CBR might implement ‘gradual’ policy easing along with declining inflation
Yesterday, the NDF-XCCY curve steepened as the UST and swap yields weighed on the longer tenors, but the front-end is following the better overnight swap rate prints. 2-5-year rates are up 3bp to 6.15% and 6.42%, respectively. IRS rates demonstrated the same dynamics and surged 3bp. The 2-year IRS rate is 6.76% and 5-year IRS rate is 7.17%. Yesterday, the CBR governor commented on monetary and FX policy, and admitted that the CBR might start a ‘gradual’ policy easing once inflation comes down, but that the economic slowdown was structural in nature. Hence, this is supportive for lower rates across segments, i.e. XCCY, IRS and RUONIA OIS swaps. Nevertheless, the XCCY curve is less aggressive than a few months ago at the moment and suggests only a 25bp decline in the overnight swap rate over the coming months.
Maxim Korovin, Anton Nikitin
VTB Capital analyst
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