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Rates: rate hikes remain in NDF curve expectations

On Wednesday, banks got about RUB 60bn in a net liquidity injection after the settlement of both the one-week repo auction and the Federal Treasury deposit. The overnight FX swap rate again dropped to 7.5% by the end of the day, as banks accumulated some excess liquidity on correspondent accounts ahead of tax payments this week. Front-end NDF rates also slowly drifted downwards with 3-month NDF fixing at 9.25% as FX pressures abated, implying no risk reduction. However, fears of CBR rate hikes are still in price and the outcome of the meeting might disappoint the markets and therefore it still looks attractive for receiving rates in the short-end. Longer-dated XCCY rates did not change much and remain in the range of 8.25-8.5%, not pricing material policy easing over the course of next two years.
Maxim Korovin, Anton Nikitin
VTB Capital analyst

NDF, rates

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