Yesterday morning, the volume of banks’ current accounts dropped RUB 460bn to RUB 1.05tn, which is a rather tense level for the smooth execution of daily operations. Hence, banks continued to tap actively the CBR’s facilities, borrowing RUB 118bn in the FX swap window and RUB 48bn on fixed-rate repo. The overnight FX swap closed at 13.61%, while the weighted-average rate tightened further to 13.39% (+10bp). However, the Treasury deposit auction garnered only RUB 23bn of bids, which were fulfilled at an average rate of 12.71%. Hence, today the volume of banks' deposits is to increase to RUB 277bn.
NDF rates eased 40bp yesterday, with one-month tenor nudging down to 13.85% (-40bp). Price action across the XCCY curve was milder, but still rates declined near 10bp. The IRS curve finally started to move, going down 10-15bp; however, 3M MosPrime froze at 13.72%.
Concerning the monetary policy outlook, we think the start of the CBR’s interventions signals that the regulator has opted for a smoother path of interest rate normalisation instead of a front-loaded one. Fresh CPI readings show that disinflation is underway, so our forecast on the key rate for 2Q16 remains unchanged at 8.5%, though we think the outcome of the monetary policy meeting in June is now skewed more to a 100bp cut rather than a 150bp one. At the same time, the start of FX purchases opens another channel of liquidity inflow.