Yesterday, liquidity inflows from the settlement of one-week repo and Treasury auctions helped to cool demand for the CBR’s overnight facilities. Hence, banks borrowed only RUB 40bn from the regulator in fixed-rate repo operations, leaving the FX swap facility untapped. The overnight FX swap rate closed at 14.51% (-18bp), while the weighted-average rate moved down 52bp to 14.44%. Today, the Treasury is conducting a one-month deposit auction, with RUB 100bn on offer. We expect good demand, as the tax period continues to weigh on liquidity.
A firmer FX market, combined with improved liquidity in the system, translated into lower money market rates. Shorter NDF rates declined 20bp, with the three-month tenor closing at 14.54%. The XCCY curve stayed intact, with only the one-year tenor decreasing 22bp to 12.83%. 3M MosPrime eased a tad to 14.47%, while the belly of the IRS curve shifted down 15bp.