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Money market rates: NDFs rally


The situation with banking liquidity changed little yesterday. However, banks secured RUB 70bn from the Treasury at the deposit auction, which we believe will help somewhat, liquidity-wise. Overall, the overnight FX swap rate continued trading at the relatively low level of 9.5%, ignoring the CBR’s announcement that it would continue limiting the provision of rouble liquidity through FX swap operations. So far, the budget is helping with liquidity, but that is going to change soon with taxes paid. Meanwhile, as we have suggested, the NDF curve tightened 40-65bp yesterday; in particular, 1M NDF ended at 11.14% (-65bp), while 3M NDF moved down to 11.51% (-49bp). Longer dated XCCY swap tenors moved down as well, with the two-year rate closing at 10.07% (-38bp). The IRS curve also traded lower, yet the basis still widened near 20bp to -188bp on the one-year horizon.

Maxim Korovin, Tatyana Zueva
VTB Capital analyst

money market, NDF

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