cis trade pulse 23 march 2007 -...

Trading Pulse CIS 23 March 2007 •

Dmitry Shishkin CFA* +44-20-7815-3181 [email protected]

Kazakhstan: Relative value trade (Page 2) While we are as concerned as investors are over the expanding external borrowing by Ka-zakhstan banks, we believe that the bonds of Alliance Bank have suffered unduly during the recent sell-off in the country’s banking sector. Our analysis shows that given the good performance of Alliance Bank and, particularly, the strong potential for further growth in the capital base, it should meet the new regulatory requirements on the foreign debt to capital multiple. In this respect, the spread gap between the medium bonds of Alliance Bank and ATF Bank looks attractive. We believe that the main reason for the widening of the gap is the large supply of Alliance Bank Eurobonds during February. However, on a forward-looking basis, supply of ATF Banks bonds is likely to accelerate.

Best/worst performers, one week total returns in currencies of issue (%)

Quant Corner Index

Note: Prices as of March 22 2007

Page

Open/closed trades 4

Russia: Local debt 5

Russia: External debt 11

Ukraine: External debt 15

Kazakhstan: External debt 17

Expected issues and cash flows 19

Analytics: External rouble market 10

Russia: Rouble bonds Russia: US dollar bonds

Ukraine: US dollar bonds Kazakhstan: US dollar bonds

Sources: Bloomberg, Standard Bank Group

(1.0) (0.5) 0.0 0.5 1.0 1.5

RFLB 10% 10-SEP-2008 6001

URSABANK 10% 12-DEC-2008 2

RFLB 6.95% 06-FEB-20366020

SPTLRU 7.5% 03-OCT-2007 2

RURAIL 7.35% 10-NOV-2010 6

RURAIL 8.33% 02-DEC-20093

(1.0) (0.5) 0.0 0.5 1.0

RUSSIA 12.75% 24-JUN-2028REGS

RUSSIA 5% 31-M AR-2030REGS

IIBRU 9.5% 12-FEB-2010

RUSSIA M INFIN 8

NOM OSBNK 8.25% 12-M AY-2009

PROM BNK 8.5% 4-OCT-2010

(0.5) 0.0 0.5 1.0

UKRCHEM 7.875% 19-AUG-2008

UKRSIBBANK 7.75% 21-DEC-2011

NAFTO 8.125% 30-SEP-2009

EXIM UKRAINE 6.8% 4-OCT-2012

ALFAUKR 9.75% 22-DEC-2009 EM TN

KYIVSTAR 17.75% 27-APR-2012 REGS

(1.0) 0.0 1.0 2.0 3.0

ATF BANK 10%PERPETUAL

BTAS 8.25%PERPETUAL

BTAS 8.5% 10-FEB-2015

REGS

DBKAZ 6.5% 3-JUL-2020 M TN

DBKAZ 6% 23-M AR-2026

EM TNPETROKAZAKH9.625% 12-FEB-

2010 REGS

2

The continuous external borrowing of large sums by Ka-zakhstan banks has long been seen as a potential prob-lem for the banking sector. According to data of the Na-tional Bank of Kazakhstan (NBK) for the end of Septem-ber 2006, the total country’s external debt is $59.6bn, of which the banks’ share is $23.6bn — a rather sizeable amount for a $78bn economy. While the debt issued by the non-banking sector is still bigger than that of the banks (although the gap is rapidly closing), a large chunk of it is inter-company indebtedness and, therefore, is less risky. It is especially worrying that funds raised by Ka-zakhstan banks in international markets are lent in the local currency to the retail and SME sectors at much higher rates. In competing for this lucrative business, it is very likely that the quality of the loan portfolios suffer and can result in negative consequences for the banks at a later stage.

The NBK and supervision authorities are aware of this threat and its implications for the country’s economy. The high quality of Kazakhstan’s banking sector, compared to those of neighbouring countries, has been one of the main attractions for foreign capital. The new measures include limiting foreign liabilities of banks to three to five times of book value, designed for slowing down banks’ foreign borrowing. We doubt that Kazakhstan banks will stop external borrowing. For one thing, they are faced with maturing obligations on existing debt, for another the local debt market is too small for raising necessary funds to maintain their share in the local loan market. Further-more, despite the regulations coming into force from March this year, Kazakhstan banks are given up to one year to fully comply.

The market recognises that the current trend of borrow-ing is likely to continue and is understandably concerned about the growing supply of Kazakhstan bank paper. Not surprisingly, the spreads of the Kazakhstan bank Euro-bonds have widened. What is less intuitive is why the spreads between bonds of banks, which are similar as far as structure of their assets and liabilities are concerned, display a wide yield gap. Consider, for example, the spread curves of Alliance Bank and ATF Bank bonds (Figure 1).

Figure 1: Kazakhstan bank spread curves over US Treasury


Alliance Bank and ATF Bank are respectively the fifth- and fourth-largest banks in Kazakhstan by assets. Alli-ance Bank is rated ‘Ba2’ and ‘BB-’ by Moody’s and Fitch respectively, whereas ATF Bank is rated one notch higher by Moody’s and the same by Fitch. For compari-son, in Figure 1 we also show the spread curve of Halyk Bank bonds, which has much tighter spreads since Halyk has the most cautious policy of external borrowing among the big Kazakhstan banks.

The spread gap between the three-year bonds of Alli-ance Bank and ATF Bank is currently 113 bps. This is too wide a spread to be explained by the credit rating difference between the two bonds. Historically this spread was mostly around 25 bps and started to widen sharply in the last six weeks (Figure 2). We believe that this was primarily due to the heavy borrowing by Alliance Bank, which issued two Eurobonds in US dollars and British pounds totalling more than $1.2bn in February 2007. During the same month ATF Bank borrowed ‘only’ US$450m on the Eurobond market. Clearly the supply of the Alliance Bank paper was so large that even a deci-sion of the ATF Bank’s board of directors taken over that period to increase the bank’s foreign borrowing limit for 2007 by $2bn to $4.7bn did not have a damping effect on the spread widening.

Kazakhstan: Relative value trade While we are as concerned as investors are over the expanding external borrowing by Kazakhstan banks, we believe that the bonds of Alliance Bank have suffered unduly during the recent sell-off in the country’s banking sector. Our analysis shows that given the good performance of Alliance Bank and, particularly, the strong potential for further growth in the capital base, it should meet the new regulatory requirements on the foreign debt to capital multiple. In this respect, the spread gap between the medium bonds of Alliance Bank and ATF Bank looks attractive. We believe that the main reason for the widening of the gap is the large supply of Alliance Bank Eurobonds during February. However, on a forward-looking basis, supply of ATF Banks bonds is likely to accelerate.

'10

'10

100

225

350

475

600

0 2 4 6 8 10Modif ied Duration

Bps

Alliance Bank ATF Bank Halyk

3

Figure 2: Spread differential between Alliance ’10 and ATF ’10


It is also possible that the market has become concerned about Alliance Bank’s violation of the new debt-to-equity ratio regulation as the time draws closer to its implementa-tion. Some of the research in the market suggests that the foreign debt to equity for Alliance Bank can be as high as 6x instead of the 3x set up by the Kazakhstan’s Financial Supervision Agency (FSA).

We disagree with this assessment as it is possible that it was based on outdated numbers released by Alliance Bank in its interim report for June 2006. According to the latest figures published on the FSA’s web-site, the bank’s capital on February 1st 2007 reached KZT85bn (around $670m). Firstly, the latest figure for capital is double that shown for H1 2006. Secondly, this allows Alliance Bank to increase its foreign debt to equity multiple to 3.5x, which is set for banks with capital ranging from KZT50bn – KZT100bn. Thirdly, the growth of the capital base is very rapid and, if it continues, would soon take Alliance Bank to the next level of the multiple - 4.0x, applicable for banks with capital over KZT100bn. Figure 3 shows the growth in the capital of Alliance Bank and ATF Banks over the last year, with the former outpacing the latter.

We are confident that Alliance Bank and ATF Bank will increase their equity base to comply with the new regula-tions. This can be done either by inviting a strategic part-ner or by raising capital through IPO on the London Stock Exchange, which we believe will be the most likely case. Earlier this year, the chairman of Alliance Bank’s board, Mr. Kereibayev, mentioned that the bank could float up to 25% of its shares.

We, therefore, are confident that Alliance Bank will meet the new regulation requirements on external debt.

Figure 3: Growth in bank capital

Sources: FSA, Standard Bank Group

Conclusion

Our analysis shows that the risk currently charged by the market on Alliance Bank bonds is too high when com-pared to the bonds of ATF Bank. Given the steep shape of Alliance Bank’s bond spread curve in the area of up to three years, we recommend switching from the ATF ’10 to the Alliance Bank ’10 Eurobond. We expect that the current spread of 113 bps between the two bonds will tighten by 50 bps in the next two months.

Dmitry Shishkin, CFA

0

30

60

90

120

Mar-06 May-06 Jul-06 Sep-06 Nov-06 Jan-07 Mar-07

Bps

0

175

350

525

700

31-Dec-05 30-Jun-06 01-Feb-07

$US, m

Alliance Bank ATF Bank

4

Source: Standard Bank Group

Open trades (most recent first) Entry date

Entry spread/

yield Latest

spread/yield Target

spread/yield

Total return (period) (US$, %)

Total return (annual) (US$, %)

Russia: buy RUB TMK ’11 26-Jan-07 7.56% 7.49% 7.55% 2.9 20.6

Russia: buy Sistema ’11, sell MTS ’10 19-Jan-07 71 bps 68 bps 31 bps 0.2 1.4

Russia: buy OFZ ’36 8-Dec-06 6.79% 6.83% 6.65% 1.1 3.8

Kazakhstan: buy KKB perpetual, hedging in US Treasuries

17-Nov-06 380 bps 437 bps 350 bps (1.6) (4.6)

Russia: RUB RusAl ’08 13-Oct-06 7.56% 7.31% 7.0% 5.3 12.5

Russia: buy RUSB ’11 5-May-06 355 bps 447bps 355 bps (0.2) (0.2)

Russia: buy US$ Russia ’30 bond 9-Feb-06 109 bps 109 bps 80 bps 1.3 1.2

Russia: buy RUB Gazprombank ’10, hedged in US Treasury

2-Mar-07 271 bps 271 bps 240 bps 0.9 17.6

Russia: buy RUB FGC UES ’10 9-Mar-07 7.32% 7.28% 7.00% 1.2 39.4

Russia: buy OGK-5 16-Mar-07 176 bps 175 bps 140 bps 0.1 5.7

Open trades

5

Russia: Local market analytics

Moscow Interbank 1-day rate


RUB/USD NDF


Yield gap: OFZ 6018 vs Russia ’30


Rouble exchange rate vs US dollar and CBR basket


2.2

3.1

4.0

4.9

5.9

10-Feb-07 20-Feb-07 02-Mar-07 12-Mar-07 22-Mar-07

%

26.0

26.6

27.3

27.9

28.5

0 1 2 3 4 5Years

NDF Rouble

22-Mar-07 15-Mar-07 20-Feb-07

25.8

26.1

26.4

26.7

27.0

Sep-06 Nov-06 Jan-07 Mar-07

RUB/USD

29.5

29.6

29.8

29.9

30.0RUB/Bskt

RUB/USD RUB/Basket

65

76

88

99

110

21-Jan-07 8-Feb-07 26-Feb-07 16-Mar-07

Bps

6

Russia: Local market yield curves (%)

Government and Municipal bonds


Corporate bonds: Telecommunications


Corporate bonds: First Tier/Government agencies


Corporate bonds: Energy


4.8

5.4

6.0

6.6

7.2

0 2 4 6 8 10 12 14

Modif ied Duration

OFZ Moscow

68

1

32

4 57

4

1

3

2

'11

5

6

74

14

3

2

2

5 3

67

5.3

5.9

6.5

7.1

7.7

0 1 2 3 4 5 6Modified Duration

AIZK EES GazpromLukoil RuRail VTB

45

2

3

1

3

1

4

5

3

276

5

4

6

5

4

4

3

2

6.2

6.8

7.3

7.9

8.4

0.0 0.5 1.0 1.5 2.0 2.5 3.0Modified Duration

CenterTel DalSvyazKubnRu MegafoneMGTS NorthWestSibTel UralSibVolgaTel

7.2

7.6

8.0

8.4

8.8

0.0 0.2 0.4 0.6 0.8 1.0Modif ied Duration

Itera 1 LenEnergo 1 TatEnergo 1

7

Russia: Local market yield curves (%) (continued)

Corporate bonds: Metals


Corporate bonds: Banks


HCFB 4 HCFB 3

2

1

4

36

5

5

3

EMTA

1

26.0

7.1

8.1

9.2

10.2

0 1 2 3 4Modif ied Duration

RosSelkhoz RSBURSA RosBankGazprom

ChepRu 1OmkRu 1

SevelStal 1

3

Tula 2

32

Mechel 2

5.0

6.3

7.5

8.8

10.0

0 1 2 3Modif ied Duration

TrubRu Tula RusAl

8

Russia: Local debt price table Rouble US dollar Total return (%)

Amount

(Rouble bn)Maturity

/Put Ask Price Mod durYield (%)

Yield (%) ASW (bps) 1 wk 1 mth

Government bonds RFLB 7.5% 13-JUN-2007 7025 25.8 13-Jun-07 100.32 0.2 4.66 4.74 (56) 0.3 0.6RFLB 10% 18-JUL-2007 7019 8.8 18-Jul-07 101.38 0.3 5.68 5.71 37 0.1 0.4RFLB 10% 08-AUG-2007 7020 8.8 08-Aug-07 101.62 0.4 5.70 5.71 40 0.1 0.3RFLB 10% 10-SEP-2008 6001 60.0 10-Sep-08 104.14 0.9 5.73 5.41 24 1.3 0.5RFLB 6.3% 30-APR-2008 5058 40.7 30-Apr-08 100.83 1.1 5.65 5.38 18 0.2 0.5RFLB 8% 11-MAR-2009 7026 16.0 11-Mar-09 101.61 1.8 5.78 4.89 (5) 0.1 0.9RFLB 5.8% 29-APR-2009 5060 40.7 29-Apr-09 99.79 2.0 6.05 5.07 15 0.3 0.5RFLB 10% 14-JUL-2010 6003 37.3 14-Jul-10 110.29 2.4 6.05 4.80 (9) 0.5 0.5RFLB 7.4% 20-JAN-2010 5057 40.8 20-Jan-10 103.70 2.5 6.11 4.84 (3) 0.3 0.6RFLB 6.1% 19-JAN-2011 5059 40.8 19-Jan-11 100.15 3.4 6.20 4.66 (19) 0.3 0.6RFLB 10% 08-AUG-2012 6002 62.0 08-Aug-12 109.46 3.8 6.27 4.67 (21) 0.5 0.3RFLB 6% 02-NOV-2012 6198 42.1 02-Nov-12 98.30 4.5 6.37 4.81 (9) 0.6 0.9RFLB 10% 29-AUG-2018 6014 58.3 29-Aug-18 109.12 5.2 6.38 5.31 29 0.6 0.8RFLB 9.5% 03-AUG-2016 6017 80.0 03-Aug-16 106.10 6.4 6.50 5.38 37 0.6 0.7RFLB 9.5% 24-NOV-2021 6018 77.0 24-Nov-21 111.10 8.5 6.57 5.70 56 0.7 0.7RFLB 6.95% 06-FEB-2036 6020 39.7 06-Feb-36 102.33 12.4 6.83 6.19 96 0.9 0.5Moscow Municipality MOSCOW 10% 20-MAY-2007 31 5.0 20-May-07 100.80 0.2 5.48 5.55 22 0.3 0.4MOSCOW 10% 13-AUG-2007 42 3.0 13-Aug-07 102.00 0.4 5.05 5.08 (23) 0.3 0.6MOSCOW 10% 26-OCT-2007 40 5.0 26-Oct-07 103.12 0.6 4.80 4.80 (50) 0.4 0.9MOSCOW 10% 05-JUN-2008 29 5.0 05-Jun-08 105.14 1.1 5.61 5.26 10 0.2 0.4MOSCOW 10% 16-DEC-2008 36 4.0 16-Dec-08 100.00 1.5 5.80 5.20 20 0.2 0.4MOSCOW 10% 28-APR-2009 47 10.0 28-Apr-09 106.60 1.9 6.10 5.14 21 0.4 0.8MOSCOW 10% 30-JUL-2010 41 3.4 30-Jul-10 107.65 2.8 6.40 4.98 11 0.3 0.6MOSCOW 10% 26-DEC-2010 38 5.0 26-Dec-10 112.15 3.1 6.42 4.91 5 0.2 0.5MOSCOW 10% 21-JUL-2014 39 5.0 21-Jul-14 109.80 5.4 6.62 5.33 38 0.6 0.7MOSCOW 10% 24-JUN-2015 44 20.0 24-Jun-15 109.85 5.9 6.62 5.43 45 0.5 0.7First Tier Corporates AIZK 11% 1-DEC-2008 A1 1.1 01-Dec-08 106.47 1.5 7.01 6.27 126 0.0 0.6AIZK 9.4% 15-OCT-2010 A3 2.3 15-Oct-10 105.30 2.1 7.11 5.92 98 0.4 0.9AIZK 11% 1-FEB-2010 A2 1.5 01-Feb-10 110.46 2.4 7.03 5.73 87 0.4 0.7AIZK 8.7% 1-FEB-2012 A4 0.9 01-Feb-12 105.40 3.9 7.58 5.86 97 0.4 AIZK 7.35% 15-OCT-2012 A5 2.2 15-Oct-12 100.00 4.1 7.56 5.93 103 0.1 0.6AIZK 7 7.68% 15-JUL-2016 A7 4.0 15-Jul-16 101.18 4.4 7.63 6.04 116 0.3 0.4AIZK 7 7.63% 15-JUN-2018 A8 5.0 15-Jun-18 100.92 4.9 7.65 6.16 123 0.4 0.3AIZK 7.4% 15-JUL-2014 A6 2.5 15-Jul-14 100.25 4.9 7.56 6.13 118 0.5 0.8FSKEES 8.8% 18-DEC-2007 01 5.0 18-Dec-07 102.20 0.7 5.81 5.77 49 0.3 0.6FSKEES 7.1% 12-DEC-2008 03 7.0 12-Dec-08 100.40 1.6 6.98 6.21 121 0.1 0.4FSKEES 8.25% 22-JUN-2010 02 7.0 22-Jun-10 103.25 2.8 7.24 5.81 95 0.3 0.4FSKEES 8.1% 29-JUN-2011 5.0 29-Jun-11 102.82 3.5 7.45 5.81 94 0.5 0.4FSKEES 7.3% 06-OCT-2011 4 6.0 06-Oct-11 100.25 3.7 7.37 5.69 82 0.4 0.3GAZPRU 7.58% 09-OCT-2007 A5 5.0 09-Oct-07 101.20 0.5 5.42 5.42 11 0.3 0.7GAZPRU 6.95% 06-AUG-2009 A6 5.0 06-Aug-09 101.00 2.1 6.60 5.48 58 0.5 0.8GAZPRU 6.79% 29-OCT-2009 A7 5.0 29-Oct-09 100.25 2.3 6.80 5.57 69 0.4 0.6GAZPRU 8.22% 10-FEB-2010 A4 5.0 10-Feb-10 104.18 2.5 6.72 5.41 55 0.3 0.5GAZPRU 7.23% 12-FEB-2014 A9 5.0 12-Feb-14 100.15 5.3 7.34 5.97 103 0.6 0.7LUKOIL 7.25% 17-NOV-2009 2 6.0 17-Nov-09 101.30 0.6 5.31 5.29 0 0.4 0.6LUKOIL 7.1% 8-DEC-2011 3 8.0 08-Dec-11 100.10 3.9 7.20 5.50 63 0.5 0.0LUKOIL 7.4% 5-DEC-2013 4 6.0 05-Dec-13 100.70 5.1 7.40 6.00 107 0.6 0.6RURAIL 7.75% 05-DEC-2007 2 4.0 05-Dec-07 101.67 0.7 5.38 5.35 7 0.3 0.7RURAIL 6.67% 22-JAN-2009 05 10.0 22-Jan-09 100.05 1.7 6.76 5.93 96 0.2 0.3RURAIL 8.33% 02-DEC-2009 3 4.0 02-Dec-09 104.05 2.3 6.78 5.53 65 (0.6) 0.4RURAIL 7.35% 10-NOV-2010 6 10.0 10-Nov-10 101.45 3.1 7.01 5.49 64 (0.3) 0.5RURAIL 7.55% 07-NOV-2012 7 5.0 07-Nov-12 102.55 4.4 7.12 5.55 65 0.4 0.4VTB 5.6% 19-MAR-2009 (PUT) 5.0 22-Mar-07 100.08 1.0 6.33 6.13 90 0.2 0.4VTB 6.2% 17-OCT-2013 5 15.0 26-Apr-07 100.35 0.1 2.78 2.94 (232) 0.1 0.8VTB 6.5% 06-JUL-2016 6 15.0 06-Jul-16 100.49 0.3 5.15 5.20 (15) 0.2 0.5


9

Russia: Local debt price table (continued) Rouble US dollar Total return (%)

Amount

(Rouble bn) Maturity/

Put Ask Price Mod durYield (%)

Yield (%)

ASW (bps) 1 wk 1 mth

Telecoms CENTERTEL 8.09% 30-AUG-2011 5 3.0 30-Aug-11 101.00 1.3 7.50 6.94 186 0.5 0.8CENTERTEL 13.8% 21-AUG-09 04 7.0 21-Aug-09 114.10 2.1 7.47 6.32 142 0.3 0.9DALSVYAZ 8.6% 03-JUN-2009 3 1.5 03-Jun-09 101.67 1.4 7.57 6.80 178 0.2 0.8DALSVYAZ 8.85% 30-MAY-2012 2 2.0 30-May-12 102.85 2.6 7.96 6.53 167 0.4 0.6KUBNRU 10.5% 09-DEC-2009 4 4.5 09-Dec-09 103.55 1.6 8.07 7.00 203 0.5 0.5MEGAFO 9.28% 11-APR-2007 01 1.5 11-Apr-07 100.15 0.1 6.47 6.52 144 0.0 (0)MEGAFO 9.25% 15-APR-2008 03 3.0 15-Apr-08 102.00 1.0 7.41 7.12 192 0.2 0.2MGTSRU 8.3% 25-MAY-2010 5 1.5 29-May-07 100.35 0.2 6.41 6.45 110 0.3 0.0MGTSRU 7.1% 22-APR-2009 4 0.7 22-Apr-09 99.85 1.9 7.31 6.31 139 0.0 (0.6)NWTEL 7.5% 03-OCT-2007 2 1.1 03-Oct-07 100.00 0.3 7.73 7.66 235 (0) 0.3NWTEL 9.25% 24-FEB-2011 3 3.0 28-Feb-08 102.00 0.9 7.24 7.04 179 0.2 0.7SIBTEL 12.5% 05-JUL-2007 2 2.0 05-Jul-07 101.60 0.3 6.84 6.85 152 0.2 0.6SIBTEL 9.2% 25-APR-2008 3 3.0 25-Apr-08 101.95 1.0 7.46 7.14 194 0.3 0.5SIBTEL 7.85% 16-SEP-2010 4 2.0 18-Sep-08 100.55 1.3 7.60 7.01 194 0.4 0.7SIBTEL 8.65% 20-MAY-2009 7 2.0 20-May-09 102.25 1.9 7.65 6.60 168 0.4 0.9URSIRU 9.99% 01-NOV-2007 4 3.0 01-Nov-07 102.05 0.6 6.63 6.58 130 0.4 0.8URSIRU 9.19% 17-APR-2008 5 2.0 17-Apr-08 101.95 1.0 7.41 7.11 191 0.5 0.5URSIRU 8.2% 17-NOV-2011 6 2.0 20-Nov-08 101.00 1.5 7.70 6.96 194 0.3 0.4VOLGATEL 8.2% 30-NOV-2010 2 3.0 02-Dec-08 101.65 1.5 7.29 6.54 153 0.6 1.1VOLGATEL 7.99% 03-SEP-2013 4 3.0 03-Sep-13 101.20 2.2 7.67 6.47 156 0.3 0.6VOLGATEL 8.5% 30-NOV-2010 3 2.3 30-Nov-10 102.75 2.3 7.48 6.21 132 0.3 0.8Energy ITERA 9.75% 07-DEC-2007 1 1.2 07-Dec-07 101.04 0.7 8.37 8.25 298 0.3 0.7LENENERGO 10.25% 19-APR-2007 1 3.0 19-Apr-07 100.20 0.1 7.58 7.61 245 0.2 0.7TATENERGO 9.65% 13-MAR-2008 1 1.5 13-Mar-08 101.94 0.9 7.72 7.48 225 0.4 0.6Metal CHEPRU 9.5% 16-JUN-2010 1 3.0 18-Jun-08 102.35 1.1 7.63 7.18 203 0.3 0.7OMKRU 9.2% 12-JUN-2008 1 3.0 05-Jun-08 102.00 1.1 7.58 7.16 200 0.6 1.1SEVERSTAL 8.1% 28-JUN-2007 1 3.0 28-Jun-07 100.55 0.3 6.06 6.10 77 0.2 RUSAL 8% 20-MAY-2007 2 2.9 20-May-07 100.20 0.2 6.99 7.01 168 0.2 0.7RUSAL 7.2% 21-SEP-2008 3 6.0 21-Sep-08 100.20 1.4 7.17 6.59 151 0.3 0.7MECHEL 8.4% 12-JUN-2013 2 5.0 12-Jun-13 101.50 2.7 8.02 6.56 170 0.3 0.7TRUBRU 10.09% 24-MAR-2009 2 3.0 24-Mar-09 100.09 0.0 3.40 3.48 (189) 0.1 0.4TRUBRU 7.95% 15-FEB-2011 3 5.0 15-Feb-11 100.60 0.9 7.40 7.21 199 0.2 0.7TULACH 11% 02-DEC-2007 2 0.9 02-Dec-07 100.00 0.6 9.97 9.78 452 0.1 Banks GAZPRU 6.54% 20-NOV-2013 2 5.0 20-Nov-13 100.30 0.7 6.18 6.13 85 0.4 0.7GAZPRU 7.1% 27-JAN-2011 1 5.0 27-Jan-11 99.30 3.3 7.45 5.87 101 0.1 0.3HCFB 8.25% 16-SEP-2010 3 3.0 22-Mar-07 100.10 2.9 9.76 8.17 326 0.4 0.8HCFB 9.95% 12-OCT-2011 4 3.0 12-Oct-11 100.45 1.4 10.02 9.27 414 0.2 ROSSEL 7.5% 04-JUN-2008 1 3.0 04-Jun-08 101.45 1.1 6.09 5.73 56 0.5 0.9ROSSEL 7.85% 16-FEB-2011 2 7.0 16-Feb-11 101.85 3.3 7.51 5.92 105 0.2 0.5ROSBNK 9.25% 15-FEB-2009 1 3.0 15-Feb-09 100.67 1.7 7.59 6.68 174 0.4 0.8RUSB 7.6% 09-SEP-2010 5 5.0 15-Mar-07 100.20 1.5 (0.14) (0.58) (566) 0.2 0.7RUSB 8.1% 09-FEB-2011 6 6.0 09-Feb-11 100.45 0.4 7.05 7.02 171 0.6 1.0RUSB 8.4% 22-AUG-2007 3 2.0 22-Aug-07 100.25 0.4 8.03 7.97 265 0.3 0.6RUSB 8.25% 03-MAR-2008 4 2.2 03-Mar-08 100.40 0.9 7.99 7.76 252 0.3 0.9RUSB 8.5% 20-SEP-2011 7 5.0 20-Sep-11 100.00 0.9 8.95 8.66 343 0.2 URSABANK 10% 12-DEC-2008 2 1.5 12-Dec-08 101.50 0.2 3.56 3.66 (164) 1.3 1.8URSABANK 9.6% 04-JUN-2009 3 3.0 04-Jun-09 101.45 1.9 9.06 7.93 302 0.2 1.4URSABANK 10.05% 18-OCT-2011 5 3.0 18-Oct-11 101.90 3.5 9.75 7.98 311 0.4 1.0


10


Analytics — External rouble market (yield curves, %)


Rouble US dollar Total return (%)

Amount (Rouble

bn) Maturity/

Put Ask Price Mod dur Yield (%)

Yield (%)

ASW (bps) 1 wk 1 mth

Corporate Bonds GAZPRU 7.25% 22-FEB-2010 RUB 10.0 22-Feb-10 100.45 2.58 7.20 5.86 100 0.64 0.60

MOSCOWBANK 7.25% 25-NOV-2009 EMTN

5.0 25-Nov-09 101.1 2.35 6.91 5.65 77 0.52 0.44

RAIL 8.375% 31-MAR-2012 RUB 10.6 31-Mar-12 103.9 2.11 6.75 5.44 52 0.53 1.29 ROSBNK 8% 30-SEP-2009 EMTN 7.0 30-Sep-09 101.2 2.17 7.61 6.39 150 0.82 0.98

URSABANK 9.125% 26-FEB-2010 RUB

5.0 26-Feb-10 100.8 2.51 9.00 7.59 273 0.97

VTB 7% 13-APR-2009 RUB 10.0 13-Apr-09 101.4 1.84 6.37 5.41 49 0.42 0.81

URSA '09

RosBnk '09

Rail' 12 Moscow Bnk

GP '10

VTB '07

6.0

6.8

7.6

8.4

9.2

1.5 1.7 1.9 2.1 2.3 2.5 2.7

Modif ied Duration

11

Russia: External debt (spreads over US Treasuries)

Sovereign bonds


Corporate bonds: Mining


Corporate bonds: Oil and Gas


Corporate bonds: Telecoms


'28'18

'10

'07

'30

VIIV

VIII

0

30

60

90

120

0 2 4 6 8 10 12Modif ied Duration

Bps

Eurobonds Minfin

Megafon '08 '12

'10

'08

'08

'11 '16

'11

'10

'09

70

125

180

235

290

0 1 2 3 4 5 6 7

Modif ied Duration

Bps

Mobtel Sistema VIP

'34'03/13

'09

'06/13

'20

'16

'16

'11

'07

0

55

110

165

220

0 2 4 6 8 10 12 14Modif ied Duration

Bps

Gazprom TumenNeft

'08

'14'09

'14

'15

'09

MMK '08Norisk '09

TMK '09

0

70

140

210

280

350

0 1 2 3 4 5 6 7

Modif ied Duration

Bps

Alrosa SeverStal Evraz

12

Russia: External debt (spreads over US Treasuries)

Corporate bonds: Banking sector


'15'17

'07

'08

'15

'08

'11

'02/08 '06/08

'13

'09

'10

'07

'09

'08

'15

'09

'12

'12

'04/07

'09/07

'08 '10

'13'15'08

'11

'15'35

'13'13

'10

'11

'07

'11

'09

'10

'09

0

135

270

405

540

0 1 2 3 4 5 6 7

Modif ied Duration

Bps

Alfa Gazprombank HCFBBank of Moscow Petrocom PromstroyRosbank RSB SberbankVTB Russ Agro MDMURSA IIB

13

Russia: External debt price table

Spread change (bps) Total return (%)

Issue Rating (S&P/Moody’s/Fitch)

Ask price

Yield (%) Mod dur

Spread (bps) 1 wk 1 mth YTD 1 wk 1 mth YTD

Sovereign RUSSIA 10% 26-JUN-2007 BBB+/Baa2/BBB+ 101.09 5.40 0.2 37 (5) (0) 1 0.0 0.4 1.1RUSSIA 8.25% 31-MAR-2010 BBB+/Baa2/BBB+ 104.35 5.15 1.4 48 (8) (9) (7) 0.2 0.7 1.4RUSSIA 5% 31-MAR-2030 BBB+/Baa2/BBB+ 113.98 5.59 7.0 107 (6) 7 13 0.4 0.8 1.0RUSSIA 11% 24-JUL-2018 BBB+/Baa2/BBB+ 145.00 5.58 7.2 106 (4) 5 12 0.3 1.1 1.6RUSSIA 12.75% 24-JUN-2028 BBB+/Baa2/BBB+ 182.82 5.87 10.3 113 (8) 0 4 0.6 1.3 2.2RUSSIA MINFIN 8 BBB+/NR/BBB+ 97.92 5.68 0.6 73 69 80 79 (0.4) 0.0 0.7RUSSIA MINFIN 5 BBB+/Baa2/BBB+ 97.09 5.72 1.0 95 6 16 24 0.0 0.5 1.1RUSSIA MINFIN 7 BBB+/Baa2/BBB+ 91.15 5.45 3.6 102 (4) 14 17 0.2 0.6 1.3Oil and Gas GAZPRU 5.625% 22-JUL-2013 BBB-/A3/BBB- 100.08 5.58 2.3 109 3 2 17 (0.1) 0.8 1.2GAZPRU 10.5% 21-OCT-2009 BBB/A3/BBB- 112.31 5.30 2.2 81 (3) 4 18 0.0 0.7 1.1GAZPRU 7.201% 1-FEB-2020 BBB+/NR/BBB 105.21 5.90 4.0 148 5 21 38 (0.2) 0.4 0.7GAZPRU 9.625% 1-MAR-2013 BBB/A3/BBB- 118.72 5.84 4.6 143 1 11 30 (0.2) 0.7 0.7GAZPRU 6.212% 22-NOV-2016 BBB/(P)A3/BBB- 100.32 6.16 7.0 164 2 12 26 (0.2) 0.6 0.6GAZPRU 8.625% 28-APR-2034 BBB/A3/BBB- 128.89 6.37 11.8 157 (2) 1 7 0.0 1.4 1.6TMENRU 11% 6-NOV-2007 BB+/Baa2/BBB- 103.11 5.66 0.6 70 (21) (22) (24) 0.1 0.6 1.4TMENRU 6.875% 18-JUL-2011 BB+/Baa2/BBB- 103.03 6.06 3.7 163 (3) 22 36 0.1 0.3 0.7TMENRU 7.5% 18-JUL-2016 BB+/Baa2/BBB- 105.65 6.67 6.6 216 0 26 37 (0.1) (0.3) 0.1Mining ALROSA 8.175% 6-MAY-2008 BB-/Ba2/NR 102.57 5.68 1.0 91 (8) (9) 17 0.1 0.6 1.1ALROSA 8.875% 17-NOV-2014 BB-/Ba2/NR 115.71 6.25 5.5 181 (3) 15 29 0.2 0.6 0.9CHMFRU 8.625% 24-FEB-2009 BB-/B1/NR 104.03 6.33 1.7 177 (3) 11 (1) 0.1 0.6 1.7CHMFRU 9.25% 19-APR-2014 BB-/B1/BB- 108.63 7.64 5.0 322 (6) 30 28 0.2 (0.1) 1.2EVRAZ 10.875% 3-AUG-2009 BB-/B1/BB 109.49 6.44 2.1 195 (1) 24 3 0.1 0.5 1.8EVRAZ 8.25% 10-NOV-2015 BB-/B2/BB 102.75 7.80 6.0 331 0 26 31 (0) (0) 0.9MMKFIN 8% 21-OCT-2008 BB/Ba3/BB 102.49 6.29 1.4 164 (2) 10 (15) (0) 0.5 1.7NORILSK 7.125% 30-SEP-2009 BBB-/Baa2/BBB- 103.10 5.76 2.2 126 (2) 13 6 0.0 0.5 1.4TMKRU 8.5% 29-SEP-2009 B+/B2/NR 103.62 6.89 2.1 241 0 29 19 (0) 0.3 1.4Telecoms MEGAFON 8% 10-DEC-2009 BB/Ba3/BB+ 104.17 6.28 2.4 181 (2) 18 10 0.1 0.5 1.6MOBTEL 9.75% 30-JAN-2008 BB-/Ba3/NR 103.21 5.75 0.8 86 3 (4) (16) (0) 0.6 1.4MOBTEL 8.375% 14-OCT-2010 BB-/Ba3/NR 106.81 6.20 3.0 177 (27) (5) (23) 0.1 0.5 2.0MOBTEL 8% 28-JAN-2012 BB-/Ba3/NR 106.09 6.50 4.0 209 (1) 14 (6) 0.1 0.8 2.4SISFIN 10.25% 14-APR-2008 B+/NR/B+ 104.14 6.09 0.9 128 (4) (1) (8) 0.0 0.6 1.5SISFIN 8.875% 28-JAN-2011 B+/B3/B+ 106.19 6.99 3.2 258 (8) 12 (9) 0.2 0.6 2.4VIP 10% 16-JUN-2009 BB+/Ba2/NR 107.88 6.13 1.9 162 (5) 12 1 0.1 0.5 1.6VIP 8% 11-FEB-2010 BB+/Ba2/NR 104.39 6.29 2.5 183 (3) 13 8 0.1 0.6 1.7VIP 8.375% 22-NOV-2011 BB+/Ba2/NR 107.05 6.56 3.7 213 (0) 28 18 0.0 0.2 1.6VIP 8.25% 23-MAY-2016 BB+/Ba2/NR 107.04 7.18 6.3 269 (3) 21 (6) 0.2 0.2 3.1 Sources: Bloomberg, Standard Bank Group

Notes: * On Watch *- On Watch downgrade *+ On Watch upgrade

14

Russia: External debt price table (continued)



Ask price

Yield (%) Mod dur


Banks ALFA 7.75% 2-JUL-2008 BB/Ba2/BB- 100.87 7.02 1.2 231 (14) 23 3 0.0 0.3 1.5ALFA 7.875% 10-OCT-2009 NR/Ba2/BB- 100.86 7.48 2.2 300 (2) 23 8 0.1 0.5 1.8ALFA 8.635% 22-FEB-2017 B+/(P)Baa3/B+ 99.63 8.71 3.9 432 (2) 41 0.1 (0.2) ALFA 8.6255% 9-DEC-2015 B+/Ba3/B+ 100.27 8.52 3.0 411 (3) 45 73 0.1 (0.1) 0.1GAZPRU 7.25% 30-OCT-2008 BBB-/A3/NR 102.36 5.67 1.4 105 (2) (0) 9 0.1 0.7 1.4GAZPRU 7.97% 15-JUN-2011 BB+/Baa1/NR 106.52 6.18 3.5 179 1 3 7 (0) 1.1 2.0GAZPRU 6.5% 23-SEP-2015 BBB-/A3/NR 100.30 6.45 6.4 195 (2) 9 20 0.0 0.8 1.2HCFB 9.125% 4-FEB-2008 B/Ba3/NR 100.10 8.98 0.8 410 9 93 100 (0) (0) 1.0HCFB 8.625% 30-JUN-2008 B/Ba3/NR 99.83 8.74 1.2 402 (7) 72 40 0.1 (0.1) 1.5IIBRU 9.5% 31-JUL-2009 B+/B1/B 100.63 8.70 0.8 381 (76) (64) (18) 0.2 0.8 1.6IIBRU 9.5% 12-FEB-2010 B+/B1e/B 100.74 9.17 2.4 471 (22) 0.3 MDMBK 7.5% 7-DEC-2007 BB-/Ba2/BB- 100.37 6.90 0.7 198 (6) 17 8 0.0 0.4 1.4MDMBK 9.75% 21-JUL-2011 B/Ba3/B+ 104.26 8.54 3.4 411 (4) 35 25 0.1 0.0 1.6MOSCOWBANK 8% 28-SEP-2009 NR/A3/BBB 105.07 5.78 2.2 129 (3) 12 2 0.1 0.6 1.6MOSCOWBANK 7.375% 26-NOV-2010 NR/A3/BBB 104.40 6.01 3.1 159 1 21 20 (0) 0.4 1.3MOSCOWBANK 7.335% 13-MAY-2013 NR/A3/BBB 104.41 6.45 4.8 205 (4) 29 44 0.2 0.0 0.3NOMOSBNK 8.25% 12-MAY-2009 NR/Ba3/B+ 100.09 8.19 1.9 368 17 51 56 (0.4) (0.2) 0.8NOMOSBNK 9.75% 20-OCT-2016 NR/B1/B+ 101.02 9.46 3.5 505 2 36 27 (0) 0.1 1.8PETROCOMMERCE 8% 27-MAR-2009 B+/Ba3/NR 99.86 8.08 1.8 353 (10) 36 10 0.1 0.2 1.7PETROCOMMERCE 8.75% 17-DEC-09 B+/Ba3/NR 100.46 8.54 2.3 406 (3) 49 29 0.1 (0.1) 1.5PROMBNK 8.5% 4-OCT-2010 B+/Ba3/B+ 100.16 8.68 2.9 425 21 79 56 (0.6) (1.1) 0.7PROMBNK 8.75% 20-OCT-2011 B+/Ba3/B+ 99.93 8.76 3.6 433 6 70 49 (0.2) (1.2) 0.8PROMBNK 9.625% 23-MAY-2012 B-/B1/B- 101.27 9.30 3.9 488 0 50 67 (0.2) (0.8) (0.1)PROMSTROY 6.875% 29-JUL-2008 NR/A2/BBB 101.35 5.80 1.3 111 (11) (4) 15 0.1 0.6 1.2PROMSTROY 6.2% 29-SEP-2015 NR/A3/BBB 100.61 6.00 3.0 158 (5) 16 19 0.1 0.5 1.3ROSBANK 7.625% 7-JUL-2007 B+/Ba3/B+ /*+ 100.50 5.83 0.3 78 (104) (78) (49) 0.1 0.5 1.3ROSBANK 9.75% 24-SEP-2009 NR/Ba3/BB- 104.70 6.21 1.3 155 ROSBANK 9% 1-JUL-2012 NR/NR/NR 103.25 8.22 4.1 379 (92) (72) (69) 0.2 0.8 2.1RUSSAG 6.875 29-NOV-2010 NR/A3/BBB+ 103.29 5.86 3.2 144 (4) 13 20 0.1 0.6 1.3RUSSAG 6.97% 21-SEP-2016 NR/Baa1/BBB 102.51 6.31 3.8 189 (5) 17 43 0.2 0.5 0.5RUSSAG 7.175 16-MAY-2013 NR/A3/BBB+ 105.56 6.07 4.8 167 (4) 11 27 0.2 0.9 1.0RUSSTBANK 7.8% 28-SEP-2007 B+/Ba2/NR 100.28 7.18 0.5 221 8 17 (45) (0) 0.5 1.8RUSSTBANK 7.8% 21-APR-2008 B+/Ba2/NR 100.32 7.79 1.0 299 11 56 5 (0.1) 0.1 1.7RUSSTBANK 7.5% 7-OCT-2010 B+/Ba2/NR 95.72 8.93 2.9 450 12 70 68 (0.3) (0.9) 0.4RUSSTBANK 8.625% 5-MAY-2011 B+/Ba2/NR 99.28 8.83 3.3 442 URSABANK 9% 12-MAY-2009 NR/B1e/B 101.82 8.04 1.8 352 (2) 25 2 0.0 0.4 2.0URSABANK 12% 30-DEC-2011 NR/B2/NR 109.15 9.54 3.5 512 (7) 45 6 0.3 (0.2) 2.7SBERRU 6.23% 11-FEB-2015 NR/A2/BBB 101.74 5.55 2.6 109 1 5 22 (0.1) 0.8 1.1SBERRU 6.48% 15-MAY-2013 NR/A2/BBB+ 103.95 5.70 4.9 129 (1) 5 11 0.0 1.1 1.7VTB 6.875% 11-DEC-2008 BBB+/A2/BBB+ 102.07 5.57 1.6 98 (5) 6 13 0.1 0.6 1.2VTB 6.315% 4-FEB-2015 BBB/A2/BBB 102.94 5.18 2.6 72 (3) 4 (6) 0.0 0.8 1.8VTB 7.5% 12-NOV-2011 BBB+/A2/BBB+ 107.86 5.51 3.7 109 (18) (2) (8) (0) 0.6 1.6VTB 6.25% 2-JUL-2035 BBB+/A2/BBB+ 103.07 5.77 6.3 127 (3) (0) 14 0.1 1.4 1.5 Sources: Bloomberg, Standard Bank Group


15

Ukraine: Currency and spreads

Exchange rates


Interbank overnight rate


Eurobonds, spread over US Treasuries


USD Ukraine ’13, spread over US Treasuries


5.00

5.02

5.04

5.05

5.07

21-Jan-07 10-Feb-07 2-Mar-07 22-Mar-07

UAH/USD

6.25

6.39

6.53

6.66

6.80

UAH/EUR

UAH/USD UAH/EUR

125

138

150

163

175

21-Jan-07 10-Feb-07 2-Mar-07 22-Mar-07

Bps

'16'13'11

'11

'08Yuzhny '09

Nafto '09

'12'09

'15

'11

'08

'12'11

'09

'16'12

Nadra '08 Alfa '09FIUKR '10

0

135

270

405

540

0 1 2 3 4 5 6 7 8Modif ied Duration

Bps

Sovereign UkrSibKyivStar KyivCityExim Privat Bank

0

1

2

3

4

21-Jan-07 8-Feb-07 26-Feb-07 16-Mar-07

%

16

Ukraine: External debt price table



Ask price

Yield (%) Mod dur


Sovereign UKRAIN 6.875% 4-MAR-2011 BB-/B1/BB- 103.55 5.85 3.4 142 (4) 18 3 0.1 0.5 1.9UKRAIN 7.65% 11-JUN-2013 BB-/B1/BB- 108.66 5.95 4.9 155 (3) 20 8 0.1 0.4 2.0UKRAIN 6.58% 21-NOV-2016 BB-/B1/BB- 101.70 6.34 6.9 182 (3) 17 (7) 0.1 0.2 3.0Banks ALFAUKR 9.75% 22-DEC-2009 BB-/B1/NR 102.03 8.88 2.3 440 2 51 (21) (0.2) (0.3) 2.6EXIM UKRAINE 7.75% 23-SEP-2009 NR/Ba2/BB- 102.73 6.53 2.2 205 1 23 4 (0) 0.4 1.7EXIM UKRAINE 7.65% 7-SEP-2011 NR/Ba2/BB- 102.67 6.93 3.7 251 1 18 19 (0) 0.6 1.6EXIM UKRAINE 6.8% 4-OCT-2012 NR/Ba2/BB- 98.44 7.14 4.4 271 (1) 16 10 (0.2) 0.3 1.7FORUMBANK 10% 30-OCT-2009 NR/B2/B- 100.13 9.91 2.1 543 87 191 8 (1.6) (2.8) 2.6UKRSIBBANK 8.95% 14-JUL-2008 NR/Ba2/BB- 102.15 7.17 1.2 245 0 12 43 0.2 0.7 1.3UKRSIBBANK 7.75% 21-DEC-2011 NR/Ba2/BB- 101.70 7.31 3.8 288 (36) 5 0.2 (0.1) UKRSOTSBANK 9% 6-JUN-2008 B /*+/Ba3 /*+/B- /*+ 102.16 7.05 1.1 232 5 26 53 (0.1) 0.3 0.8FIUKR 9.75% 16-FEB-2010 NR/B2/B- 101.10 9.28 2.4 482 (4) 26 (0.1) 0.3 PRBANK 8% 06-FEB-2012 NR/Ba2/B 99.14 8.20 3.9 381 (3) 57 (0.1) (1) PRBANK 8.75% 9-FEB-2016 NR/Ba3/NR 99.90 8.76 3.2 434 NADRA 9.5% 7-NOV-2008 NR/B1/B- 100.63 9.04 1.4 438 (7) 14 (13) (0) 0.5 2.2Energy NAFTO 8.125% 30-SEP-2009 NR/Ba2/B+ 101.34 7.52 2.2 303 (8) 11 (113) 0.2 0.7 4.8Telecoms KYIVSTAR 10.375% 17-AUG-2009 BB-/Ba3/NR 108.78 6.34 2.1 185 (5) 26 32 (0.1) 0.1 0.8KYIVSTAR 17.75% 27-APR-2012 BB-/Ba3/NR 104.89 6.60 4.1 217 3 20 13 (0.3) 0.3 1.6Municipal KYIVCITY 8.75% 8-AUG-2008 BB-/B1/NR 103.76 5.82 1.3 113 (10) (10) (17) (0) 0.6 1.6KYIVCITY 8.625% 15-JUL-2011 BB-/B1/NR 110.46 5.83 3.6 140 0 7 (9) (0.1) 0.7 2.1KYIVCITY 8% 6-NOV-2015 BB-/B1/NR 106.48 6.98 6.1 249 (0) 3 (17) 0.0 1.3 3.8Other UKRCHEM 7.875% 19-AUG-2008 NR/Caa1/B- /*- 96.91 10.28 1.3 559 (69) (41) 62 0.8 1.4 1.4YUZHNY MACH 8% 2-FEB-2009 BB-/B1/NR 102.22 6.70 1.7 214 (7) 5 2 (0) 0.6 1.6 Sources: Bloomberg, Standard Bank Group


17

Kazakhstan: Currency and spreads

Exchange rates


Interbank 7-day rate

Eurobonds, spread over US Treasuries


USD BTAS ’10 spread over US Treasuries

Sources: Bloomberg, Standard Bank Group Sources: Bloomberg, Standard Bank Group

123.5

124.3

125.0

125.8

126.5

21-Jan-07 7-Feb-07 24-Feb-07 13-Mar-07

KZT/USD

161

164

166

169

171

KZT/EUR

KZT/USD KZT/EUR

3.0

3.6

4.3

4.9

5.5

21-Jan-07 5-Feb-07 20-Feb-07 7-Mar-07 22-Mar-07

%

175

205

235

265

295

21-Jan-07 8-Feb-07 26-Feb-07 16-Mar-07

Bps

Kazakh '07

PR'13'11

'10

'07

PR'16

'12

'10

'09

'07

PR

'11

'08

'15'14'13

'10

'07'20

'13

'07

'16'15

PR

'14'13

'16

'09

0

150

300

450

600

0 2 4 6 8 10Modif ied Duration

Bps

Alliance ATFCenterCredit BTASDBKAZ KKB

18

Kazakhstan: External debt price table Spread change (bps) Total return (%)

Rating (S&P/Moody’s/Fitch)

Ask price Yield (%) Mod dur


Sovereign KAZAKS 11.125% 11-NOV-2007 BBB/Baa2/BBB 100.68 5.34 0.1 36 (32) (23) (22) 0.1 0.5 1.2Banks ALLIANCE 9% 27-JUN-2008 NR/Ba2/BB- 101.59 7.62 1.1 290 (1) 45 (14) (0.1) 0.1 1.8ALLIANCE 9% 22-NOV-2010 NR/Ba2/BB- 99.04 9.30 3.0 487 (13) 77 81 0.2 (1.3) (0.2)ALLIANCE 8.75% 20-APR-2011 NR/Ba2/BB- 97.38 9.53 3.2 512 (25) 80 81 0.6 (1.5) (0.3)ALLIANCE 9.25% 25-SEP-2013 NR/Ba2/BB- 96.70 9.95 4.8 555 (6) 92 79 0.2 (2.8) (0.8)ALLIANCE 9.375% PERPETUAL NR/B1/NR 90.46 10.37 9.1 573 (2) 73 67 0.1 (4.7) (2.5)ATF BANK 8.5% 4-MAY-2007 B+/Ba1/BB- 100.24 5.99 0.1 101 (32) (32) (63) 0.1 0.6 1.5ATF BANK 8.875% 9-NOV-2009 B+/Ba1/BB- 102.55 7.76 2.2 328 3 36 (9) (0.2) 0.1 2.2ATF BANK 8.125% 28-OCT-2010 B+/Ba1/BB- 99.31 8.34 3.0 391 (8) 32 16 (0) (0.1) 1.6ATF BANK 9.25% 12-APR-2012 B+/Ba1/BB- 100.94 9.01 3.8 458 (12) 37 49 0.3 (0.2) 0.5ATF BANK 9% 11-MAY-2016 B+/Ba1/BB- 96.30 9.61 5.9 513 5 46 56 (0.5) (1.3) (0.5)ATF BANK 10% PERPETUAL CCC+/Ba3/NR 97.94 10.21 9.3 554 (49) 29 27 2.4 (2.6) (0.7)BCCRD 8% 14-FEB-2008 NR/Ba1/BB- 101.36 6.34 0.8 147 (20) 17 (23) 0.1 0.3 1.6BCCRD 8% 2-FEB-2011 NR/Ba1/BB- 98.95 8.30 3.2 388 (25) 36 50 0.7 (0.1) 0.7BCCRD 9.125% PERPETUAL NR/Ba3/NR 92.19 10.49 5.8 601 (11) 130 145 0.4 (5.8) (5.3)BTAS 10% 29-MAY-2007 BB/Baa1/BB+ 100.72 5.76 0.2 78 (74) 20 (17) 0.2 0.4 1.3BTAS 7.875% 2-JUN-2010 BB/Baa1/BB+ 102.10 7.12 2.7 268 (10) 43 80 0.0 (0.4) (0.5)BTAS 7.75% 25-APR-2013 BB/Baa1/BB+ 99.74 7.80 4.6 339 (13) 34 73 0.4 (0.3) (1.1)BTAS 8% 24-MAR-2014 BB/Baa1/BB+ 100.06 7.99 5.3 356 (18) 34 66 0.7 (0.4) (0.9)BTAS 8.5% 10-FEB-2015 BB/Baa1/BB+ 102.08 8.13 5.6 366 (28) 33 49 1.4 (0.4) (0.1)BTAS 8.25% PERPETUAL B-/Baa3/B+ 93.46 8.84 10.9 404 (19) 25 32 1.7 (1.2) (0.5)DBKAZ 7.125% 10-NOV-2007 BBB/A2/BBB 100.91 5.36 0.5 38 (7) (10) (3) 0.1 0.5 1.2DBKAZ 7.375% 12-NOV-2013 BBB/A2/BBB 108.97 5.72 5.1 130 (3) 14 27 (0) 0.5 0.8DBKAZ 6.5% 3-JUL-2020 BBB/A2/BBB 103.39 6.12 8.7 151 3 8 30 (0.6) 0.5 (0.2)DBKAZ 6% 23-MAR-2026 BBB/A2/BBB 96.22 6.34 11.1 155 2 15 22 (0.8) (0.6) (0.3)HALYK 8.125% 7-OCT-2009 BB+/Baa1/BB+ 104.81 6.03 2.2 154 (9) 19 21 0.2 0.5 1.2HALYK 7.75% 13-MAY-2013 BB+/Baa1/BB+ 105.09 6.72 4.7 232 (21) 1 32 0.8 1.1 0.7KKB 7% 3-NOV-2009 BB+/Baa1/BB+ 101.20 6.47 2.3 199 (15) 26 40 0.2 0.1 0.6KKB 8.265% 27-JUL-2016 BB-/Baa2/BB 103.43 7.67 3.5 326 (30) 43 53 0.8 (0.5) 0.2KKB 8.5% 16-APR-2013 BB+/Baa1/BB+ 106.15 7.22 4.6 281 (18) 25 55 0.6 (0) (0.3)KKB 7.875% 7-APR-2014 BB+/Baa1/BB+ 102.08 7.48 5.2 306 (6) 48 62 0.1 (1.2) (0.8)KKB 9.2% PERPETUAL B/Baa3/B+ 102.30 8.80 5.7 434 3 55 77 (0.4) (1.8) (1.7)KKB 8% 3-NOV-2015 BB+/Baa1/BB+ 101.49 7.75 6.0 327 (16) 29 57 0.8 (0.3) (0.9)KKB 7.5% 29-NOV-2016 BB+/Baa1/BB+ 97.05 7.94 6.6 343 (22) 38 64 1.1 (1.2) (1.8)NURBANK 9% 28-APR-2008 B/Ba3/NR 100.06 8.91 1.0 412 (37) 31 138 0.3 0.4 0.2NURBANK 9.375% 17-OCT-2011 B/Ba3/NR 97.04 10.19 3.5 577 (1) 82 88 (0) (1.7) (0.4)TEMIRBANK 9.25% 23-MAR-2009 NR/Baa3/BB- 102.93 7.64 1.8 310 (9) 65 (65) (0) (0.5) 3.0TEMIRBANK 9% 24-NOV-2011 B+/Baa3/NR 101.40 8.61 3.6 419 1 66 (0) 0.0 (1.1) 2.7Utilities and Energy INTERGAS 6.875% 4-NOV-2011 BB/Baa1/NR 103.28 6.04 3.8 161 (5) 14 21 0.0 0.5 1.0PETROKAZAKH 9.625% 12-FEB-2010 NR/WR/NR 102.00 8.79 2.4 433 (36) (19) (19) (0.8) (0.1) 1.2TCOKZ 6.124% 15-NOV-2014 NR/Baa3/BBB- 99.38 6.28 3.6 186 (1) 31 50 0.0 0.0 0.2 Sources: Bloomberg, Standard Bank Group

Notes:

* On Watch *- On Watch downgrade *+ On Watch upgrade

19

Russia rouble bonds: Cash flows

Russia/Ukraine/Kazakhstan US dollar bonds: Cash flows

Bond Date CF (m)

ENCORU 7.85% 16-SEP-2010 RUB 4 23-Mar-07 79

TRUBRU 10.09% 24-MAR-2009 RUB 2 27-Mar-07 151

RUSB 8.5% 20-SEP-2011 RUB 7 27-Mar-07 212

Bond Date CF (m)

NORILSK 7.125% 30-SEP-2009 USD 30-Mar-07 17.8

NAFTO 8.125% 30-SEP-2009 USD 30-Mar-07 20.3

RUSSTBANK 7.8% 28-SEP-2007 USD 28-Mar-07 11.7

TMKRU 8.5% 29-SEP-2009 USD 29-Mar-07 12.8

PROMSTROY 6.2% 29-SEP-2015 USD EMTN 29-Mar-07 12.4

ROSBANK 9.75% 24-SEP-2009 USD 24-Mar-07 16.6

BTAS 8% 24-MAR-2014 USD REGS 24-Mar-07 16.0

ALLIANCE 9.25% 25-SEP-2013 USD REGS 25-Mar-07 16.2

PETROCOMMERCE 8% 27-MAR-2009 USD EMTN 27-Mar-07 9.0

MOSCOWBANK 8% 28-SEP-2009 USD 28-Mar-07 10.0



20

Research Strategy

Robert J Van Eyden — Global Head [email protected] +27-11-378-7242

CEEMEA

Francis Beddington Head — Local and Sovereign Strategy [email protected] +44-20-7815-2706

Stephen Bailey-Smith Local and Sovereign Strategy [email protected] +44-20-7815-3671

Henry Flint Local and Sovereign Strategy [email protected] +27-11-378-7202

Phumelele Mbiyo Local and Sovereign Strategy [email protected] +27-11-378-7236

Dmitry Shishkin Relative Value Strategy [email protected] +44-20-7815-3181

CIS

Omega Hatfield Head — Credit and Securitisation [email protected] +7-495-783-3833

Roman Luchkovsky Credit and Securitisation [email protected] +7-495-783-3861

LatAm

Ruth Mazzoni Head — Credit and Securitisation [email protected] +1-212-407-5033

Jose Bernal Credit and Securitisation [email protected] +1-212-407-5056

Eva Costa Credit and Securitisation [email protected] +1-212-407-5090

Larry Krohn Head — Latin American Economic Strategy [email protected] +1-212-407-5042

South Africa

Henry Flint Deputy Head [email protected] +27-11-378-7202

Leigh Cosser Credit and Securitisation [email protected] +27-11-378-7239

Jason Costa Unit Head — Credit and Securitisation [email protected] +27-11-378-7220

Moxima Gama Technical Analysis (Equities) [email protected] +27-11-378-7201

Darran Grabham Technical Analysis (Capital Markets) [email protected] +27-11-378-7228

Michael Keenan Local Markets Strategy [email protected] +27-11-378-7246

Raven Moodley Credit and Securitisation [email protected] +27-11-378-7222

Nhlanhla Ntuli Quantitative Strategy [email protected] +27-11-378-7229

Nicolette Roussos Quantitative Strategy [email protected] +27-11-378-7217

Seamus Vasey Local Markets Strategy [email protected] +27-11-378-7213

Wilbie Venter Commodities [email protected] +27-11-378-7215

Adriaan du Toit Analyst [email protected] +27-11-378-7215

21

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