Rates Weekly - March 9, 2021

> Ruble liquidity: After recent dip, O/N rates to rise as new reserves averaging period starts. At the end of the current period (today is the last day), O/N rates tumbled, but have stabilized today as the CBR conducted a 1d fine-tuning deposit auction, absorbing R0.9 trln. When the new reserves averaging period starts tomorrow, we expect liquidity to be balanced, with banks' correspondent accounts at the CBR at the required level of R2.9 trln. Thus, we would expect the RUONIA rate to rise closer to the key rate, to about 4.15%. Before next Wednesday, we expect a liquidity inflow of about R0.4 trln due to Federal Treasury operations. Still, this is unlikely to put downward pressure on O/N rates, as banks prefer to hoard liquidity and fulfill the required reserve ratio ahead of large tax payments in late March, which we estimate at R1.9 trln.> OFZs and rates: UST yields, OFZ auctions, CBR rhetoric at the center of attention. The Finance Ministry auctions and news that it could cut supply together with what turned out to be non-market relevant US sanctions helped OFZ yields to decline last week. Over the next week, the focus will be on US Treasury yields and any comments from CBR officials going into the blackout period ahead of next Friday's meeting. Risks are skewed to the downside in our view: we think that ruble rates will likely rise from current levels.