Overnight, the FX swap rate remained slightly above 8.0% yesterday and generally traded close to RUONIA. At the same time, NDF implied rates widened a bit further with the 1M rate closing at 8.79% (+3bp), while the 3M rate inched up 7bp to 9.01%. Meanwhile, longer dated XCCY swap rates declined slightly, so the 1s2s XCCY swap spread has narrowed to -44bp. The situation with rouble liquidity remains stable, as banks have near USD 1.1tn on correspondent accounts, which we see as a comfortable level.
Meanwhile, the CBR announced that it would offer RUB 900bn at the regular three-month 312-P auction on 10 November. In addition, it is going to conduct an 18-month 312-P auction on the same day for RUB 150bn. Meanwhile, only RUB 805.3bn of outstanding 312-P debt is due in the next 30 days, so the potential liquidity injection could equal around RUB 250bn. On the other hand, we think the Treasury could start less actively offering deposits in November-December amid an increase in budget outlays (as usually happens at the end of the year). Meanwhile, yesterday the Treasury allocated RUB 100bn on banks’ deposits for one month at an average rate of 8.78%, amid RUB 197bn of demand. However, the net increase in deposits would be just RUB 50bn.