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Local sovereign debt: building an arc

Trading activity in the OFZ market picked up yesterday. We noted some buyers of the long end, mostly locals. Hence, RFLB 28 (YTM 9.81%) ended 40bp higher price wise and RFBL 23 (YTM 9.84%) gained near 25bp. Meanwhile, the front end was well bid, so yields moved down near 4bp. At the same time, sellers persisted on the belly of the curve, with RFLB 18 7.50 (YTM 9.82%) closing down near 10bp. Thus, the OFZ curve became more inverse between the belly and the long end, while the 2s10s spread has been actually increasing lately and now stands at 40bp. Overall, it looks to us like OFZs have found some ground at current levels.
Maxim Korovin, Anton Nikitin
VTB Capital analyst


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