On Friday, the situation with liquidity remained comfortable, so the overnight FX swap continued to trade in a narrow range, with the weighted average rate remaining unchanged at 10.45%. By the close, the FX swap had moved out of the CBR’s policy rates band, ending the session at 9.71%. Hence, banks refinanced only RUB 126bn with the CBR in overnight repo, showing no interest in the FX swap facility. On Thursday, the FX swap-RUONIA spread printed negative 19bp and, given the continuing slide in FX swap, we believe that on Friday the spread persisted in the negative territory too. NDF rates declined 5-10bp across the curve, with the 3M NDF rate decreasing to 12.29%. Meanwhile, XCCY rates traded 10-15bp higher, with front end tenors seeing the strongest pressure (+30bp). As a result, the two-year rate increased to 11.81% and the three-year tenor jumped to 11.21%. The IRS curve stayed intact, with 3M MosPrime closing at 11.86%.
This week, the CBR’s monetary policy meeting will be in focus. We believe that, despite inflation accelerating in August and increased FX spot volatility, the CBR is to remain on hold on Friday, as weak demand would continue to provide deflationary pressure. In this regard, we think that receiving short NDF rates is attractive.