Yesterday’s session was rather tense for the money market, as the bid for liquidity strengthened on the back of decent MET and VAT payments. To smooth out the peak of the tax period, the CBR conducted a fine-tuning repo auction, providing RUB 102bn at an average rate of 14.20%. In addition, banks borrowed RUB 154bn from the CBR in the FX swap window and RUB 10bn in standing repo facilities. The overnight FX swap remained flat at 14.90%, while the weighted-average rate inched up to 14.91 (+46bp).
Short NDF rates gained 60-120bp, with the one-month tenor closing at 15.00% and the three-month rate increasing to 14.10%. Market participants take profits on short positions for the second day in a row ahead of CBR’s policy meeting this week. In our view, the front end looks interesting to receive here, even onshore. The rest of the NDF/XCCY curve adjusted 10-20bp lower, while IRS rates remained broadly intact.