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Local sovereign debt: bonds rally


On Friday, the OFZ market opened on a stronger footing. By noon, longer dated OFZs traded around 0.5pp in the black. The CBR's rate cut fuelled further price appreciation. At the end of the day, the OFZ long end closed 25bp down in yields, while the belly moved down 40-50bp and the front-end 70-100bp. Price-wise, RFLB 28 (YTM 13.59%) firmed 1.00pp and RFLB 19 6.70 (YTM 14.92%) 0.80-1.00pp. Subsequently, the curve steepened, with the 2s10s spread closing at -100bp (+40bp), while the 5s15s spread ended barely changed at -130bp (+9bp). Carry-wise, OFZs became more attractive market benchmarked against the CBR's key rate, but looking forward it is important where the repo market settles, because previously for selected sovereign bonds actual repo rates were already visibly below the policy rate.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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