Yesterday, the overnight FX swap remained elevated, having closed at 13.25%, as did the weighted-average rate. Banks continued to actively bid for liquidity, taking the whole size of RUB 260bn at an ad-hoc overnight repo auction amid RUB 680bn demand. The average rate was set at 13.07%. Besides, they secured RUB 668bn at the three-month 312-P auction; the cut-off rate printed at 12.75%. Nevertheless, demand for CBR standing facilities was also solid, with banks borrowing RUB 89bn in the overnight FX swap window and RUB 64bn in fixed-rate repo operations. Today, the Treasury is tendering RUB 160bn in two-week deposits, but we expect interest in budget funds will largely depend on the one-week repo limits. If banks ignore the Treasury auction, the volume of outstanding deposits would decrease to RUB 51bn.
Despite the higher overnight FX swap and volatility on the FX market, the NDF/XCCY curve shifted down 10-15bp, though the three-month tenor widened to 13.85% (+10bp). Shorter IRS rates narrowed 10bp, following the 3M MosPrime move, while the belly of the curve eased 20bp.