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RUB: against fundamentals


Yesterday, RUB weakened 2.0% against USD (41.73) and almost 1.6% to the BASKET (46.69). Hence, the CBR has shifted BASKET’s operational band seven times, suggesting that the amount of FX interventions was near USD 2.4bn. Pressure on RUB mounted right from the morning, and throughout the day it was almost a one-way trend. Trading volumes were decent at USD 7.2bn. Meanwhile, the EM FX index closed 0.15–0.20% in the red against USD, though the EM performance was rather uneven: ZAR and TRY firmed 0.6% and 0.4%, respectively, while BRL and ILS dipped 0.7–1.0%. Commodity-based currencies traded heavy with NZD down about 1.8% and NOK closing near 0.1% lower. In addition, we highlight that Brent bounced up 2.2% to USD 85.50–86.00/bbl yesterday. Therefore, RUB completely ignored the relatively stable EM FX performance and higher crude oil. In addition, oil-related tax payments kick off next week as well as the first FX repo auctions by the CBR. Thus, we think RUB traded generally against fundamentals yesterday. On the other hand, some dividend announcements might have weighed on its performance. Perhaps, some anxiety about S&P’s review of the Russian sovereign rating also spoiled risk sentiment. However, given Russian entities’ lack of access to capital markets, we do not see any direct implication on the FX market regardless of the decision. We have already argued to sell spikes in USDRUB, even at the lower levels, since we did not expect such weakness amid relatively stable oil dynamics. Now, we think the tactical case for a short USDRUB trade looks even more justified.

Maxim Korovin, Tatyana Zueva
VTB Capital analyst


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