21 April 2008
Kapital View - Fixed Income
Market Outlook Calendar Date Time Country Event Period Consensus Prior Eurobond Market 22 Apr 18:00 USA Advance Retail Sales Mar 4.9 mn 5.03 mn Conditions on the domestic debt market are favorable, mainly due to abundance of ruble liquidity. Some worsening 18:00 USA Retail Sales Less Autos Mar -2.4% 2.9% is likely in the short term, but we do not expect any major 18:00 USA Business Inventories MoM Apr 2% 6% price fall. 24 Apr 12:00 Germany Zew Survey (Current Situation) Apr 104.3 104.8 Ruble Bond Market 12:00 Germany ZEW Survey (Econ. Sentiment) Apr 111 111.5 Conditions on the domestic debt market are favorable, 12:00 Germany Empire Manufacturing Apr 98 98.4 mainly due to abundance of ruble liquidity. Some worsening 16:30 USA PPI Ex Food & Energy MoM Weekly 2,985K 2,984K is likely in the short term, but we do not expect any major 16:30 USA PPI Ex Food & Energy YoY Mar 0% -1.1% price fall. 16:30 USA Producer Price Index YoY Mar 0.2% -2.4% FX Market 16:30 USA Producer Price Index MoM Weekly 375K 372K The euro was mixed against the dollar on the last trading 18:00 USA Net Long-term TIC Flows Mar 580K 590K day of the week. 18:00 USA Total Net TIC Flows Mar -1.6% -1.8%
Corporate News 25 Apr 12:00 EZ NAHB Housing Market Index Mar 10.6% 11.3% • Amurmetal placed its third bond issue. 18:00 USA Building Permits May 63.3 63.2 See Inside 29 Apr 18:00 USA Consumer Price Index MoM Apr 62 64.5 • Soup du Jour: Monday - US Markets. 30 Apr 00:00 Japan Consumer Price Index YoY 0.5% 0.5% • Primary debt market. 16:15 USA CPI Ex Food & Energy MoM Apr -55K 8K Market at a Glance… 16:30 USA CPI Ex Food & Energy YoY 4Q07 2.4% 2.5%
OFZ & Russia–30 Value Change 7.0 135 CBR USD/RUR Exchange Rate 23.3696 -0.0007 6.9 OFZ 46017 Yield, % p.a. 120 CBR EUR/RUR Exchange Rate 37.2348 0.0012 6.8 Spread to Russia-30, rhs EUR/USD 1.5739 -0.0171 105 6.7 Overnight, % 3.09 -0.380 90 6.6 Balances with CBR, Rb bn 749.4 -26.30 75 6.5 Weighted average OBR-OFZ yield, % 6.74 0.012 60 6.4 RUX-Cbonds, weighted average yield, % 8.68 -0.030 45 6.3 Balance of CBR transactions, Rb bn 142.50 6.2 30
REPO transactions with CBR, Rb bn 6.86 6.1 15
REPO weighted average rate, % 6.27 6.0 0 Value Change, bp 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 20 Feb 20 Mar UST 2Y, % 2.13 2.7 UST 10Y, % 3.71 -2.1 Bund 2Y, % 3.83 14.7 Spread & Russia–30 Yeild Bund 10Y, % 4.13 5.7 6.3 210 LIBOR 3m, % 2.91 9.00 Russia-30,% Spread, bp, rhs Russia-30, % of par 114.8 -28.0 6.1 190 Brazil-40, % of par 135.4 -16.7 Turkey-30, % of par 152.9 64.0 5.9 170 Venezuela-27, % of par 95.7 -83.2 5.7 150 Spread EMBIG, pts 283.0 -1.0
Source: RTS, MICEX, CBR, Bloomberg, Cbonds 5.5 130
5.3 110
5.1 90 30 Nov 20 Dec 09 Jan 29 Jan 18 Feb 09 Mar 29 Mar 18 Apr
Source: MICEX, Bloomberg
Kapital Investment Group, Research Department, tel.: 411-55-55
Kapital View - Fixed Income
Eurobond Market UST-10, RUS-30 Yield and Spread
Conditions on the domestic debt market remain extremely Spread, b.p. YTM, % 250 7.0 favorable. Investors seem unworried by upcoming tax payments and risks of a worsening in ruble liquidity. In any case, availability of numerous refinance opportunities 200 6.0 should prevent major growth of interest rates on money markets even if there is some pressure on liquidity. Rising 150 5.0 equity markets on Friday afternoon boosted optimism on
the ruble bond market. 100 4.0 However, bond trading conditions may deteriorate through
the week. A well as higher interbank interest rates, our 50 3.0 18 Jun 07 18 Aug 07 18 Oct 07 18 Dec 07 18 Feb 08 18 Apr 08 concerns are related to global factors. Investor sentiment in equity markets has been quite shaky of late, and upcoming US Treasury Yields US 1Q08 GDP data could cause an upset. YTM, % 5.0 Two other negative factors for secondary bond trading are 4/18/2008 4/11/2008 primary placements in excess of Rb 16 bn and possibility of 4/10/2008 interest rate hikes in Russia to address rising inflation. But 4.0 neither factor is likely to result in a sharp fall of the local debt market, which is supported by direct and indirect 3.0 measures of the Central Bank and the Ministry of Finance as well as desire of investors to hold bonds through the 2.0 long May holidays. Duration The euro was mixed against the dollar on the last trading 1.0 day of the week. The European currency gained initially on 123456789101112131415
the back of rising inflation in Germany, but corrected later in response to publication of corporate reports in the US EM Sovereign Eurobond Yields and subsequent surge of global equity markets. As a result, YTM, % 7.0 the dollar also strengthened in local currency trading, from Ukr-13 Rb 23.3875 to Rb 23.5325. The two-currency basket was 6.0 flat at Rb 29.61. Rus-30 Bra-40 5.0
US-10 4.0
3.0 18 Jun 07 18 Aug 07 18 Oct 07 18 Dec 07 18 Feb 08 18 Apr 08
Source: Bloomberg
21 April 2008 2
Kapital View - Fixed Income
Weekly Leaders & Laggards However, despite this significant correction, we still see 1-day Bond YTW Price, % upside potential in the euro. Factors in the euro’s favor are change, ppt higher interest rates in Europe, which are likely to persist Leaders or even increase in the short term, as well as superior PSB 9.625% 5/2012 12.73% 90.02 1.478 European macro indicators compared with the US. Bank of Moscow 7.335% 5/2013 7.15% 100.29 1.284 Gazprom 5.364% 10/2014 € 7.26% 90.15 1.09 We do not expect growth of global equity markets, which Alfa Bank 8.635% 2/2017 10.81% 93.20 1.072 helped the dollar rise, to be sustained in a context of Gazprom 6.212% 11/2016 6.79% 95.67 0.975 record write-offs. Consequences of the financial crisis may Bank of Moscow 7.375% 11/2010 5.29% 104.72 0.949 turn out more serious and long-lasting, making increased Gazprom 5.875% 6/2015 € 7.37% 91.83 0.944 optimism unjustified. Equity markets have seen increased TNK-BP 7.5% 7/2016 8.04% 96.20 0.902 volatility lately, and investor sentiment may worsen again Gazprom 5.03% 2/2014 € 7.16% 89.85 0.897 before publication of US 1Q08 GDP. HCF Bank 9.5% 4/2010 10.46% 98.09 0.832 Laggards The upcoming 30 April FOMC meeting puts additional Russia 8.25% 3/2010 3.36% 105.47 -0.323 pressure on the dollar. The previous cut in the Fed funds Vimpelcom 8.25% 5/2016 8.48% 98.19 -0.338 rate was heavy by comparison with the ECB interest rate, Rosbank 10.14% 7/2012 8.69% 104.75 -0.56 and hints of a pause in interest rate reductions is unlikely Aries 7.75% 10/2009 € 4.77% 104.07 -0.569 to make investors resume purchases of the US currency, Moscow 6.45% 10/2011 € 6.20% 100.60 -0.642 Rusag 6.263% 4/2012 3.73% 109.37 -0.718 particularly since such a pause may not be advisable. Russia 7.5% 3/2030 5.34% 114.82 -0.759 Furthermore, inflationary risks are much more of a concern Russia 11% 7/2018 5.28% 144.65 -0.879 in Europe than in the US and may lead the ECB to tighten Russia 12.75% 6/2028 5.92% 179.69 -1.628 its monetary policy. Aries 9.6% 10/2014 4.16% 130.08 -1.8
The outlook for the ruble is also good, due to strong euro performance and also due to possible changes in the Emerging Market Bond Indexes composition or value of the two-currency basket. Inflation Change Value Change, % S pread, bp risks in Russia are high and the CBR is unlikely to restrict Spread itself to monetary measures only. EMBI+ 440.9 -0.15 265 0 Russia EMBI+ 491.7 -0.36 168 4 Argentina EMBI+ 100.2 1.08 545 -12 Brazil EMBI+ 440.9 -0.23 229 -1 Colombia EMBI+ 330.4 -0.40 201 1 E cuador EMBI+ 858.2 0.33 587 -10 Mexico EMBI+ 389.2 -0.19 138 0 Peru EMBI+ 632.4 -0.28 168 0 Turkey EMBI+ 283.4 0.20 295 -5 S.Africa EMBI+ 153.8 0.15 212 -7 Venezuela EMBI+ 538.1 -0.71 598 10
Source: Reuters, Bloomberg
21 April 2008 3
Kapital View - Fixed Income
Ruble Bond Market Corporate Bond Weighted Average Yield Conditions on the domestic debt market remain extremely Negotiated Deals, Rb bn favorable. Investors seem unworried by upcoming tax Exchange Deals, Rb bn RUX-Cbonds Average Effective Yield, % p.a., lhs payments and risks of a worsening in ruble liquidity. In any 9.2 30 case, availability of numerous refinance opportunities should 9.0 25 prevent major growth of interest rates on money markets even if there is some pressure on liquidity. Rising equity 8.8 20
markets on Friday afternoon boosted optimism on the ruble 8.6 15 bond market. 8.4 10 However, bond trading conditions may deteriorate through the week. As well as higher interbank interest rates, our 8.2 5
concerns are related to global factors. Investor sentiment in 8.0 - equity markets has been quite shaky of late, and upcoming 06 Feb 13 Feb 20 Feb 28 Feb 06 Mar 14 Mar 21 Mar 28 Mar 04 Apr 11 Apr 18 Apr US 1Q08 GDP data could cause an upset. OFZ Weighted Average Yield Two other negative factors for secondary bond trading are OFZ Total Volume, Rb bn primary placements in excess of Rb 16 bn and possibility of Weighted Average Yield OFZ-ОBR, % p.a., lhs interest rate hikes in Russia to address rising inflation. But 6.85 10
neither factor is likely to result in a sharp fall of the local debt 6.75 8 market, which is supported by direct and indirect measures of the Central Bank and the Ministry of Finance as well as 6.65 6
desire of investors to hold bonds through the long May 6.55 4 holidays. 6.45 2
6.35 0 07 Feb 18 Feb 28 Feb 11 Mar 20 Mar 31 Mar 09 Apr 18 Apr
Corporate Leaders & Laggards 1-day BondYTP / YTM Price, % change, ppt Leaders EnergoCentr 01 9.45% / · 100.02 174 Bank Proektnogo Finans.-0 · / 14.43% 98.30 155 TGK-4 ob. 01 8.22% / · 99.50 148 Sudostroitelniy bank-1 · / 10.36% 99.69 130 IzhAvto 12.22% / · 98.71 121 RZhD 07 · / 7.42% 101.00 100 Russkie Masla 02 16.88% / · 98.40 89 Lukoil-04 · / 7.55% 99.95 88 Lukoil-03 · / 7.29% 99.80 84 Gazprom-A8 · / 7.13% 99.97 82 Laggards RETAL 01 16.17% / · 96.60 -59 EMA-Finance 13.92% / · 99.20 -65 MAH Atlant-M · / 14.01% 98.75 -65 36.6 16.12% / 9.83% 100.30 -70 EDINAYA EVROPA 01 13.64% / · 98.80 -80 Marta Finans 03 27.63% / · 97.13 -94 MairInvest-03 · / 14.40% 98.00 -103 Stroytransgaz 2 · / 11.44% 91.25 -175 MIK- 01 25.67% / · 96.22 -228 Aladushkin Finans 02 18.73% / · 92.33 -267
Source: MICEX, Kapital, Cbonds
21 April 2008 4
Kapital View - Fixed Income
FX Market CBR Ruble Exchange Rate The euro was mixed against the dollar on the last trading Dollar Two-currency basket value, Rb, rhs day of the week. The European currency gained initially on 27.0 30.3 the back of rising inflation in Germany, but corrected later in response to publication of corporate reports in the US and 26.0 30.1 subsequent surge of global equity markets. As a result, the dollar also strengthened in local currency trading, from Rb 23.3875 to Rb 23.5325. The two-currency basket was flat 25.0 29.9 at Rb 29.61. However, despite this significant correction, we still see 24.0 29.7 upside potential in the euro. Factors in the euro’s favor are
higher interest rates in Europe, which are likely to persist or 23.0 29.5 even increase in the short term, as well as superior Apr 07 Jun 07 Aug 07 Oct 07 Dec 07 Feb 08 Apr 08 European macro indicators compared with the US. Ruble Liquidity We do not expect growth of global equity markets, which helped the dollar rise, to be sustained in a context of record Correspondent accounts and deposits with CBR, Rb bn MIACR, 1 day, % p.a., rhs write-offs. Consequences of the financial crisis may turn out 1 200 9 more serious and long-lasting, making increased optimism 1 100 8 unjustified. Equity markets have seen increased volatility lately, and investor sentiment may worsen again before 1 000 7 publication of US 1Q08 GDP. 900 6 800 5 700 4
600 3
500 2
400 1 06 Feb 20 Feb 06 Mar 21 Mar 04 Apr 18 Apr
Source: CBR, Reuters
21 April 2008 5
Kapital View - Fixed Income
FX Market Russian Interbank Rates Intraday Performance The upcoming 30 April FOMC meeting puts additional 6.5 pressure on the dollar. The previous cut in the Fed funds rate was heavy by comparison with the ECB interest rate, 4/18/2008 6.0 and hints of a pause in interest rate reductions is unlikely to make investors resume purchases of the US currency, particularly since such a pause may not be advisable. 5.5 4/17/2008 Furthermore, inflationary risks are much more of a concern in Europe than in the US and may lead the ECB to tighten 5.0 its monetary policy. months The outlook for the ruble is also good, due to strong euro 4.5 performance and also due to possible changes in the 1236912 composition or value of the two-currency basket. Inflation risks in Russia are high and the CBR is unlikely to restrict Money Market Rates itself to monetary measures only. % EURIBOR LIBOR MIBOR 8 7 6 5 4 3 2
1 months 0 036912
Source: CBR, Reuters
21 April 2008 6
Kapital View - Fixed Income
Corporate News
Amurmetal
Steelmaker Amurmetal placed its third Rb 3 bn bond issue on Friday. The coupon rate was 12.75%, giving 13.15% yield to 1-year put. The placement results confirmed investor interest in high-quality ruble-denominated corporate bonds. Demand for Amurmetal,3 totaled Rb 3.8 bn. Oversubscription was 26%. Premium to the company’s existing bonds was about 115 bp. Amurmetal Financials, Rb bn
9М07 2006 y-o-y Sales 10.1 9.3 + 8.6% EBIT 1.67 0.8 + 100% EBIT margin 16.5% 8.6% + 8 ppt Debt 9.3 4.8 + 93% Debt / EBIT 4х 6х - Source: Company Komment: We expect the first two bond issues of Amurmetal to ease due to the latest auction, broad market pressure, and worsening credit quality. Total financial debt will rise to Rb 13 bn with debt-to-EBIT ratio exceeding 5.8х. We note that some of the company’s investment projects involve replacement of old equipment, which often implies lower rate of operating cash flow growth compared with new projects and M&As. We therefore expect the company’s debt load to increase by 2008 year-end compared with 2007.
Evraz
Evraz Holding placed a 2-tranche $1.6 bn Eurobond issue. Coupon on the first 5-year $1.05 bn tranche was 8.875%, and coupon on the second 10-year $550 mn tranche was 9.5%. Part of proceeds will be used to refinance previous loans that were taken to purchase flat-steel and pipe-producing assets of the American IPSCO.
21 April 2008 7
Kapital View - Fixed Income
Soup du jour: Monday – US Economy
Fed Funds Rate Сut Probability Fed Funds Rate, US-2 vs US-10
6 7 250 Fed Funds Rate, % p.a. 5 6 Spread UST10 & UST2, p.p., rhs 200
4 5 150
3 4 100
2 3 50 54% 45% 43% 42% 42% 1 FOMC meetings 2 0 0 1 -50
30 Jan Apr 06 Aug 06 Dec 06 Apr 07 Aug 07 Dec 07 Apr 08 29 Oct 31 Oct 30 Apr 25 Jun 22 Jan 18 Mar 05 Aug 16 Sep 07 Aug 18 Sep Dec 11 US CPI vs EZ CPI FFR vs UST % b.p 5 EZ CPI (y/y) US CPI (y/y) 200 4 US-2 vs FFR US-30 vs FFR 100 3
0 2
1 -100
0 -200 Feb 00 Feb 02 Feb 04 Feb 06 Feb 08 Apr 07 Jun 07 Aug 07 Oct 07 Dec 07 Feb 08 Apr 08
Libor-1Y vs US CPI vs US-10 vs FFR
% Libor-1Y US CPI (y/y) US-10 FFR 7.5
6.5
5.5
4.5
3.5
2.5
1.5
0.5 Feb 00 Feb 01 Feb 02 Feb 03 Feb 04 Feb 05 Feb 06 Feb 07 Feb 08
Source: Reuters
21 April 2008 8
Kapital View - Fixed Income
Sector Yield Curves
Oil & Gas
25%
23% RussNeft-01 21%
Yeild to maturity / put, % p.a. 19%
17%
15% Mosoblgaz-01 29 NSH-finance-01 13% Saxatransneftegaz 01 0 0 11% Mosoblgaz-Finans 01 Mosoblgaz-Finans 02 9 Gazeks-Finans-01 1 ITERA FINANS 01 9% -10 1 Lukoil-04 20 Lukoil-03 Lukoil-02 Gazprom-A9 -4 7% GAZPROM A4 -10 10 7 Gazprom-A6 Gazprom-A7 Gazprom-A8 Duration, years Superscript indicates price change, bp 5% 0 182 364 546 728 910 1092 1274 1456 1638 1820 2002
Telecoms
13% Arktel-Invest 01
12%
11% Yeild to maturity / put, % p.a.
10% CNT-03 UralSvazInform-ser.08 UTK-05 obl. -3 13 Tattelekom ser. B UralSvazInform-ser.07 -10 VolgaTelekom BT-3 -3 SibirTelekom-05 UTK-04 obl. 12 DalSvyaz-2 SZT-03 9% -1 UTK-03 obl. SZT-04 AFK Systema 01 CenterTelecom-04 -10 VolgaTelekom BT-4 DalSvyaz-3 5 SibirTelekom-06 SibirTelekom-07 8% VolgaTelekom BT-2 4 10 CenterTelecom-05 UralSvazInform-ser.06 MGTS 5 3 MGTS 4 MGTS 4 7%
Duration, years Superscript indicates price change, bp 6% 0 182 364 546 728 910 1092
Bonds not traded in previous session are colored grey
21 April 2008 9
Kapital View - Fixed Income
Sector Yield Curves
Transport
19%
AirUnion 01 -3 17%
15% Yeild to maturity / put, % p.a. AirUnion RRJ-01 Aviakompania Sibir' 01 -21 MMK-Transfinance TransaeroFinans 01 DVTG-Finans 01 13%
-10 KD Avia-Finans 01 UTair-FinansUTair-Finans 03 02
11%
KAAD - 2 10
9% TransKonteiner 01 0
-4 RZhD 06 -1 RZhD 07 7% RZhD 03 RZhD 05 -10
Duration, years Superscript indicates price change, bp 5% 0 182 364 546 728 910 1092 1274 1456 1638
Utilities
13%
Yakytskenergo-02 12% EESK-2 GT-TEC Energo 04 45
Yeild to maturity / put, % p.a. 11%
Lenenergo 03 10% TumenEnergo 02 TGK-10 ob. Lenenergo-02
UGK TGK-8 Bashkirenergo-3 OGK-2 01 5 TGK-1 01 9% TGK-6 Invest-01 Permenergo 01 Chelyabenergo 01 OGK-6 01 MOESK-01 -3 0 -5 TGK-4 ob. 01 OGK-5 obl. 11 GidroOGK-01 Mosenergo-02 8% Kubanenergo 01 Atomstrojeksport-Finans 01 39 Mosenergo-01 FSK EES 04 -7 FSK EES 02 -7 FSK EES 05
7% FSK EES 03 -2
Duration, years Superscript indicates price change, bp 6% 0 182 364 546 728 910 1092 1274 1456
21 April 2008 10
Kapital View - Fixed Income
Sector Yield Curves
Chemistry & Petrochemistry
16%
Amazonit-01
15%
NIKOSHIM-INVEST-2 -11 14% Yeild to maturity / put, % p.a.
Nefis Cosmetics-02 13% NITOL 02 -17 VMU-Finans 01 12%
11% UHP
10% KuybAzot - 2 SNOS-02 15 9% Niznekamskneft-4
Duration, years Superscript indicates price change, bp
8% 0 182 364 546 728 910 1092
Food producers
19% Aladushkin Finans 02 -267 ALPI-Invest 01 52 RosT-Line 01 -10 VTO ERCONPRODUKT 01 9 17% Russkie Masla 02 Parnas-M 2 269 Borodino Finans-01 OHZ-Invest 01 -25 Maheev Finans 01 Agrokom 14 Agroholding-Finans 01 Brazers i Kompania 01 MKH-2 Yeild to maturity / put, % p.a. OGO-agro-03 0 Dergava-Finance 01 Arkada 02 15% 0 Arkada 03 3 Miratorg Finans 01 Zavody Gross 01 0 KARAT-02 MosSeProm Finans-01 Agrika Produkty Pitania 01 OGO-agro-02 Dergava-Finance 01 Volshebniy Kray-1 3 Konditer-Kursk 01 Talosto-Finans-01 Baltimor-Neva-03 Nastusha 01 KBK Cheremushki UNIMILK Fianans-01 2 13% Arkada 01 Agrarnaya gruppa-01 Maheev Finans 01 -25 Hlebozavod#28 s.02 EFKO 2 Razguliay-Finans 02 Mikoyan Myasokombinat-2 SB-Finans 01 Razguliay-Finans 03 -14 Sodrujestvo-Finans-01 Sinergy-02 Mikoyan Myasokombinat-2 Russkoe More-01 -26 Sinergy-01 11% RESTORANTS-03 8 NUTRINVESTHOLDING -1 Cherkizovo Group 01 -28 Inmarko 1 RESTORANTS-02 SunInterbrew Finans-02 Ochakovo 02 4 Lebedianskiy- 02 WBD PP - 2 9% WBD PP - 3 2 Rusagro 01
PAVA 02 Ob'ed. Konditery-Finans 01 Duration, years Superscript indicates price change, bp Dimovskie kolbasi 1 7% 0 182 364 546 728 910 1092 1274 1456
21 April 2008 11
Kapital View - Fixed Income
Sector Yield Curves
Machinery & Engineering
16% LOMO 03 -25 Motorostroitel-finans 01 Avtopribor 15% Motorostroitel-finans 02
14% EMA-Finance -28 Volgaburmash-01 12 Yeild to maturity / put, % p.a.
TVZ 03 13% -8 OZNA-FInans 01 Vagonmash 01 NPO Saturn 2 2 Vagonmash 02 IzhAvto 24 SOK-Avtokomponent 01 FGUP PO UOMZ MiG-Finance-02 12% Kriogenmash 1 EnergomashF 01 PMZ 01 KMZ-Finans 01 -11 KMPO-Finans 01 NPO Saturn 3 9 11% Izhmash 2 Promtraktor-Finance 2 GIDROMASHS 01 -1 Kirovskyi zavod 01 Kriogenmash 02 Promtraktor - Finance 1 10% 4 VKM-Finans 01 Transmashholding-02 0 Uralvagonzavod-Finans GAZ-Finans-01 -2 Grazhd.Samolety Sukhogo-01 UMPO-02 Uralvagonzavod-Finans 02 AvtoVAZ BO-02 Severstal-auto 02 4 9% OMZ-5 Severstal-auto 01 AvtoVAZ BO-01 AvtoVAZ BO-01 IRKUT-A03 Kamaz-Finans 02 10 AvtoVAZ-3 Proton-Finans 01 AvtoVAZ-4 8% MiG-Finance
Duration, years Superscript indicates price change, bp 7% 0 182 364 546 728 910
Metallurgy
19% Zoloto Seligdara 02
UZPC 17%
Yeild to maturity / put, % p.a. 15% Zoloto Seligdara 01 MairInvest-03 Nizhne-Lenskoe-Invest 02 NMZ im. Kuzmina 1 0 13% Nizhne-Lenskoe-Invest 01 Novosibirsk.olovo.kombinat-02 Amurmetall - 01 Magnezit-2 RMK Finans-01 Amurmetall - 02 11% Magnezit 01 Belon Finans Mechel TD-01 Koks 02 Belon Finans 2 3 UGMK-UEM- 01 Metzavod 24 Koks 01 9% TMK-03 0 OMK 01 Mechel 2 15 CHTPZ 1 RusAl Finans-3 TMK-02
7%
Duration, years Superscript indicates price change, bp 5% 0 182 364 546 728 910
21 April 2008 12
Kapital View - Fixed Income
Sector Yield Curves
Construction & Development
16% Setl-Grupp 01 0 Suvar Kazan' 01 12
M.O.R.E.-Plaza 01 15% LEKstroy 01
TERNA-02 Inkom-Finance 01 Kosmos-Finans 01 Hanty-Mansijsk StrojRessurs 01 - 14% Adamant-Finans 01 12
Yeild to maturity / put, % p.a. Adamant-Finans 02 Jeldoripoteka-1 -7 ARTUG-01 TekhnoNIKOL-Finans 15 YSKK 13% -1 8 SU-155 KAPITAL 03 Penopleks Finans-01
MIEL-Finans 01 M-INDUSTRIA S.O. TSUN 02 12% Metrostroy 10 Lad'ya-Finans 01 0 Iskitimtsement 02 Morton-RSO 01 Setl-Grupp 01 Stroytransgaz 3 Mirax Group02 Gradostroy-Invest 01 -470 Vostoktsement 01 Stroytransgaz 2 11% Kamskaya Dolina-Finans 03 LSR-Invest 02 LSR-Invest 01 OSMO Kapital - 01 Development-Jug 01 Mirax Group01 0 10% TehnoNIKOL-Finance 5
StroiTransGaz-01 4 9% Specstroi2 01 Duration, years Superscript indicates price change, bp PIK-5 0 8% 0 182 364 546 728 910 1092 1274 1456
Finance
18%
EurocomFK-02
16% Element Lizing 01 -3 Holding Kapital-01 0 AVTOBAN-INVEST -1 0
Yeild to maturity / put, % p.a. Otkrytie 01 EurocomFK-01 14% MedvedFinance 4 Mosobltrustinvest 02 MLK-Finans 01 MosOblTransInvest-01 0 MOIA-01 Ural Leasing Centre-01 12% LR-Invest 01 AIZHK Altay-01 IAJS Resp Hakasia 01 Renins Finans 01 MOIA-03 AIZhK Kemerovo reg.-02
10% RTK-Lizing-5 Orenburg IZhK-01 AIZhK - 8 5 AIZhK - 7 AIZhK - 9 AIZhK-11 -11 MOIA-02 AIZhK - 9 AIZhK - 10 Alians Finans 01 0 AIZhK - 5 AIZhK - 6 AIZhK - 8 5 VTB-Lising Finans 01 AIZhK - 3 MOIA-03 8% AIZhK - 1 AIZhK - 4 AIZhK - 2 Jilsocipoteka-Finans-01 Duration, years Superscript indicates price change, bp 6% 0 182 364 546 728 910 1092 1274 1456 1638 1820 2002 2184 2366 2548
21 April 2008 13 Kapital View - Fixed Income
Vivat-finans 01 Sector Yield Curves BANANA-MAMA 02
Trade
21.0% ASPEK-01 BANANA-MAMA 01 50
LBR-Intertrade 01 Beliy Fregat 01 19.0%
Yeild to maturity / put, % p.a. Yeild to maturity / put, SAMOKHVAL-01
-39 17.0% KOPEYKA 03 -1 Magnolia-01 Almazniy DomKOPEYKA Grace 0102 0 36.6 Vexa-Invest- 1 01 Avtomir-Finans 02 MOSMART FINANS 01 PROVIANT Finans 01 15.0% Tehnosila Invest - 01 Bahetle-1 01 Compleks Finans 01 4
11 Paterson-Invest-01 9 Dixi-finans 01 -52 Holiday Finans-01 MAH Atlant-M Sunway-Group 01 Al'kor i Ko 01 13.0% Implosia-Finans 01 PIVDOM 01 Dixis Trading 01 Monetka-Finans 01Laverna 01 Victoriya Finans 01 -37 TOP-Kniga02Inkom-Lada 02 11 Inkom-Lada 03 43 TransTehServis 01 20 Dikaya orhideya 01 Ufaoil-OPTAN 01 Gorodskoy supermarket-1 Victoriya FInans 02 22 KOPEYKA 01 -39 KOPEYKA 03 11.0%
0 7 5 36.6 0 7 Kontinent obl. 02 -26 KaruselMagnit Finance Finans 01 01 Marta Finans 02 9.0% Sportmaster Finans 01
MKAPITAL-01 M.video Finance 01 Duration, years Superscript indicates price change, bp
7.0% 0 182 364 546 728 910 1092 1274 1456
IKS 5 FINANS
21 April 2008 PyaterochkaFinans 14
PyaterochkaFinans 02
Magnit Finans 02
Kapital View - Fixed Income Moskommercbank-02 Sector Yield Curves
Banks Russkiy Standart-8 NFK15.0% - 2 Russkiy Standart-7 Bank Proektnogo Finans.-01 IntexBank-01 Moskommercbank 03 Elektronika-02Russkiy Standart-6
TKB-01 0 Globeksbank 01 AVTOVAZBANK-1 -6 Vladprombank 01 PCHRB-Finans 01
UBRiR-finance 02 13.0% 4
Yeild to maturity / put, % p.a. Yeild to maturity / KEDR-02 1 RMB KB Renessanase Kapital- 01 KB Renessanase 0Kapital- 02 4 3 HCF bank-02 obl. -5 Uniastrum bank-SOZGORBANK 02 01 Master-Bank -2 Russkiy Standart-5 Uniastrum bank -3 -5 Rusfinans bank 03 -35 Russbank 02 HCF bank-03 obl. -10 MKB 04 -44 Master Bank 03 TransKreditBank 8 02 HCF bank-04 obl. URSA Bank-08 URSA Bank-02 Russbank 01 34 -1 InvestTorgBank Spurt 02 Moskommercbank MKB MKB 02 11.0% Bank ZilFinansirovaniya 1 6 URSA Bank-07 Promsvyazbank-5 MIA-2 Credit Evropa Bank 01 -12 URSA Bank-03 63 Rusfinans bank 04 Sviaz bank 01 Petrokommerzbank-2 TransKreditBank 01 CentreAB ROSSIAInvest 01 Rusfinans bank 02 Moskovsky Zalogoviy Bank Sudostroitelniy bank-2 Zenit-04 -3 SlavInvestBank-02SOYUZ-01 SOYUZ-02 80 KITFinansB 02 0 SOYUZ-04TatfondBank Bank "Vozrozhdenie" - 01 2 Bank ZilFinansirovaniya 1 URSA Bank-06 Moskommercbank Globeksbank 01 25 NOMOS-8 39 ExpoBank 01 3 Rosselhozbank 02 KIT Finans-01 35 Zenit-02 0 NOMOS-7 Импэксб 24 9.0% 4 Sankt-Peterburg-01 -02 Probiznesbank-5 Orgresbank 5 URSA Bank-05 NOMOS-7 Bank VTB-06 15 Impexbank-3 7 Sudostroitelniy bank-1 LOKO-Bank KMB-Bank 02 MIA-3 VTB 24 01 Rosbank-01SlavInvestBank-02 Bank VTB-04 2 MDM-Bank-03 2 MIA-4 Zenit-03 SevernayaSOYUZ-02 Kazna-Bank-01 3 TuranAlem Finans 01
GazprombankAk 02 Bars bank-02 VTB 24 02 Rusfinans bank 01 Gazprombank 05 Rosselhozbank 06 7.0% Gazprombank 04 Rosselhozbank Absolut-02 Rosselhozbank 03
Gazprombank
Duration, years Superscript indicates price change, bp 5.0% 0 182 364 546 728 910 1092 1274
Orgresbank
15 21 April 2008 Delta-Kredit 01
Kapital View - Fixed Income
Eurobond Yields: Financial Sector 15% Ближайшие Пятница 18 Yeild,p.a. 30-1-2008 января Ttanscap. 10 0.2 погашения 2008 4-2-2008 МТС Лидеры г. 14% 08 USD 400 70.3 0.2 млн ХКФ роста MBRD 16 . Банк Альфа -16.8 61.8 BIN Bank 09 Russtand Bank 16 -0.7 3-3-2008 08 USDмлн 150 Синек Банк 2.9 . 15 Trust Bank 09 МБРР 15 39.4 13% Nomos Bank 16 25 Газпромбанк -4.1 161.2 08 USD 150 32.5 TatfondBank 10 PSB 12 Кредит 0 15 URSA Bank 11 млн Европа 31.6 . Система 12% 08 26.8 Russtand Bank 15 -3.1 Промсвязьбанк 11 7.3 26 4 Russtand Bank 10 1.5 Russtand Bank 11 ф 2.5 10 Russtand Bank 10 PSB 11 -0.5 Лидеры 2.1 11% 3.6 Bank Soyuz 10 -1.2 -108.9 Renaissance 09 Alfa Bank 17 Лукойл падения 1.2 -56.9 HCF Bank 10 -9.2 22 -7.1 PSB 10 Рус IIB 10 .Стандарт -40.1 10% Libor 1M Alfa Bank 15 0.7 ТНК - 11 ВР 16 -39.2 HCF Bank 08 0.1 -1.3 Nomos Bank 10 1.7 Aries 14 URSA Bank 09 -3.3 -32.9 Libor 3M Petrocommerts 09 1.1 5 Рус -6.5 2.3 MDM Bank 11 Alfa Bank 12 .Стандарт 9% Nomos Bank 09Swap 1y Zenit 09 -28.8 St.Peterburg Bank 09 -5.1 Bank of Moscow 17 12 ТНК 5 -ВР 09 MBRD 09 AK Bars 10 -0.4 -17.8 18 27 3 -8.7 Rosbank 12 Petrocommerts 09 0 Promstrojbank 15 0.4 8% MDM Bank 10 Swap 2y -5.6 5.7Rusag 16 0 Bank of Moscow 15 -0.6 6.8 Russtand Bank 08 Alfa Bank 09 -5.1 1 VTB 35 Rusag 17 AK Bars 08 0.7 Transcred. 10 Swap 3y Bank of Moscow 13 39.1 7% 0 Gazprombank 11 Gazprombank 15 11.4 10.3 1.7 Rusag 13 -5.1 VTB 11 Alfa Bank 08 0.9 Sberbank 15 6% Finansbank 08 1 Absolut Bank 10 -4.5 Sberbank 13 10.7 1.9 -0.2 -29.1 Rosbank 09 -0.2 Rusag 10 RUBKD 08 Absolut Bank 09 VTB 15 -2.2 -15.6 2.1 Sberbank 11 Swap 5y Renaissance 08 Bank of Moscow 10 1.9 0.5 5% Promstrojbank 08 Russia 30 -28 -4.8 6.5 -23 VTB 08 0.3 Russia 18 Gazprombank 08 Bank of Moscow 09 4% Minfin 11 -31.3 Swap 7y 0.8 Minfin 08 -0.1 -25.3 3% Mosnarbank 08 Russia 10
UST 5y -4.7 Superscript indicates price change, bp 2% URSA Bank 08 0 UST 3y -10.9 UST 2y -4.7 Duration, years T-Bill 6m 9 1% T-Bill 3m 7 036
21 April 2008 16
Kapital View - Fixed Income
Eurobond Yields: Non-Financial Sector 10% Yeild,p.a.
-0.3 Evraz 18 Rolf 10 KZOS 11 5.1 9% 8 NKNC 15 Evraz 15 33.8 -13.9 4.6 Evraz 13 Vimpelcom 16 KUZBAS 10 -0.4 10.9 TNK-BP 18 Euchem 12 20.4 8% 20.9 TNK-BP 17 Raspad. 12 28.7 22.4 13.4 -3.1 Severstal 14 12.3 Lukoil 22 Gazprom 37 Sinrk 15 TNK-BP 16 2.3 10.3 TNK-BP 13 -12.1 LiborLibor 1M 3M Sistema 11 Nov.Port 12 29.2 13.1 -5.1 4.7 Gazprom 22 TNK-BP 12 Alrosa 14 Lukoil 17 41.8 7% Swap 1y MTS 12 -3.4 -27.6 14.8 3.8 Vimpelcom 11 -4 Gazprom 16 Gazprom 34 SwapTNK-BP 2y 11 Transneft 14 Swap 3y 2 11.4 TMK 09 0.6 Gazprom 13 MTS 10 11.9 6% -10 Gazprom 13 Swap 5y Evraz 09 2.3 Vimpelcom 10 Megafon 09 -3.4 Transneft -7.7 12 Russia 28 -53.3 Vimpelcom 09 -5.6 2.2 0.4 Swap 7y MMK 08 Gazprom 13 -28 16 Russia 30 5% WBD 08 0 NorNickel 09 Russia 18 -23 3.4 Severstal 09 Gazprom 13 14.3 Gazprom neft 09 28.6 Aries 14 -31.3 -47 4% Minfin 11 Swap 10y Gazprom 09 -5.7 17.2 0.8 Minfin 08 -25.3 UST 10y Russia 10 3%
UST 5y -4.7
2% UST 3y -10.9 UST 2y -4.7
T-Bill 6m 9 1% T-Bill 3m 7
T-Bill 4w -5 Duration, years Alrosa 08 0 Superscript indicate 0% s price change, bp 036912
Source: Bloomberg
21 April 2008 17
Kapital View - Fixed Income
Primary Market Recent Corporate Bond Placement Results
Put / Maturity, Issue Size, Rb Yield to Maturity, Auction Date Issue Bid, Rb mn Yield to Put, p.a. years mn p.a.
4/18/2008 AMURMETALL 03 1 / 3 3 000 - 13.16% - 4/17/2008 URSA Bank-08 1 / 7 10 000 - 11.50% - 4/17/2008 Stroytransgaz 3 1 / 5 5 000 - 11.57% - 4/17/2008 KB Renessanase Kapital- 02 1 / 4 3 000 - 12.00% - 4/14/2008 Arktel-Invest 02 2 / 4 1 000 - 14.22% - 4/10/2008 SORUS KAPITAL 2 1 / 4 1 500 - 13.65% -
Source: Companies Recent Government Bond Placement Results
Announced Value, Rb Yield (at average Auction Date Issue Bid, Rb mn Placed Value, Rb mn Premium, bp mn weighted price) 4/9/2008 OFZ 25062 6 000 15 285 5 584 6.42% 6 4/9/2008 OFZ 46021 9 000 14 587 8 245 6.69% 2 3/26/2008 OFZ 26200 5 000 4 270 516 6.70% 8 3/26/2008 OFZ 46020 10 000 14 814 9 877 7.23% -3 3/19/2008 OFZ 25062 10 000 6 057 2 092 6.49% 15 3/19/2008 OFZ 46022 15 000 12 651 9 513 6.89% 0
Source: CBR Upcoming Corporate Bond Payments Upcoming Federal Loan Bond (OFZ) Payments
Announced Value, Issue Coupon Size, Rb mn Date Issue Coupon Rb mn 4/22/2008 Vivat-finans 01 12.00% 59.8 4/23/2008 25057 7% 753.1 Gorodskoy supermarket-1 11.50% 28.7 25059 6% 623.6 LOKO-Bank 10.65% 13 26200 6% 118.6 LOKO-Bank maturity 500.0 4/30/2008 25058 6% 638.7 Noviye Cheremushki 11.30% 8.5 25060 5% 592.9 Noviye Cheremushki maturity 300.0 5/7/2008 25061 5% 614.7 PMZ 01 9.60% 28.7
Promtraktor-Finance 2 10.75% 160.8 Russkiy Tekstil T-3 14.50% 86.8 Source: CBR Sibakadembank-05 10.05% 150.3 Solidarnost' 02 10.70% 26.7 Solidarnost' 02 put 1 000.0 TKS Bank 01 18.00% 134.6 URSA Bank-05 10.05% 150.3 4/23/2008 ArnestFinans-01 9.60% 28.7
Source: Kapital
Upcoming Corporate Bond Placements
Auction Date Issuer Years to put / maturity Size, Rb mn
4/23/2008 HCFB, 5 1 / 5 4 000 4/23/2008 Globex-Finance, 1 1 / 3 4 000 4/23/2008 United Confectioners-Finance, 2 1 / 5 3 000
21 April 2008 18
Kapital View - Fixed Income
Calendar
Date Time Country Event Period Consensus Prior 22 Apr 18:00 USA Advance Retail Sales Mar 4.9 mn 5.03 mn 18:00 USA Retail Sales Less Autos Mar -2.4% 2.9% 18:00 USA Business Inventories MoM Apr 2% 6% 24 Apr 12:00 Germany Zew Survey (Current Situation) Apr 104.3 104.8 12:00 Germany ZEW Survey (Econ. Sentiment) Apr 111 111.5 12:00 Germany Empire Manufacturing Apr 98 98.4 16:30 USA PPI Ex Food & Energy MoM Weekly 2,985K 2,984K 16:30 USA PPI Ex Food & Energy YoY Mar 0% -1.1% 16:30 USA Producer Price Index YoY Mar 0.2% -2.4% 16:30 USA Producer Price Index MoM Weekly 375K 372K 18:00 USA Net Long-term TIC Flows Mar 580K 590K 18:00 USA Total Net TIC Flows Mar -1.6% -1.8% 25 Apr 12:00 EZ NAHB Housing Market Index Mar 10.6% 11.3% 18:00 USA Building Permits May 63.3 63.2 29 Apr 18:00 USA Consumer Price Index MoM Apr 62 64.5 30 Apr 00:00 Japan Consumer Price Index YoY 0.5% 0.5% 16:15 USA CPI Ex Food & Energy MoM Apr -55K 8K 16:30 USA CPI Ex Food & Energy YoY 4Q07 2.4% 2.5% 16:30 USA Housing Starts 4Q07 0.5% 0.6% 16:30 USA Capacity Utilization 4Q07 2.7% 2.4% 17:45 USA Industrial Production Apr 48.4 48.2 22:15 USA Continuing Jobless Claims 1.75% 2.25% 1 May 16:30 USA Initial Jobless Claims Mar 0.1% 0.1% 16:30 USA Leading Indicators MoM Mar 2% 2% 16:30 USA Philadelphia Fed. Mar 0.3% 0.5% 16:30 USA Existing Home Sales Mar 0.2% 0.1% 18:00 USA Existing Home Sales MoM Mar -0.6% -0.3% 18:00 USA Durable Goods Orders MoM Apr 48.5 48.6
Source: Reuters, Bloomberg, Interfax, Prime-TASS, Cbonds,Companies
21 April 2008 19
Kapital View - Fixed Income
CONTACT INFORMATION
Kapital Investment Company 47 Bolshaya Polyanka, building 1 Moscow, Russia 119180 Tel.: +7 (495) 411-5555 Fax: +7 (495) 620-9530 www.kapital-ig.ru Research Department
Scott Semet, CFA Head of Department [email protected] Dmitry Zak Head of Fixed Income Research [email protected] Vladimir Kharchenko Fixed Income [email protected] Andrey Ignatov Fixed Income [email protected] Vitaly Kryukov Equity [email protected] Pavel Shelekhov Equity [email protected] Marina Samokhvalova Equity [email protected] Olga Voznaya Editor, translator [email protected] Mikhail Trofimov Designer [email protected]
Sales & Trade Department
Andrey Zaytsev Head of Department [email protected]
Konstantin Svyatniy Head of Fixed Income Sales & Trading [email protected] Eduard Lebedev Head of Equity Sales & Trading [email protected] Vadim Nikitin Fixed Income Sales & Trading [email protected] Vladislav Grigoryev Fixed Income Sales & Trading [email protected]
© 2008 OOO Investment Company Kapital. All rights reserved. This report has been prepared by OOO Investment Company Kapital (hereinafter referred to as “Kapital”) using sources and information that we consider to be reliable. However, Kapital makes no representation or warranty, either expressed or implied, as to the accuracy, completeness and reliability of such information and opinions based on it. Data and opinions included in this material are considered to be valid on the date of publication only and are subject to change without notice. We make no representation that we will correct any inaccuracies or update information contained in this report. Assumptions made in the analysis herein could have a material effect on the result. This report is for informational purposes only and cannot be considered an offer to buy or sell any securities, or take any other action. Investing in securities entails risk and demands adequate knowledge and skill. Past performance may not be indicative of future results. Kapital, its employees, affiliates and associates bear no responsibility for direct or indirect losses incurred due to decisions based upon this report. Kapital, its employees, affiliates and associates may buy, sell, have long or short positions, make a market in or engage in other transactions with the securities, or derivatives thereof, of companies mentioned herein. Kapital may do or seek to do investment banking business with companies mentioned in this report. Kapital is incorporated in the Russian Federation. This report can be used by investors in the Russian Federation subject to its legislation. The distribution and use of this report outside the Russian Federation is subject to the laws of the relevant jurisdiction. Securities described in this report may not be authorized for sale in certain jurisdictions and/or to certain types of investors. This material may not be distributed or reproduced, in whole or in part, without express written permission from Kapital. Additional information is available on request.
21 April 2008 20