Yesterday, the overnight FX swap rate widened 25bp to 13.0%, but during the session it was visibly higher as the weighted-average rate printed at 13.33% (+37bp). Banks have been actively borrowing from the CBR in the FX swap window, securing near RUB 175bn. In addition, the regulator provided RUB 143bn under the overnight repo facility.
Meanwhile, the CBR has increased the averaging ratio from 0.7x to 0.8x (the share of mandatory reserves that banks can keep on the current account with the CBR) starting from 10 September. Technically, this gives banks more flexibility to manage the liquidity position. We estimate it would unlock near RUB 60bn from the banks' mandatory reserve accounts in the CBR, but net-net it is a neutral decision, liquidity-wise.
NDF rates widened 40-50bp yesterday following the weak performance of the FX spot. Onshore 1M XCCY swap jumped 130bp to 13.0%. We still think that the CBR is going to cut the policy rate further on 15 June, but the mounting pressure on the currency adds uncertainty over policy.