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Local sovereign debt: back in the red

OFZs recorded yet another weak session. On the belly, yields crossed the 11% level – in particular, RFLB 18 7.50 closed at a yield of 11.05%. Overall, the curve widened near 15bp in the long and 20-25bp in the belly and front end. Thus, the curve became more inverted with the 2s10s spread widening to -16bp. The OFZ curve prices in monetary tightening of between 50bp and 100bp, in our view. Price wise, the longest bonds slipped near 0.9-1.0pp yesterday and mid-term issues were down near 0.5pp. Today, MinFin is likely to cancel the auction, given the recent volatility, we think.
Maxim Korovin, Tatiana Zueva
VTB Capital analyst

OFZ, ruble

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