Primary Market
This will be the last issue of the OFZ Monitor in 2011. Since its inception (27 July), the total returns of our recommendations have reached 2.72% (+294 bpts to the MICEX TR OFZ index). We hope our clients find the OFZ Monitor a useful tool and we wish them happy trades in the upcoming (and likely challenging) year.
Observations and Recommendations
Investors can currently achieve a 440 bpts premium over the REPO rate in a synthetic deposit by buying OFZ 26202 and selling OFZ2-3.12. The main constraint on this strategy is the limited liquidity of futures and the risk that 26202 will not be the cheapest to deliver in Mar 2012.
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