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Local sovereign debt: unlike FX, OFZs underperformed


On Friday, OFZs saw visible selling pressure. In particular, the longest, RFLB 28, lost near 60bp price wise, while its yield moved up near 6bp. The rest of the curve moved up at the same magnitude. Meanwhile, we highlight that the remaining EM local sovereign debt market traded on a firmer footing despite the broad pressure on the FX side. Thus, Russian bonds have underperformed here — specifically, on a total return basis, 10Y OFZs slipped around 0.8%, while the Turkish benchmark declined only 0.2% and on average local debt markets closed about 0.10–0.15% stronger.

Maxim Korovin, Tatyana Zueva
VTB Capital analyst


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