OREANDA-NEWS. April 30, 2015. To smooth out the peak of the tax period, the CBR conducted a fine-tuning repo auction, providing RUB 102bn at an average rate of 14.20%. In addition, banks borrowed RUB 154bn from the CBR in the FX swap window and RUB 10bn in standing repo facilities. The overnight FX swap remained flat at 14.90%, while the weighted-average rate inched up to 14.91 (+46bp).

Short NDF rates gained 60-120bp, with the one-month tenor closing at 15.00% and the three-month rate increasing to 14.10%. Market participants take profits on short positions for the second day in a row ahead of CBR’s policy meeting this week. In our view, the front end looks interesting to receive here, even onshore. The rest of the NDF/XCCY curve adjusted 10-20bp lower, while IRS rates remained broadly intact.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts