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Local sovereign debt: longer end under pressure

Given the historically high correlation between BASKET and longer dated rates in Russia, quite predictably, RUB’s weakening spurred some selling on the OFZ curve as well. In particular, RFLB 28 (YTM 8.36%) lost 50bp in price together with RFLB 27 (YTM 8.25%). Ten-year notes slipped 40bp in price terms, with RFLB 23 closing at a yield of 8.13%, while on the belly RFLB 20 6.40 (YTM 7.88%) closed down 20bp in price, so 7s10s spread was barely changed. However, in general the curve steepened once again, with the 2s10s spread widening to 125bp (+9bp).
Maxim Korovin, Anton Nikitin
VTB Capital analyst


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