Yesterday, the CBR cut the one-week repo limit RUB 140bn, offering RUB 1.23tn in total. Banks secured the whole amount at an average rate of 12.06%; demand printed RUB 1.64tn. In the meantime, we highlight that the reduction in the volumes of auctioned repo is well offset by liquidity, which comes through the FX channel: since 12 May, the regulator has decreased the volume of one-week repo RUB 390bn, providing near RUB 415bn via FX purchases. The Treasury deposit auction met decent demand (RUB 321bn), so the banks secured RUB 105bn in full, thus refinancing maturing deposits this week. Meanwhile, interest in the CBR’s outstanding facilities remained subdued, with banks only rolling over RUB 37bn of fixed-rate repo.
The overnight FX swap ended the day at 12.00%, down 50bp from the previous close, while the weighted average rate remained nearly unchanged at 11.88%. The other money market rates traded calm: the NDF curve moved down a moderate 3bp, XCCY rates widened on average 5bp, while IRS rates declined 7bp across the curve.