The index of government bonds of the Moscow Exchange fell below 111 points for the first time in three months
Below 111 points, the RGBI government bond index has not been since July 20 - then the market was pessimistic about the approaching meeting of the Central Bank at the key rate
The index of government bonds of the Moscow Exchange (RGBI) on Thursday, October 8, fell by 0.19% below the closing level of trading of the previous day and reached 110.96 points as of 10:50 GMT.
The index has not been below 111 points since July 20, when the market was preparing with pessimism for the meeting of the Bank of Russia at the key rate. Analysts predicted its preservation at the same level, which put pressure on the prices of government bonds.
The RGBI (Russian Government Bond Index) is the main indicator of the Russian government debt market. It includes the most liquid federal loan bonds with a duration of more than one year. The index is calculated in real time using aggregate income and net prices methods. As of October 8, the index includes 29 government bonds.
Historically, the maximum value of RGBI – 157.56 p. – was recorded on May 21, 2020. The historical minimum of RGBI was reached on February 11, 2009, then by the close of trading its value dropped to 92.18 p.
According to the yield curve of OFZ as of October 8, on securities up to one year inclusive, the yield is from 11.5% to 13.68% per annum. The two-year and three-year issues offer yields of 15.18 and 15.9%. Then the rates get even higher: from five years or more, the yield ranges from 16.44 to 16.94%, increasing as the duration increases.
The maximum yield on the last transaction is 16.87% on OFZ 26247 with maturity in May 2039, and the minimum yield on OFZ 26207 with maturity in February 2027 is 12.35%.
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