During the session, FX overnight was trading well below the CBR’s offer, but just before the close the rate rose to 12.58%, in an already familiar pattern. Globally, the level of liquidity in the banking system is comfortable, as banks’ sight accounts continued to recover (RUB 1.53tn as of Monday morning), but on the micro level there is likely a malfunction with the liquidity redistribution. Hence, banks borrowed RUB 3bn in the CBR’s FX swap, continuing to rely heavily on the overnight repo operations, in which they secured RUB 179bn.
The NDF curve changed only marginally yesterday, with only the 6M NDF rate declining to 12.78% (-12bp). In turn, the XCCY curve traded mixed: short tenors moved down 20bp, while long rates widened near 5bp. The curve is gradually steepening, with the 1s2s spread having narrowed to -94bp and the 1s5s spread having converged to -195bp. The IRS curve held a dull session, remaining at Friday’s levels, while the 1M MICEX swap eased to 11.72% (-62bp).