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NDF/XCCY curve moves down


On Wednesday, the NDF/XCCY curve moved down 6-10bp in the two-five-year segment. Moreover, the NDF/XCCY curve slope in 3m12m returned to -25bp, because the front-end remained elevated as liquidity is gradually leaking out of the system as FX interventions. IRS/XCCY basis widened 2-4bp in the two-five-year part of the curve. Before the CBR meeting on Friday, the NDF curve suggested 50bp cuts over 12 months. This seems a solid re-pricing of market expectations (vs. 80-90bp a few months ago) and it appears that expectations are that rate cuts will be postponed until November-December (probably as inflation remains at 6.3%, i.e. above target corridor). On the money market front, the CBR distributed RUB 254bn via overnight repo at 5.59%.

Maxim Korovin, Anton Nikitin
VTB Capital analyst


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