Yesterday, banks secured only RUB 19bn from the CBR in the overnight repo window, down from RUB 395bn the day before. In addition, there was a RUB 154bn outflow of State Pension Fund deposits. Today, therefore, the volume of banks’ current accounts and deposits in the CBR is likely to decline substantially, unless there is decent liquidity inflow from the budget. Banks are eager to cut the balance of current accounts, because the accumulated average balance in November-December is already sufficient to cover the averaging regulatory requirements, even if the total balance of correspondent account falls to RUB 800bn and stays at that level until 10 December (when the next averaging period starts). Meanwhile, today the Treasury is conducting a RUB 150bn one-week auction; we expect solid demand. In addition, the State Pension Fund is offering RUB 53bn for 45-day deposit.
However, in total it would not completely cover the outflows of state deposits this week. Overnight FX swap remained rather low yesterday, closing at 8.23% (the weighted average rate for the whole session printed at 8.57%, -33bp). Thus, the spread between overnight FX swap and RUONIA is holding near -100bp, even though RUONIA has been declining this week as well. NDF\XCCY rates widened 50-60bp yesterday with 1M NDF closing at 12.93%, while the 12M rate picked up to 12.90%. Thus, the 1s2s XCCY swap spread closed at -126bp. The IRS curve widened to the same extent as XCCY, so the basis stayed unchanged.