Yesterday, the situation with liquidity improved slightly. The volume of correspondent accounts increased to RUB 1.14tn (as of yesterday morning), albeit some banks continued to keep their balances tight, bringing some volatility to the money market. During the day, the overnight FX swap was trading well below the CBR’s offer, but just before the close the rate hit 12.54% (+51bp), pushing the weighted-average rate a bit higher, to 12.20%. By that time, there was no regulator on the market, so the standing FX swap facility remained untapped, though banks secured RUB 195bn in the fixed-rate repo. Today, the Treasury is to conduct a one-month deposit auction, with RUB 50bn on offer. That would bring RUB 23bn of fresh liquidity, if taken in full.
NDF rates widened at the front end, with the one-month tenor rising to 13.89% (+30bp). Meanwhile, the XCCY curve remained intact, except for the three-year tenor, which tightened to 10.86% (-23bp). The IRS curve shifted down a further 8-9bp, so the one-year basis narrowed to -20bp.