On Friday, the overnight FX swap closed at 12.41% (+75bp), while the weighted-average eased 76bp to 11.84%. Liquidity in the system was sufficient to pass the end of the averaging period smoothly, so only several banks showed interest in the CBR’s facilities, securing RUB 8bn via the FX swap and RUB 11bn in the fixed-rate repo window. With the beginning of the new averaging period, demand for liquidity is likely to intensify, so Treasury auctions might finally attract stronger demand. This week, the Treasury has scheduled two deposit actions, tendering a total of RUB 400bn. If taken in full, they would provide RUB 367bn of fresh liquidity, on a net basis.
The NDF/XCCY curve shifted up 15-35bp, with the three-month rate rising to 14.23%. As a result, the 1m3m spread turned positive (+5bp) for the first time since March. We reiterate that selling short NDF rates still looks attractive, given the monetary easing cycle and favourable liquidity outlook due to budget spending. The 3M MosPrime rate continued to decline, nudging down to 13.82%, though the IRS curve moved up 10-20bp, with the one-year tenor closing at 13.75% (+54bp).