Stratonomics Feb 2010

8/14/2019 Stratonomics Feb 2010

1/27


2/27

MSCIindices,Currentindexlevelvs5Yaverage:

Comparedtoits5Yaverage,theMSCIRUIndexis

currentlyamongthelowestlevelofanyEM.

MSCI

Indices,

1M

performance:

Over

the

past

month

theMSCIRussia(down4%)hasoutperformedwithin

theEMuniverse.

MSCI

indices,

3M

performance:

Over

the

past

three

monthstheMSCIRussiahasgainedonly0.1%

18%15%

15%13%13%12%

12%12%

12%10%10%10%

9%7%

6%4%

BrazilPoland

HungaryChina

ArgentinaTaiwan

S.AfricaIndia

MSCIEMKorea

MexicoCzechRep

TurkeyIndonesia

ThailandRussia

13%13%

11%9%

8%8%

3%2%

1%0%0%0%

2%2%

4%5%

Czech ReBrazil

ArgentinaPoland

HungaryChina

MSCIEMS.

Africa

TaiwanRussia

IndiaMexico

ThailandKorea

TurkeyIndonesia

22%18%16%15%

6%4%

1% 4%

7%7%7%

10%19%19%

28%45%

PolandHungary

RussiaArgentina

CzechTaiwan

KoreaMexico

S.AfricaThailand

EMTurkey

ChinaIndia

BrazilIndonesia

STOCKM

Russianindicesperformance(%):YtDtheRTSIndex($)is

down2.3%,MICEX(RUB)down1.0% andtheRDXIndex

($)down0.76%.

Source:

Bloomberg,

5

Feb

2010 Source:

MSCI,

Bloomberg,

5

Feb

2010Source:

MSCI,

Bloomberg,

5

Feb

2010

MSCIRUperformancevsEM,GlobalOil(%):YtDthe

Russianmarkethasoutperformed(1.9%)boththe

MSCIEM(9.3%)andAMEXOil(6.4%)indices.

Russianmarketvolatility,90Days

Source:MSCI,Bloomberg,5Feb2010 Source:MSCI,Bloomberg,5Feb2010 Source:MSCI,Bloomberg,5Feb2010

20% 15% 10% 5% 0%20% 10% 0% 10%

30%

0%

30%

60%

90%

120%

Jan09 Apr09 Jul09 Oct09 Jan10

MSCIRussia MSCIEM AMEXOIL

30%

0%

30%

60%

90%

120%

150%

Jan09 Apr09 Jul09 Oct09 Jan10

RTS Micex RDX

30% 10% 10% 30% 50%

0

20

40

60

80

100

Jan07 Oct07 Jul08 Apr09 Jan10

RTS MSCIWorld MSCIEM

RKE

TPERFORMANC

E

2


3/27

MSCIRussiaEnergyIndexrelativetoMSCIEM

Energy:YtDRussianEnergystockshaveoutperformed

theirEMpeersby8%.

MSCIRussiaMaterialsIndexrelativetoMSCIEM

Materials:YtDRussianMaterialshaveoutperformed

theirEMpeersby15%.

MSCIRussiaFinancialsIndexrelativetoMSCIEM

Financials:Russia'sbestperformingsectorin2009

hasoutperformeditsEMpeers12%YtD.

STOCKM

0.9

1.0

1.1

0.8

0.9

1.0

1.1

1.2

1.3

1.4

0.8

1.0

1.21.4

1.6

1.8

2.0

2.2

MSCIRussiaTelecomsIndexrelativetoMSCIEM

Telecoms:YtDRussianTelecomshave

underperformedtheirEMpeersby1%.

Source:MSCI,Bloomberg,5Feb2010Source:MSIC,Bloomberg,5Feb2010Source:MSCI,Bloomberg,5Feb2010

MSCIRussiaHealthCareIndexrelativetoMSCI

EMHealthCare:YtDMSCIRussiaHealthCarehas

underperformeditsEMpeersby17%.

Source:

MSCI,

Bloomberg,

5

Feb

2010 Source:

MSCI,

Bloomberg,

5

Feb

2010 Source:

MSCI,

Bloomberg,

5

Feb

2010

MSCIRussiaConsumerStaplesIndexrelativetoMSCI

EMConsumerStaples:YtDRussianConsumerStaples

nameshaveunderperformedtheEM's6%.

RKE

TPERFORMANC

E

.

Jan09 Mar09 May09 Aug09 Oct09 Jan10

.


.


0.8

1.0

1.2

1.4

1.6

1.8

2.0

2.2

2.4


0.7

0.8

0.9

1

1.1

1.21.3

1.4

1.5

1.6

1.7


0.4

0.6

0.8

1.0

1.2

1.4

1.6


3


4/27

MSCIRussia:1Mperformancebysector(%) MSCIRussia:3Mperformancebysector(%) MSCIRussia:12Mperformancebysector(%)

94%

115%

133%

161%

199%

219%

241%

505%

Energy

Telecoms

MSCIRussia

Utilities

Materials

HealthCare

ConsStaples

Financials

STOCKM

18%

16%

12%

5%

4%

2%

0%

1%

ConsStaples

HealthCare

Telecoms

Energy

MSCIRussia

Financials

Materials

Utilities

9%

6%

4%

0%

2%

10%

19%

22%

Healthcare

Telecoms

Energy

MSCIRussia

Materials

Utilities

ConsStaples

Financials

Source:

MSCI,

Bloomberg,

5

Feb

2010 Source:

MSCI,

Bloomberg,

5

Feb

2010Source:

MSCI,

Bloomberg,

5

Feb

2010

MSCIRussia:Sectorcorrelationswithoilprice(rolling

correlationofweeklychanges)MSCIRussia:CorrelationwithMSCIEMandMSCI

Worldindices(rollingcorrelationofweeklychanges)

MSCIRussia:Correlationwithoilprice(rolling

correlationofmonthlychanges)

Source:MSCI,Bloomberg,5Feb2010Source:MSCI,Bloomberg,5Feb2010 Source:MSCI,Bloomberg,5Feb2010

0% 200% 400%RKE

TPERFORMANC

E

25% 15% 5% 5% 15% 5% 5% 15% 25%

0.0

0.2

0.4

0.6

0.8

1.0

'02 '03 '04 '05 '06 '07 '08 '09 '10

MSCIEM MSCIWorld

0.2

0.0

0.2

0.4

0.6

0.8

1.0

'02 '03 '04 '05 '06 '07 '08 '09 '10

0.1

0

0.1

0.2

0.30.4

0.5

0.6

0.7

Jul06 Mar07 Dec07 Aug08 May09 Jan10

Energy Financials

Materials Telecom

Cons.staples

4


5/27

RTSperformance,1M(%)MICEXperformance,1M(%)

STOCKM13%12%11%

10% 8% 8%8%

5% 4% 3%

4% 5% 6%6% 8%

10% 12%13%

17%

29%

20%

10%

0%

10%

20%

30%

40%

CI

N N ZL

KC K

GS H S

PTL

BR

KA N E

L R N SP S

IKE F

TOPBOTTOM

14%14%12%9% 9% 8% 7%

6% 6% 5%

13%14% 15%

19% 20%

25%34%

35%35% 37%

25%

5%

15%

35%

IBN

KC

N V TP

NT K T

L H FP

KA

SP N K

S H N LR O F O

TOPBOTTOM

RDXperformance,1M(%)

Source:

Bloomberg,

5

Feb

2010

Source:Bloomberg,5Feb2010 Source:Bloomberg,5Feb2010

RKE

TPERFORMANC

E

R SI

RO P

OG

NL

SN

LK

SNG

PM V

TUR

GM V

THY

MA R

A UOG

CH

SO

RO

SV

NM

MG

NL S

PLK

TR

UR

RA

MA A

F

MR

AK

MT

VS

CH

ES

20%

16% 14%

11% 11% 10%9% 8%

7% 6%5%

2%2%

1%

7%

25%

20%

15%

10%5%

0%

5%

10%

ROSN

SGGD

NLMK

URKA

OGZD

LKOD

ATAD

PLZL

NVTK

VTBR

MNOD

SSA

EVR

HYDR

SVST

TOPBOTTOM

5


6/27

MICEXliquidity($mn):LiquidityontheMICEXhasrecoveredfromitsrecentlowatend

2008/beginningof2009,withanaveragedailytradedvolumeof$1,795mnoverthepast11

months.

RTSliquidity($mn):LiquidityontheRTSin2H09onlyslightlyimprovedon1H09and

remainswellbelowitsprecrisislevel(Note:dataisfortheRTSClassicaIndex).

0

1,000

2,000

3,000

4,000

5,000

6,000

Ave.value=$2,197

Ave.value=$856

Ave.value=$1,795

0

20

40

60

80

100

120

Ave.value=$44

Ave.value=$11

Ave.value=$14

MA

Source:

Bloomberg,

Aton

estimates,

5

Feb

2010

RDXliquidity($mn):WhiletheliquidityinGDRs,representedherebytheRDXIndex,

hasrecoveredsomewhatfromitsrecentlow,liquidityremainswellshortofitspre

crisislevel.

Source:Bloomberg,Atonestimates, 5Feb2010 Source:Bloomberg,Atonestimates, 5Feb2010

Jan08 Apr08 Jul08 Oct08 Jan09 Apr09 Jul09 Oct09 Jan10

0

1,000

2,000

3,000

4,000

5,000

Jan08 Apr08 Jul08 Oct08 Jan09 Apr09 Jul09 Oct09 Jan10

Ave.value= $586

Ave.value= $1,664

Ave.value= $854

Jan08 Apr08 Jul08 Oct08 Jan09 Apr09 Jul09 Oct09 Jan10 KET

LIQUIDITY

6


7/27

12MFWDP/E:Witha12MforwardP/Eof7.9x,Russia

looksattractivewithintheEMuniverse.

P/BV2010E:At1.0xRussiahasthelowestP/BVratio

comparedtoitsEMpeers.

EV/EBITDA2010E:Thesameistrueforthe

EV/EBITDAratio,whichat5.1x,remainsthelowest

withintheEMspace.

MAR

7.99.09.29.3

9.910.410.4

10.911.9

12.312.712.813.0

13.414.7

16.2

RussiaTurkey

ArgentinaKorea

HungaryThailand

CzechS.Africa

EMPoland

BrazilChina

IndonesiaMexicoTaiwan

India

1.01.2

1.31.4

1.51.61.6

1.81.81.8

2.02.12.1

2.32.9

RussiaHungary

KoreaPoland

ThailandTurkey

S.Africa

ArgentinaEM

TaiwanBrazilChinaCzech

MexicoIndia

5.1

5.9

6.5

6.5

6.56.8

6.7

7.2

7.6

7.9

8.1

9.4

10.3

Russia

Czech

Turkey

China

IndonesiaBrazil

Thailand

Mexico

EM

Poland

S.Africa

Hungary

India

PEGratio2010E:On2010earningsgrowthadjustedP/E,RussiarelativetootherEM

countrieshasthesecondlowestPEGratioat0.22x.

Source:MSCI,Bloomberg, 5Feb2010 Source:MSCI,Bloomberg, 5Feb2010 Source:MSCI,Bloomberg, 5Feb2010

P/CF2010E:Inaddition,Russia'sP/CFratioof5.1xisoneofthelowestintheemerging

world.

Source:

MSCI,

Bloomberg,

5

Feb

2010Source:

MSCI,

Bloomberg,

5

Feb

2010

ETV

ALUATIONS

0 5 10 15 200.0 1.0 2.0 3.0

2.53.8

5.15.7

6.37.4

8.58.78.8

12.213.5

16.418.4

21.726.1

26.9

0 3 6 9 12 15 18 21 24 27 30

TurkeyCzechRussia

PolandHungary

MexicoS.Africa

BrazilEM

TaiwanKoreaIndia

ArgentinaThailand

ChinaIndonesia

0 5 10

0.190.22

0.250.29

0.470.56

0.61 0.71

0.750.76

0.790.80

0.951.04

0 0.2 0.4 0.6 0.8 1

TaiwanRussiaKorea

ArgentinaEM

ChinaBrazilHungary

PolandThailand

TurkeyS.Africa

IndonesiaMexico

Indonesia

7


8/27

12MforwardP/E;currentvs6Mago:Russia's12M

forwardP/Es(aggregateaswellasforindividual

sectors)haveseenamoderatecontractionoverthe

astsixmonths.

12MforwardP/E:Russia'slowaggregatemarketP/E

of7.9xisheavilyinfluencedbythelowP/EforEnergy

names(6.2x).

12MforwardP/Ediscount/premiumvsEM:

Russiatradesata32%discounttoEM(Energy

30%,Materials24%).

MAR0

10

20

30

T Y L S H

12MFWDP/E 12MFWDP/E6MAgo

6.2

12.6

18.6

8.4

12.2

13.3

8.9

12.4

16.1

11.1

13.4

11.3

ENERGY

MATERIALS

CONSSTAPLES

TELECOMS

HEALTHCARE

FINANCIALS

EM Russia

30%

24%

9%

2%

16%

18%

ENERGY

TELECOMS

HEALTHCARE

MATERIALS

CONSSTAPLES

FINANCIALS

P/BV2010E:Discount/premiumvsEMpeers

Source:MSCI,Bloomberg, 5Feb2010Source:MSCI,Bloomberg, 5Feb2010

Source:MSCI,Bloomberg, 5Feb2010Source:MSCI,Bloomberg,5Feb2010

Source:MSCI,Bloomberg, 5Feb2010

P/BV2010Evs2011E:Themarketcurrentlyexpectsamarginalexpansionofbookvalue

in2011withinallsectors.

KETV

ALUATIONS

MARKE

Aggr.

ENERG

MATERIA

SCONS

STAPLE

TELECO

S

HEALT

CARE

FINANCI

LS

7.9.

0 5 10 15 20 25

ggr.

41%

39%

38%

1%

15%

16%

50% 40% 30% 20% 10% 0% 10% 20%

ENERGY

MARKETAggr.

UTILITIES

MATERIALS

TELECOMS

FINANCIALS

32%

50% 20% 10% 40%

ggr.

0

1

2

3

TELECOM

S

MATERIAL

S

FINANCIA

LS

MSCI

RUSSIA

ENERGY

UTILITIES

2010 2011

8


9/27

MSCIRussia,EV/EBITDA2010Evs2011EMSCIRussiavsEMindices,EV/EBITDA2010E

MAR

3.7

4.65.2

5.8

8.0

2.6

3.9

4.34.9

7.3

2

4

6

8

10

2010 2011

3.7

4.6

5.2

5.8

8.0

6.8

5.7

7.6

7.6

5.0

UTILITIES

ENERGY

MARKETAggr.

MATERIALS

TELECOMS

EM Russia

MSCIRussiaP/CF,2010Evs2011E


MSCIRussiavsEMindices,P/CF2010E


KETV

ALUATIONS

UTILITIES ENERGY MARKETAggr. MATERIALS TELECOMS0 2 4 6 8 10 12

4.55.3

3.9

9.08.2

8.9

4.14.6

3.4

6.57.1

6.4

0

2

4

6

8

10

12

ENERGY MARKETAggr. TELECOMS UTILITIES MATERIALS FINANCIALS

2010 2011

4.5

5.3

3.9

9.0

8.2

8.9

6.3

7.4

5.1

6.9

8.0

7.2

0 2 4 6 8 10

ENERGY

MARKETAggr.

TELECOMS

UTILITIES

MATERIALS

FINANCIALS

EM Russia

9


10/27

MSCIRussiaEnergyandEMEnergy12Mforward

EPS(Jan2008=100)

MSCIRussiaMaterialsandEMMaterials12M

forwardEPS(Jan2008=100)

MSCIRussiaandEM12MforwardEPS(Jan

2008=100)

70

90

110

130

150

Russia EM

70

90

110

130

150

170Russia EM

50

70

90

110

130

150

170Russia EM

CO

Source:MSCI,Bloomberg, 5Feb2010 Source:MSCI,Bloomberg, 5Feb2010

Source:MSCI,Bloomberg, 5Feb2010 Source:MSCI,Bloomberg, 5Feb2010



MSCIRussiaConsumerStaplesandEMConsumer

Staples12MforwardEPS(Jan2008=100)

MSCIRussiaTelecomsandEMTelecoms12M


MSCIRussiaFinancialsandEMFinancials12M


Jan08 May08 Oct08 Mar09 Aug09 Jan10 Jan08 May08 Oct08 Mar09 Aug09 Jan10 Jan08 May08 Oct08 Mar09 Aug09 Jan10

PANY

EARNINGS

40

50

60

70

80

90

100

110

120

Jan08 May08 Oct08 Mar09 Aug09 Jan10

Russia EM

50

60

70

80

90

100

110

120


Russia EM

0

20

40

60

80

100

120

140


Russia EM

10


11/27

Earningsgrowth,2010E(%):Theconsensus(I/B/E/S)earningsoutlookforFY10expects

RussiatoseeamongthehighestearningsgrowthintheEMuniversein2010.

Earningsgrowth,2011E(%):Thesameistruefor2011,with32%earningsgrowth

expected

CO

12%13%

14%14%

15%16%

20%

20%22%

25%25%

31%37%

37%

TurkeyMexico

ThailandIndonesia

HungaryPoland

Brazil

ArgentinaChinaIndia

EMS.Africa

RussiaKorea

10%17%

18%18%

19%20%20%

21%24%24%

29%29%

31%32%

KoreaChina

TurkeyThailand

ArgentinaIndonesia

Mexico

EMBrazil

PolandS.Africa

IndiaHungary

Russia

Indonesia

Indonesia

Source:MSCI,Bloomberg, 5Feb2010 Source:MSCI,Bloomberg,5Feb2010

PANY

EARNINGS

0% 5% 10% 15% 20% 25% 30% 35% 40% 0% 5% 10% 15% 20% 25% 30% 35%

11


12/27

Oilprice(Brent$/barrel) Goldpriceandinventories Nickelpriceandinventories

C0

20

40

6080

100

120

140

160

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

400

600

800

1,000

1,200

1,400

Inventories, oz(rhs) Price,$/oz(lhs)

20,000

40,000

60,000

80,000

100,000

120,000

10,200

20,200

30,200

40,200

50,200

Inventories,tonne(rhs) Price,$/tonne,(lhs)

Source:Bloomberg, 5Feb2010Source:Bloomberg, 5Feb2010 Source:Bloomberg, 5Feb2010

Source:Bloomberg, 5Feb2010

Steelprice

(CIS

Export

HR

Coil

$/tonne) Copper

price

and

inventories


Aluminiumprice

and

inventories


OMM

ODITIES

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10

0

200

400

600

800

1,000

1,200

'01 '02 '03 '04 '05 '06 '07 '08 '09 '100

200,000

400,000

600,000

800,000

1,000,000

1,200

3,200

5,200

7,200

9,200

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10

Inventories,tonne(rhs) Price,$/tonne(lhs)

0

1,000,000

2,000,000

3,000,000

4,000,000

5,000,000

1,200

1,700

2,200

2,700

3,200

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10

Inventories, tonne(rhs) Price,$/tonne(lhs)

12


13/27

Platinumprice($/oz) Palladiumprice($/oz) Silverpriceandinventories

C800

1,300

1,800

2,300

300

600

900

1,200

90,000

100,000

110,000

120,000

130,000

140,000

5

10

15

20

25

Inventories, 1000oz(rhs)

Price,$/oz(lhs)


Source:Bloomberg, 5Feb2010Source:Bloomberg, 5Feb2010 Source:Bloomberg, 5Feb2010


BalticDry

Index

and

HSBC

Global

Steel

Index Selected

Reuters

commodity

indices

OMM

ODITIES

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10

,

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10

100

100

300

500

700

900

1,100

1,300

1,500

0

2,000

4,000

6,000

8,000

10,000

12,000

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10

BalticDryIndex(lhs)

GlobalSteelHSBCIndex(rhs)

150

250

350

450

550

150

300

450

600

750

900

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10

CRBSpotmetals(lhs)

CRBSpotallcommodities (rhs)

CRBRawIndustrials (rhs)

13


14/27

RealRUB/USDandRUB/EURexchangerates(Dec97=100)OfficialRUB/USDandRUB/EURexchangerates

20

25

30

35

40

45

50

RUB/USD RUB/EUR RUB/basket

70

90

110

130

150

2003 2004 2005 2006 2007 2008 2009

RealRUB/USD RealRUB/EUR

Source:CBR

Source:CBR,Bloomberg, 5Feb2010 Source:CBR,Bloomberg, 5Feb2010

Source:CBR,Atonestimates

1MchangeinmajorEMandfrontiermarketcurrencies(%) 12MchangeinmajorEMandfrontiermarketcurrencies(%)

URR

ENCIES

0.3%0.0%

0.0%0.7%

1.0%1.1%

1.4%1.7%

2.1%2.5%

2.6%3.8%

4.7%5.0%

5.2%6.4%

6.9% 8.6%

1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

KazakhstanChina

ThailandTaiwan

IndonesiaArgentina

PhilippinesMalaysia

RussiaKorea

MexicoTurkey

CzechEstoniaPoland

S.AfricaHungary

Brazil

appreciation depreciation

18.8%18.2%

15.4%7.2%

4.5%3.9%

2.2%2.0%

0.8%0.7%

0.4%0.0%

0.9%2.1%

3.6%

5.4%11.2%

22.4%

25% 20% 15% 10% 5% 0% 5% 10% 15% 20% 25%

BrazilS.Africa

IndonesiaKorea

ThailandMexicoTaiwan

PhilippinesTurkeyMalaysia

CzechChina

PolandEstonia

RussiaHungary

ArgentinaKazakhstan

appreciation depreciation

14


15/27

Monetarypolicyrates;levelsandchangefromprecrisis

peak(%):TheCBRheldtherefinancingratesteadyin

Januar at8.75%.

KeyratedifferencewithUSFedFundsRates(%):

RussiaandBrazilstillseethebiggestdifferentialvsthe

FedFundsrate.

PolicyrateinBRIC(%):Russiastartedratecuts

laterthanotherBRICcountries,andwesee

another75100b tsbein cutin1Q10.

1.82.0

2.0

3.5

4.04.5

4.8

6.0

6.5

7.0

7.0

8.8

8.8

5.2

2.5

3.3

1.5

2.5

2.0

3.8

4.3

5.5

10.3

4.0

5.0

5.04.3

China

KoreaMalaysia

PolandPhilippines

Mexico

IndiaHungary

Turkey

Kazakhstan

S.Africa

Brazil

Russia

Current

rates

Changesince

precrisis

peak

0.31.61.81.8

3.33.8

4.3

4.55.8

6.36.86.8

8.58.5

BulgariaChinaKorea

MalaysiaPoland

PhilippinesMexico

IndiaKazakhstan

S.AfricaHungary

TurkeyBrazil

Russia

2

4

6

810

12

14

16

18

20

Russia

Brazil

India

China

IN

TERESTR

5YCDSspread1Mchange(bpts)

Source:CBR,Bloomberg Source:CBR,Bloomberg Source:CBR,Bloomberg

Source:

Bloomberg,

5

Feb

2010

Russia's5YCDSspread(bpts)

Source:

Bloomberg,

5

Feb

2010Source:

Bloomberg,

5

Feb

2010

Current5YCDSspreadsbycountry(bpts)

213

100

300

500

700

900

1100

1300

Aug08 Oct08 Jan09 Apr09 Jul09 Oct09 Jan10

213

0 50 100 150 200 250 300

BulgariaChina

HungaryKazakhstan

BrazilTurkey

KoreaRussia

MexicoArgentina

EstoniaCroatiaPoland

PhilippinesIndonesia

SouthAfricaCzechRepublic

MalaysiaThailand

.

15 10 5 0 5 100 5 10

44.6

70 20 30 80 130 180

ChinaKoreaBrazil

MexicoBulgariaHungary

RussiaTurkey

PolandKazakhstan

CzechRepublicMalaysia

EstoniaThailand

SouthAfricaPhilippines

IndonesiaCroatia

0

2005 2006 2007 2008 2009 2010

TES/RISKINDICATO

RS

15


16/27

MosPrimeRates

Cost

of

equity

(bpts):

Russia

5Y

CDS

spread

x

RTS

IndexexcessvolatilityoverS&P500volatility

Russia30YEurobondspread(bpts)

IN

TERESTR300

600

900

1,200

1,500

1,800

420

5

10

15

20

25

30

MosPrimerateO/N(%) MosPrimeRate3M(%)

200

400

600

800

1,000

1,200

1,400

110

REPOrate,

Overnight

Source:Bloomberg,Atonestimates, 5Feb2010


Source:Bloomberg, 5Feb2010Source:Bloomberg, 5Feb2010

TES/

RISKINDICATO

RS

'04 '05 '06 '07 '08 '09 Jan08 May08 Oct08 Mar09 Aug09 Jan10

5

7

9

11

13

15

17

19


RUBSWAPO/N(%) REPORateO/N(%)

'01 '02 '03 '04 '05 '06 '07 '08 '09

16


17/27

QuarterlyGDPrealgrowthrate(%YoY):Accordingto

Rosstat,GDP

dropped

7.9%

in

FY09,

suggesting

about

a2%dropin4Q09

NominalGDP(RUBbn):NominalGDPequalled

RUB10.9trnin

4Q09,

and

for

FY09

amounted

to

RUB39.2trn,accordingtoRosstatestimates.

QuarterlyBRICGDPgrowth(%YoY)*:Withinthe

BRICquartet,

Russia

is

still

the

only

country

not

seeinggrowthrevertingtopositive

T15%

10%

5%

0%

5%

10%

15%

5,000

6,000

7,0008,000

9,000

10,000

11,000

12,000

8

3

2

7

12

Brazil China India Russia

Source:Rosstat,Bloomberg

Source:Rosstat Source:Rosstat

Source:IMF,*Atonestimates

GDPrealgrowthratein9M09(%YoY):Witha9.9%contractioninGDPin9M09,Russia

wasoneoftheworstaffectedeconomiesduringtherecentrecession.

2010GDPgrowthestimate(%):However,weexpectastrongreboundinGDPgrowth

in2010(6.4%) thethirdhighestgrowthratewithinEM

Source:Rosstat,Bloomberg.

HEEC

ONOMY

15.69.9

8.67.1

1.71.31.20.9

0.20.3

0.50.70.91.2

1.84.2

6.9 10.7

20 15 10 5 0 5 10

EstoniaRussia

TurkeyHungary

KazakhstanMexico

ThailandSouthAfrica

KoreaArgentina

BrazilTaiwan

MalaysiaPoland

PhilippinesIndonesia

IndiaChina

2.60.9

0.971.5

1.72.0

2.22.5

3.23.6

3.73.73.7

4.04.7

6.47.7

10.0

4 2 0 2 4 6 8 10 12

EstoniaHungary

PhilippinesArgentina

SouthAfricaKazakhstan

PolandMalaysia

IndonesiaKorea

TaiwanThailand

TurkeyMexico

BrazilRussia*

IndiaChina

1Q00 4Q01 3Q03 2Q05 1Q07 4Q08

,

1Q05 1Q06 1Q07 1Q08 1Q09

'01 '02 '03 '04 '05 '06 '07 '08 '09

*ForBrazilandIndiathemostrecentdataarefor3Q09,forChinatheyare4Q09.ForRussia,ourestimatefor4Q09isbasedonRosstat'sFY09realGDPgrowthandconfirmed9M09growth 17


18/27

PMI:Themanufacturingsectorexpandedin

January(a

reading

above

50)

after

three

consecutivemonthsofdecline.

Structureofindustrialproduction(%YoY):Allthree

segmentsresumed

positive

growth

in

Dec

2009.

Manufacturingledtherecovery.

Industrialproductionandfixedinvestment(%YoY):

IPgrew

2.7%

YoY

in

Dec

2009

(positive

for

asecond

straightmonth);FIfell8.9%YoY.

T25%

15%

5%

5%

15%

25%

IndustrialProduction FixedInvestment

15%

5%

5%

15%

25%

Mining Manufacturing BasicServices

30

35

40

45

50

55

60

65

Services

Manufacturing

Source:Rosstat Source:Rosstat Source:Rosstat,Atonestimates

Source:VTB

Realdisposable

income,

Real

wage,

Retail

sales

(%

YoY):Decemberdataconfirmthattherecoveryin

demandrelatedindicatorsiscontinuing.

Fixedinvestment

(%/GDP):

Fixed

investment

as

a

percentageofGDPhashoveredaround20%,one

ofthelowestintheEMspace.

Unemploymentrate(%):Unemploymentroseforthe

thirdmonthandtotalled8.2%inDec2009.

Source:Rosstat Source:Rosstat

HEEC

ONOMY

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09

15%

5%

5%

15%

25%

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09

RealDisposableIncome

RealWage

RetailSales

'02 '03 '04 '05 '06 '07 '08 '09

0

5

10

15

20

25

1Q95 1Q97 1Q99 1Q01 1Q03 1Q05 1Q07 1Q09

5%

6%

7%

8%

9%

10%

11%

12%

13%

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09

Jan07 Jul07 Jan08 Jul08 Jan09 Jul09 Jan10

18


19/27

FederalBudget(%/GDP):Afterpostingafiscaldeficitof6.1%/GDPin2009,Russia

recordedasurplus

of

2.6%/GDP

in

Jan

2010.

However,

spending

tends

to

be

low

in

January,hencewedonotexpectasurplustobemaintainedgoingforward.

FederalBudgetbalanceandReserve+WellbeingFunds(%/GDP):In2009the

combinedfiscal

fund

(reserve

and

national

well

being)

lost

$73bn.

In

the

month

of

Januaryitfellanother$900mnto$151.2bn.

T

10%

0%

10%

20%

30%

Deficit ReserveFund+WellbeingFund

20%

10%

0%

10%

20%

30%

40%

50%Revenues Spending Balance

GrossandnetFDI($bn):OverthepasttworeportedquartersRussiahasseenan

increaseinincomingFDI.In3Q09,itamountedto$12bn,down29%YoY.

Currentaccountbalance(%/GDP):Thecurrentaccountsurplusreached3.9%ofGDPin

2009,down53%from2008

Source:CBRSource:CBR

Source:MinistryofFinance,Rosstat Source:MinistryofFinance,Rosstat

HEEC

ONOMY

2004 2005 2006 2007 2008 2009 20102004 2005 2006 2007 2008 2009 2010

15

10

5

0

510

15

20

25

1Q05 3Q05 1Q06 3Q06 1Q07 3Q07 1Q08 3Q08 1Q09 3Q09

GrossFDI NetFDI

0

5

10

15

20

25

1Q00 1Q01 1Q02 1Q03 1Q04 1Q05 1Q06 1Q07 1Q08 1Q09

19


20/27

Internationalreservesvstotalexternalshortterm

debt(%):

Russia's

total

external

short

term

debt

is

coveredei httimesb itsinternationalreserves.

Externaldebt/GDP(%):Russia'sexternaldebt

situationis

undemanding

with

total

debt

equal

to

33%

ofGDPand overnmentdebtonl 2%ofGDP.

Externaldebt/Exportrevenue(%):Equally,the

debtlevel

vs

export

revenues

demonstrated

a

fourthconsecutive uarterl decline.

T0%

10%

20%

30%

40%

50%

General Government

0%

40%

80%

120%

160%

200%

General Government

0%

200%

400%

600%

800%

Source:CBR

Source:CBR

Exportsand

imports

($bn):

Both

exports

and

imports

haverecovered.Thetradesurplusreached$12.7bnin

Dec2009and$112.1bnforFY09.


Internationalreserves

coverage,

no.

of

months:

In

Dec2009Russia'sIRcoveredalmost20monthsof

im orts fourmonthsisconsideredade uate .

M2/Internationalreserves(%):Russia'sM2isfully

coveredbyitsinternationalreserves(excludinggold)

Source:CBRSource:CBR,Rosstat

HEEC

ONOMY

1Q05 1Q06 1Q07 1Q08 1Q09

0

5

10

15

20

25

30

2004 2005 2006 2007 2008 2009

1Q05 1Q06 1Q07 1Q08 1Q09

0%

30%

60%

90%

120%

150%

180%

2004 2005 2006 2007 2008 2009

1Q05 1Q06 1Q07 1Q08 1Q09

0

10

20

30

40

50

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09

Exports Imports

20


21/27

M2/GDP

(%,

3M

ave.):

Russia's

monetisation

of

the

economyremainslowatjustabove30%(Dec2009).

YoYgrowthofM2andM0minusYoYGDPgrowth(%):

M2is

again

growing

slightly

faster

than

GDP,

an

indication

of excessliquidity

MonetaryaggregatesM2,M0,YoY(%):M2showed

positiveYoY

growth

in

Dec

2009

while

M0

is

still

declining.

15%

5%

5%

15%

25%

35%

45%

55%

65%

M2 M0

80%

60%

40%

20%

0%

20%

40%

60%M2 GDP M0 GDP

5%

10%

15%20%

25%

30%

35%

40%M2/GDPM2/GDP

T

Inflation(%

YoY):

CPI

fell

to

8%

YoY

in

January,

down

from8.8%inDec2009.Producerpriceinflationroseto

13.9%YoYinJan2010(upfrom4.7%inDec2009)

Source:CBR Source:CBR,Rosstat

Source:Rosstat,Bloomberg

Source:CBR,Rosstat

Source:CBR,Rosstat

PPIand

oil

price

(%

YoY):

The

recent

uptick

in

producerpriceinflationappearsrelatedtotheoil

pricerecovery

M2velocity

(GDP/M2):

M2

velocity

dipped

atad

lowerinDec2009.

Source:Rosstat

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 1Q97 1Q99 1Q01 1Q03 1Q05 1Q07 1Q09 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09

2

3

4

5

6

7

8

9

10

'97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '0920%

10%

0%

10%

20%

30%

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10

ConsumerPriceIndex ProducerPriceIndex

20%

10%

0%

10%

20%

30%

40%

60%

40%

20%

0%

20%

40%

60%

80%

100%

'04 '05 '06 '07 '08 '09 '10

Urals(lhs) PPI(rhs)

HEEC

ONOMY

21


22/27

Loan/depositratio(%):Theaggregateloan/deposit

ratiofell

further

in

Nov

2009

to

101%.

Loans,depositsinroubles(%YoY):Depositsgrew

19.5%in

Nov

2009

while

the

slowdown

in

credit

growthhalted.

Loans,depositsindollars(%YoY):Indollarterms

thegrowth

in

deposits

was

less

pronounced

and

creditsarestilldeclining.

T

90%

100%

110%

120%

0%

10%

20%

30%

40%

50%

60%

TotalDeposits(YoY) TotalLoans(YoY)

10%

10%

30%

50%

70%

TotalDeposits(YoY) TotalLoans(YoY)

Source:CBR

Nominaldeposit

and

credit

rates

(%):

In

Nov

2009

banksloweredboththedepositrate(to8.8%)andthe

creditrate(to13.8%).

Realdeposit

and

credit

rates

(%):

On

the

back

of

lower

inflationthedepositrateismovingtowardspositive

territory.

Nonperforming

loans

(%/total

loans):

The

aggregateNPLratiocontinuestogrow,printing

6.4%inNov2009.


Source:CBR,Rosstat Source:CBRSource:CBR

HEEC

ONOMY

2006 2007 2008 2009

0%

1%

2%

3%

4%

5%

6%

7%

Dec07 May08 Oct08 Mar09 Aug09

0%

3%

6%

9%

12%

15%

18%

Jan07 Jul07 Jan08 Jul08 Jan09 Jul09

Deposits Credits

10%

7%

4%

1%

2%

5%

'04 '05 '06 '07 '08 '09

Deposits Credits



22


23/27


24/27


25/27

KEYINDICATORS 2003 2004 2005 2006 2007 2008 2009 2010E 2011E

NominalGDP(RUBbn) 13,243 17,048 21,625 26,904 33,112 41,668 39,212 47,300 57,224

GDP($bn) 432 592 764 989 1,294 1,677 1,235 1,624 2,077

GDPpercapita($) 2,984 4,116 5,342 6,943 9,109 11,808 8,736 11,527 14,794

RealGDPgrowth,(%) 7.3 7.1 6.4 7.4 8.1 5.6 7.9 6.4 7.1

Industrialoutputgrowth,(%) 8.9 8.0 5.1 6.3 6.4 2.6 10.8 5.0 5.6

Fixedinvestment (%) 12.1 14.6 10.0 15.6 22.9 13.2 17.0 5.2 9.4

Realretailsales(%) 8.8 12.1 12.8 13.9 16.0 14.0 5.5 9.2 8.2

SOCIALINDICATORS

Realdisposableincome (%) 15 11 12 13 12 3 2 9 9

Realwage(%) 10.3 11.2 9.9 13.4 16.2 11.0 2.8 7.3 9.1

Averagewage($/month) 180 237 302 396 531 694 592 776 1,001

Unemployment(%ILO) 8.6 8.2 7.6 7.2 6.1 6.4 8.4 7.9 7.3

PRICES

CPIgrowth

(%

Dec/Dec) 12.0 11.7 10.9 9.0 11.9 13.3 8.8 7.7 7.0

PPIgrowth(%Dec/Dec) 13.0 28.9 18.2 4.9 25.1 7.0 13.9 11.0 7.0

TRADE

Exports($bn) 135.9 183.2 243.8 303.6 354.4 471.6 306.0 382.1 398.0

Imports($bn) 76 97 125 164 223 292 192 233 298

Tradebalance($bn) 59.9 85.8 118.4 139.3 130.9 179.7 114.0 148.9 99.7

Currentaccount($bn) 35.4 58.6 84.6 94.7 77.0 102.3 49.9 89.3 59.8

Currentaccountratio(%/GDP) 8.2 9.9 11.1 9.6 5.9 6.1 4.0 5.5 2.9

Oilprice($/bbl,UralsMed,aop) 27 34 50 61 69 95 61 79 79

FEDERALBUDGET

Revenues(%/GDP) 20 20 24 23 23 22 19 19 18

Expenditures(%/GDP) 17.8 15.8 16.3 15.9 18.1 18.2 24.8 21.2 19.5

Fiscalbalance(%/GDP) 1.7 4.3 7.5 7.4 5.4 4.1 6.1 1.8 1.7

MONETARYINDICATORS

Grossinternationalreserves($bn) 77 125 182 304 479 427 439 502 544

M0(RUBbneop) 1,147 1,535 2,009 2,785 3,702 3,795 4,038 4,817 6,313

M0growth(%) 50.3 33.8 30.9 38.6 32.9 2.5 6.4 19.3 31.1

M2(RUBbneop) 3,213 4,363 6,046 8,996 13,272 13,493 15,698 18,526 23,381

M2growth(%) 50.5 35.8 38.6 48.8 47.5 1.7 16.3 18.0 26.2

M2/GDP(%average) 19.3 21.4 22.9 26.4 32.5 32.8 33.6 36.2 36.6

EXCHANGERATES

RUB/$(eop) 29.5 27.7 28.8 26.3 24.6 29.4 30.2 28.0 27.1

RUB/$(aop) 30.7 28.8 28.3 27.2 25.6 24.9 31.7 29.1 27.6

RUB/(eop) 36.8 37.8 34.2 34.7 35.9 41.4 43.4 42.0 39.6

R/(aop) 34.7 35.8 35.2 34.1 35.1 36.4 44.1 42.7 40.8

Realappr.(+)/depr.()RUB/$(%) 18.6 14.8 3.4 16.2 15.3 5.4 2.9 13.9 8.3

Realappr.(+)

/depr.(

)RUB/,

(%)

1.3 6.3 20.0 5.4 4.8

3.3 3.0 9.7 11.3

Source:Rosstat,CBR,MinistryofFinance,Bloomberg,Atonestimates

Macroeconomicforecast

25


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Stratonomics Feb 2010

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Transcript of Stratonomics Feb 2010