The overnight FX swap rate closed up 23bp at 14.86%, but the weighted-average rate for the whole session printed at 14.55% (-27bp). Hence, demand for the CBR’s standing refinancing instruments declined: specifically, banks borrowed only RUB 15bn from the regulator in the FX swap window and RUB 60bn in overnight repo. At the same time, we highlight that the amount of outstanding auction-based repo declined to RUB 1.65tn (-RUB 260bn) on Wednesday. As we have pointed out before, that outflow was partially covered by the deposit auction for pension funds and the Ministry of Finance’s repo operation with OFZs. So far, only data on the State Pension Fund’s RUB 13bn auction is available: banks secured a total of RUB 13bn amid RUB 37bn of demand for 88 days at an average rate of 15.46%. However, we think that other liquidity sources were also well bid. Nevertheless, budget expenditures are the key source of liquidity right now.
NDF rates moved up slightly, with the 1M NDF rate closing at 15.95% (+66bp), while the 3M rate ended at 15.46%. Overall, we think NDFs are currently trading fair against the level of overnight money market rates. XCCY swap rates moved down marginally, while IRS picked up 10bp along all tenors.