Yesterday, the overnight FX swap closed at 13.0%, down from 13.5%. The weighted-average rate printed at 13.06% (-18bp). Given the outflow of the CBR's repo liquidity, the performance of the money market comes as a surprise. The seasonal decline of cash in circulation boosts banks' liquidity positions, as do FX interventions: combined, these two factors added near RUB 280bn of liquidity in April. That was enough to offset the sterilisation of RUB 107bn by the consolidated budget. Hence, banks secured only RUB 25bn from the CBR in overnight repo (down from RUB 51bn on Tuesday) and refrained from tapping the FX swap window. Today, the Ministry of Finance is holding a RUB 50bn one-month deposit auction: we expect good demand, which would help to improve the liquidity balance in the banking system further. On the other hand, corporate profit tax is due today, which could strip out RUB 150-200bn from banks' sight deposits in the CBR.
NDF rates widened 20-25bp, with 6M closing at 13.4% amid RUB's spot slide. Longer dated XCCY swap remained unchanged, as did IRS.