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Local sovereign debt: back in the red


On Thursday, the OFZ market went through a wave of profit-taking ahead of the long weekend and today’s CBR monetary policy meeting. The long end lost 0.5pp in price, the belly sagged 0.2-0.4pp, while short tenors were down 0.1pp in price. Hence, the curve moved up 10bp in yield, with the belly returning to 11.0%. On Friday, OFZs moved about 0.2-0.3pp lower further along the whole curve in rather illiquid trading, as local desks were empty due to the public holidays. Overall, RFLB 28 (YTM 10.70%) slipped near 0.8-1.0pp together with other long benchmarks, whilst notes on the belly weakened around 0.3-0.5pp on average, price wise. Meanwhile, the 2s10s OFZ spread stands close to zero, whilst the 5s10s spread is about minus 20-25bp. Hence, we think that the belly would benefit the most if the CBR cuts rates more than expected.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts


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