Yesterday morning, banks’ correspondent accounts rose to RUB 1.35tn, thus damping the appetite for liquidity. The overnight FX swap continued to trade near the lower bound of the policy rates band, with the weighted average rate at 10.15%. However, at the close the rate moved lower, ending the session at 9.97% (-65bp). Banks showed no interest in the CBR’s FX swap facility, but doubled the volume of fixed-rate repo operations to RUB 47bn. Today, there are two one-month deposit auctions to watch, with the Treasury offering RUB 100bn and the State Pension Fund offering RUB 15bn. However, as the averaging period comes to an end on Monday, we do not expect high demand.
NDF rates eased 20-25bp along the curve, with the three-month tenor closing at 12.00%. XCCY rates decreased on average 10bp, with the one-year tenor edging down to 11.87%. We still think that selling long NFD/short XCCY rates is attractive now. The IRS curve turned more inverted, as the front end remained unchanged and the long tenors slipped 15-20bp. The three-year IRS rate diverged from the general trend, inching up to 11.71% (+16bp).