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Cross-currency swap rate surge; basis tightens and steepens


Amid the increased demand for FX swap with the CBR and higher front end rates, we also noted a 10-15bp upward move in mid-term cross-currency rates. Specifically, the 5-year rate widened 13bp to 6.44%, while the 3-year rate increased 6bp to 6.22%. The increase in cross-currency swap rates is particularly interesting given declining UST rates. Meanwhile, the IRS curve shifted up just 3bp as 3-month MosPrime ticked up 1bp to 6.80, while 3×6 FRA widened to 6.60% (+6bp). As a result, the basis tightened 3-6bp yesterday, with price action on the middle part of the curve being more visible; in particular, the 5-year basis narrowed to -70bp (+6bp), while the 2-year basis closed at -57bp (+3bp).

Maxim Korovin, Anton Nikitin
VTB Capital analyst


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