Rates Weekly - December 21, 2021. Finance Ministry to Wrap Up 2021 with Two Nominal Auctions

> Ruble liquidity: Ample liquidity at year-end. Through the end of this week, excess liquidity looks set to remain at around R1.2 trln. Overnight interbank rates should thus stay subdued at around 8.10%. Meanwhile, next Monday-Tuesday they should pick up to about 8.40%, but no higher, as the tax-related outflow will be partially offset by budget spending and a liquidity allocation via O/N repo from the Federal Treasury. Overall, even after taxes there will be around R0.5 trln of excess liquidity. At the very end of the year, on December 29-30, there could be a liquidity inflow related to budget operations of around R1 trln. This could again push O/N rates down to 8% and the CBR could conduct another fine-tuning deposit auction.> OFZs and rates: Finance Ministry to wrap up 2021 borrowing with two nominal auctions. Tomorrow, the Finance Ministry will offer R20 bln in the 10y OFZ 26239 (July 2031) and R20 bln in the 20y OFZ 26238 (May 2041). Thus, the total offer will be R10 bln higher than last week. Still, it will be nearly flat in DV01 terms, as last week's lineup comprised the 8y and 15y nominals. We expect tomorrow's auctions to post stronger results than a week ago, taking into account the post-CBR rally in OFZs - we think the entire offer will be tapped. However, the bid-to-cover ratio is unlikely to exceed 1.8 at the 10y auction and 1.5 at the 20y (the ratios at the last auctions for the same bonds).