The overnight FX swap closed at 13.6% yesterday, i.e. at the CBR’s offering level, while the weighted-average rate for the whole session printed at 13.20%. Hence, banks borrowed RUB 63bn from the regulator in the FX swap window. Meanwhile, in the one-week repo auction, total demand was just RUB 2.24tn (slightly below the offering), so all bids were covered at an average rate of 12.66%. Additionally, banks secured RUB 212.5bn from the Treasury in the two-week deposit auction at an average rate of 12.50% (out of RUB 300bn offered). Hence, the total liquidity injection today is to be near RUB 126bn, so we expect the situation on the money market to ease gradually. Separately, we highlight that banks’ deposits in the CBR increased RUB 108bn to RUB 314bn yesterday, which in our view highlights that only selected institutions face liquidity issues, while the system as a whole is in surplus, liquidity-wise.
NDF rates widened slightly, with the 6M rate closing at 13.3% (+32bp). Longer dated XCCY swap rates moved up to the same extent. At the same time, onshore swap rates remained unchanged. We think liquidity in the market is relatively poor now, but in general it still looks interesting to receive short-term rates here.