Rates Weekly - September 7, 2021. O/N Rates to Rise on Tight Liquidity, Rate Hike Expectations
> Ruble liquidity: O/N rates to rise on tight liquidity, rate hike expectations. The new reserves averaging period starts tomorrow, meaning the current accounts of banks at the CBR will rise to R3.2 trln, which just equals the required level. This will be rather tight given the seasonally high demand for liquidity, especially ahead of the expected CBR key rate hike. Against this backdrop, if the CBR delivers the 50 bp rate hike that we expect, we would anticipate O/N rates rising to 6.6% on Wednesday-Thursday and to 6.8% on Friday-Tuesday.> OFZs and rates: Finance Ministry switches to nominal-linker combo. Tomorrow's auctions will again be with no limits, but with only one nominal paper on offer - the 15y OFZ 26240 (July 2036). The second bond will be a new CPI-linker - the 11y OFZ 52004 (March 2032). In our view, such choice represents an early sign that the Finance Ministry is ready to limit supply of nominals and is becoming more price-sensitive.
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