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DAILY BONDS REVIEW 27 June 2016

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© Veles Capital 2016

Daily Bonds Review

Domestic market The Russian debt market opened with a rapid drop at the back of the results of the referendum on Brexit No comments

Today – “RN Bank”, SC 01 series (Fitch BÂ+): placement volume forms 5 bn RUB, maturity – 5Y (offer in 2Y), benchmark of the first coupon – 10.60-10.90% annually (yield by offer forms 10.88-11.20% annually), coupon payments – twice a year, preliminary open of the book – 11:00 am through 4:00 pm MSK.

28.06.2016 – “ER-Telecom Holding”, 001R-01 series (B2/B+/-): placement volume forms 3-5 bn RUB, maturity – 3Y, benchmark of the first coupon – 12.25-12.75% annually (yield by offer forms 12.63-13.16% annually), coupon payments – twice a year, the book available at 10:00 am through 4:00 pm MSK.

Market results

Debt and money markets

day week monthOFZ 26214 ▲ 8.96 7 -12 98OFZ 26215 ▲ 8.71 8 -10 156Russia 2023 ▲ 3.76 12 -2 79UST 10 - 1.75 - 17 -27UST 30 - 2.55 - 16 -23Germany 10 ▼ -0.05 -14 -7 188Italy 10 ▲ 1.55 16 4 -512Spain 10 ▲ 1.63 16 7 -119MOSPRIME O/N, % ▼ 10.43 -4 -5 -93MOSPRIME 1 week, % ▼ 10.58 -1 -3 -76LIBOR O/N, % ▲ 0.39 0 1 1LIBOR 1 month, % ▲ 0.45 0 1 0

CloseChange, b.p.

Source: market data; estimation: Veles Capital

Commodity and currency markets

day week monthBrent, USD/bbl ▼ 46.93 -5.29 -1.76 -5.82RUR/USD, ЦБ ▲ 64.99 1.52 0.22 -0.87RUR/EUR, ЦБ ▼ 72.58 -0.14 -0.67 -0.96

CloseChange,%

Source: market data; estimation: Veles Capital

Ruble liquidity figures

0

500

1 000

1 500

2 000

2 500

05.10.16 05.20.16 06.01.16 06.14.16 06.24.16

Total volume Correspondent Accounts Bank depos its with BOR

D a i l y b o n d s r e v i e w

27 June 2016

Domestic market Market situation. The Russian debt market opened with a rapid drop at the back of the results of the referendum on Brexit. The result unexpected by the majority of the investors that forecasted that the ones voting to stay would prevail turned into a great correction at the global grounds. The EM currencies were losing about 5%, however, the Russian currency showed sustainability and won back the dip by the end of the trade session. The state bonds opened 1 to 2% down depending on the part of the curve, however, after the American market has opened, the OFZ started recovering it positions. We assume the activity was provided by the domestic players that were busy picking up the instruments that lost in price. Additional support to the ruble curve came from the oil market, which did not go downwards as the American grounds were opening.

Forecast. The Russian bonds market has proved once again being least dependent from the foreign conjuncture starting from late last year. The motion of the majority of notes has been defined by the local events and presence of ruble liquidity in the banks system. Considering the weak recovery process at the Russian credit system, the financial institutes still are actively participating in the debt market processes and keeping the federal debt curve located inadequately. As the international players consider the positive and negative points of the referendum, the appetite to risk might return to the market, despite the inactive investors in the summer period. Besides, the demand of risky and debt assets was driven by the low probability of the rate upping at the session in July by Fed as the regulator is alarmed regarding the further economic prospects of the EU without the UK.

Today we forecast insignificant activity at the market, however, the effect of buyers in the segment of OFZ will prevail. We assume that the local investors pull the cheap long notes up, however, at the back of the foreign uncertainty, and low appetite to risk, the motion of the majority of notes will be insignificant. It is complicated to tell the prospects of the long segment of the state debt as its results depend on the oil quotes and the Russian currency’ dynamics, which actually are highly volatile. With respect to that, we recommend staying outside the market.

The Russ ian debt m ar ket opened wit h a rapid drop at t he back of t he r esult s of the r ef er endum on Br exit

Ivan Manaenko, Artur Navrotskiy [email protected]


27 June 2016

Ruble bonds trade results Turnover leaders Trades leaders

Issue Price, %Price.

chg, p.p.

Trade

Volume,

mln RUR

Num of

TradesYield,%

Dur.,

years

RSHB БО-07 100.00 0.11 6,555.22 59 10.51 0.96

OFZ 26217 95.23 2.73 5,722.43 - 8.85 4.23

OFZ 26214 92.02 2.02 2,149.27 - 9.05 3.49

OFZ 52001 (CPI) 98.63 0.38 1,670.26 - 2.73 6.52

OFZ 26218 99.38 3.33 1,576.31 - 8.75 8.63

OFZ 25081 95.37 0.22 1,529.35 - 9.60 1.51

OFZ 26207 97.34 2.34 1,161.39 - 8.72 7.04

Tele2 01 101.37 0.18 896.03 5 10.73 1.81

OFZ 25080 98.27 0.12 810.51 - 9.87 0.79

OFZ 26205 95.90 2.10 668.85 - 8.85 4.04

Tele2 02 102.20 0.20 571.19 2 10.69 2.60

AFK Sistemа 03 99.23 -0.11 498.22 10 10.96 0.41

OFZ 26215 91.72 2.72 395.86 - 8.76 5.53

OFZ 26204 97.39 1.39 393.68 - 9.38 1.61

OFZ 26212 89.37 2.37 390.31 - 8.69 7.64

OFZ 26203 99.65 0.03 364.38 - 10.56 0.10

Tele2 03 102.20 0.20 196.66 4 10.69 2.60

OFZ 26210 94.11 0.26 188.38 - 9.01 3.12

OFZ 26206 97.97 0.05 174.48 - 9.89 0.95

Tele2 07 101.70 - 132.22 2 10.67 0.76

Gazpromneft 12 98.35 0.04 127.56 2 10.00 1.36

VEB БО-01 100.12 0.05 102.70 7 9.55 0.05

KB MIA БО-02 100.85 0.20 100.85 2 11.75 0.69

Volgogradskaya Obl 35003 97.85 0.43 76.32 7 10.18 0.94

OFZ 26211 91.93 1.98 70.07 - 8.82 5.17


chg, p.p.

Trade

Volume,

mln RUR

Num of

TradesYield,%

Dur.,

years

TGK2 БО-02 61.67 -0.30 2.27 86 73.36 0.98

Tatfondbank БО-08 100.21 -0.71 1.96 63 16.52 0.28

RSHB БО-07 100.00 0.11 6,555.22 59 10.51 0.96

GTLK БО-01 96.81 -0.02 11.70 41 12.63 1.29

RZD 32 99.07 -0.32 4.08 40 39.67 0.05

FESCO БО-02 72.97 2.10 1.03 36 138.16 0.42

Tatfondbank БО-11 99.28 -1.00 1.55 36 17.93 0.21

Mechel 13 79.14 -0.37 0.94 34 63.61 0.63

Mechel 14 79.03 -0.32 0.77 33 63.95 0.63

BINBANK БО-02 99.74 0.02 2.79 31 14.88 0.24

GTLK БО-02 96.54 -0.06 4.25 19 12.86 1.29

GTLK 01 103.87 0.49 2.24 16 12.58 1.38

Alliance Oil 04 82.33 -1.22 1.50 15 75.10 0.44

Credit Bank of Moscow 12 97.76 -0.34 0.35 14 13.91 1.88

GTLK 02 103.91 0.69 27.74 12 12.56 1.39

Mechel 17 78.91 1.75 0.09 12 19.38 3.60

Novosibirsk 34005 95.27 -1.21 2.03 11 11.69 1.14

AFK Sistemа 03 99.23 -0.11 498.22 10 10.96 0.41

Baltijskij Bereg 01 19.08 1.99 0.00 10 3,122.37 0.49

Hakasiya 35003 96.32 0.37 9.62 10 10.63 2.05

RZD 16 89.55 -0.08 0.29 10 12.58 0.94

Mechel 18 77.07 -1.93 1.10 9 20.16 3.58

RUSAL 07 99.99 -1.00 0.01 9 12.34 1.49

Yaroslavskaya Obl 34012 95.91 -1.74 10.84 9 12.41 0.96

Uranium One 02 94.00 0.07 0.03 7 12.50 3.32

Top leaders Down leaders


chg, p.p.

Trade

Volume,

mln RUR

Num of

TradesYield,%

Dur.,

years

Prime Finance 01 102.77 4.88 0.23 5 48.93 0.06

OFZ 26218 99.38 3.33 1,576.31 - 8.75 8.63

OFZ 26217 95.23 2.73 5,722.43 - 8.85 4.23

OFZ 26215 91.72 2.72 395.86 - 8.76 5.53

OFZ 46020 80.55 2.55 5.80 - 9.28 9.58

OFZ 26212 89.37 2.37 390.31 - 8.69 7.64

OFZ 26207 97.34 2.34 1,161.39 - 8.72 7.04

OFZ 26209 95.19 2.19 38.33 - 8.82 4.78

FESCO БО-02 72.97 2.10 1.03 36 138.16 0.42

OFZ 26205 95.90 2.10 668.85 - 8.85 4.04

OFZ 26214 92.02 2.02 2,149.27 - 9.05 3.49

Baltijskij Bereg 01 19.08 1.99 0.00 10 3,122.37 0.49

OFZ 26211 91.93 1.98 70.07 - 8.82 5.17

OKEY 02 102.00 1.90 0.00 1 10.34 1.38

Mechel 17 78.91 1.75 0.09 12 19.38 3.60

RSHB 03 100.58 1.68 0.22 1 11.26 0.59

OFZ 26204 97.39 1.39 393.68 - 9.38 1.61

OFZ 46022 84.96 1.31 0.17 - 8.94 5.27

Acron 05 99.99 1.29 0.15 3 10.46 3.28

GTLK 02 103.91 0.69 27.74 12 12.56 1.39

RSHB 11 101.39 0.69 0.67 5 10.84 1.02

OFZ 46021 93.43 0.68 0.02 - 9.73 1.53

Lipetsk Obl 34007 99.10 0.66 0.05 1 10.30 0.89

Tverskaya Obl 34008 99.45 0.60 0.26 2 10.71 0.93

MTS 05 99.95 0.60 0.01 1 9.24 0.06


chg, p.p.

Trade

Volume,

mln RUR

Num of

TradesYield,%

Dur.,

years

Mechel 18 77.07 -1.93 1.10 9 20.16 3.58

RUSAL 08 99.65 -1.84 0.00 4 12.81 0.76

Yaroslavskaya Obl 34012 95.91 -1.74 10.84 9 12.41 0.96

FGC UES 19 95.10 -1.49 0.01 3 10.95 1.87

Udmurt Resp 35001 94.21 -1.45 0.01 4 11.58 1.74

Volgograd 34006 98.22 -1.26 0.02 6 11.50 1.10

Alliance Oil 04 82.33 -1.22 1.50 15 75.10 0.44

Novosibirsk 34005 95.27 -1.21 2.03 11 11.69 1.14

Bashkortostan 34008 94.34 -1.16 0.00 3 10.84 2.19

RUSAL 07 99.99 -1.00 0.01 9 12.34 1.49

Tatfondbank БО-11 99.28 -1.00 1.55 36 17.93 0.21

Rosneft 08 96.25 -0.90 0.00 2 10.70 1.60

Vologodskaya Obl 34002 100.09 -0.89 0.13 6 10.86 0.46

Oktritie 04 99.14 -0.85 0.09 5 16.74 0.24

Tatfondbank БО-08 100.21 -0.71 1.96 63 16.52 0.28

BINBANK БО-04 99.81 -0.69 0.00 1 14.23 0.59

Ryazan Obl 34002 98.76 -0.54 0.00 7 10.83 1.38

Rosneft 04 98.10 -0.40 0.20 1 10.41 1.26

FGC UES 09 97.60 -0.40 0.09 1 10.20 1.27

RSHB 07 100.50 -0.38 0.01 1 11.26 0.92

Mechel 13 79.14 -0.37 0.94 34 63.61 0.63

KB MIA БО-03 100.30 -0.35 0.00 1 12.24 0.91

Mordovia 34001 97.80 -0.35 39.12 2 11.63 1.17

VEB 06 97.00 -0.34 0.01 1 10.66 1.25

Credit Bank of Moscow 12 97.76 -0.34 0.35 14 13.91 1.88


27 June 2016

State and municipal bonds market atlas

OFZ 25080OFZ 25080

OFZ 25081

OFZ 26203

OFZ 26204

OFZ 26205OFZ 26205

OFZ 26206

OFZ 26207

OFZ 26208

OFZ 26209OFZ 26210

OFZ 26211OFZ 26212

OFZ 26214

OFZ 26215OFZ 26215OFZ 26217

OFZ 26218

OFZ 46005

OFZ 46012

OFZ 46014

OFZ 46017

OFZ 46018

OFZ 46019OFZ 46020

OFZ 46021

OFZ 46022

OFZ 46023

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

0,0 2,0 4,0 6,0 8,0 10,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call

date**Maturity date Price, %

Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

OFZ 52001 (CPI) 2.50 - 16.08.2023 ▲ 98.63 0.38 1,670,262 2.73 6.52 - 96

OFZ 25080 7.40 - 19.04.2017 ▲ 98.27 0.12 810,509 9.87 0.79 44 95OFZ 25080 7.40 - 19.04.2017 - - - - 9.87 0.79 - -OFZ 25081 6.20 - 31.01.2018 ▲ 95.37 0.22 1,529,349 9.60 1.51 16 95OFZ 26203 6.90 - 03.08.2016 ▲ 99.65 0.03 364,378 10.56 0.10 210 95OFZ 26204 7.50 - 15.03.2018 ▲ 97.39 1.39 393,682 9.38 1.61 - 95OFZ 26205 7.60 - 14.04.2021 - - - - 8.85 4.04 - -OFZ 26205 7.60 - 14.04.2021 ▲ 95.90 2.10 668,854 8.85 4.04 - 95OFZ 26206 7.40 - 14.06.2017 ▲ 97.97 0.05 174,482 9.89 0.95 45 95OFZ 26207 8.15 - 03.02.2027 ▲ 97.34 2.34 1,161,391 8.72 7.04 - 97OFZ 26208 7.50 - 27.02.2019 ▲ 96.31 0.11 58,449 9.29 2.41 - 95OFZ 26209 7.60 - 20.07.2022 ▲ 95.19 2.19 38,331 8.82 4.78 - 95OFZ 26210 6.80 - 11.12.2019 ▲ 94.11 0.26 188,377 9.01 3.12 - 96OFZ 26211 7.00 - 25.01.2023 ▲ 91.93 1.98 70,073 8.82 5.17 - 95OFZ 26212 7.05 - 19.01.2028 ▲ 89.37 2.37 390,314 8.69 7.64 - 96OFZ 26214 6.40 - 27.05.2020 ▲ 92.02 2.02 2,149,274 9.05 3.49 - 95OFZ 26215 7.00 - 16.08.2023 ▲ 91.72 2.72 395,860 8.76 5.53 - 96OFZ 26215 7.00 - 16.08.2023 - - - - 8.76 5.53 - -OFZ 26217 7.50 - 18.08.2021 ▲ 95.23 2.73 5,722,430 8.85 4.23 - 96OFZ 26218 8.50 - 17.09.2031 ▲ 99.38 3.33 1,576,306 8.75 8.63 - 96OFZ 46005 - - 09.01.2019 - - - - 10.51 1.82 12 22OFZ 46010 10.00 - 17.05.2028 - - - - - - - -OFZ 46011 10.00 - 20.08.2025 - - - - - 4.72 - 22OFZ 46012 3.35 - 05.09.2029 ▲ 84.50 0.50 8,441 9.03 7.82 - 23OFZ 46014 7.00 - 29.08.2018 ▲ 95.93 0.24 97 9.57 1.79 12 31OFZ 46017 6.00 - 03.08.2016 ▲ 99.58 0.03 42,024 10.53 0.10 208 80OFZ 46018 6.50 - 24.11.2021 ▲ 91.62 0.12 183 9.07 3.87 - 76OFZ 46019 2.01 - 20.03.2019 - - - - 9.46 1.66 1 26OFZ 46020 6.90 - 06.02.2036 ▲ 80.55 2.55 5,801 9.28 9.58 - 95OFZ 46021 5.00 - 08.08.2018 ▲ 93.43 0.68 19 9.73 1.53 29 49OFZ 46022 6.00 - 19.07.2023 ▲ 84.96 1.31 167 8.94 5.27 - 35OFZ 46023 8.16 - 23.07.2026 - 100.50 - 10 8.19 3.95 - 25OFZ 48001 12.20 - 31.10.2018 ▼ 102.79 -0.11 20 1.08 1.23 - 23

ОФЗ

OFZ

* - liquidity rating is calculated daily based on data for 60 days; **C-Call, P-Put Source: market data, Estimation: Veles Capital


27 June 2016

Sub-federal and municipal bonds

Bashkortostan 34008Vologodskaya Obl 34002Tomsk 34004

Belgorodskaya Obl 34006Vologodskaya Obl 34003Voronezskaya Obl 34005

Voronezskaya Obl 34006

Kostromskaya Obl 34006 Kostromskaya Obl 34007

Krasnodar Kr 34004

Krasnoyarsk Kr 34006Krasnoyarsk Kr 34007 Lipetsk Obl 35008

Volgogradskaya Obl 35002

Volgogradskaya Obl 35003Samarskaya Obl 35007

Samarskaya Obl 35008

Samarskaya Obl 35009

Stavropol Kr 34002

Mordovia 34001

Sakha Resp 35005

Nizegorodskaya Obl 34007

Nizegorodskaya Obl 34008 Nizegorodskaya Obl 34009

Novosibirsk 34005

Novosibirsk 35006Omsk obl 34001

Orenburg Reg 35001

Karelia 34014 Karelia 34015

Karelia 34016Hakasiya 35003

Ryazan Obl 34002

Saint-Petersburg 25039Smolensk Obl 34001Udmurt Resp 34006

Chuvashia 34010

Yaroslavskaya Obl 34012

Moscow Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Bashkortostan 34008 7.75 - 18.09.2020 ▼ 94.34 -1.16 2 10.84 2.19 138 18Vologodskaya Obl 34002 10.65 - 14.12.2016 ▼ 100.09 -0.89 126 10.86 0.46 136 15Tomsk 34004 8.50 - 29.11.2016 ▲ 99.20 0.10 40 10.86 0.42 139 17Belgorodskaya Obl 34006 7.00 - 08.08.2017 - 97.30 - - 10.45 0.71 102 12Vologodskaya Obl 34003 9.75 - 05.12.2017 ▼ 99.64 -0.17 34 10.70 0.66 127 31Voronezskaya Obl 34005 6.85 - 17.12.2017 - 96.01 - - 10.70 1.05 127 15Voronezskaya Obl 34006 7.78 - 23.10.2018 ▲ 96.50 0.45 1 11.05 1.17 161 32Kostromskaya Obl 34006 9.50 - 17.11.2016 - 99.61 - - 10.79 0.39 134 33Kostromskaya Obl 34007 8.75 - 28.09.2018 ▲ 97.01 0.04 1 10.88 1.40 144 35Krasnodar Kr 34004 8.95 - 09.11.2017 - 99.50 - - 9.89 0.83 45 14Krasnoyarsk Kr 34006 8.25 - 19.10.2017 ▲ 98.55 0.02 1,183 10.25 0.78 82 27Krasnoyarsk Kr 34007 7.95 - 19.09.2018 ▲ 97.70 0.05 4,885 10.25 1.14 82 22Lipetsk Obl 35008 6.89 - 17.04.2020 ▲ 94.40 0.40 33,539 10.24 2.22 78 17Volgogradskaya Obl 35002 7.99 - 28.05.2017 ▼ 99.05 -0.20 4 10.59 0.43 111 12Volgogradskaya Obl 35003 7.52 - 14.06.2018 ▲ 97.85 0.43 76,324 10.18 0.94 74 17Samarskaya Obl 35007 7.49 - 30.11.2016 - 99.30 - 2,826 10.22 0.30 90 13Samarskaya Obl 35008 9.00 - 13.12.2017 - 99.03 - - 9.85 1.38 41 12Samarskaya Obl 35009 8.15 - 31.07.2020 ▲ 96.80 0.35 9,275 10.13 2.02 68 24Stavropol Kr 34002 8.09 - 04.11.2020 - 95.53 - - 10.39 2.21 93 23Mordovia 34001 9.25 - 22.10.2018 ▼ 97.80 -0.35 39,121 11.63 1.17 219 26Sakha Resp 35005 8.70 - 24.04.2018 - 98.39 - - 10.49 1.08 - 13Nizegorodskaya Obl 34007 9.15 - 16.11.2016 ▲ 99.83 0.42 28 9.77 0.39 32 22Nizegorodskaya Obl 34008 9.65 - 29.08.2017 ▲ 99.69 0.09 51,437 10.21 0.63 68 23Nizegorodskaya Obl 34009 8.87 - 26.08.2020 ▲ 96.20 0.38 1,448 10.16 2.20 70 15Novosibirsk 34005 6.94 - 06.09.2017 ▼ 95.27 -1.21 2,033 11.69 1.14 226 12Novosibirsk 35006 8.50 - 22.07.2020 - - - - 10.30 1.96 84 12Omsk obl 34001 7.85 - 14.10.2016 ▼ 99.38 -0.07 16 10.34 0.29 103 28Orenburg Reg 35001 8.50 - 19.06.2019 ▲ 97.84 0.32 5 9.84 2.25 38 39Karelia 34014 9.49 - 30.11.2016 - 99.70 - 666 10.45 0.43 98 12Karelia 34015 8.85 - 22.10.2017 - 97.80 - - 10.50 1.24 106 13Karelia 34016 7.89 - 29.01.2019 ▼ 97.72 -0.01 26 10.86 0.82 143 19Hakasiya 35003 8.40 - 27.10.2020 ▲ 96.32 0.37 9,621 10.63 2.05 118 18Ryazan Obl 34002 9.50 - 14.12.2017 ▼ 98.76 -0.54 2 10.83 1.38 139 24Saint-Petersburg 25039 7.94 - 01.06.2017 ▲ 98.63 0.17 54 9.73 0.91 30 13Smolensk Obl 34001 8.90 - 20.10.2018 - 97.94 - - 9.89 1.59 44 29Udmurt Resp 34006 10.10 - 05.12.2017 - 97.40 - - 9.92 1.38 48 15Chuvashia 34010 7.25 - 07.06.2018 - 97.20 - 20,566 10.34 1.03 90 12Yaroslavskaya Obl 34012 7.85 - 13.07.2018 ▼ 95.91 -1.74 10,837 12.41 0.96 298 20

Municipal bonds



27 June 2016

Corporate bonds market atlas

Oil and gas

Bashneft 01

Bashneft 02

Bashneft 03

Bashneft 04

Bashneft 06

Bashneft 07Bashneft 08

Bashneft 09Gazprom Capital 04Gazprom Capital 05 Gazpromneft 04

Gazpromneft 10

Gazpromneft 12

Rosneft 04

Rosneft 05Rosneft 06



Transneft 01

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Bashneft 01 8.35 - 13.12.2016 - 99.21 - - 10.05 0.46 55 19Bashneft 02 8.35 - 13.12.2016 - 99.35 - - 9.81 0.46 31 16Bashneft 03 8.35 - 13.12.2016 - - - - 10.05 0.46 55 20Bashneft 04 9.50 16.02.2017 P 04.02.2022 - 99.54 - - 7.95 0.60 - 15Bashneft 06 8.65 12.02.2018 P 31.01.2023 - 98.29 - - 9.84 1.49 39 38Bashneft 07 8.85 10.02.2020 P 31.01.2023 ▼ 96.91 -0.12 8 10.13 3.05 65 24Bashneft 08 8.65 12.02.2018 P 31.01.2023 - 98.90 - - 10.04 1.49 60 15Bashneft 09 8.85 10.02.2020 P 31.01.2023 - - - - 9.94 3.06 46 17Gazprom Capital 04 7.55 - 15.02.2018 ▲ 96.85 0.08 3,601 9.90 1.53 45 14Gazprom Capital 05 7.55 - 16.02.2017 - 98.66 - - 9.81 0.62 28 30Gazpromneft 03 - - 12.07.2016 - - - - - - - -Gazpromneft 04 8.20 16.04.2018 P 09.04.2019 - 97.38 - - 9.74 1.67 30 17Gazpromneft 09 - - 26.01.2021 - - - - - - - -Gazpromneft 10 8.90 05.02.2018 P 26.01.2021 - 97.80 - 127 10.68 1.48 124 17Gazpromneft 11 - - 25.01.2022 - - - - - 5.58 - -Gazpromneft 12 8.50 05.12.2017 P 23.11.2022 ▲ 98.35 0.04 127,557 10.00 1.36 55 40Alliance Oil 03 0.01 - 21.07.2020 - - - - - - - 2Alliance Oil 04 13.00 09.12.2016 P 01.06.2021 ▼ 82.33 -1.22 1,496 75.10 0.44 6,561 41Alliance Oil 06 13.00 14.12.2016 P 04.06.2021 - 83.00 - - 71.66 0.45 6,217 24Rosneft 04 8.60 27.10.2017 P 17.10.2022 ▼ 98.10 -0.40 196 10.41 1.26 97 42Rosneft 05 8.60 27.10.2017 P 17.10.2022 - 98.36 - - 9.88 1.26 44 37Rosneft 06 7.95 11.06.2018 P 30.05.2023 - 96.83 - - 9.97 1.83 52 12Rosneft 07 8.00 22.03.2018 P 10.03.2023 ▼ 96.25 -0.25 5 10.70 1.60 125 18Rosneft 08 8.00 22.03.2018 P 10.03.2023 ▼ 96.25 -0.90 5 10.70 1.60 125 12Rosneft 09 7.95 11.06.2018 P 30.05.2023 - 96.47 - - 9.97 1.83 52 17Rosneft 10 7.95 11.06.2018 P 30.05.2023 - 96.30 - - 9.97 1.83 52 20Transneft 01 8.50 17.05.2017 P 13.05.2019 - 98.00 - - 9.59 0.88 16 63Transneft 02 12.00 05.10.2017 P 01.10.2019 - 100.00 - - 11.50 - - 15Transneft 03 12.05 - 18.09.2019 - - - - - 2.74 - 21

Oil & Gas



27 June 2016

Power industry

Volzhskaya TGK 01 (ранее ТГК-5,

01)


01)


01)

Kuzbassenergo 01

Kuzbassenergo 02

RusHydro 01

RusHydro 07RusHydro 08

FGC UES 06

FGC UES 07

FGC UES 08FGC UES 09

FGC UES 11

FGC UES 15

FGC UES 19

FGC UES 21

FGC UES 22

FGC UES 24FGC UES 25 OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

14,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0 4,5 5,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Volzhskaya TGK 01 (ранее ТГК-5, 01)12.50 12.10.2016 P 06.10.2017 - - - - 10.23 0.28 96 3Volzhskaya TGK 01 (ранее ТГК-6, 01)12.50 30.08.2016 P 24.08.2017 - 100.35 - 80 10.30 0.16 145 9Volzhskaya TGK 01 (ранее ТГК-9, 01)8.10 - 07.08.2017 - 95.25 - 1 13.20 1.05 377 12Kuzbassenergo 01 11.00 22.06.2017 P 14.06.2021 - 94.43 - - 11.31 0.95 187 13Kuzbassenergo 02 8.70 25.04.2017 P 15.04.2021 - 95.88 - - 11.63 0.79 219 41Lenenergo 04 - - 18.04.2017 - - - - - - - -RusHydro 01 9.50 - 12.04.2021 - 99.49 - - 9.80 3.89 31 58RusHydro 02 9.50 - 12.04.2021 - - - - - 3.90 - 40RusHydro 07 8.50 13.02.2018 P 02.02.2023 ▼ 98.00 -0.05 7,150 10.10 1.50 65 46RusHydro 08 8.50 13.02.2018 P 02.02.2023 - 97.85 - - 9.81 1.50 37 28TGK1 03 14.40 - 14.12.2021 - - - - - - - -TGK2 БО-02 12.00 - 10.10.2018 ▼ 61.67 -0.30 2,274 73.36 0.98 6,392 33Technopromproject 01 8.50 - 28.09.2016 - - - - - 0.26 - 0FGC UES 06 8.25 - 15.09.2020 - 93.50 - 1 10.43 3.55 95 12FGC UES 07 7.50 - 16.10.2020 - - - - 11.47 3.66 198 7FGC UES 08 8.25 - 15.09.2020 - 92.90 - - 10.41 3.55 92 14FGC UES 09 7.99 24.10.2017 P 16.10.2020 ▼ 97.60 -0.40 88 10.20 1.27 76 10FGC UES 10 7.75 - 15.09.2020 - - - - - - - 5FGC UES 11 7.99 24.10.2017 P 16.10.2020 - 97.32 - - 9.60 1.27 15 18FGC UES 12 8.10 - 19.04.2019 - - - - - 2.54 - 56FGC UES 13 8.50 - 22.06.2021 - - - - - 3.97 - 14FGC UES 15 8.75 24.10.2018 P 12.10.2023 - - - - 7.62 2.11 - 11FGC UES 18 8.50 07.06.2019 P 27.11.2023 - 96.35 - - 10.20 - - 9FGC UES 19 7.95 18.07.2018 P 06.07.2023 ▼ 95.10 -1.49 6 10.95 1.87 149 31FGC UES 21 8.75 26.04.2017 P 06.10.2027 - 99.20 - - 9.87 0.79 44 29FGC UES 22 15.40 03.08.2022 P 21.07.2027 ▲ 100.25 0.20 57 12.85 0.10 439 21FGC UES 23 8.30 - 27.04.2048 - - - - - - - 5FGC UES 24 8.00 24.01.2020 P 07.01.2028 - - - - 9.74 3.05 27 5FGC UES 25 8.60 04.10.2016 P 14.09.2027 - 99.61 - - 9.97 0.25 76 28FGC UES 26 8.30 09.07.2047 P 30.06.2048 - - - - - - - 8FGC UES 27 8.30 09.07.2047 P 30.06.2048 - - - - - - - 6FGC UES 28 8.30 - 27.04.2048 - - - - - - - 12New Generation 01 8.75 - 15.11.2016 - - - - - - - -

Utilities



27 June 2016

Telecommunications

Rostelecom 15

Rostelecom 17

Rostelecom 18

Rostelecom 19

Vympelcom 01

Vympelcom 02Vympelcom 04

MegaFon 05

MegaFon 06MegaFon 07

MTS 05

MTS 07

MTS 08

MTS БО-01

Tele2 01 Tele2 02Tele2 03Tele2 07

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

14,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Rostelecom 11 11.70 - 24.07.2019 - - - - - - - -Rostelecom 15 8.20 - 24.01.2018 - 98.00 - - 10.06 1.25 - 11Rostelecom 16 10.50 - 07.06.2018 - - - - - - - 2Rostelecom 17 10.50 - 02.11.2017 - - - - 8.73 1.05 - 15Rostelecom 18 8.20 - 24.01.2018 - 98.70 - - 9.43 1.24 - 17Rostelecom 19 10.50 - 06.03.2018 - 100.50 - 308 10.35 1.33 91 8Vympelcom 01 10.00 17.03.2017 P 08.03.2022 - 99.50 - - 10.97 0.69 - 16Vympelcom 02 10.00 23.03.2017 P 14.03.2022 - 100.10 - - 10.05 0.71 62 6Vympelcom 04 10.00 17.03.2017 P 08.03.2022 ▲ 99.99 0.14 207 10.22 0.69 79 66MegaFon 05 0.10 11.10.2016 P 29.09.2022 - 96.55 - 1 13.64 0.28 437 16MegaFon 06 8.00 13.03.2018 P 01.03.2023 - - - - 9.92 1.58 48 33MegaFon 07 8.00 13.03.2018 P 01.03.2023 - 96.20 - - 9.92 1.58 48 34MTS 03 10.00 - 12.06.2018 - - - - - - - 12MTS 05 8.75 - 19.07.2016 ▲ 99.95 0.60 14 9.24 0.06 105 20MTS 07 8.70 - 07.11.2017 - 98.60 - - 9.96 1.30 52 28MTS 08 10.75 10.11.2016 P 03.11.2020 - - - - 9.34 0.37 - 19MTS БО-01 8.25 02.04.2018 P 22.03.2023 - - - - 10.22 1.63 77 14Tele2 01 11.25 19.06.2018 P 11.06.2021 ▲ 101.37 0.18 896,025 10.73 1.81 128 34Tele2 02 11.30 18.06.2019 P 11.06.2021 ▲ 102.20 0.20 571,191 10.69 2.60 122 40Tele2 03 11.30 18.06.2019 P 11.06.2021 ▲ 102.20 0.20 196,665 10.69 2.60 122 26Tele2 04 0.01 - 31.01.2022 - - - - - - - 1Tele2 05 0.01 - 31.01.2022 - - - - - - - 1Tele2 07 12.75 14.04.2017 P 05.04.2022 - 101.70 - 132,223 10.67 0.76 124 37

TMT



27 June 2016

Transport

RZD 12

RZD 16

RZD 17

RZD 18

RZD 19RZD 23RZD 28

TransKontainer 04

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

UTair 05 9.50 - 21.07.2016 - - - - - - - -FESCO БО-02 14.00 - 28.11.2017 ▲ 72.97 2.10 1,034 138.16 0.42 12,869 34Aeroexpress 01 11.00 - 13.01.2017 - - - - - - - 1RZD 12 8.45 21.11.2016 P 16.05.2019 ▼ 99.29 -0.13 40 10.56 0.39 111 26RZD 16 0.10 - 05.06.2017 ▼ 89.55 -0.08 287 12.58 0.94 314 85RZD 17 11.60 17.01.2018 P 16.07.2018 - 102.72 - - 9.84 1.40 39 55RZD 18 9.25 20.07.2016 P 15.07.2019 ▲ 99.95 0.05 775 10.18 0.06 202 21RZD 19 8.15 18.07.2018 P 08.07.2024 - 96.95 - - 9.89 1.86 44 16RZD 23 11.75 02.08.2018 P 16.01.2025 - 103.80 - - 9.89 1.82 44 30RZD 28 8.20 03.04.2020 P 21.03.2028 - 95.80 - 42,351 9.78 3.24 30 26RZD 32 9.40 13.07.2022 P 25.06.2032 ▼ 99.07 -0.32 4,076 39.67 0.05 3,170 41RZD БО-09 8.30 - 08.06.2028 - - - - - - - 15RZD БО-12 10.80 - 18.08.2033 - - - - - - - 15RZD БО-13 8.30 - 19.09.2033 - - - - - - - 15RZD БО-18 8.30 - 29.04.2043 - - - - - - - 15TRANSAERO БО-03 16.00 28.07.2016 25.10.2018 - 0.01 - 0 ####### 0.09 - 30TransKontainer 04 8.35 - 26.01.2018 - - - - 10.58 0.78 115 9

Transport



27 June 2016

Trade

Lenta 01

Lenta 02X5 БО-02

X5 БО-03Lenta 03

OKEY 02

OKEY БО-04

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Lenta 01 11.75 06.09.2018 P 03.03.2020 - 102.67 - - 10.55 1.93 110 51Lenta 02 11.00 07.03.2019 P 03.03.2020 - - - - 9.91 2.33 45 1X5 БО-02 9.10 - 23.09.2016 - 99.68 - - 9.86 0.24 69 19X5 БО-03 8.85 - 26.10.2016 - 99.38 - - 10.45 0.33 107 17Lenta 03 11.75 30.08.2018 P 25.02.2020 - 102.23 - - 10.58 1.91 113 18OKEY 02 11.60 - 12.12.2017 ▲ 102.00 1.90 2 10.34 1.38 90 11OKEY БО-04 8.90 13.10.2016 P 09.10.2018 ▼ 99.27 -0.16 10,920 11.75 0.29 245 37

Retail & food production



27 June 2016

Machinery

Russian Helicopters 01

Russian Helicopters 02

GSS 01

Irkut БО-04

Power Machines 02

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

14,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Russian Helicopters 01 8.25 - 20.04.2018 - - - - 8.52 1.70 - 40Russian Helicopters 02 8.25 - 20.04.2018 - 98.54 - - 9.33 1.71 - 60Remputmash 01 8.50 - 20.10.2016 - - - - - 0.32 - 10HMS 03 - - 30.01.2018 - - - - - - - -GSS 01 0.10 - 26.03.2017 ▼ 90.84 -0.16 91 13.88 0.74 445 18Irkut БО-04 9.00 14.11.2018 P 06.11.2023 - 95.80 - - 11.35 2.17 189 19UAC 01 8.00 - 17.03.2020 - - - - - - - 15Power Machines 02 8.10 13.10.2016 P 28.09.2023 - 99.35 - - 10.92 0.28 165 26Oboronprom 01 8.00 - 24.04.2020 - - - - - - - -

Industrials



27 June 2016

Metallurgy

Mechel 04

MMK 19

NLMK БО-12

NLMK БО-13

Pravourmiyskoe 01

Metalloinvest 02Metalloinvest 03

RUSAL 07

RUSAL 08

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Evraz 01 - - 13.03.2020 - - - - - - - -Evraz 02 - - 19.10.2020 - - - - - - - -Evraz 03 - - 13.03.2020 - - - - - - - -Evraz 04 - - 19.10.2020 - - - - - - - -Evraz 05 - - 27.05.2021 - - - - - - - -Evraz 07 - - 25.05.2021 - - - - - - - -Mechel 04 2.00 - 21.07.2016 - 98.75 - - 10.74 0.07 252 12Mechel 05 - - 09.10.2018 - - - - - - - -Mechel 13 15.00 30.08.2016 25.02.2020 ▼ 79.14 -0.37 938 63.61 0.63 5,409 36Mechel 14 15.00 30.08.2016 25.02.2020 ▼ 79.03 -0.32 775 63.95 0.63 5,443 36Mechel 15 8.00 18.08.2016 P 09.02.2021 - 87.89 - - 167.35 0.14 15,865 13Mechel 16 8.00 18.08.2016 P 09.02.2021 - 92.97 - - 80.98 0.14 7,228 9Mechel 17 13.50 - 27.05.2021 ▲ 78.91 1.75 94 19.38 3.60 989 32Mechel 18 13.50 - 27.05.2021 ▼ 77.07 -1.93 1,101 20.16 3.58 1,067 34Mechel 19 13.50 - 01.06.2021 - 78.62 - - 19.22 3.62 973 23MMK 18 - - 22.11.2022 - - - - - - - -MMK 19 8.50 25.07.2016 P 13.07.2023 ▲ 99.80 0.05 1,477 11.75 0.07 353 18NLMK 07 - - 05.09.2022 - - - - - - - -NLMK 08 - - 25.11.2022 - - - - - - - -NLMK БО-11 8.00 01.08.2016 P 20.07.2023 - 99.67 - - 11.41 - - 2NLMK БО-12 8.00 04.08.2016 P 25.07.2023 - 98.69 - - 10.83 0.10 239 8NLMK БО-13 8.05 11.10.2017 P 02.10.2023 - 97.70 - - 10.15 1.23 71 18Pravourmiyskoe 01 9.00 - 26.12.2019 - - - - 9.05 2.96 - 21Evraz 01 - - 10.10.2019 - - - - - - - -Evraz 02 - - 10.10.2019 - - - - - - - -Metalloinvest 01 0.01 - 07.03.2022 - - - - 0.01 5.69 - 7Metalloinvest 02 8.90 07.02.2018 P 27.01.2023 - 98.01 - - 10.28 1.48 83 29Metalloinvest 03 8.90 07.02.2018 P 27.01.2023 - 98.20 - - 10.02 1.48 58 19Metalloinvest 05 0.01 - 07.03.2022 - - - - 0.24 5.69 - 10Metalloinvest 06 0.01 - 10.03.2022 - - - - - - - 6RUSAL 07 12.00 - 22.02.2018 ▼ 99.99 -1.00 10 12.34 1.49 290 56RUSAL 08 12.00 12.04.2017 P 05.04.2021 ▼ 99.65 -1.84 4 12.81 0.76 338 24

Metal & Mining



27 June 2016

Metallurgy

SUEK 01SUEK 05

Uranium One 01

Uranium One 02

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

SUEK 01 8.25 04.07.2018 P 26.06.2020 - 94.00 - 47 12.03 1.81 258 12SUEK 05 8.70 23.08.2016 P 10.08.2023 - 99.19 - - 12.14 0.14 341 25Uranium One 01 9.75 05.12.2016 P 24.11.2021 - - - - 9.98 0.43 50 9Uranium One 02 10.25 19.08.2020 P 11.08.2023 ▲ 94.00 0.07 33 12.50 3.32 302 19

Metal & Mining



27 June 2016

Other

Bashkortostan 34007

Acron 04Acron 05EuroChem 02

EuroChem 03

AFK Sistemа 03

Russian Post 02

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Bashkortostan 34007 8.65 - 29.11.2016 - 99.76 - - 8.93 0.42 - 17

Acron 04 10.20 21.05.2020 P 18.05.2021 ▲ 100.25 0.20 50,185 10.37 3.28 89 23Acron 05 10.20 21.05.2020 P 18.05.2021 ▲ 99.99 1.29 150 10.46 3.28 98 13EuroChem 02 12.40 - 26.06.2018 - 103.60 - - 10.64 1.74 - 22EuroChem 03 8.25 - 14.11.2018 - - - - 9.74 2.19 28 8

AFK Sistemа 03 8.75 - 24.11.2016 ▼ 99.23 -0.11 498,220 10.96 0.41 149 55

EDC 01 8.40 - 20.06.2018 - - - - - 1.98 - -

Profmedia БО-03 0.01 - 23.08.2018 - - - - - - - -Profmedia БО-04 0.01 - 23.08.2018 - - - - - - - -

TPGC 01 12.75 - 13.09.2018 - - - - - - - 3

Russian Post 02 12.00 25.10.2016 P 18.10.2019 - - - - 9.50 0.32 15 8Russian Post 03 12.00 25.10.2016 P 18.10.2019 - - - - - 0.33 - 17Russian Post 04 12.00 25.10.2016 P 18.10.2019 - - - - - 0.33 - 3

TMT

Other

Transport

Municipal bonds

Chemistry & Fertilizers

TMT

Other



27 June 2016

Food industry

AgroComplex БО-01OFZ Yield Curve

5,00

205,00

405,00

605,00

805,00

1005,00

1205,00

1405,00

0,0 0,1 0,2 0,3 0,4 0,5 0,6 0,7 0,8 0,9 1,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Baltijskij Bereg 01 - - 22.12.2017 ▲ 19.08 1.99 5 ####### 0.49 311,287 18

AgroComplex БО-01 12.50 15.12.2016 P 08.12.2022 - 100.00 - - 12.09 0.46 - 1Novoplastunovskoe 01 5.10 12.10.2016 P 04.10.2019 - - - - - - - -

Razgulay Group БО-01 11.30 - 03.10.2018 - - - - - - - -


Other




27 June 2016

Construction and property

LenSpetsSMU 02

WHSD 03WHSD 04

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

0,0 0,2 0,4 0,6 0,8 1,0 1,2 1,4 1,6 1,8 2,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

LSR 03 0.10 15.09.2016 P 08.09.2017 - - - - - - - 1LSR 04 0.10 27.10.2016 P 20.10.2017 - - - - 0.10 0.32 - 7O1 Properties 01 12.00 09.08.2016 P 02.08.2018 ▲ 98.58 0.36 52 27.77 0.10 1,929 45LenSpetsSMU 02 12.90 - 12.12.2017 ▲ 101.49 0.37 14 11.47 0.80 203 30Glavnaya Doroga 03 15.30 - 30.10.2028 - 98.01 - - 18.68 0.38 1,064 12Glavnaya Doroga 07 8.40 - 30.10.2029 - - - - - - - 1WHSD 01 10.44 - 13.05.2031 - - - - - - - 10WHSD 02 10.44 - 13.05.2031 - - - - - - - 12WHSD 03 9.15 28.02.2017 P 06.02.2032 - - - - 9.50 0.64 - 3WHSD 04 9.15 28.02.2017 P 06.02.2032 - - - - 9.50 0.64 - 3WHSD 05 9.15 24.02.2017 06.02.2032 - - - - - - - 2Avtodor 01 9.75 - 29.11.2016 - 96.46 - - 19.38 0.43 - 6NWCC 03 11.06 09.10.2020 C 26.09.2031 - - - - - 0.31 - 2NWCC 04 11.06 09.10.2020 C 26.09.2031 - - - - - 0.31 - 2

Construction & Development



27 June 2016

Mortgage companies

AIZhK 07

AIZhK 08

AIZhK 09

AIZhK 10

AIZhK 11

AIZhK 16

AIZhK 17

AIZhK 18

AIZhK 21

AIZhK 25

AIZhK БО-01

DeltaCredit Bank 12-ИП

Orenburg IZhK 02

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

AIZhK 07 7.68 - 15.07.2016 - 99.93 - - 11.15 0.05 318 11AIZhK 08 7.63 - 15.06.2018 - 96.10 - - 10.53 1.38 109 7AIZhK 09 7.49 - 15.02.2017 - 97.26 - - 9.54 0.62 2 7AIZhK 10 8.20 15.11.2016 C 15.09.2020 - - - - 8.32 1.28 - 7AIZhK 11 8.05 15.09.2017 C 15.11.2018 - 94.01 - - 11.65 1.56 221 4AIZhK 13 13.50 - 15.04.2018 - 103.00 - - 0.99 0.30 - 10AIZhK 14 11.00 - 15.05.2023 - - - - 2.75 0.39 - 7AIZhK 15 13.50 - 15.09.2028 - 103.05 - 18 0.08 0.22 - 19AIZhK 16 8.25 - 15.09.2021 - - - - 10.23 2.40 77 12AIZhK 17 9.05 - 15.04.2022 - - - - 9.78 3.23 30 11AIZhK 18 10.30 15.07.2017 C 15.07.2023 - 100.55 - - 10.34 1.63 89 25AIZhK 19 12.50 17.08.2016 P 15.11.2024 - - - - 2.03 0.13 - 8AIZhK 20 8.60 - 15.12.2027 - - - - - 6.76 - 9AIZhK 21 8.80 - 15.02.2020 - 96.50 - 6,514 11.01 2.01 155 16AIZhK 22 11.79 15.07.2016 C 15.07.2024 - - - - - - - 8AIZhK 25 7.75 04.04.2017 P 01.10.2026 - - - - 9.44 0.73 1 3AIZhK БО-01 7.60 - 21.09.2016 - 99.55 - - 9.90 0.24 74 15AIZhK 1А 9.50 - 15.03.2040 - - - - - - - -

DeltaCredit Bank 12-ИП 8.45 22.09.2016 P 30.08.2018 - - - - 8.51 0.18 - 15

AIZhK А 10.50 - 20.02.2041 - - - - - - - -AIZhK А1 9.00 - 20.11.2042 - - - - - - - -AIZhK А2 9.00 23.03.2020 20.11.2042 - - - - - 0.15 5,469 -MA Uralsib А 8.75 15.01.2020 C 15.04.2045 - - - - 0.06 28.19 - -MA Uralsib Б - - 15.04.2045 - - - - - - - -MA KHMB А 9.20 - 25.08.2045 - - - - 20.49 0.16 1,164 1GPB-Ipoteka 01 8.00 - 29.12.2036 - - - - - - - -Orenburg IZhK 02 11.00 - 07.02.2017 - - - - 9.42 0.59 - 1AIZhK 1А 6.94 - 15.02.2039 - - - - - - - -

Mortgage loans

Banks and Financial Companies

Mortgage loans



27 June 2016

Financial companies

VEB-Leasing 12VEB-Leasing 13

Oktritie 02

Oktritie 04

Oktritie 05

RUSNANO 01

RUSNANO 03

VTB Leasing 07

VTB Leasing 09

VEB-Leasing 03

VEB-Leasing 04


VEB-Leasing 08

VEB-Leasing 09


GTLK 01GTLK 02GTLK БО-01GTLK БО-02

Europlan 03

RESO Garantia 02

RESO Garantia 03

Rosgosstrah 02

OFZ Yield Curve

5,00

7,00

9,00

11,00

13,00

15,00

17,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

VEB-Leasing 12 8.25 - 06.11.2018 - 94.00 - 1,298 13.73 1.26 429 15VEB-Leasing 13 8.25 - 06.11.2018 - 94.00 - 15,569 13.73 1.26 429 12VEB-Leasing БО-01 8.65 25.01.2019 P 16.01.2024 - - - - - - - 2Uralsib LC БО-11 11.50 - 15.11.2016 - 96.56 - - 20.97 0.26 1,175 24VTB Capital 01 0.10 - 09.08.2022 - - - - - - - -INVESTPRO 01 13.00 - 31.12.2018 - 100.00 - - 13.41 - - 2IFC SOUZ 02 12.00 29.06.2016 P 09.12.2027 - - - - - - - 11Oktritie 02 11.75 28.06.2016 P 10.12.2026 ▼ 99.97 -0.09 86 12.13 0.96 269 14Oktritie 04 12.00 26.09.2016 P 20.12.2017 ▼ 99.14 -0.85 94 16.74 0.24 758 15Oktritie 05 12.00 14.05.2018 P 08.05.2018 ▼ 99.69 -0.23 25 12.75 1.67 330 26

Prime Finance 01 12.00 22.07.2016 P 13.07.2021 ▲ 102.77 4.88 231 48.93 0.06 4,075 12

RTC 02 8.00 26.07.2017 P 08.07.2027 - - - - - - - 12RUSNANO 01 8.90 - 20.12.2017 - - - - 10.79 1.42 134 11RUSNANO 02 8.90 - 20.12.2017 - - - - - - - 5RUSNANO 03 8.90 - 20.12.2017 - - - - 11.66 1.42 222 16RUSNANO 04 9.80 - 10.04.2019 - - - - 1.89 2.66 - 29RUSNANO 05 9.80 - 10.04.2019 - - - - 2.25 2.65 - 26Finstandart 01 8.50 01.06.2017 P 22.05.2020 - - - - - 3.86 - 15VTB Leasing 07 11.85 - 30.11.2016 - 100.70 - - 10.51 0.42 103 2VTB Leasing 08 11.85 04.08.2016 P 01.08.2017 - - - - 1.68 0.10 - 1VTB Leasing 09 11.85 05.08.2016 P 02.08.2017 - - - - 9.60 0.10 114 8VEB-Leasing 03 12.00 12.04.2017 P 02.04.2021 - - - - 10.99 0.75 156 30VEB-Leasing 04 12.00 12.04.2017 P 02.04.2021 - - - - 12.29 0.75 285 20VEB-Leasing 05 12.00 12.04.2017 P 02.04.2021 - - - - 12.84 0.75 341 17VEB-Leasing 06 9.00 - 31.01.2017 - 98.08 - - 12.75 0.58 323 17VEB-Leasing 08 12.40 28.10.2016 P 19.10.2021 - - - - 14.89 0.33 552 10VEB-Leasing 09 12.40 31.10.2016 P 20.10.2021 - - - - 11.00 0.33 163 7VEB-Leasing 10 8.50 - 01.03.2018 ▼ 95.20 -0.12 5,047 13.95 1.00 451 36VEB-Leasing 11 8.50 - 01.03.2018 ▼ 95.20 -0.15 191 13.95 1.00 451 31GTLK 01 15.00 - 23.01.2018 ▲ 103.87 0.49 2,236 12.58 1.38 313 37GTLK 02 15.00 - 26.01.2018 ▲ 103.91 0.69 27,744 12.56 1.39 312 36GTLK БО-01 9.50 - 18.09.2018 ▼ 96.81 -0.02 11,695 12.63 1.29 319 43GTLK БО-02 9.50 - 20.09.2018 ▼ 96.54 -0.06 4,251 12.86 1.29 342 46Europlan 03 12.50 07.11.2016 P 31.10.2017 - 99.25 - - 12.10 0.35 270 9Uralsib LC БО-10 10.25 - 21.03.2019 - - - - - - - 1RESO Garantia 02 12.00 22.09.2017 P 13.09.2022 - - - - 9.45 1.15 1 2RESO Garantia 03 11.75 03.04.2019 P 24.03.2023 - 100.00 - - 12.07 2.37 261 24Rosgosstrah 02 9.10 08.11.2016 P 02.11.2017 - 98.50 - - 13.92 0.35 452 14


Mortgage loans




27 June 2016

Banks

GPB БО-07GPB БО-08

RSHB БО-07VEB 06

VEB 08

VEB 09

VEB 18

VEB 19

VEB 21

VEB БО-01

VEB БО-14VTB 06

GPB 06

GPB 07

GPB БО-06

Eurasian Development Bank 07

Russian Bank for Development

01

RSHB 03 RSHB 07

RSHB 08RSHB 09RSHB 10

RSHB 11RSHB 12

RSHB 13

RSHB 14 RSHB 15

RSHB 16

RSHB 17

RSHB 18

RSHB 20

Sviaz-Bank 03

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

14,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

GPB БО-07 10.75 - 22.10.2016 ▲ 100.09 0.09 25 10.62 0.32 127 24GPB БО-08 10.64 - 23.05.2017 - 100.00 - - 10.88 0.42 - 10RSHB БО-07 10.25 - 21.06.2017 ▲ 100.00 0.11 6,555,220 10.51 0.96 108 69VEB 06 7.90 19.10.2017 P 13.10.2020 ▼ 97.00 -0.34 8 10.66 1.25 122 16VEB 08 7.75 20.10.2016 P 13.10.2020 - 99.20 - - 10.81 0.31 147 19VEB 09 11.40 25.09.2017 P 18.03.2021 ▲ 101.40 0.11 15 10.39 1.16 95 56VEB 10 8.50 29.09.2016 P 21.09.2021 - - - - - - - 8VEB 18 11.90 11.10.2016 P 17.09.2032 - 100.35 - - 10.73 0.28 146 18VEB 19 11.90 17.10.2016 P 23.09.2032 - 100.20 - - 11.43 0.30 - 17VEB 21 11.65 08.09.2016 P 17.02.2032 - - - - 10.45 0.19 145 40VEB БО-01 11.80 - 15.07.2016 ▲ 100.12 0.05 102,699 9.55 0.05 157 60VEB БО-14 8.10 - 27.09.2018 - 96.00 - - 9.87 2.04 41 17VTB 06 11.25 - 06.07.2016 ▲ 100.04 0.02 18,539 9.84 0.02 215 41GPB 06 9.70 - 07.07.2016 ▼ 99.90 -0.09 764 13.62 0.03 590 34GPB 07 10.75 - 17.10.2016 ▼ 100.00 -0.20 25,000 10.92 0.31 159 34GPB 11 10.95 16.04.2018 P 10.10.2019 - - - - - 0.30 - 13GPB 12 10.75 17.10.2016 P 06.10.2022 - - - - - - - 25GPB БО-06 7.90 - 25.09.2016 - 99.33 - - 8.01 0.25 - 19Eurasian Development Bank 077.85 03.10.2016 P 23.09.2020 - - - - 8.34 0.25 - 8Russian Bank for Development 0114.00 27.03.2017 P 17.03.2022 - - - - 6.43 0.71 - 8RSHB 03 12.00 - 09.02.2017 ▲ 100.58 1.68 216 11.26 0.59 174 32RSHB 04 12.35 31.03.2017 P 27.09.2017 - - - - - 0.73 - 14RSHB 07 11.55 08.06.2017 P 05.06.2018 ▼ 100.50 -0.38 10 11.26 0.92 183 62RSHB 08 10.90 21.05.2018 P 14.11.2019 - 100.99 - - 10.56 1.74 111 30RSHB 09 10.90 21.05.2018 P 14.11.2019 - 100.85 - - 10.56 1.74 111 39RSHB 10 11.95 04.08.2017 P 29.01.2020 - 101.55 - - 10.53 1.02 109 26RSHB 11 11.95 07.08.2017 P 30.01.2020 ▲ 101.39 0.69 673 10.84 1.02 140 24RSHB 12 12.40 11.01.2017 P 01.07.2021 - 100.90 - - 10.67 0.50 116 10RSHB 13 12.40 11.01.2017 P 02.07.2021 - 100.68 - 126 11.33 0.50 182 9RSHB 14 12.40 11.01.2017 P 29.06.2021 - 101.00 - - 10.36 0.49 85 14RSHB 15 11.00 02.11.2017 P 26.10.2021 - 100.69 - - 10.45 1.27 101 37RSHB 16 11.25 11.04.2018 P 04.04.2022 ▼ 101.13 -0.15 131 10.80 1.63 135 59RSHB 17 12.05 20.10.2016 P 11.10.2022 ▲ 100.71 0.10 20,143 9.79 0.31 45 44RSHB 18 12.15 24.04.2017 P 13.10.2022 - - - - 9.05 0.79 - 28RSHB 20 11.10 19.04.2018 P 11.04.2023 - 101.20 - - 10.60 1.66 115 75RSHB 21 12.10 28.07.2016 P 18.07.2023 - - - - - 0.08 - 15Sviaz-Bank 03 11.50 19.12.2016 P 09.12.2021 - - - - 11.81 0.47 231 19Sviaz-Bank 05 11.90 17.10.2016 P 07.04.2022 - - - - 1.62 0.30 - 23




27 June 2016

Banks

Absolut Bank 05

Absolut Bank БО-03



DeltaCredit Bank БО-05

Rusfinance Bank 13

Rusfinance Bank БО-07

OFZ Yield Curve

5,00

6,00

7,00

8,00

9,00

10,00

11,00

12,00

13,00

0,0 0,2 0,4 0,6 0,8 1,0 1,2 1,4 1,6 1,8 2,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

UniCredit Bank БО-21 9.00 - 17.05.2019 - - - - - - - 5Absolut Bank 05 11.50 - 27.07.2016 - 100.12 - - 9.87 0.08 154 7Absolut Bank БО-03 12.00 30.11.2016 P 28.05.2018 - - - - 12.32 0.42 285 5DeltaCredit Bank 08-ИП 11.75 - 02.11.2016 ▼ 100.20 -0.05 15 11.36 0.35 196 4DeltaCredit Bank 09-ИП 11.60 - 05.12.2017 - - - - - 1.37 - 8DeltaCredit Bank 10-ИП 8.65 13.07.2016 P 04.07.2018 - 99.90 - - 8.89 0.02 120 31DeltaCredit Bank БО-05 8.40 25.10.2016 P 21.10.2023 ▼ 99.27 -0.06 49,640 11.00 0.32 165 10CREDIT EUROPE BANK БО-0613.75 - 05.09.2016 - - - - - 0.19 178 3Raiffeisen Bank БО-01 10.00 01.11.2016 P 29.10.2018 - - - - - - - 6Rosbank БСО-03 0.01 - 11.07.2016 - - - - - - - -Rusfinance Bank 13 11.90 25.01.2017 P 18.07.2018 - - - - 9.65 0.53 13 7Rusfinance Bank 15 10.90 10.10.2017 P 02.10.2018 - - - - - 1.20 - 34Rusfinance Bank БО-07 13.90 26.04.2017 P 24.04.2018 - 102.77 - - 10.62 0.79 119 7




27 June 2016

Banks

Credit Bank of Moscow БО-06



AK BARS Bank БО-03

Alfa-Bank 02

Alfa-Bank БО-04

Alfa-Bank БО-09

Zenit 08

Zenit 10

Bank FK Otritie 12Bank FK Otritie БО-05

Bank FK Otritie БО-06

Vostochny Express Bank БО-07

Credit Bank of Moscow 11Credit Bank of Moscow 12


Promsvyazbank 13

BINBANK БО-03

OFZ Yield Curve

5,00

7,00

9,00

11,00

13,00

15,00

17,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

Credit Bank of Moscow БО-0612.25 27.04.2017 P 24.10.2018 - 100.99 - 27 11.21 0.80 178 28Credit Bank of Moscow БО-1012.25 13.07.2016 P 10.07.2019 - 100.00 - 3,008 12.26 0.04 444 13Credit Bank of Moscow БО-1112.00 13.07.2017 P 10.07.2019 ▲ 100.79 0.19 13,606 11.47 0.95 204 66AK BARS Bank БО-03 12.00 - 18.08.2016 - 99.95 - - 10.97 0.14 223 14Alfa-Bank 02 8.25 - 02.12.2016 - 99.15 - - 8.42 0.43 - 11Alfa-Bank БО-04 8.25 - 24.10.2016 ▼ 99.40 -0.09 841 10.35 0.33 98 30Alfa-Bank БО-09 8.35 - 20.08.2016 - 99.50 - - 8.47 0.15 - 19Zenit 08 12.50 24.02.2017 P 23.08.2017 - 101.00 - - 11.12 0.63 160 21Zenit 10 11.75 02.06.2017 P 30.05.2018 ▼ 100.42 -0.19 3,013 11.55 0.90 212 32Petrocommerce Bank 09 11.90 03.05.2017 P 28.10.2018 - - - - - 0.81 - 4Bank Saint Petersburg БО-0910.70 - 08.09.2016 - - - - - 0.20 195 2Uralsib Bank 04 12.00 15.09.2016 P 10.03.2017 - 96.30 - - 32.99 - - 9Uralsib Bank 05 12.00 01.09.2016 P 25.08.2017 - - - - - - - 3Bank FK Otritie 12 12.00 31.08.2016 P 28.08.2017 - 100.25 - - 10.50 0.17 163 11Bank FK Otritie БО-05 11.95 - 02.07.2016 - 100.04 - - 10.27 0.02 - 24Bank FK Otritie БО-06 12.30 - 08.10.2016 ▼ 100.23 -0.07 1,618 11.61 0.28 233 16Vostochny Express Bank 0213.60 - 09.08.2018 - 64.64 - 187 43.69 1.72 3,424 18Vostochny Express Bank БО-0715.00 21.07.2016 P 17.07.2018 - 99.20 - - 15.04 0.06 685 11Credit Bank of Moscow 1112.25 - 05.06.2018 - 97.50 - - 13.93 1.77 448 15Credit Bank of Moscow 1212.25 - 22.08.2018 ▼ 97.76 -0.34 347 13.91 1.88 446 34Credit Bank of Moscow БО-079.10 02.11.2016 P 30.10.2018 ▲ 99.39 0.04 1,093 11.18 0.34 179 27Promsvyazbank 13 12.25 - 01.02.2018 - 97.47 - 760 14.54 1.43 510 31BINBANK БО-03 13.75 20.07.2016 P 16.07.2025 ▲ 99.86 0.01 335 16.70 0.05 857 38




27 June 2016

Banks

BINBANK БО-04

KB MIA БО-01 KB MIA БО-02

KB MIA БО-03

Sovcombank БО-01

National Standard Bank БО-02

Russian Capital БО-01

BINBANK БО-02

Renaissance Credit БО-05

Loсko-Bank БО-05Tatfondbank БО-08

Tatfondbank БО-11

Transcapitalbank БО-02

UBRD BO-8

KMB Otkritie 01 (бывш. Банк

Открытие, 01)

Mezhtopenergobank 01

Metcombank БО-06

Expobank 03

OFZ Yield Curve

5,00

7,00

9,00

11,00

13,00

15,00

17,00

0,0 0,2 0,4 0,6 0,8 1,0 1,2 1,4 1,6 1,8 2,0duration, years

Yie

ld,

%

IssueCoup.,

%

Next Put/Call


Price. chg,

p.p.

Trade Volume,

thd RUR Yield,%

Duration,

yearsOFZ spread

Liquidity

raiting

BINBANK БО-04 13.50 15.02.2017 P 07.02.2020 ▼ 99.81 -0.69 3 14.23 0.59 471 58KB MIA БО-01 11.75 - 06.11.2016 - - - - 11.68 0.36 227 25KB MIA БО-02 12.75 24.03.2017 P 07.03.2025 ▲ 100.85 0.20 100,851 11.75 0.69 232 9KB MIA БО-03 12.25 - 06.06.2017 ▼ 100.30 -0.35 1 12.24 0.91 280 27Sovcombank БО-01 12.50 16.08.2016 P 07.02.2019 - - - - 10.68 0.12 208 2National Standard Bank БО-0214.00 21.07.2016 P 18.07.2018 - 100.03 - - 13.11 0.06 495 9Russian Capital БО-01 9.00 - 06.09.2016 - - - - 10.17 0.19 117 11Soyuz Bank 06 11.50 20.10.2016 P 11.10.2018 - - - - - - - -BINBANK БО-02 13.50 - 24.09.2016 ▲ 99.74 0.02 2,786 14.88 0.24 570 89Vneshprombank БО-03 - - 22.06.2018 - - - - - - - -Renaissance Credit БО-05 12.85 05.08.2016 P 30.07.2018 - - - - 11.73 0.09 334 8Loсko-Bank БО-05 14.00 22.07.2016 P 17.07.2018 - 99.86 - - 16.39 0.06 820 27NOTA-Bank БО-01 - - 13.10.2016 - - - - - 0.09 - -SB Bank БО-02 - - 15.10.2016 - - - - - - - -Svyaznoy Bank БО-01 - - 08.06.2018 - - - - - - - -Tatfondbank БО-08 17.00 - 06.10.2016 ▼ 100.21 -0.71 1,957 16.52 0.28 726 37Tatfondbank БО-11 14.00 - 13.09.2016 ▼ 99.28 -1.00 1,552 17.93 0.21 885 56Transcapitalbank 03 13.00 - 06.06.2018 - 83.50 - 1,354 25.56 1.75 1,611 2Transcapitalbank БО-02 11.25 09.06.2017 P 30.05.2023 - - - - 11.42 0.92 198 15UBRD BO-5 12.00 19.10.2016 P 10.04.2020 - - - - - 0.31 - 13UBRD BO-8 13.00 - 19.09.2016 - - - - 13.17 0.23 403 20KMB Otkritie 01 (бывш. Банк Открытие, 01)11.50 - 13.12.2017 - - - - 9.46 1.38 2 6iMoneyBank 01 0.10 - 27.10.2016 - 92.74 - - 22.23 0.33 1,286 8Derzhava Bank БО-01 12.50 14.07.2020 P 10.07.2023 - 90.00 - 2 ####### 0.04 189,775 2Oil Alliance Bank 01 11.00 - 27.04.2022 - - - - - - - 0Mezhtopenergobank 01 13.50 - 31.08.2016 ▲ 99.90 0.05 11 14.25 0.18 532 12Metcombank БО-06 11.00 - 08.09.2016 - - - - 9.51 0.20 49 6Russian International Bank БО-0110.00 - 14.11.2016 - - - - - 0.39 - 6Russlavbank 01 - - 30.07.2018 - - - - - - - -FPB Bank 01 14.00 06.10.2016 P 02.10.2018 - 91.30 - - 38.62 0.26 2,938 15Expobank 03 12.50 06.07.2016 P 12.07.2019 - - - - 10.61 0.96 117 6




27 June 2016

Sovereign and corporate eurobonds. Maturity in 3 years. Rating over BBB+

EBRD-8-2017

5,00

5,50

6,00

6,50

7,00

7,50

8,00

8,50

9,00

9,50

10,00

0,0 0,2 0,4 0,6 0,8 1,0 1,2 1,4 1,6 1,8 2,0duration, years

Yiel

d, %

Issue CurrencyCoupon,

%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,

yearsYield,% Issue volume

EBRD-8-2017 RUB 6.5 27.06.2017 27.06.2017 - - 97.623 - 1.00 9.10 4,750Banks and Financial Companies

*C-Call P-Put


27 June 2016

Sovereign and corporate eurobonds. Maturity in 3 years. Rating below BBB+

Gazprom 3.375% 30nov2018,

CHFNLMK 2018 (LPN)

RZD 2018, CHF (LPN)

Rosneft 2017 (LPN)

Moscow 2016, EUR (LPN)

Russ ia 2017

Russ ia 2018

Vympelcom 2017

Vympelcom 2018 (LPN)

Gazprom 2016 (LPN7)

Gazprom 2017, EUR (LPN6)

Gazprom 2017-2, EUR (LPN8)

Gazprom 2017-3, EUR (LPN)


Gazprom 2018-2 (LPN17)

Gazprom 2019 (LPN20)

Evraz 2017 (LPN)

Lukoi l 2017

Raspadskaya 2017 (LPN)

Severstа l 2017-2 (conv.)

Metal loinvest 2016

RZD 2017 (LPN)

Rosneft 2016

Rosneft 2017

Rosneft 2018

Severstа l 2017 (LPN)

Sovkomflot 2017

Transneft 2018 (LPN)

Russia Curve

1,00

1,50

2,00

2,50

3,00

3,50

4,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0 3,5 4,0duration, years

Yiel

d, %


27 June 2016


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


MirLand Development 2017, NIS (Inflation Linked) ILS 6 - 30.11.2017 - - 19.070 - 0.49 1,313.38 272

Petrobras 2019, EUR EUR 3.25 01.04.2017 01.04.2019 - ▼ 93.577 -0.762 2.66 5.83 1,300Petrobras 4.875% 7mar2018, EUR EUR 4.875 07.03.2017 07.03.2018 - ▼ 100.361 -0.776 1.65 4.63 1,250Gazprom 3.375% 30nov2018, CHF CHF 3.375 30.11.2016 30.11.2018 - ▼ 102.534 -0.296 2.35 2.29 500

NLMK 2018 (LPN) USD 4.45 19.08.2016 19.02.2018 - ▼ 103.472 -0.073 1.59 2.29 800

RZD 2018, CHF (LPN) CHF 2.177 26.02.2017 26.02.2018 - ▼ 99.399 -0.459 1.65 2.54 525

Rosneft 2017 (LPN) USD 3.149 06.09.2016 06.03.2017 - ▼ 100.279 -0.220 0.68 2.76 1,000

FGC UES 2019, RUB (LPN) RUB 8.446 13.09.2016 13.03.2019 - ▼ 96.861 -0.117 2.42 10.03 17,500

Moscow 2016, EUR (LPN) EUR 5.064 20.10.2016 20.10.2016 - ▼ 101.139 -0.082 0.32 1.38 407

Russia 2017 USD 3.25 04.10.2016 04.04.2017 - ▼ 101.067 -0.072 0.76 1.85 2,000Russia 2018 USD 11 24.07.2016 24.07.2018 - ▼ 118.290 -0.078 1.85 1.97 3,466Russia 2018-2, RUR RUB 7.85 10.09.2016 10.03.2018 - ▼ 97.627 -0.038 1.59 9.60 90,000

Amelside, 2010 USD 9.125 25.03.2018 26.03.2018 - - - - - - 76

AFK Sistemа 2019 (LPN) USD 6.95 17.11.2016 17.05.2019 - ▼ 107.100 -0.281 2.66 4.36 500Vympelcom 2017 USD 6.2546 01.09.2016 01.03.2017 - ▼ 102.761 -0.070 0.66 2.14 500Vympelcom 2018 (LPN) USD 9.125 30.10.2016 30.04.2018 - ▼ 110.803 -0.146 1.72 3.07 1,000

Gazprom 2016 (LPN7) USD 6.212 22.11.2016 22.11.2016 - ▼ 101.855 -0.027 0.41 1.56 1,350Gazprom 2017, EUR (LPN6) EUR 5.136 22.03.2017 22.03.2017 - ▼ 102.804 -0.151 0.73 1.27 500Gazprom 2017-2, EUR (LPN8) EUR 5.44 02.11.2016 02.11.2017 - ▼ 105.306 -0.149 1.30 1.43 500Gazprom 2017-3, EUR (LPN) EUR 3.755 15.03.2017 15.03.2017 - ▼ 101.751 -0.067 0.72 1.27 1,400Gazprom 2018, EUR (LPN13) EUR 6.605 13.02.2017 13.02.2018 - ▼ 107.665 -0.374 1.57 1.78 1,200Gazprom 2018-2 (LPN17) USD 8.146 11.10.2016 11.04.2018 - ▼ 109.564 -0.307 1.68 2.65 1,100Gazprom 2019 (LPN20) USD 9.25 23.10.2016 23.04.2019 - ▼ 114.804 -0.423 2.53 3.71 2,250

Evraz 2017 (LPN) USD 7.4 24.10.2016 24.04.2017 - ▲ 104.827 0.005 0.81 1.49 600Evraz 2018 USD 9.5 24.10.2016 24.04.2018 - ▼ 108.566 -0.354 1.70 4.60 700Evraz 2018-2 USD 6.75 27.10.2016 27.04.2018 - ▼ 103.422 -0.192 1.74 4.83 850

Lukoil 2017 USD 6.356 07.12.2016 07.06.2017 - ▼ 103.815 -0.155 0.93 2.26 500

Raspadskaya 2017 (LPN) USD 7.75 27.10.2016 27.04.2017 - ▲ 104.188 0.021 0.81 2.65 400

RZD 2019, RUB (LPN) RUB 8.3 02.10.2016 02.04.2019 - ▼ 96.739 -0.065 2.48 9.89 37,500

Severstаl 2016 (LPN) USD 6.25 26.07.2016 26.07.2016 - - 100.520 - 0.08 -0.42 500Severstаl 2017-2 (conv.) USD 1 24.09.2016 24.09.2017 - ▼ 102.441 -0.145 1.24 3.15 475ТМК 2018 (LPN) USD 7.75 27.07.2016 27.01.2018 - ▼ 104.344 -0.030 1.48 4.91 500Metalloinvest 2016 USD 6.5 21.07.2016 21.07.2016 - ▼ 100.265 -0.049 0.07 2.51 750

Alliance Oil 2015 USD 10.5 11.09.2016 11.03.2019 11.03.2017 C ▼ 76.582 -0.176 1.98 26.42 350

MirLand Development 2015-A, NIS (Inflation Linked) ILS 6.5 - 07.07.2016 - - 30.000 - - - 39MirLand Development 2015-B, NIS ILS 0 31.03.2016 07.07.2016 - - 34.030 - - - 205MirLand Development 2016, NIS ILS 8.5 - 31.08.2016 - - 23.700 - 0.18 ######## 298

RZD 2017 (LPN) USD 5.739 03.10.2016 03.04.2017 - ▼ 102.552 -0.088 0.75 2.37 1,500

Rosneft 2016 USD 7.5 18.07.2016 18.07.2016 - ▼ 100.328 -0.130 0.06 1.85 1,000Rosneft 2017 USD 6.625 20.09.2016 20.03.2017 - ▲ 103.009 0.058 0.71 2.46 800Rosneft 2018 USD 7.875 13.09.2016 13.03.2018 - ▼ 108.158 -0.300 1.60 2.97 1,100

Severstаl 2017 (LPN) USD 6.7 25.10.2016 25.10.2017 - ▼ 105.425 -0.129 1.28 2.53 1,000Severstаl 2018 USD 10.25 - 15.02.2018 - - - - - - 525

Sovkomflot 2017 USD 5.375 27.10.2016 27.10.2017 - ▼ 103.509 -0.115 1.30 2.69 800

Transneft 2018 (LPN) USD 8.7 07.08.2016 07.08.2018 - ▼ 112.564 -0.032 1.93 2.56 1,050


Oil & Gas

Metal & Mining

Transport

Oil & Gas

Utilities

Regions

Government sector

Corporate eurobonds

TMT

Oil & Gas

Metal & Mining

Oil & Gas

Metal & Mining

Transport

Metal & Mining

Metal & Mining

Transport

Oil & Gas

Oil & Gas


Transport

Oil & Gas

*C-Call P-Put


27 June 2016

Sovereign and corporate eurobonds. Maturity in 3 to 5 years.

Vympelcom 6.25%

26apr2020, USD


Gazprom 2021 (LPN35), EUR

Nori lsk Nickel 2020

Evraz 8.25% 28jan2021, USD

RZD 2021, CHF (LPN)Russ ia 2020

EDC 2020

ALROSA 2020

Vympelcom 2021 (LPN)

Gazprom 2019-2, CHF (LPN34)Gazprom 2020, EUR (LPN30)


Evraz 2020

Lukoi l 2019 (LPN)

Lukoi l 2020MTS 2020 (LPN)

NOVATEK 2021 (LPN)

NLMK 2019 (LPN)

Polyus Gold 2020

RZD 2021, EUR (LPN)

ТМК 2020 (LPN)

Metal loinvest 2020

Rosneft 2020 (LPN)

Gazprom 2020, GBP (LPN 33)Russia Curve

2,00

2,50

3,00

3,50

4,00

4,50

5,00

5,50

6,00

6,50

7,00

2,0 2,5 3,0 3,5 4,0 4,5 5,0 5,5 6,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


ING Bank 0% 27apr2020, RUR RUB 0 - 27.04.2020 - - - - - - 21ING Bank 0% 6jul2020, RUR RUB 0 - 06.07.2020 - - 5.650 - - - 4

MirLand Development 6.5% 30sep2019, ILS ILS 6.5 - 30.09.2019 - - 21.640 - 2.43 83.35 144MirLand Development 7.21% 31may2020, NIS ILS 7.21 - 31.05.2020 - ▼ 18.460 -0.100 2.63 85.84 382

Sovcombank 9% 3feb2020, USD USD 9 03.08.2016 03.02.2020 - - 100.000 - 2.30 9.28 150

Vympelcom 6.25% 26apr2020, USD USD 6.25 26.10.2016 26.04.2020 26.01.2020 C ▼ 103.205 -0.537 3.44 5.38 500

Gazprom 2020 (LPN28) USD 3.85 06.08.2016 06.02.2020 - ▼ 100.339 -0.425 3.36 3.78 800Gazprom 2021 (LPN35), EUR EUR 3.6 26.02.2017 26.02.2021 - ▼ 103.058 -0.603 4.34 2.88 750

Norilsk Nickel 2020 USD 5.55 28.10.2016 28.10.2020 - ▼ 105.791 -0.478 3.90 4.12 1,000Evraz 8.25% 28jan2021, USD USD 8.25 28.07.2016 28.01.2021 - ▼ 107.323 -0.867 3.79 6.47 750

Petropavlovsk 2020 (conv.) USD 9 18.09.2016 18.03.2020 - - 109.979 - 3.22 7.06 100

RZD 2021, CHF (LPN) CHF 2.73 26.02.2017 26.02.2021 - ▼ 99.056 -0.030 4.41 2.94 150

Russia 2020 USD 5 29.10.2016 29.04.2020 - ▼ 106.959 -0.352 3.53 3.09 3,500Russia 2020, EUR EUR 3.625 16.09.2016 16.09.2020 - ▼ 107.878 -0.577 3.90 1.67 750

Alliance Oil 2020 USD 7 04.11.2016 04.05.2020 - ▼ 68.520 -1.286 3.30 19.72 500

EDC 2020 USD 4.875 17.10.2016 17.04.2020 - ▼ 101.175 -0.510 3.49 4.58 600

ALROSA 2020 USD 7.75 03.11.2016 03.11.2020 - ▼ 113.460 -0.450 3.78 4.36 1,000

Vympelcom 2021 (LPN) USD 7.748 02.08.2016 02.02.2021 - ▼ 110.536 -0.520 3.89 5.20 1,000

Gazprom 2019-2, CHF (LPN34) CHF 2.85 25.10.2016 25.10.2019 - ▼ 100.936 -0.123 3.17 2.55 500Gazprom 2020 (SEN) USD 7.201 - 01.02.2020 - - - - - - 1,250Gazprom 2020, EUR (LPN30) EUR 3.389 20.03.2017 20.03.2020 - ▼ 102.809 -0.678 3.54 2.58 1,000Gazprom 2021 (LPN25) USD 5.999 23.07.2016 23.01.2021 - ▼ 107.058 -0.653 4.00 4.32 600

Evraz 2020 USD 6.5 22.10.2016 22.04.2020 - ▼ 102.015 -0.739 3.41 5.98 1,000

Lukoil 2019 (LPN) USD 7.25 05.11.2016 05.11.2019 - ▼ 111.914 -0.420 3.03 3.48 600Lukoil 2020 USD 6.125 09.11.2016 09.11.2020 - ▼ 108.541 -0.455 3.90 4.01 1,000

MTS 2020 (LPN) USD 8.625 22.12.2016 22.06.2020 - ▼ 117.351 -0.204 3.50 3.92 750

NOVATEK 2021 (LPN) USD 6.604 03.08.2016 03.02.2021 - ▼ 109.838 -0.306 3.98 4.26 650

NLMK 2019 (LPN) USD 4.95 26.09.2016 26.09.2019 - ▼ 104.173 -0.292 3.01 3.61 500Polyus Gold 2020 USD 5.625 29.10.2016 29.04.2020 - ▼ 104.005 -0.057 3.49 4.52 750

RZD 2021, EUR (LPN) EUR 3.3744 20.05.2017 20.05.2021 - ▼ 101.882 -0.446 4.59 2.95 1,000

ТМК 2020 (LPN) USD 6.75 03.10.2016 03.04.2020 - ▼ 102.212 -0.168 3.35 6.17 500Metalloinvest 2020 USD 5.625 17.10.2016 17.04.2020 - ▼ 103.202 -0.549 3.45 4.75 1,000

Rosneft 2020 (LPN) USD 7.25 02.08.2016 02.02.2020 - ▼ 110.876 -0.504 3.17 4.01 500Gazprom 2020, GBP (LPN 33) GBP 5.338 25.09.2016 25.09.2020 - ▼ 104.309 -0.787 3.82 4.26 500




TMT

Oil & Gas

Metal & Mining

Regions

Transport

Government sector

Oil & Gas

Other

Metal & Mining

TMT

Oil & Gas

Metal & Mining

Oil & Gas

Metal & Mining

Oil & Gas

TMT

Oil & Gas

Metal & Mining

Transport


27 June 2016

*C-Call P-Put


27 June 2016

Sovereign and corporate eurobonds. Maturity in 5 years.

Global Ports 6.872%

25jan2022, USD

Vympelcom 2023

Vympelcom 7.25%

26apr2023, USD


Gazpromneft 2023 (LPN)

Nori lsk Nickel 6.625%

14oct2022, USD

Evraz 6.75% 31jan2022, USD

MTS 2023 (LPN)NOVATEK 2022 (LPN)

NLMK 4.5% 15jun2023, USD

RZD 2023 (LPN), EUR

Rosneft 2022 (LPN)Russ ia 4.75% 27may2026,

USD

Sovkomflot 5.375%

16jun2023, USD

Russ ia 2042

Russ ia 2022

Russ ia 2023

Russ ia 2028

Russ ia 2043

Vympelcom 2022

Gazprom 2022 (LPN9)Gazprom 2022-2 (LPN)


Gazprom 2034 (LPN2)


Gazpromneft 2022 (LPN)

Lukoi l 2022

Lukoi l 2023RZD 2022 (LPN)

RZD 2031, GBP (LPN)

Severstа l 2022 (LPN)

Russia Curve

3,00

3,50

4,00

4,50

5,00

5,50

6,00

6,50

7,00

4,0 6,0 8,0 10,0 12,0 14,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


Global Ports 6.872% 25jan2022, USD USD 6.872 25.07.2016 25.01.2022 - ▼ 102.770 -0.162 4.68 6.37 350

Petrobras 5.875% 7mar2022, EUR EUR 5.875 07.03.2017 07.03.2022 - ▼ 93.455 -0.750 4.89 7.31 600

Peresvet Bank 13.25% 2026, RUR RUB 13.25 22.07.2016 22.01.2026 - - - - - - 8,000

Vympelcom 2023 USD 5.95 13.08.2016 13.02.2023 - ▼ 102.436 -0.788 5.48 5.57 1,000Vympelcom 7.25% 26apr2023, USD USD 7.25 26.10.2016 26.04.2023 26.01.2023 C ▼ 103.364 -0.966 5.47 6.73 700

Gazprom 2028 (LPN29) USD 4.95 06.08.2016 06.02.2028 - ▼ 96.304 -0.657 8.74 5.45 900Gazpromneft 2023 (LPN) USD 6 27.11.2016 27.11.2023 - ▼ 105.818 -0.538 6.11 5.11 1,500

Norilsk Nickel 6.625% 14oct2022, USD USD 6.625 14.10.2016 14.10.2022 - ▼ 110.260 -0.728 5.25 4.77 1,000Evraz 6.75% 31jan2022, USD USD 6.75 31.01.2017 31.01.2022 - ▼ 100.401 -1.015 4.75 6.76 500

MTS 2023 (LPN) USD 5 30.11.2016 30.05.2023 - ▼ 102.560 -0.348 5.93 4.62 500

NOVATEK 2022 (LPN) USD 4.422 13.12.2016 13.12.2022 - ▼ 99.971 -0.690 5.68 4.47 1,000

NLMK 4.5% 15jun2023, USD USD 4.5 15.12.2016 15.06.2023 - ▼ 98.719 -0.594 6.04 4.77 700

RZD 2023 (LPN), EUR EUR 4.6 06.03.2017 06.03.2023 - ▼ 106.837 -0.526 5.87 3.43 500

Rosneft 2022 (LPN) USD 4.199 06.09.2016 06.03.2022 - ▼ 98.534 -0.489 5.05 4.54 2,000

Russia 4.75% 27may2026, USD USD 4.75 27.11.2016 27.05.2026 - ▼ 101.884 -0.339 8.02 4.56 1,750

Sovkomflot 5.375% 16jun2023, USD USD 5.375 16.12.2016 16.06.2023 - ▼ 100.190 -0.424 5.90 5.41 750

Russia 2030 USD 7.5 30.09.2016 31.03.2030 - ▼ 122.185 -0.273 4.12 2.34 21,218Russia 2042 USD 5.625 04.10.2016 04.04.2042 - ▼ 108.761 -1.295 14.24 5.07 3,000Russia 2022 USD 4.5 04.10.2016 04.04.2022 - ▼ 105.052 -0.540 5.12 3.55 2,000Russia 2023 USD 4.875 16.09.2016 16.09.2023 - ▼ 106.963 -0.810 6.14 3.80 3,000Russia 2028 USD 12.75 24.12.2016 24.06.2028 - ▼ 173.058 -1.375 7.78 4.76 2,500Russia 2043 USD 5.875 16.09.2016 16.09.2043 - ▼ 112.224 -1.259 14.43 5.10 1,500

Vympelcom 2022 USD 7.5043 01.09.2016 01.03.2022 - ▼ 109.199 -0.696 4.67 5.66 1,500

Gazprom 2022 (LPN9) USD 6.51 07.09.2016 07.03.2022 - ▼ 109.455 -0.697 4.81 4.65 1,300Gazprom 2022-2 (LPN) USD 4.95 19.07.2016 19.07.2022 - ▼ 102.254 -0.781 5.21 4.57 1,000Gazprom 2025, EUR (LPN31) EUR 4.364 21.03.2017 21.03.2025 - ▼ 105.390 -0.969 7.41 3.63 500Gazprom 2034 (LPN2) USD 8.625 28.10.2016 28.04.2034 - ▼ 124.491 -1.186 10.17 6.41 1,200Gazprom 2037 (LPN12) USD 7.288 16.08.2016 16.08.2037 - ▼ 114.081 -1.054 11.47 6.18 1,250Gazpromneft 2022 (LPN) USD 4.375 19.09.2016 19.09.2022 - ▼ 97.810 -0.740 5.45 4.84 1,500Lukoil 2022 USD 6.656 07.12.2016 07.06.2022 - ▼ 112.473 -0.575 5.06 4.30 500Lukoil 2023 USD 4.563 24.10.2016 24.04.2023 - ▼ 100.343 -0.417 5.90 4.55 1,500

RZD 2022 (LPN) USD 5.7 05.10.2016 05.04.2022 - ▼ 106.622 -0.620 4.97 4.43 1,400RZD 2031, GBP (LPN) GBP 7.487 25.09.2016 25.03.2031 - ▼ 106.737 -0.772 9.20 6.87 650

Severstаl 2022 (LPN) USD 5.9 17.10.2016 17.10.2022 - ▼ 106.709 -0.566 5.34 4.71 750

RTM, 2009 USD 15 16.08.2016 16.11.2049 - - - - - - 55

Transport

Oil & Gas


TMT

Oil & Gas

Metal & Mining

TMT

Oil & Gas

Metal & Mining

Transport

Oil & Gas

Government sector

Transport

Metal & Mining

Corporate eurobonds

Transport

Government sector

TMT

Oil & Gas

*C-Call P-Put


27 June 2016

Bank Eurobonds. Maturity in 3 years. Rating over BBB+

Euras ian Development Bank

2017, RUB

5,00

5,50

6,00

6,50

7,00

7,50

8,00

8,50

9,00

9,50

10,00

1,0 1,1 1,2 1,3 1,4 1,5 1,6 1,7 1,8 1,9 2,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


EBRD FRN 14nov2016, RUR RUB 11.03 15.08.2016 14.11.2016 - - - - - - 3,000Eurasian Development Bank 2017, RUB RUB 8 05.10.2016 05.10.2017 - ▼ 98.114 -0.011 1.22 9.81 5,000


*C-Call P-Put


27 June 2016

Bank Eurobonds. Maturity in 3 years. Rating below BBB+

Alfa-Bank 2018, CHF (LPN)

VTB 2018, CHF (LPN)

GPB 2016, CHF

Nаts ionаl ''ny Bаnk TRAST

2016-2

Sberbаnk 2017, CHF

Alfa-Bank 2017 (LPN, Step

Up)

Al fa-Bank 2017-2 (LPN)

Bank of Moscow 2017 (LPN,

Step up)

VEB 2017-2 (LPN)VTB 2016, CHF (LPN)VTB 2017 (LPN)

VTB 2018 (LPN14)

VTB 2018-2 (LPN)

GPB 2017 (LPN)

Promsvyazbank 2017 (LPN)

RSHB 2017 (LPN2)

RSHB 2018 (LPN3B)

Sberbаnk 2017 (LPN)Sberbаnk 2017-2 (LPN)

VEB 2017 (LPN)

Russia Curve

1,00

1,50

2,00

2,50

3,00

3,50

4,00

4,50

5,00

0,0 0,5 1,0 1,5 2,0 2,5 3,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


Alfa-Bank 2018, CHF (LPN) CHF 4 16.01.2017 16.01.2018 - ▼ 99.688 -0.063 1.52 4.19 85VTB 2018, CHF (LPN) CHF 2.9 25.05.2017 25.05.2018 - ▼ 101.934 -0.115 1.88 1.86 300GPB 2016, CHF CHF 2.375 09.12.2016 09.12.2016 - ▼ 99.763 -0.087 0.45 2.88 200GPB 2024, CHF (LPN) CHF 5.125 13.05.2017 13.05.2024 13.05.2019 C ▼ 95.764 -0.252 6.61 5.80 350Nаtsionаl''ny Bаnk TRAST 2016-2 USD 6.5 01.07.2016 01.07.2016 - ▼ 100.043 -0.015 0.00 1.20 65Nаtsionаl''ny Bаnk TRAST 2016-3 USD 6 27.09.2016 27.09.2016 - - - - - - 120Oktritie 2017, RUB (LPN) RUB 9 17.12.2016 17.06.2017 - ▼ 102.063 -0.001 0.95 6.88 18,000Sberbаnk 2017, CHF CHF 2.065 28.02.2017 28.02.2017 - ▼ 100.074 -0.133 0.67 1.93 250GPB 2019 (LPN) USD 7.25 03.11.2016 03.05.2019 - ▼ 106.036 -0.476 2.61 5.01 500RSHB 2021 (LPN, step up) USD 6 03.12.2016 03.06.2021 05.07.2016 C - 100.125 - 4.80 0.51 800Alfa-Bank 2017 (LPN, Step Up) USD 6.3 22.08.2016 22.02.2017 - ▼ 101.511 -0.679 0.64 3.93 300Alfa-Bank 2017-2 (LPN) USD 7.875 25.09.2016 25.09.2017 - ▼ 106.427 -0.452 1.19 2.60 1,000Bank of Moscow 2017 (LPN, Step up) USD 6.02 10.11.2016 10.05.2017 - ▼ 101.773 -0.143 0.85 3.96 400Russian Standard Bank 2016 (LPN, Step up) USD 7.561 01.12.2016 01.12.2016 - ▼ 91.269 -0.482 0.43 32.95 200Bank Saint Petersburg 2017 (LPN, Step up) USD 7.63 25.07.2016 25.07.2017 - - 101.993 - 1.02 5.78 100Bank FK Otritie 2019 (LPN) USD 10 26.10.2016 26.04.2019 - ▼ 105.916 -0.698 2.51 7.77 500VEB 2017-2 (LPN) USD 5.375 13.08.2016 13.02.2017 - ▼ 101.821 -0.144 0.62 2.42 750Vostochny Express Bank 2017 (LPN, step up) USD 8.17 27.12.2016 27.06.2017 - - 90.500 - 0.98 19.95 43VTB 2016, CHF (LPN) CHF 3.15 16.12.2016 16.12.2016 - ▼ 100.298 -0.071 0.47 2.47 600VTB 2017 (LPN) USD 6 12.10.2016 12.04.2017 - ▼ 102.848 -0.197 0.78 2.36 2,000VTB 2018 (LPN14) USD 6.875 28.11.2016 29.05.2018 - ▼ 106.831 -0.354 1.83 3.20 2,000VTB 2018-2 (LPN) USD 6.315 22.08.2016 22.02.2018 - ▼ 105.602 -0.304 1.57 2.83 750GPB 2016, RUB (LPN, FRN) RUB 9.9 24.11.2016 24.11.2016 - ▼ 98.813 -0.001 0.41 13.23 20,000GPB 2017 (LPN) USD 5.625 17.11.2016 17.05.2017 - ▼ 102.730 -0.109 0.87 2.52 1,000Promsvyazbank 2017 (LPN) USD 8.5 25.10.2016 25.04.2017 - ▲ 103.965 0.288 0.81 3.62 400RSHB 2016 (LPN) USD 6.97 - 21.09.2016 - - - - - - 500RSHB 2016-3, RUB (LPN, FRN) RUB 11.6 23.11.2016 23.11.2016 - ▼ 99.438 -0.063 0.41 13.30 20,000RSHB 2017 (LPN2) USD 6.299 15.11.2016 15.05.2017 - ▼ 102.920 -0.112 0.87 2.95 1,250RSHB 2017, RUB (LPN) RUB 8.625 17.08.2016 17.02.2017 - ▲ 98.672 0.035 0.62 11.01 20,000RSHB 2018 (LPN3B) USD 7.75 29.11.2016 29.05.2018 - ▼ 107.963 -0.218 1.82 3.46 1,000Sberbаnk 2017 (LPN) USD 5.4 24.09.2016 24.03.2017 - ▼ 102.727 -0.090 0.73 1.69 1,250Sberbаnk 2017-2 (LPN) USD 4.95 07.08.2016 07.02.2017 - ▼ 101.889 -0.087 0.60 1.82 1,300Bank FK Otritie 2016 (LPN) USD 9.75 - 20.10.2016 - - - - - - 125VEB 2017 (LPN) USD 5.45 22.11.2016 22.11.2017 - ▼ 103.044 -0.173 1.37 3.23 600Promsvyazbank 2016 (LPN) USD 11.25 08.07.2016 08.07.2016 - ▼ 100.364 -0.110 0.03 -1.77 200Promsvyazbank 2018 (LPN) USD 12.5 - 31.01.2018 - - - - - - 100SB Bank 2017 (LPN2) USD 12 20.12.2016 20.12.2017 - - - - - - 50KMB Otkritie 2018 (LPN, Step Up) USD 12.345 - 20.06.2018 - - - - - - 100


*C-Call P-Put


27 June 2016

Bank Eurobonds. Maturity in 3 to 5 years.

VTB 2024, CHF (LPN)GPB 2019, EUR (LPN)

GPB 2019-2 (LPN)

GPB 2020 (LPN11)

Sberbаnk 2019 (LPN)

Expobank 8% 22apr2021,

USD

Alfa-Bank 2019 (LPN)

Al fa-Bank 2021 (LPN)

VTB 2020 (LPN)


2020


VEB 2020 (LPN)

Russia Curve

2,00

2,50

3,00

3,50

4,00

4,50

5,00

5,50

6,00

6,50

7,00

2,0 3,0 4,0 5,0 6,0 7,0 8,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


EBRD FRN 20may2020, RUB RUB 10.84 22.08.2016 20.05.2020 - - - - - - 3,000ATB 2020 (LPN) USD 11 10.07.2016 10.01.2020 - - - - - - 42Alfa-Bank 2025 (LPN) USD 9.5 18.08.2016 18.02.2025 18.02.2020 C ▼ 109.268 -1.375 6.03 8.14 250Uralsib Bank 2020 (LPN) USD 10.5 22.07.2016 22.07.2020 - - - - - - 77VTB 2024, CHF (LPN) CHF 5 24.10.2016 24.10.2024 24.10.2019 C ▼ 96.902 -0.759 7.09 2.54 350VTB Capital 2019, RUB (CLN) RUB 10 11.07.2016 11.10.2019 - - - - - - 21,000GPB 2019, EUR (LPN) EUR 4 01.07.2016 01.07.2019 - ▼ 104.030 -0.343 2.79 2.59 1,000GPB 2019, RUB (LPN) RUB 8.75 29.06.2016 29.06.2019 - ▼ 88.688 -0.126 2.51 13.58 13,500GPB 2019-2 (LPN) USD 4.96 05.09.2016 05.09.2019 - ▼ 102.968 -0.336 2.95 3.99 750GPB 2020 (LPN11) USD 6.5 17.07.2016 17.07.2020 - ▲ 101.938 0.563 3.54 6.04 400CREDIT EUROPE BANK 2019 (LPN) USD 8.5 15.11.2016 15.11.2019 - ▲ 97.910 0.874 2.98 9.43 250M2M Private Bank 2019 (LPN) USD 9 25.10.2016 25.10.2019 - - - - - - 34Credit Bank of Moscow 2025, RUR RUB 16.5 26.11.2016 26.05.2025 26.05.2020 C ▼ 99.875 -0.500 4.90 17.19 5,000Oktritie 10% 2020, RUR RUB 10 20.09.2016 20.09.2020 - - - - - - 15,000Promsvyazbank 2019-2 USD 10.2 - 06.11.2019 - - - - - - 200Promsvyazbank 2021 (LPN) USD 10.5 17.09.2016 17.03.2021 - ▼ 102.197 -1.879 3.75 10.14 100Sberbаnk 2019 (LPN) USD 5.18 28.12.2016 28.06.2019 - ▼ 105.812 -0.282 2.76 3.16 1,000Sberbаnk 2019-2, EUR (LPN) EUR 3.3524 15.11.2016 15.11.2019 - ▼ 104.852 -0.467 3.20 1.86 1,000KMB Otkritie 2020 USD 10 28.07.2016 28.01.2020 - - - - - - 100Expobank 8% 22apr2021, USD USD 8 22.07.2016 22.04.2021 - ▼ 107.500 -0.625 4.03 6.33 20Alfa-Bank 2019 (LPN) USD 7.5 26.09.2016 26.09.2019 - ▼ 109.040 -0.850 2.91 4.52 750Alfa-Bank 2021 (LPN) USD 7.75 28.10.2016 28.04.2021 - ▼ 112.721 -0.866 4.13 4.83 1,000Russian Standard Bank 2020 (LPN) USD 13 - 10.04.2020 - - - - - - 350Bank FK Otritie 2019-2 (LPN) USD 10 17.12.2016 17.12.2019 - - 99.875 - 3.01 10.29 300VTB 2020 (LPN) USD 6.551 13.10.2016 13.10.2020 - ▼ 108.726 -0.680 3.79 4.34 1,000Eurasian Development Bank 2020 USD 5 26.09.2016 26.09.2020 - ▲ 103.921 0.087 3.85 4.02 500Promsvyazbank 2019 (LPN) USD 10.2 06.11.2016 06.11.2019 - ▼ 107.635 -0.244 2.91 7.71 600Sberbаnk 2021 (LPN) USD 5.717 16.12.2016 16.06.2021 - ▼ 106.927 -0.494 4.41 4.20 1,000VEB 2020 (LPN) USD 6.902 09.07.2016 09.07.2020 - ▼ 107.797 -0.569 3.51 4.81 1,600Nаtsionаl''ny Bаnk TRAST 2012 (CLN) USD 11.5 06.09.2016 06.09.2020 - - - - - - 20Nаtsionаl''ny Bаnk TRAST 2012-2 (CLN) USD 11 13.12.2016 13.07.2020 - - - - - - 35Transcapitalbank 2017 (LPN, step up) USD 10 18.09.2016 18.09.2020 - - 71.000 - 3.28 21.61 100


*C-Call P-Put


27 June 2016

Bank Eurobonds. Maturity in 5 years.

VEB 2022 (LPN)

VEB 2023 (LPN)

VEB 2023, EUR (LPN8)


2022

Promsvyazbank 2021-2 (LPN)

Sberbаnk 2023 (LPN16)

AK BARS Bank 2022 (LPN)

VTB 2022 (LPN)

VTB 2035 (LPN6)

RSHB 2023 (LPN)


Sberbаnk 2022-2 (LPN)

VEB 2025 (LPN)

Russia Curve

4,00

4,50

5,00

5,50

6,00

6,50

7,00

7,50

8,00

8,50

9,00

3,0 4,0 5,0 6,0 7,0 8,0 9,0 10,0 11,0 12,0duration, years

Yiel

d, %


%

Next Coupon

dateMaturity date

Next Put/ Call

date*Price, %

Price. chg,

b.p.

Maturity,


Alfa-Bank 2020, RUR (LPN) RUB 14 17.11.2016 17.11.2021 - ▼ 120.500 -0.188 4.05 9.29 4,000USD 4.125 10.12.2016 10.12.2022 - ▼ 95.620 -0.487 5.70 4.93 1,425

Russian Standard Bank 13% 27oct2022, USD USD 13 27.10.2016 27.10.2022 - ▼ 24.188 -0.281 3.83 54.15 451Russian Standard Bank 2024 (LPN, Step up) USD 11.5 - 17.01.2024 - - - - - - 200VEB 2022 (LPN) USD 6.025 05.07.2016 05.07.2022 - ▼ 104.841 -0.883 5.03 5.14 1,000VEB 2023 (LPN) USD 5.942 21.11.2016 21.11.2023 - ▼ 103.812 -0.665 6.09 5.38 1,150VEB 2023, EUR (LPN8) EUR 4.032 21.02.2017 21.02.2023 - ▼ 99.534 -0.778 5.89 4.11 500Eurasian Development Bank 2022 USD 4.767 20.09.2016 20.09.2022 - ▼ 101.230 -0.172 5.41 4.58 500Nаtsionаl''ny Bаnk TRAST 2022, RUB (Repackaging) RUB 12 - 07.09.2022 - - - - - - 2,300Nаtsionаl''ny Bаnk TRAST 2022-1 (LPN) USD 6.4 - 22.05.2022 - - - - - - 63Nаtsionаl''ny Bаnk TRAST 2024 USD 6.6 - 25.09.2024 - - - - - - 90Nаtsionаl''ny Bаnk TRAST 2041, RUB (LPN) RUB 13 - 07.02.2041 - - - - - - 1,600Promsvyazbank 2021-2 (LPN) USD 10.5 30.07.2016 30.07.2021 - ▲ 106.849 0.230 3.95 8.99 333SB Bank 2022 (LPN2) USD 10.5 28.12.2016 28.12.2022 - - - - - - 30Sberbаnk 2023 (LPN16) USD 5.25 23.11.2016 23.05.2023 - ▼ 97.202 -0.914 5.84 5.83 1,000AK BARS Bank 2022 (LPN) USD 8 13.07.2016 13.07.2022 - ▼ 98.125 -2.500 4.72 8.57 600VTB 2022 (LPN) USD 6.95 17.10.2016 17.10.2022 - ▼ 103.040 -1.399 5.17 6.45 1,500VTB 2035 (LPN6) USD 6.25 30.06.2016 30.06.2035 - ▲ 103.711 0.103 11.20 6.01 1,000Credit Europe Bank, 2019 USD 10 - 22.10.2022 - - - - - - 50RSHB 2023 (LPN) USD 8.5 16.10.2016 16.10.2023 - ▼ 103.894 -0.652 5.54 7.93 500Sberbаnk 2022 (LPN) USD 6.125 07.08.2016 07.02.2022 - ▼ 109.316 -0.661 4.78 4.28 1,500Sberbаnk 2022-2 (LPN) USD 5.125 29.10.2016 29.10.2022 - ▼ 100.200 -0.625 5.45 5.15 2,000KMB Otkritie 2023 (LPN) USD 10 18.12.2016 18.06.2023 - ▼ 88.938 -3.313 5.05 12.79 200VEB 2025 (LPN) USD 6.8 22.11.2016 22.11.2025 - ▼ 108.180 -1.025 7.16 5.74 1,000


*C-Call P-Put


27 June 2016

Information disclosure The statement of an analyst and confirmation of the responsibility withdrawal

The given report is prepared by the analyst (-s) of the Investment Company Veles Capital. The given estimations in the present report reflect personal opinion of the analyst (-s). The award of the analysts does not depend, never depended and will not depend upon the specific recommendations or estimations, provided in the present report. The award of the analysts depends upon the general efficiency of the business of the Investment Company Veles Capital, determined by the investment benefit of the company’s clients and also upon the incomes from other types of activity of the Investment Company Veles Capital.

The given report, prepared by the Research Department of the Investment Company Veles Capital, is basing on the public information. The present review was prepared independently from other Departments of the Investment Company Veles Capital, and any recommendations and judgments, presented in the given report reflect only the view point of the analyst (-s), participated in making of the present review. Due to that consideration, the Investment Company Veles Capital considers being necessary to state that the analysts and the Company are not responsible for the content of the given report. The analysts of the Investment Company Veles Capital do not take overall responsibility to regularly up-date the information, contained in the present report, and also to announce about all changes, introduced to the present review.

Provided analytical material of the Investment Company Veles Capital could be used only with information aims. The company does not guarantee the completeness and preciousness of provided information in the given report and its reliability, and also is not responsible for direct and indirect losses from using of the given materials. This document cannot serve as a basis for purchase and selling any securities, and cannot also be considered as an offer from the part of the Investment Company Veles Capital. The Investment Company Veles Capital and (or) its subsidiaries along with the staff, directors and analysts of the Investment Company Veles Capital have the right to purchase and sell any securities, mentioned in the given review.

The Investment Company Veles Capital and (or) its subsidiaries can serve as a market-maker or have the liabilities for underwriting of companies’ securities, mentioned in the given review, can purchase or sell them for clients, and also make any actions, which do not contradict the Russian law. The Investment Company Veles Capital and (or) its subsidiaries can also be interested in the possibility of providing the companies, mentioned in the present review, with the investments and bank or any other services.

All rights for the given bulletin belong to the Investment Company Veles Capital. The reproduction and/or distribution of the analytical materials of the Investment Company Veles Capital are prohibited without the written permission of the Company.

© Veles Capital 2016.


27 June 2016

Контакты Cont act s

Fixed Income Sales Department

Research Department

Evgeni Shilenkov Head of trade department [email protected] Pavel Altukhov Vice-Head of Stock Market Operational Department [email protected] Ekaterina Pisarenko Head of department [email protected] Oksana Telichko Vice-head of department [email protected] Anton Pavlyuchuk Head of bonds department [email protected] Alena Shemetova Vice-head of bond department [email protected] Elena Rukinova Bonds Trader [email protected] Murad Sultanov Eurobonds trader [email protected] Mikhail Mamonov Head of bills department [email protected] Olga Bogolubova Bills Trader [email protected] Uliya Shabalina Bills Trader [email protected] Taras Kovalchuk Bills Trader [email protected]

Ivan Manaenko Head of department [email protected] Vasiliy Tanurkov Oil and gas, Chemicals and fertilizers [email protected]

Yury Kravchenko Banking, Money market [email protected] Artur Navrotsky Debt markets [email protected] Alexander Kostyukov Utilities, Consumer Goods [email protected]

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Entr. 7, floor 18

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