Yesterday, the CBR increased the limit on one-week repo RUB 220bn, providing RUB 950bn to banks. The average rate was set at 11.57%. In light of this, the situation on the overnight FX swap market remained calm, with the FX swap closing at 9.75% and the weighted average rate printing 10.49%. Among the CBR’s standing facilities, banks only used the overnight repo, borrowing RUB 135bn. The Treasury deposit auction met good demand, so a RUB 200bn offer was placed in full at an average rate of 10.62%. As a result, today the volume of Treasury deposits in the system is to increase to RUB 570bn.
Following stronger RUB dynamics, NDF/XCCY rates eased. The NDF curve shifted down 10-13bp, with the three-month tenor closing at 12.15%. However, the 1M NDF rate diverged from the common trend, increasing to 11.76% (+18bp). The XCCY curve declined 30bp in the front end and 10bp in the belly. However, IRS rates traded higher: short tenors inched up 5bp, while the long end moved up 20bp.