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Local sovereign debt: hurt by negative FX spinoffs


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


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