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Local sovereign debt: curve flattening underway

Yesterday, OFZs also traded on a stronger footing. Hence, RFLB 28 (YTM 8.24%) gained near 50bp, together with RFLB 23 (YTM 7.96%). Bonds on the belly had picked up 10-15bp by the end of the day, though during the session they traded even stronger, before surrendering some gains on the back of profit taking. Overall, the 2s10s OFZ spread has returned to 115bp, close to December’s levels. Meanwhile, the spread between 15- and 5-year notes tightened back to 60bp, a long-lasting average. In addition, the 10s15s spread is now holding near 15bp, the lowest since January 2013. Therefore, we believe there is not much room left for further outperformance of the longest end.
Maxim Korovin, Antin Nikitin
VTB Capital analyst


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