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Local sovereign debt: successful auctions and sharp curve steepening


As we expected, MinFin enjoyed good demand at yesterday’s auctions, selling the whole planned amount. In particular, RUB 5.0bn of RFLB 23 was allocated at an average yield of 11.99% amid RUB 16.2bn in bids. The RUONIA-linker was in greater demand: total bids amounted to RUB 32.9bn, so all the offered RUB 10bn was sold at an average price of 93.6. As we argued yesterday, it is hard to make any judgment about the pricing, but we think that the fair price is closer to 95.0. So, we think the new bond looks interesting. As we highlighted last week, the OFZ curve steepening continued yesterday. In particular, long end bonds declined 0.6-0.8pp in price with yields up 10-13bp, while bonds on the belly gained 0.4-0.5pp (yields down 20-30bp). Hence, the 2s10s OFZ spread moved up to 25bp.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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