On Friday, the situation on the money market remained tense, with overnight rates stuck near the upper end of the policy rate band. Subsequently, the CBR conducted a one-day repo auction for RUB 200bn. Total demand was RUB 609bn and the average rate was 13.02%. In light of this, the bid for standing facilities eased, with only RUB 54bn provided in one-day standing repo and RUB 51bn in overnight FX swap. As we suggested last week, the CBR set a tough limit for the one-week repo auction, whilst the volume of banks' free reserves was low. Today, the CBR has announced yet another one-day auction. Meanwhile, the Treasury is to conduct a RUB 160bn two-week deposit auction this week, which is basically just an opportunity for banks to roll over existing debts. However, the fresh averaging period kicks off this week, which is likely to see some decline in the liquidity bid.
NDF rates widened 20-25bp on Friday with the 3M rate closing at 14.08%. We think FX spot volatility was the main driver of the price action in the short-term rates. Longer dated XCCY swap rates remained unchanged. The IRS curve closed mostly flat as well.