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Local sovereign debt: a bit softer


The OFZ curve moved up 6-8bp yesterday along the whole curve. Hence, on the long end bonds lost 0.3–0.4pp in price terms, while the belly moved down 0.1–0.2pp. Overall, liquidity is still not the best amid the absence of new supply. The latter is producing some really visible squeezes in the market. One of the most vivid examples is RFLB 16 6.0, which trades at a 9.46% yield, while the neighbouring RFLB 16 7.35 yields 9.80% and RFLB 16 6.90 yields 10.12%. Another example is RFLB 23 Aug trading at a 10.15% yield, while RFLB 23 Jan trades at 10.25%.

Maxim Korovin, Tatyana Zueva
VTB Capital analyst


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