The portfolio of the investor
the Situation c currency and the state short-term bonds - the most liquid actives in an investment portfolio - in the second decade of February developed in such a manner that their owners have been compelled to incur essential losses. So, by a monetary part of a portfolio losses have made for a week from February, 10 till February, 17th about 1,5 %, thus for the first time losses have been suffered simultaneously at the expense of decrease in a course of state bonds and rouble exchange rate growth. However, these losses have been completely compensated by increase of market cost of the actives made of bank actions. Thus, though the careful policy of experts regarding an estimation of prospects of a rouble exchange rate also has not allowed to take additional profits on operations with a monetary part of the portfolio, observed at management of actives the diversification principle as a whole has allowed to increase market cost of an investment portfolio.
the Most liquid actives of the monetary market have appeared unprofitable
In the end of January experts, having analysed results of last crash in the currency market (rouble exchange rate falling on a quarter and sharp reduction of liquidity of the credit market), have considered necessary in intermediate term prospect to adhere to the strategy based on the assumption of the further falling of a rouble exchange rate. Thus experts have meaningly decided to refuse extraction of speculative profits on operations with rouble actives and “ to put “ On essential increase in a dollar exchange rate in the first quarter 1994
Realizing this strategy, in first half of February experts have essentially redistributed structure of the investment portfolio at the expense of the greatest possible reduction of a share of rouble promissory notes (state credit obligations and bills ES) and sharp expansion of a share of currency actives - currency bonds of the Ministry of Finance and actually non-cash currency. Similar “ flight “ from rouble had the purpose to protect a portfolio from possible falling of a rouble exchange rate to dollar in intermediate term prospect.
however from the point of view of immediate benefit this decision was painfully reflected in dynamics of market cost of a portfolio - strengthening of rouble and successful diligence of the Ministry of Finance to place all volume of the tenth issue of state credit obligations have led to reduction of rouble cost of a monetary part of a portfolio. Such price was paid by an investment portfolio for possibility not to expect with horror of the next messages about a rouble exchange rate from the Moscow Interbank Stock Exchange.
Anyway, experts continue to adhere to the general strategy which are guided by easing of rouble in the first quarter 1994 Thus it is supposed that the future growth of a dollar exchange rate will appear capable to the full to compensate current losses.
as to the market of the state short-term bonds here actions also keep the sequence. We will remind, in last release “ the Portfolio of the investor “ experts have declared that will not accept participation in primary auction under state credit obligations on February, 15th, motivating it with that times when superprofits on operations from state credit obligations could be received for the account of fast resale of papers after auction, have passed for a long time already. Differently, in the last review calculation has been made that will be possible to buy state credit obligations of the tenth release much more favourably not at primary auction, and already after its carrying out - in the secondary market.
and this calculation has completely justified. Really, by results of anniversary, tenth auction under state credit obligations in the market practically does not remain unsatisfied demands for purchase of state bonds. From the declared volume in 100 mlrd rbl. the Ministry of Finance has placed on February, 15th bonds for the sum 99,94 mlrd rbl., having left unsatisfied demands for a total sum hardly more than 10 mlrd rbl. (initial demand has made 110 mlrd rbl.) . As practice of development of the market of state credit obligations shows, a backlog demand on bonds of last release in 10 % from the issue sum is far not enough for bond rate growth during the postauction period - opposite, here there can be a speech about its falling. And happens, that is why on Wednesday, on February, 16th current profitableness under state credit obligations of the tenth release has risen in comparison with the average profitableness fixed at primary auction - 210,10 %, - to 230,61 % annual. Experts intend to include state credit obligations of the tenth release in a portfolio in the event that their profitableness by the end of this week will rise to 235 % annual. With purchase it is possible to wait and prior to the beginning of the next week but then we will already deal with shorter money that will allow to agree and on smaller profitableness - about 225 % annual.
Thus it is necessary to notice that fact that in the conditions of growing level of profitableness of state credit obligations of all releases, observed in first half of February, it became more and more difficult to emitters of not state promissory notes to involve means under securities let out by them. So, even the Issue syndicate obviously gives in to record-breaking high level of profitableness of state credit obligations. On Thursday, on February, 17th syndicate declared parametres of new issue traditional 16 - the week bill. Placing of the fourth this year bill series will begin on February, 21st and will pass for the first time under the scheme of parallel placing of discount and percentage bills. Thus Issue syndicate, having taken into consideration results 10 - go primary auction, has been compelled to fly lower a course of sale of the bill for 0,5 percentage points in comparison with a course of sale of the bill of the previous series. However and thus growth of current profitableness of the bill of a new series has made only 1,3 percentage points and has risen only to 177,3 % annual.
thus, for February, 16th level of profitableness of the bill of Issue syndicate has appeared below level of current profitableness of state credit obligations 10 - go release on 60 percentage points. In connection with full inability of the strongest emitters of not state promissory notes to compete to the Ministry of Finance experts intend to concentrate at least in the first quarter 1994 exclusively on trade in the state securities.
the market of currency bonds gauging from - for absence of the offer
the Middle of February became the next period of stagnation of the market of currency bonds of the Ministry of Finance. As the information from 15 largest Moscow dealers shows, for today the offer of currency bonds of all tranches in the open market that has led to sharp falling of volumes of operations with these securities almost completely was gone. Great demand for these papers, caused by notable interest to dollar promissory notes of the Ministry of Finance from the Russian banks and their foreign clients, has provoked sharp increase in a course of purchase of currency bonds of all tranches. So, the bond rate of the first tranche, included in a portfolio, for a week has grown on 0,5 percentage points and has made 92,5 % from face value.
shareholders of banks wait for the big dividends
Despite stunning reduction in price of group of actives of the monetary market (were the earlier basic source of an increase in value of an investment portfolio), at the expense of growth of courses of bank actions and risky securities portfolio cost last week again has increased - more than by 360 thousand rbl.
Almost third “ profits “ a portfolio last week has been provided by substantial growth of a course stock value of Inkombanka - after the long period of stability when bank stock quotes were kept by the basic dealers at level 65 - 70 thousand rbl. (at face value of 10 thousand rbl.) Last trading week the share price of Inkombanka has sharply gone upwards. In a weekend at the Moscow central stock exchange has passed some transactions with these actions at the rate of 102 thousand rbl. Simultaneously off-exchange dealers also began to lift bank stock quotes, having finished a course of purchase within several days to 80 thousand rbl.
Appreciable growth of market cost have shown last week actions of the several more large Moscow and Petersburg banks which have proved in the market as regular payers of dividends. The powerful part in the general increase in cost of an investment portfolio belongs to actions of AvtoVAZbanka, Petersburg Promstrojbanka, bank “ St.-Petersburg “ Tveruniversalbanka and bank “ Hermes - the Center “.
Preliminary data on the size of forthcoming dividends look rather impressively. For example, the data about profit of Promstrojbanka following the results of activity for 1993 - it has made 100 mlrd rbl. - allow experts of management of securities of bank to predict dividends for the second half of the year 1993 at the rate about 800 - 1000 % annual. It means, as this year Petersburg Promstrojbank will appear among leaders on the size of dividends in the Russian market. Dividends at a rate of 400 - 500 % annual intend to pay many capital and regional commercial banks.
however, it is not necessary to forget that the rates of the inflation exceeding even highest of promised dividends, do investments into actions (long-term investments mean) by the unprofitable. Position is aggravated also that the most part of actions of banks is overestimated in the market - first of all it concerns actions of the Petersburg banks.
Nevertheless approach of terms dividendnyh payments became rather important factor in dynamics of a price conjuncture in the market of bank actions and has had stimulating influence on exchange trade in this sector of a securities market: after there were data on the prospective size of dividends under actions of several emitters, at the Moscow stock exchanges has been noted almost 40 - percentage increase in total amount of demands at purchase of bank actions.
structure of an investment portfolio (10 million rbl.)
* change Reflected in this column results from change of market cost of the given group of actives and change of quantity of units of the given paper
Cost of an investment portfolio has increased for a week for 2,1 percent and has made 17,25 million rbl.
SERGEY - ASPIN