Yesterday, the CBR offered RUB 2.2tn at the weekly repo auction and RUB 670bn at the overnight auction. Banks secured RUB 1.96tn for one week, which is RUB 367.4bn more than last week. The average rate printed at 5.52%. At the one-day auction, demand was RUB 581bn, so all bids were satisfied at an average rate of 5.52%. Thus, if the overnight facility is rolled over today, banks’ total debt to the regulator would increase RUB 479.3bn under the repo facility. However, we think the CBR will scale down the limit for the overnight repo, while banks would also use the current momentum to boost the balance of NOSTRO accounts in the CBR as the new period for managing required reserves has kicked off.
Therefore, we do not expect any substantial decline in the overnight rates in response to the CBR’s injection, although banks will probably refrain from using the FX swap window with the CBR. Meanwhile, yesterday the overnight FX swap in the market inched up 4bp to 6.29%, while the cost of one-day repo in MOEX also picked 4bp to 6.15%. Despite the ongoing pressure on the front end, cross-currency swap rates moved down 3-5bp; in particular, the 3Y rate closed at 6.33% (-5bp). IRS rates have adjusted lower to the same extent, so the basis has remained almost unchanged. In the meantime, FRAs also tightened 3-5bp in response to the CBR’s decision to cut the volume of unplanned interventions.