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Alfa Fixed Income Weekly: Ruble bond market

  • Trade volumes in OFZ-FI on the sovereign bond index RGBITR on MOEX, increased almost two-fold
  • The OFZ-curve shifted upwards over the entire length,with the highest growth rate of 10-11 bp in the middle of the curve
  • On the primary bond market the issuers took a pause

Trade volumes in OFZ-FI on the sovereign bond index RGBITR on MOEX, increased almost twofold w/w, yet were 1.4x lower than the average trade volumes since the year start. The OFZ-curve shifted upwards over the entire length, with the highest growth rate of 10-11 bp in the middle (4-7 years) of the curve on the expectations of quick Fed retaliatory measures to target inflation. Last Wednesday, the Minfin placed two middle issues – OFZ-FI 26233 (with a date-to-maturity in 2035) and OFZ-FI 26235 (with a date-to-maturity in 2031) for a total of RUB45.4 bn. The volume of the offer for the first issue was limited to RUB 30.4 bn or within the volume of that available for placement in the indicated issue, and for the second issue – by RUB 25 bn. The volume of demand for both issues was almost the same — a bit more than RUB 30 bn, however the placements went under different market scenarios. The first auction was conducted before the publication of US April inflation statistics (15:30 Moscow time), the cut-off price totaled 7.29% with a small premium to the secondary market in the amount of just 4 bp. Closer to the publication of inflation figures the quotes started to decline and by the beginning of the second auction secondary market yields already added 5 bp. The Minfin was forced to grant 4 bp premium, while placing the papers at cut-off price of 7.19%; with that in mind, 2 bids covered 80% of the attracted funds. Such specifics speak in favor of systematically-important state bank support. At the same time, as deputy finance minister Maximov said, the Minfin does not have the necessity to fulfill the second quarter borrowing plan (RUB 1 tn, which has already been implemented by 57%), and the necessity in funds totals RUB 40-50 bn at the moment on a weekly basis vs RUB 75-80 bn initially. This volume is sensitive for the market. Such a reduction should have positive implications for the price environment, he added.

On the primary bond market the issuers took a pause, expecting the return of investors after the May holidays; that is why as it was a week earlier, there were no placements. However, several placements will take place this week: on 19 May LC Europlan will offer 3-year amortized bonds starting from RUB 7 bn with target coupon not higher than 240 bp to the OFZ curve. On 20 May MTS-Bank will offer 2-year bonds starting from RUB 3 bn with target coupon at 190-210 bp to the OFZ Curve.


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The contents of this document have been prepared by Joint Stock Company “Alfa-Bank” ("Alfa Bank") as Investment Research within the meaning of Article 36 of Commission Delegated Regulation (EU) 2017/5...

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