On Friday, the overnight FX swap remained on the rise: the weighted average rate increased to 11.25% (+40bp), while the close was at 12.13%. Hence, banks took RUB 36bn via the CBR’s FX swap facility, attracting an additional RUB 20bn in the overnight repo. The stronger bid on the FX swap market pushed the FX swap-RUONIA basis to 35bp on Thursday, and we believe that on Friday the spread also remained positive. This week, the Treasury is holding two deposit auctions (in total RUB 200bn), which would be the refinancing of maturing funds, if taken in full.
On Friday, the CBR decided not to alter the key rate, so the price action on the money market was rather muted. The NDF curve remained unchanged, with the one-month tenor closing at 11.75% and the belly of the curve trading at 12.40%. In our view, the NDF curve still has room to tighten, so we recommend receiving short rates. Further, XCCY rates tightened 3-7bp across the curve, while two-year tenor eased to 11.52% (-22bp). The IRS curve tightened 3-6bp, but one-year rate widened to 12.65% (+7bp).