Yesterday, the CBR conducted a one-week repo auction, increasing the limit RUB 120bn to RUB 1.57tn, which we think will support banking liquidity during the tax week. The funds were taken in full, amid RUB 1.7tn of demand; and the average rate printed at 14.37%. At the Treasury’s deposit auction, banks borrowed RUB 100bn, but the net deposit outflow is still set to be RUB 69bn this week. The overnight FX swap rate closed at 14.59% (+47bp), though the weighted-average rate changed little, inching up 5bp to 14.59%. Hence, banks did not tap the CBR’s FX swap offer, though they secured RUB 75bn in the overnight repo window.
In the meantime, the strong FX performance pushed NDF rates down 60-80bp. Therefore, 3M NDF closed at 15.04% and the 1M tenor at 15.39%. On the other hand, the XCCY curve shifted up 10-20bp, so the 1s2s spread moved up to -150bp. The IRS curve remained broadly intact, with 3M MosPrime left at 15.75%.