On Friday, the overnight FX swap closed at 10.92%, but the weighted average rate moved further up, rising to 11.14% (+24bp). Due to intensifying budget spending, bid for liquidity remained moderate, but this week the tax period begins, which should boost demand for funding. Hence, banks rolled over only RUB 42bn with the CBR of the overnight repo debt, leaving the CBR’s FX swap facility untapped once again. The Treasury scheduled two deposit auctions this week, tendering in total RUB 120bn. If taken in full, they will bring near RUB 30bn of fresh liquidity into the system.
Money market rates traded mixed. Longer NDF rates eased 3-6bp, while one-month tenor narrowed to 12.00% (-13bp). So, the NDF curve steepened further, with the 1m3m spread widening to 42bp and the 3m12m spread converging to -6bp. The 12M NDF rate closed at 12.36%, still remaining attractive for selling. The front end of the XCCY curve widened 10-20bp, though the one-year rate tightened to 12.08% (-10bp). The belly of the IRS curve shifted up 7-10bp, while other tenors remained unchanged.