Yesterday, the CBR offered only RUB 1.29tn for the one-week repo auction: banks secured the whole limit at an average of 12.8% amid RUB 1.9tn of demand. The regulator expects RUB 420bn of liquidity inflow from the budget this week, and while that could be the case we note that, historically, the CBR’s weekly estimates of fiscal flows are not particularly accurate. However, demand for refinancing is likely to increase in the coming days as the end of May-June averaging period approaches. Hence, we think that there is a high probability that any potential liquidity shortfall might push the rates back to the upper end of the policy rate band. Meanwhile, the Treasury is now running RUB 100bn in overnight repo operations, while its deposit auctions still lack a bid. Yesterday, it allocated only RUB 13.9bn for two weeks at an average rate of 12.5%. Thus, today the outstanding volume of government deposits is to decline RUB 86bn.
The overnight FX swap rate nudged up 44bp to 12.76% yesterday. However, the weighted-average rate for the whole session printed at 12.69% (-26bp). Hence, banks did not use the CBR’s FX swap window. NDF rates remained flat, with 3M staying at 13.58%. The XCCY swap and IRS curves were silent as well.