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Fall, rebound and, apparently, reversal of bonds. Conclusion and statistics


Acceleration of the fall of domestic bonds, on the basis of increased volumes, as well as the noticeable rebound of OFZs that followed yesterday, is a formation that requires attention. The fall was accompanied by a noticeable deterioration in the sentiment of the participants, the recommendations to buy long ruble bonds disappeared (although they were on the previous rebounds, especially in early February). The combination of accelerating negative dynamics, volume growth and deteriorating sentiment is a classic reversal combination. This does not mean that bond prices, in particular OFZ bonds, will not return to their Tuesday-Wednesday lows. This means that the odds of a rise outweigh the odds of a fall. And that the fall itself is limited in potential. At the same time, the above is true primarily for OFZs.


Fall, rebound and, apparently, reversal of bonds.  Conclusion and statistics

Last week, all of the Cbonds bond indices under review, except for the VDO index, showed negative yields.
• Index of government bonds with maturities from 1 to 3 years (Cbonds-GBI RU 1-3Y) decreased by -0.14%
• Municipal bond index based on the 20 most liquid securities (Cbonds-Muni) down 0.4%
• The index of corporate bonds with maturities from 1 to 3 years (Cbonds-CBI RU 1-3Y) decreased by 0.15%
• Index of high yield bonds (Cbonds-CBI RU High Yield) increased by 0.007%

The VDO index is the only one showing positive profitability since the beginning of the year: + 1.53% OFZs lose -0.76%, Municipal bonds -0.55%, and Corporate bonds -0.15%

Bond indices of the Moscow Exchange (full yield) also showed negative yield. The broadest bond index (RUABITR): OFZ, sub-federal and municipal bonds, as well as bonds of Russian corporate issuers decreased by 0.7% (-3.7% YTD)
• The Moscow Exchange corporate bond index (RUCBITR) decreased 0.39% (-1.27% YTD)
• The Moscow Exchange Government Bonds Index (RGBITR) declined 0.79% (-4.25% YTD)
• The index of municipal bonds of the Moscow Exchange (RUMBITR) decreased by 0.47% (-0.92% YTD)

@AndreyHohrin
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