Yesterday, there was no settlement in the overnight FX swap, as the US markets were closed for Labour Day. As we suggested, the spread between FX swap and RUONIA remained negative on Friday, standing at -15bp. Yesterday, the CBR held a three-month 312-P auction, providing RUB 500bn to banks at an average rate of 11.27%. Demand for the CBR’s fixed-rate repo was also solid, with banks borrowing RUB 130bn yesterday. Today, the CBR is to hold a one-week repo auction, and the main question will be whether the regulator increases the limit.
NDF rates continued to decline, easing 10-15bp in the belly. Hence, the 3m NDF rate slid to 12.28% and the 6M NDF rate closed at 12.52%. At the same time, XCCY rates remained on the rise, with the curve shifting up 5-15bp, except for the three-year XCCY rate, which declined to 11.00% (-16bp). The IRS curve traded choppy: shorter rates widened 7-12bp, though the one-year tenor narrowed to 12.65% (-11bp), and long IRS rates moved down 10bp.