Yesterday, the overnight FX swap continued to decline, nudging down to 11.30% (-66bp) at the close. The weighted average rate moved down 20bp, printing at 11.82%. Consequently, the CBR’s FX swap facility remained untapped again, while the volume of fixed-rate repo operations decreased to RUB 106bn. The Treasury deposit auction garnered modest demand, with only RUB 11bn being allocated out of RUB 50bn offered; the weighted average printed 11.80%. On a net basis, it was just a rollover of maturing funds, so today the volume of Treasury deposits is to remain flat at RUB 219bn.
The NDF/XCCY curve was little changed, with only the 1M rate slipping 6bp to 13.32% while the one-year XCCY tenor rose to 12.13% (+18bp). At the same time, the IRS curve shifted up 3-5bp and the one-year rate nudged down to 12.44%.