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Money market: rates on the rise

 
15.09.2015

The bid for liquidity continued to push the overnight FX swap higher. Yesterday, the weighted average rate rose to 11.66% (+41bp), with the close at 11.34%. Money market rates also traded higher. The front end of the NDF curve shifted up 10bp, with the one-month rate increasing to 11.65% and the three-month rate closing at 12.15%. Meantime, longer NDF rates remained nearly unchanged, standing at 12.45% at the moment. XCCY rates widened 5-8bp along the entire curve, with the two-year tenor picking up to 11.75%. Meanwhile, 3M MosPrime rose to 11.92% (+18bp), pushing the IRS curve up. The one-year rate jumped to 12.80%(+15bp) and the belly widened 5bp, while the long end rose some 10bp.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

Tags:
money market

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