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Local sovereign: bear-flattening underway


On Friday, the OFZ market remained under pressure as FX volatility stayed high. At the same time, the long end traded firmer than the belly and front-end bonds. In particular, RFLB 28 (YTM 10.11%) traded down only 0.1pp in price, while RLFB 15 6.88 (YTM 9.83%) lost near 0.3pp in price. At the same time, we highlight that many bonds remain rather squeezed in the absence of new supply. Hence, RFPB 16 7.35 (YTM 9.62%) closed almost unchanged in price exactly for this reason. Overall, the OFZ curve moved up near 10-15bp on the front end, 5-7bp in the belly and closed nearly flat in yield on the longest end. Therefore, curve inversion continued with the 2s10s OFZ spread now standing at -10bp.

Maxim Korovin, Tatyana Zueva
VTB Capital analyst


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