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Local sovereign debt: higher and higher


OFZ continued trading in the black yesterday. The market opened stronger, with yields down 3-5bp. Towards the end of the day, OFZs strengthened further with the curve moving down 13-15bp on the long end and the belly, whilst the front end tightened 20-25bp. Hence, the OFZ 2s10s spread narrowed 10bp to -170bp yesterday. In the long end, RFLB 28 (YTM 11.69%) advanced 0.7pp, price wise, while on the belly issues firmed 0.5pp in average. Today, the Ministry of Finance is likely to announce another auction for RUONIA-linked RFLB 17. In our view, the bond looks undervalued compared with plain vanilla peers: we think its fair price is around 97.0, while it trades near 94.50-94.75 level.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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