Despite expected quiet day and thin market, we got the latter but definitely not the former. RUB rallies 2% vs USD and 1% vs fx basket (backed by strong EUR) and rates enjoy further rally of 10-20 bps. Seen two way interest from both locals and internationals – biggest local paying front dated fx swaps for usd funding, while several other cash rich local treasuries rec up to 3m as spread to overnight rate reaching 200bps. Another push down to the curve is coming from non-residents who receive ndf sell orders from international funds taking on some risk. Expect to see more rally when US market fully operational tomorrow … also some official comments and data on the wires
RTRS-RUSSIAN CBANK HAS SOLD $2-$3 BLN IN CURRENCY INTERVENTIONS SINCE START OF OCT — ULYUKAYEV
RTRS-RUSSIAN CBANK’S EXCHANGE-RATE CORRIDOR IS NOW 32.7-37.7 ROUBLES TO CURRENCY BASKET – ULYUKAYEV
RTRS-RUSSIAN CENTRAL BANK CHAIRMAN SAYS DOES NOT SEE RISKS TO ROUBLE, SAYS APPRECIATION MORE LIKELY THAN DEPRECIATION
RTRS-RPT-RUSSIAN CENTRAL BANK CONTINUES TO SELL FOREX BUT SIZE OF INTERVENTIONS REDUCED — IGNATYEV
RTRS-RUSSIAN CAR SALES ROSE 26 PERCENT IN SEPTEMBER (VS 32 PERCENT IN AUGUST) – AEB
RTRS-RUSSIA SAYS NO GAS DEAL SIGNING PLANNED DURING PM PUTIN’S VISIT TO BEIJING OCT 11-12
RUN
|
Tenor
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
||||
|
1w
|
18-Oct-11
|
270
|
305 |
4.64
|
5.22 |
6.05
|
31.5520
|
31.5555
|
36.7733
|
36.7778
|
|
1m
|
14-Nov-11
|
1,460
|
1,560 |
5.22
|
5.56 |
6.24
|
31.6710
|
31.6810
|
36.9061
|
36.9191
|
|
2m
|
12-Dec-11
|
2,800
|
2,920 |
5.54
|
5.77 |
6.32
|
31.8050
|
31.8170
|
37.0581
|
37.0732
|
|
3m
|
11-Jan-12
|
4,320
|
4,495 |
5.84
|
6.06 |
6.21
|
31.9570
|
31.9745
|
37.2348
|
37.2566
|
|
6m
|
11-Apr-12
|
8,800
|
9,000 |
6.06
|
6.19 |
6.15
|
32.4050
|
32.4250
|
37.7554
|
37.7804
|
|
9m
|
11-Jul-12
|
13,225
|
13,445 |
6.15
|
6.24 |
6.37
|
32.8475
|
32.8695
|
38.2669
|
38.2985
|
|
1y
|
11-Oct-12
|
17,775
|
18,075 |
6.23
|
6.33 |
6.43
|
33.3025
|
33.3325
|
38.7969
|
38.8393
|
|
18m
|
11-Apr-13
|
27,450
|
27,950 |
6.28
|
6.38 |
6.51
|
34.2700
|
34.3200
|
39.9261
|
40.0029
|
|
2y
|
11-Oct-13
|
37,500
|
38,200 |
6.37
|
6.47 |
6.87
|
35.2750
|
35.3450
|
41.0860
|
41.1850
|
| Spot and Rates | |
|
USDRUB
|
31.5250
|
|
BSKRUB
|
36.7448
|
BARCLAYS CAPITAL
ECONOMICS RESEARCH