The start of the new averaging period brought some relief to the money market. The overnight FX swap closed at 13.12% (-38bp), at the weighted-average rate level. Hence, banks refrained from tapping the FX swap with the CBR, though they borrowed RUB 58bn in the overnight repo operations.
NDF rates declined further yesterday: the three-month tenor closed at 13.22% (-24bp), while the 1M NDF rate edged down to 13.50%, the upper limit of the policy rate band. Meanwhile, the XCCY rate moved down 15-20bp, so the one-year tenor closed at 12.30% and the three-year tenor nudged slightly below the 11.0% mark. The IRS curve narrowed 10-15bp at the front end, widening 20bp in the longer tenors; 3M MosPrime froze at 13.30%. Fresh weekly inflation readings pleased, with the continuing disinflation trend providing a solid rationale to continue the monetary easing cycle. Given the market consensus on a 100bp rate cut at the forthcoming CBR meeting, we think that selling short NDF rates is attractive.