Liquidity visibly tightened yesterday amid continued tax payments. Hence, banks’ current accounts declined RUB 161bn to RUB 1.25tn on Thursday morning. Meanwhile, CBR statistics show that on 25 March, VAT and MET erased near RUB 510bn of banking liquidity. Nevertheless, we estimate that the consolidated budget is still running a moderate deficit so far in March. In the wake of this, the CBR announced an ad hoc overnight repo auction for RUB 180bn: banks secured the whole size amid RUB 438bn of demand at an average rate of 14.51%.
Against this, the overnight FX swap rate eased 36bp to 14.75%, with the weighted-average rate nudging down to 14.81% (-11bp). Thus, banks refrained from sourcing liquidity via the CBR’s FX swap facility, but still borrowed RUB 46bn in the overnight repo window. The Treasury deposit auction registered modest demand, with just RUB 23bn allocated at an average of 14.28%. Hence, today the outstanding volume of Treasury deposits is to decline to RUB 403bn (-RUB 77bn). Next week, companies pay corporate profit tax (30 March), which could put additional pressure on liquidity and the money market. However, RUB 100bn maturity of OFZs due on the same day would at least partially offset it.
The NDF/XCCY curve changed little yesterday. We noted swings only in the shortest NDF tenors: the 1M NDF rate rose 45bp to 16.50% and 3M NDF rate edged down to 14.83% (-38bp). The IRS curve shifted 5-10bp lower, so the basis narrowed near 7bp.