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Local sovereign debt: hurt by negative FX spinoffs

 
28.07.2015

Yesterday, the OFZ market came under heavy pressure, following the weak dynamics on the domestic FX market. At the opening, the long end dropped 0.5-0.7pp in price, extending its losses to 1.0-1.4pp by the close. RFLB 27 was hit the hardest, losing 1.6pp during the day. The belly fell 0.4-0.7pp in price, while short tenors closed 0.2-0.4pp lower. Hence, the mid-term and long-dated yields widened 20-30bp, approaching the 11.0% level. The front end yields rose 10-15bp, boosting the curve steepening.

Maxim Korovin, Tatiana Zueva
VTB Capital analysts

Tags:
OFZ

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