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Local sovereign debt: FX volatility spurred correction


OFZs opened lower, price-wise, first thing in the morning with RFLB 28 trading down 0.9pp in price (up to 11.94% in yield). During the day, pressure only grew as crude oil slid lower, while USDRUB stepped up. In the end, the OFZ curve widened 40-45bp along all tenors with prices on the long end down 2.0pp. Notes on the belly slipped 1.0pp in price. At the same time, the curve did not change its shape as the 2s10s OFZ spread remained at the -20bp level. Given some relief in the crude oil market, OFZs are likely to pare some of yesterday’s losses today. We still favour RUONIA-linked bonds and steepener trades.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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