OFZ Weekly Flows - May 31, 2021. Significant Nonresident Inflow Last Week; CBR Publishes Breakdown of Foreign OFZ Holdings

Last week, according to NSD data, R29.2 bln of nonresident funds flowed into the OFZ market. The inflow was broad-based, with each segment of the curve showing net inflows - even the short end in the face of hawkish rhetoric from the CBR. Nonetheless, as expected, the largest inflow came at the long end (R12.6 bln), followed closely by the belly (R12.2 bln), with the short end lagging (R4.6 bln). We believe that the current trend of the curve flattening will continue and nonresident inflows will come predominantly at the long end. That said, this week looks set to see a drop-off in market activity, given the holiday in the US and Europe, while flows following the US jobs report on Friday will be reflected in the data only next week.> NSD shows R29.2 bln nonresident inflow over May 24-28. The largest individuals inflows were observed in the 6y OFZ 26207 (R9.4 bln), 10y OFZ 26235 (R8.7 bln) and 3y OFZ 26227 (R7.7 bln). The largest outflows were recorded in the 5y OFZ 26226 (R6.5 bln) and 2y OFZ 26215 (R3.8 bln).> NSD: Nonresident share of OFZ market expands 11 bps last week to 18.8%. The nonresident share of the market for nominal OFZs grew 14 bps to 28.87%. This week, ahead of the CBR's blackout period (to begin Friday), we could see more hawkish rhetoric from the CBR, though given the shortened week and low market activity, we do not expect a significant change in nonresident holdings.> CBR: Nonresident share down 1.4 pp in April at 19.5%. This corresponds to an outflow of R138 bln, while according to NSD data, the outflow was R131 bln. From May 1-28, NSD data has shown an inflow of R47.5 bln.> CBR publishes breakdown of OFZ holdings by country for 1Q21. During the period, holdings of investors from the US decreased by R120 bln, from the UK by R104 bln and from France by R37 bln. Meanwhile, inflows came from Asia, with Chinese holdings growing by R15 bln and those from Singapore by R5 bln.