Yesterday, the bid for liquidity strengthened, which was likely the effect of banks earmarking funds for the placement of inflation-indexed OFZ. According to Reuters, demand for the new instrument exceeded RUB 200bn. Hence, at the close the overnight FX swap scratched the CBR’s offering level, rising to 12.58% (+81bp), while the weighted average rate increased 10bp to 12.07%. Thus, banks tapped the CBR’s FX swap facility for the first time in the current month, borrowing RUB 53bn. Besides, they secured RUB 131bn in fixed-rate repo operations. The Treasury deposit auction garnered decent demand of RUB 129bn, so the offer was allocated in full, bringing RUB 30bn of fresh liquidity into the system. Also, the State Pension Fund placed RUB 30bn at two-month deposits, so today the total sum of budgetary deposits is to rise to RUB 406bn.
NDF rates tightened a moderate 5bp, with the one-month tenor approaching the upper bound of the policy rates band. Short XCCY rates moved down 25bp, while long-dated rates nudged down 10bp. Hence, the one-year rate closed at 11.92%, and we think it is interesting to receive it at current levels. Meantime, the IRS curve moved up 8bp, while 3M MosPrime remained flat at 12.40%.