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Local sovereign debt: FX volatility spooks buyers; last chunk of floater RFLB 17 on offer


Yesterday, the OFZ market started with a solid rebound. In the afternoon, the long end quotes were up 0.6-0.7pp, with RFLB 28 scratching 11.45%. However, the evening correction on the FX market spoiled risk sentiment, with the belly slipping 0.1pp into the red and the long end closing only 0.1pp higher. At the same time, the front end looked relatively strong, with RFLB 18s ending the session 0.3pp in the black. Consequently, the front end yields tightened 6-10bp, declining to 11.3-11.6%. The curve become bumpier, with the belly trading at 11.80% and the long end standing at 11.55%. Separately, the Ministry of Finance scheduled an auction for today, offering RUB 8.3bn in floater RFLB 17. If allocated in full, it would be the last placement of the issue, as its outstanding volume would reach the limit of RUB 150bn.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts


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