The situation with liquidity remained calm on Friday. The overnight FX swap closed at 10.70% (-32bp), while the weighted average stayed unchanged at 11.06%. Hence, banks refinanced only RUB 25bn with the CBR in overnight FX repo operations, leaving the CBR’s FX swap untapped. This week, the bid for liquidity is set to increase, as the tax period approaches its peak (VAT and MET on Tuesday, CIT on Friday). We think that in order to mitigate the pressure on the money market, the CBR would increase the limit on the one-week repo. The Treasury is to offer RUB 200bn in two deposit auctions, which would bring RUB 50bn on fresh liquidity if taken in full.
FX volatility continues to pressure the NDF/XCCY curve, making it a bit more inverted on the 1s3s horizon. Shorter rates widened 30bp, with the 3M NDF rate and one-year XCCY rate closing at 13%, while longer XCCY rates shifted up 20bp and the three-year tenor rose to 11.33%. The IRS curve also shifted 10-15bp, though the 3M MosPrime rate remained unchanged at 11.97%.