On Friday, the pressure on the overnight FX swap visibly eased, which we believe partially happened thanks to FX purchases by the CBR. The overnight FX swap rate closed at 12.50%, 110bp lower than the previous day’s level, while the weighted-average rate printed 13.30% (-9bp). Consequently, banks did not use the CBR’s FX swap window, but still the volume of overnight repo increased to RUB 76bn. The NDF/XCCY curve went down 10-20bp, though one-month tenor diverged with the general trend, closing at 13.93% (+9bp). The IRS rates declined 5-10bp, so the basis widened 5-10bp.
Banks’ current accounts recovered to RUB 1.11tn; however, this is still a rather tense level for the beginning of the averaging period. The rates outlook for this week will largely depend on the limit at the one-week repo auction, as the budget would likely play a negative role on liquidity due to taxes and outflows from banks’ deposits. Even if the Treasury allocates deposits of RUB 150bn in full this week, the net liquidity outflow would amount to RUB 84bn.