Bid for liquidity is strengthening gradually, pushing the overnight FX swap away from the lower bound of the CBR’s policy rates band. Yesterday, the overnight FX swap closed at 10.34% (-62bp), but the weighted average rate widened to 10.51% (+18bp). The CBR continued to cut one-week repo limits, offering RUB 900bn yesterday vs. RUB 1.12tn last week. Banks secured the money in full; the weighted average rate printed 11.45%. The tighter one-week repo limit spurred demand for Treasury deposits: banks secured RUB 150bn in full, with total bids amounting to RUB 309bn.
NDF rates corrected down 30-50bp, with the 3M NDF rate declining to 12.03% and 9M NDF rate closing at 11.85%. At the same time, the XCCY curve widened 4-6bp. The one-year tenor rose to 12.20%, and looks appealing to receive at current levels. The IRS curve shifted up 10-20bp, 3M MosPrime closed flat at 11.83%.