If yesterday move looked like a correction then today’s one is a proper classic sell-off. RUB lost 25kop ag the basket straight from the open to get to 35.80, and then gave up 25kop more to reach 36.05 highs when world was going under after Greek referendum news. Finally it settles at 35.90/95 after some local exporters seen selling at the top. Obviously rates are higher partially on knee-jerk reaction of the global sell-off, but also on 5.25-5.75% funding level staying for last 3 days, and market being short RUB ag the basket. It drives 1y up by 30bps, and front end just marginally less supported by bigger locals offering RUB for tenors.
RUN
|
Tenor
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
||||
|
1w
|
09-Nov-11
|
330
|
350 |
5.76
|
6.10 |
6.60
|
30.8605
|
30.8625
|
35.9854
|
35.9880
|
|
1m
|
02-Dec-11
|
1,470
|
1,570 |
6.04
|
6.44 |
6.64
|
30.9745
|
30.9845
|
36.1151
|
36.1276
|
|
2m
|
10-Jan-12
|
3,470
|
3,570 |
6.32
|
6.50 |
6.65
|
31.1745
|
31.1845
|
36.3479
|
36.3610
|
|
3m
|
02-Feb-12
|
4,690
|
4,790 |
6.48
|
6.61 |
6.56
|
31.2965
|
31.3065
|
36.4898
|
36.5035
|
|
6m
|
02-May-12
|
9,280
|
9,480 |
6.54
|
6.67 |
6.50
|
31.7555
|
31.7755
|
37.0286
|
37.0555
|
|
9m
|
02-Aug-12
|
14,000
|
14,200 |
6.60
|
6.68 |
6.57
|
32.2275
|
32.2475
|
37.5841
|
37.6096
|
|
1y
|
02-Nov-12
|
18,650
|
18,950 |
6.61
|
6.70 |
6.13
|
32.6925
|
32.7225
|
38.1305
|
38.1687
|
|
18m
|
02-May-13
|
28,900
|
29,400 |
6.65
|
6.75 |
6.97
|
33.7175
|
33.7675
|
39.3247
|
39.3957
|
|
2y
|
05-Nov-13
|
39,200
|
39,900 |
6.64
|
6.74 |
6.86
|
34.7475
|
34.8175
|
40.5095
|
40.6068
|
| Spot and Rates | |
|
USDRUB
|
30.8275
|
|
BSKRUB
|
35.9526
|
BARCLAYS CAPITAL
Foreign Exchange Research