The level of liquidity in the system remains comfortable. With the beginning of the new averaging period, banks increased the volume of the correspondent account to RUB 1.17tn (as of Monday morning), cutting the volume of deposits to RUB 263bn. The overnight FX swap rose moderately, going to 12.51% (+16bp) at the close. The weighted-average rate printed 11.93% (+32bp). Banks increased the volume of the overnight repo operations to RUB 37bn, but continued to refrain from the CBR’s FX swap facility. In addition, banks took the whole limit at the three-month 312-P auction, securing RUB 600bn at an average rate of 11.76%. Today, the focus will be on the one-week repo limit, which the regulator has kept rather generous in the last two weeks.
Yesterday, NDF rates eased visibly, with the whole curve moving below 13.0%. Specifically, 1M NDF rates closed at 12.65% (-55bp), three-month tenor declined to 12.64% (-36bp), and longer tenors nudged down near 25bp. The XCCY curve shifted down a moderate 5bp. Meanwhile, the IRS curve shifted up 5-10bp at the front end and in the belly, with the one-year rate rising to 12.50%.