Correction day, which Basket closing 35.55/60 notch higher from the general level 54/57 it was trading whole day long after the morning RUB sell-off. Curve trades somewhat steeper as international seen on the bid for DV, while locals offer front dates placing RUB at 6%+ handle. Day is very quiet flow-wise and action-wise, market definitely watching the development of the euro story and fomc minutes ahead of any re-positioning. Other assets follow the path in line with other markets, equities down by circa 2% hammering blue chips most.
RUN
|
Tenor
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
||||
|
1w
|
08-Nov-11
|
325
|
345 |
5.80
|
6.14 |
6.23
|
30.2538
|
30.2558
|
35.6384
|
35.6410
|
|
1m
|
01-Dec-11
|
1,370
|
1,470 |
5.76
|
6.16 |
6.27
|
30.3583
|
30.3683
|
35.7571
|
35.7696
|
|
2m
|
10-Jan-12
|
3,270
|
3,370 |
6.01
|
6.18 |
6.26
|
30.5483
|
30.5583
|
35.9776
|
35.9902
|
|
3m
|
01-Feb-12
|
4,350
|
4,450 |
6.15
|
6.28 |
6.17
|
30.6563
|
30.6663
|
36.1026
|
36.1154
|
|
6m
|
02-May-12
|
8,620
|
8,820 |
6.17
|
6.31 |
6.12
|
31.0833
|
31.1033
|
36.6015
|
36.6271
|
|
9m
|
01-Aug-12
|
12,925
|
13,125 |
6.22
|
6.31 |
6.08
|
31.5138
|
31.5338
|
37.1051
|
37.1311
|
|
1y
|
01-Nov-12
|
17,275
|
17,575 |
6.25
|
6.35 |
6.28
|
31.9488
|
31.9788
|
37.6136
|
37.6520
|
|
18m
|
02-May-13
|
26,600
|
27,100 |
6.26
|
6.36 |
6.27
|
32.8813
|
32.9313
|
38.6912
|
38.7621
|
|
2y
|
01-Nov-13
|
36,000
|
36,700 |
6.28
|
6.39 |
6.64
|
33.8213
|
33.8913
|
39.7621
|
39.8598
|
| Spot and Rates | |
|
USDRUB
|
30.2213
|
|
BSKRUB
|
35.6040
|
BARCLAYS CAPITAL
ECONOMICS RESEARCH | INSTANT INSIGHTS