Russian assets trade weak given the performance of the global markets and hammered by Urals oil at 106 (down from 112 last week). FX basket closes sub-36 figure and then trades 36.10 afterhours, heard some HF interest to pay usdrub in reasonable amount after local stocks index collapsed 4.75%. Expected pressure on rates was fuelled by unusually sizable flows coming mainly from smaller locals and intl treasuries. Seen biggest local lender on the offer again, paid him several times in 3m-9m tenors as market was gradually climbing up backed by paying tickets – 1y xccy was paid up to 6.60 before offered by the lcls again and then paid again after basket jumped.
RUSSIA ECONOMY MINISTRY HEAD OF FORECASTING – LIKELY TO REVISE UP 2011 GDP FORECAST TO 4.2 – 4.5 PCT FROM 4.1 PCT PREVIOUSLY
RUSSIA ECONOMY MINISTRY HEAD OF FORECASTING – INFLATION SEEN AT 4 – 5 PCT IN 2012-2014
RUSSIA ECONOMY MINISTRY OFFICIAL SAYS -SEES 2012 GDP GROWTH AT 3.7 PCT, 4.0 PCT IN 2013, 4.6 PCT IN 2014
RUN
|
Tenor
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
||||
|
1w
|
29-Nov-11
|
290
|
320 |
5.05
|
5.55 |
6.44
|
31.1940
|
31.1970
|
36.1187
|
36.1223
|
|
1m
|
22-Dec-11
|
1,410
|
1,480 |
5.76
|
6.04 |
6.50
|
31.3060
|
31.3130
|
36.2489
|
36.2577
|
|
2m
|
23-Jan-12
|
3,040
|
3,110 |
6.12
|
6.26 |
6.48
|
31.4690
|
31.4760
|
36.4484
|
36.4576
|
|
3m
|
22-Feb-12
|
4,550
|
4,630 |
6.30
|
6.40 |
6.39
|
31.6200
|
31.6280
|
36.6308
|
36.6410
|
|
6m
|
22-May-12
|
8,900
|
9,000 |
6.39
|
6.45 |
6.41
|
32.0550
|
32.0650
|
37.1516
|
37.1668
|
|
9m
|
22-Aug-12
|
13,350
|
13,500 |
6.45
|
6.52 |
6.42
|
32.5000
|
32.5150
|
37.6871
|
37.7067
|
|
1y
|
23-Nov-12
|
17,900
|
18,100 |
6.51
|
6.57 |
6.57
|
32.9550
|
32.9750
|
38.2293
|
38.2577
|
|
18m
|
22-May-13
|
26,900
|
27,400 |
6.50
|
6.61 |
6.60
|
33.8550
|
33.9050
|
39.2950
|
39.3736
|
|
2y
|
22-Nov-13
|
36,950
|
37,450 |
6.60
|
6.68 |
6.89
|
34.8600
|
34.9100
|
40.4603
|
40.5426
|
| Spot and Rates | |
|
USDRUB
|
31.1650
|
|
BSKRUB
|
36.0875
|
BARCLAYS CAPITAL