Yesterday, banks’ current accounts dropped to RUB 978bn, which spurred pressure on the FX swap market. The overnight FX swap rate jumped back to 13.36% (+87bp), while the weighted average rate remained flat at 13.29%. Given that, banks borrowed RUB 131bn in the CBR’s FX swap window, securing an additional RUB 21bn in the fixed-rate repo facility. As we wrote yesterday, the rates outlook for this week is largely going to depend on today’s one-week repo limit, as the budget is likely to be a liquidity absorber this week.
Despite higher money market rates, NDF rates continued to decline, shifting down 15-30bp. However, the one-month tenor did not follow the move, rising to 13.97% (+12bp). In turn, the XCCY curve moved up 20-40bp, while IRS rates remained broadly intact.