Good rally in FX RUB, which ends the day 1.4% stronger vs USD and 0.95% vs FX basket (31.10 and 36.43 respectively). Despite o/n coming back to 4.5% level (yday 6.0% spike was caused by local bank in need to cover unexpected funding) and rates sell-off on stronger RUB – we saw good bids coming from all sorts of participants including local banks, international hedgers, prop positions and exotic desks etc. Curve ends the day steeper (1m-3m 5-10bps down, 1y unch 6.45), but beware the funding which is might well go over 5% again as we approach taxes next week. As noted above, market takes some risk and entering new RUB longs again while staying defensive in rates space where I expect dealers to sit flat to paid
RUSSIA CPI FLAT FOR 4TH WEEK IN WEEK TO OCT 10 – STATS SERVICE
REUTERS POLL-RUSSIAN ROUBLE SEEN AT 31.50/DLR IN 1 MTH, 31.00 IN 3 MTHS, 29.90/DLR IN 12 MTHS (28.00, 27.80, 28.20 IN JULY POLL)
BRICS EXCHANGES SAY TO CROSS LIST EQUITY INDEX DERIVATIVES IN LOCAL CURRENCIES BY 2012
RUN
|
Tenor
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
||||
|
1w
|
20-Oct-11
|
300
|
330 |
5.23
|
5.73 |
6.51
|
31.1375
|
31.1405
|
36.4753
|
36.4791
|
|
1m
|
14-Nov-11
|
1,530
|
1,630 |
5.86
|
6.23 |
6.54
|
31.2605
|
31.2705
|
36.6134
|
36.6265
|
|
2m
|
13-Dec-11
|
3,020
|
3,170 |
6.13
|
6.42 |
6.50
|
31.4095
|
31.4245
|
36.7828
|
36.8014
|
|
3m
|
13-Jan-12
|
4,630
|
4,805 |
6.32
|
6.54 |
6.39
|
31.5705
|
31.5880
|
36.9685
|
36.9915
|
|
6m
|
13-Apr-12
|
9,190
|
9,390 |
6.40
|
6.53 |
6.32
|
32.0265
|
32.0465
|
37.4971
|
37.5241
|
|
9m
|
13-Jul-12
|
13,725
|
13,945 |
6.44
|
6.54 |
5.99
|
32.4800
|
32.5020
|
38.0216
|
38.0532
|
|
1y
|
15-Oct-12
|
18,350
|
18,650 |
6.46
|
6.56 |
6.46
|
32.9425
|
32.9725
|
38.5604
|
38.5988
|
|
18m
|
15-Apr-13
|
28,100
|
28,600 |
6.47
|
6.57 |
6.52
|
33.9175
|
33.9675
|
39.6759
|
39.7543
|
|
2y
|
15-Oct-13
|
37,950
|
38,650 |
6.52
|
6.62 |
6.82
|
34.9025
|
34.9725
|
40.8075
|
40.8988
|
| Spot and Rates | |
|
USDRUB
|
31.1075
|
|
BSKRUB
|
36.4330
|
BARCLAYS CAPITAL
ECONOMICS RESEARCH