Yesterday, the average overnight FX swap rate fell 25bp to 13.59%, but it seems that one or several banks miscalculated their liquidity needs, so the overnight FX swap closed up 1.9pp at 14.98%. Hence, banks secured RUB 32bn via CBR FX swaps, borrowing an additional RUB 104bn through the fixed-rate repo facility. Meanwhile, the CBR marginally cut the one-week repo limit to RUB 1.64tn, although banks secured just RUB 1.45tn of the offered size. The average rate was 14.26%. The Treasury two-week deposit auction saw only two bids for a total amount of RUB 12.0bn, meaning that today banks are to experience a RUB 286bn liquidity outflow, while the combined amount of deposits and correspondent accounts with the CBR is RUB 1.33tn. Therefore, if budgetary spending slows down, the money market situation could become tense next week.
The front end of the NDF/XCCY curve rallied 130-250bp yesterday amid strong FX performance and supportive comments from the CBR that it sees inflation risks easing, which would allow for more front-loaded rate cuts. The one-month rate dropped to 15.13% from 17.69% the day before, the 3M NDF rate closed 1.9pp lower at 14.19%. In the wake of this, the spread between the 1M NDF rate and the overnight FX swap tightened 230bp, returning to the average level of 155bp. The IRS curve shifted down 30-40bp, while 3M MosPrime declined 12bp to 15.27%.