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VTB Capital: Fixed Income Monitor

November 30, 2012
Strong OFZ rally resumes

OFZ yields on Thursday declined 10-15bp across the curve. The major factor driving this appreciation was international investor demand and a lack of inventories held by local market makers. The 15-year OFZ is trading below 7.2%. The yield curve is extraordinarily flat, with the spread between 5- and 15-year OFZ at only 45bp. In our view, the MinFin decision to cut net domestic borrowing in 2013-15 is likely to support OFZ valuations at a high level, because of the lack of primary market supply risk. Moreover, we tend to believe that the market will stay undersupplied at least through early 2013, as the inflow coming from non-resident investors might exceed USD 20bn.