In the aftermath of the VAT and MET payments, banks’ correspondent accounts dropped to RUB 995bn yesterday morning. As the CBR’s data shows, since the beginning of the tax period the budget has absorbed near RUB 620bn of liquidity, of which RUB 413bn was sterilised on Monday.
Hence, banks were actively replenishing liquidity balances yesterday, taking RUB 60bn from VEB and RUB 100bn at the Treasury deposit auction. In addition, they secured the full limit at the one-week repo auction, which the CBR decided to keep surprisingly loose: RUB 1.59tn vs. RUB 1.62tn the week before.
Due to sufficient liquidity reserves accumulated before, the money market stayed relatively resilient. The overnight FX swap declined to 11.00% at the close, while the weighted average rate nudged down to 11.49% (-18bp). Hence, the CBR’s FX swap remained untapped, but banks increased the volume of fixed-rate repo to RUB 42bn. Amid increased FX volatility, the NDF curve widened 15-20bp, with the 3M NDF rate closing at 12.79%. The XCCY curve remained generally intact, with only the two-year rate narrowing to 10.75% (-18bp) and the three-year rate rising to 10.31% (+22bp). The front end of the IRS curve shifted up 10-15bp, while the longer tenors moved 5-7bp higher.