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Local sovereign debt: belly in demand


Yesterday, the OFZ market held a strong session, benefiting from good FX market performance. The belly of the curve outperformed, jumping on average 1.7pp in price: RFLB 21 7.60 (YTM 11.39%) gained 1.8pp, followed by RFLB 20 6.40 (YTM 11.40%) and RFLB 19 6.80 (YTM 11.37%), which rose 1.75pp. The long end advanced 1.6pp in price, while short tenors were up 0.8-1.0pp in price. Hence, medium-term yields declined 50bp, consolidating close to 11.40% level, while the long end tightened 20-30bp, yield-wise. In light of this, 5s10s spread narrowed 18bp to -10bp, while the front-end still lags momentum, as 2s5s spread widened back to minus 30bp, being above zero just a couple of weeks ago.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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