货币互换监测：接收5年期印度卢比交叉货币基差

Asia Asia Macro StrategyNotes CCS monitor: Receive 5Y INR Xccybasis Bryant Xu The INR implied Xccy basis (the spread between CCS and OIS) has widenedsignificantly in recent weeks, reaching exceptionally high levels. Currently, the 5YINR implied Xccy basis is at the 99th percentile of its five-year range. We identifyseveral key factors contributing to this elevated Xccy basis: Strategist+65-6423 5558 Jalaj SinghResearch Associate nRobust external commercial borrowings (ECBs): India's ECBs haveconsistently been a significant medium-term driver for the Xccy basis(Figure 2), as many borrowers utilize CCS to convert their USD proceeds intoINR. The rolling 12-month ECBs volume, per RBI data through July, climbedto $59 billion, marking a substantial 46% YoY increase. Concurrently, theaverage 5Y INR implied Xccy basis YTD has also risen, now 19bps higherthan last year's average, indicating that the heightened ECBs activity islikely contributing to this elevated basis. While September ECBs data ispendingrelease,conversations with market participants suggestcontinued robust external commercial borrowings, driven by domesticentities'financing needs into quarter-end(in line with historicalseasonality), strong offshore demand from Asia Credit investors and tightonshore liquidity. The tight onshore liquidity itself is a result of INRweakness and the RBI's under-sterilized FX interventions, which effectivelydrain domestic liquidity. nElevated front-end basis: Recent INR weakness has also fueled long USD/INR positioning in the forwards market, widening the basis between FXimplied yields and OIS rates at the front end of the curve. We believe theseelevated front-end spreads have subsequently spilled over to longer tenors. nLackof EMTN issuance:Average monthly INR dominated EMTNsissuance for August and September stood at a mere $60mn, a starkcontrast to the $300mn monthly run rate observed from January to July.This paucity of EMTN issuance has led to a reduction in receiving INR CCSflows, which would typically help to counter the upward pressure on theXccy basis. Potential for a reversal in Q4 However, several of these drivers could reverse in the coming weeks, potentiallymaking receiving INR Xccy basis an attractive trade: nDecelerating ECBs: October and November are historically periods ofreduced ECBs seasonality. Specifically, October has typically seen a 40%reduction in ECBs compared with September (Figure 3). Furthermore, ascheduled Cash Reserve Ratio (CRR) cut on October 4th, which will release INR0.63tn in liquidity, should ease onshore liquidity conditions and reducethe imperative for external borrowings. nResurgentEMTN issuance:The potential inclusion of IGBs in theBloomberg Global Aggregate Index could significantly boost EMTNsdemand, leading to increased issuance. If included, this could attractapproximately $10bn in inflows into the Indian bond market, assuming allindex-tracking managers (with a collective AUM of $1.5tn) adhere to thelikely 0.7% benchmark weighting. A portion of these inflows would likelytarget INR-denominated EMTNs. For comparison, our estimates suggestthat out of an estimated ~$25bn total GBI-EM inflows into Indian bonds,~$4-5bn could have gone into INR-denominated EMTNs (Figure 4 ). Risk and Recommendation The primary risk to the receive INR Xccy basis trade is a sharp depreciation of thecurrency and the associated surge in front-end Xccy basis. However, it's importantto note that the current elevated 5Y INR implied Xccy basis (at the 99th percentileover five years) provides a substantial buffer. Moreover, the correlation between the5Y Xccy basis and the front-end Xccy basis has weakened, likely limiting the impactof any front-end surge on the longer-dated tenor going forward (Figure 6). We recommendreceiving the Dec-starting 5Y INR NDCCS versus paying the Dec-starting 5Y INR NDOIS at 72bps, targeting a level of 45bps. For clients who expectfurther RBI easing to get priced in, they can consider directly receiving Dec-startingINR NDCCS. Cross-currency swap monitor 2 October 2025Asia Macro Strategy Notes Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP CCS seasonality monitor ASW monitor for USD-based investors Figure 23: Asset Swap (ASW) pick-up over floating SOFR rate Figure 24: Asset Swap (ASW) all-in rates in USD Figure 25: Asset Swap (ASW) pick-up over UST ASW monitor for EUR-based investors Figure 26: Asset Swap (ASW) pick-up over floating ESTR rate Figure 28: Asset Swap (ASW) pick-up over Bund ASW pick-up over SOFR/ESTR for 5-year Asian GBs Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP Source : Deutsche Bank, Bloomberg Finance LP; Note: We assume