Yesterday, the overnight FX swap closed at 12.16%, declining 40bp vs. the previous close, while the weighted average remained sticky at 12.04%. Hence, banks borrowed no funds via the CBR’s FX swap window, though they increased the volume of overnight repo to RUB 99bn. We highlight that last week the spread between the overnight FX swap and RUONIA slipped into negative territory (-10-20bp). The spread is holding far from alarm-bell levels, but it surely deserves watching closely, as this might be an early indicator of a gradually build-up in FX liquidity misbalances in the interbank market. In particular, the total volume of FX refinancing operation (repo plus FX loan tenders) with the CBR declined USD 2.1bn from the peak in mid-April to USD 36.0bn.
The front end of the NDF rates rose 5-10bp, with the three-month tenor increasing to 12.62%. The price action along the XCCY curve was moderate, with the long end widening 4-8bp and shorter tenors closing nearly unchanged. The only exception was the three-year rate, which dropped to 10.19% (-18bp). The IRS curve posted marginal swings, with only the long rates settling 10-20bp higher.