Basket trades very range-bound for the 2nd day within 35.72/80, while rates slide down on better local RUB supply. Looks like the street getting long the currency now after a period of being flat since the end of October. The curve is down by about 10bps, mainly one biggest local was selling fx swaps up to 6m in size, we paid some in the very front as expect next week to see tighter funding on tax payments period.
RUSSIA’S IGNATYEV SAYS OCT NET CAPITAL OUTFLOW AT $13 BLN (NOT $14 BLN), OUTFLOW CONTINUES IN NOVEMBER AT SLOWER PACE
RUSSIA’S C.BANK CHAIRMAN IGNATYEV SAYS YEAR-END INFLATION MAY EXCEED 7 PCT ON PASS-THROUGH FROM ROUBLE’S DEPRECIATION
RUSSIA’S IGNATYEV SAYS WILL PRIORITISE PRICE STABILITY IN 2012, BUT IF GLOBAL SITUATION WEAKENS WILL ENSURE FINANCIAL STABILITY
RUSSIA’S IGNATYEV SEES NO SEVERE LIQUIDITY STRAINS FOR THE REST OF THE YEAR AND IN EARLY 2012
RUN
|
Value
|
Swap Points
|
Implied Yield
|
3m Fwd
|
NDF
|
Basket NDF
|
|||||
|
1w
|
28-Nov-11
|
302
|
325 |
5.28
|
5.62 |
6.40
|
30.8802
|
30.8825
|
35.7602
|
35.7631
|
|
1m
|
21-Dec-11
|
1,398
|
1,477 |
5.76
|
5.97 |
6.49
|
30.9898
|
30.9977
|
35.8878
|
35.8972
|
|
2m
|
23-Jan-12
|
3,048
|
3,130 |
6.03
|
6.13 |
6.53
|
31.1548
|
31.1630
|
36.0886
|
36.0991
|
|
3m
|
21-Feb-12
|
4,495
|
4,580 |
6.29
|
6.36 |
6.39
|
31.2995
|
31.3080
|
36.2608
|
36.2716
|
|
6m
|
21-May-12
|
8,767
|
8,917 |
6.39
|
6.44 |
6.33
|
31.7267
|
31.7417
|
36.7682
|
36.7880
|
|
9m
|
21-Aug-12
|
13,128
|
13,295 |
6.42
|
6.48 |
6.40
|
32.1628
|
32.1795
|
37.2882
|
37.3104
|
|
1y
|
21-Nov-12
|
17,578
|
17,828 |
6.48
|
6.53 |
6.54
|
32.6078
|
32.6328
|
37.8168
|
37.8501
|
|
18m
|
21-May-13
|
26,283
|
27,117 |
6.46
|
6.56 |
6.46
|
33.4783
|
33.5617
|
38.8405
|
38.9481
|
|
2y
|
21-Nov-13
|
36,267
|
37,200 |
6.57
|
6.67 |
6.79
|
34.4767
|
34.5700
|
39.9915
|
40.1214
|
| Spot and Rates | |
|
USDRUB
|
30.8500
|
|
BSKRUB
|
35.7283
|
BARCLAYS CAPITAL