As the peak of the tax period approaches, banks’ demand for liquidity has visibly strengthened. Yesterday, the weighted-average FX swap rate stayed close to the CBR’s level, printing 14.96%, while banks borrowed RUB 161bn from the regulator in overnight swap facility. At the one-week repo auction, banks secured the full limit of RUB 2.36tn, thus increasing the volume of tendered repo RUB 300bn, as compared with the previous week. The average rate was set at 14.24%. Besides, banks attracted an additional RUB 18bn in the overnight repo window. The Treasury deposit auction finally succeeded, for the first time in the current month. Yesterday, the Treasury allocated the whole RUB 200bn on two-week deposits at an average rate of 14.00%. On Thursday, the Treasury is planning to allocate another RUB 100bn on one-month deposits. If the demand for liquidity preserves, the net inflow of budgetary deposits might amount to RUB 61bn, alleviating liquidity absorption a bit from the fiscal side amid the tax period.
NDF rates traded mixed yesterday. The one-month NDF rate eased 17bp to 15.50%, although it remained elevated, standing with a 162bp spread against the 1M MICEX swap. At the same time, the 9M and 12M tenors adjusted higher, ending the session at 13.55% (+20bp) and 13.25% (+45bp), respectively. The XCCY curve shifted down 10bp, while the IRS curve remained generally intact.
We think that receiving short NDF rates is attractive now as, despite the correction on the FX market, the current economic juncture gives ground for a more decisive rate cut than that which is priced into the NDF curve. In addition, we think that the situation with banking liquidity is likely to improve in the coming months thanks to inflows from the fiscal side, which would push money market rates closer to the CBR's key rate level.