On the back of MET and VAT payments, the overnight FX swap increased, with the weighted average rate rising to 11.67% (+65bp). However, at the close we saw a lower level of 11.48%. Banks rolled over RUB 40bn in the fixed-rate repo, leaving the CBR’s FX swap instrument without attention. At the 18-month 312-P auction, the regulator placed the full limit of RUB 500bn amid RUB 617bn of demand, which would provide near RUB 75bn net of term funding. The weighted average rate was 11.75%. The Treasury deposit auction was also successful, with banks taking the whole offer of RUB 100bn at an average of 11.20%. Given the sufficient level of liquidity in the system and continuous FX purchases, the regulator could well visibly cut the one-week repo limit today. However, to some extent this outflow might be offset by liquidity injections via the Treasury and VEB deposit auctions (in total RUB 210bn).
A weaker RUB added upward pressure to the XCCY curve, which moved up 10-15bp on average, so the two-year rate closed at 10.93%. Meanwhile, NDF rates nudged down 5-10bp across the curve, except for the three-month tenor, which inched up to 12.60% (+8bp). The IRS curve traded mixed: the one-year rate declined to 12.35% (-10bp) and the three-year tenor spiked to 11.70% (+21bp), while mid-term rates closed unchanged.