 10-15bp higher, which fuelled further XCCY swap curve steepening. The IRS finished little changed, with 3M MosPrime slightly down.