Роснфт2P12

Yield per half year: -0.29%
Category: Еврооблигации

Profitability chart

Yield to maturity chart compared to ОФЗ 26230

Yield

  • Denomination: 1000 CNY
  • Price % of denomination: 98.8 %
  • NKD: 2.84 CNY
  • Yield to maturity: 6.17%
  • Coupon yield: 3.05%
  • Profitability coupon from current price: 3.09%
  • Current yield on coupons with reinvestment: 3.11%
  • Coupon: 0 CNY
  • Coupon once a year: 2

Grade

  • Quality: 6.67/10
    BQ = (R(ROE) + R(NetDebt/Equity) + R(Earnings variability)) / 3
  • Liquidity index: 1.16/10
    Li = (Lbasei - min(Lbase)) / (max(Lbase) - (min(Lbase))
    Lbasei = (𝑉𝑖 / 𝑉)^2, where
    Li - final value of the liquidity index
    𝑉𝑖 - average daily trading volume for the i-th instrument for the previous 30 trading days
    𝑉 - average daily trading volume for all instruments for the previous 30 trading days
    Li = (0.69208790581822 - 0.62764208957242) / (1.1833286159226 - 0.62764208957242)

Credit rating

  • Credit rating Эксперт: ruAAA
  • Credit rating Moody: Baa3
  • Credit rating S&P: BBB-

Altman index

In 1968, Professor Edward Altman proposed his now classic five-factor model for predicting the likelihood of enterprise bankruptcy. The formula for calculating the integral indicator is as follows:
Z = 1.2*X1 + 1.4*X2 + 3.3*X3 + 0.6*X4 + X5
X1 = Working capital/Assets, X2 = Retained earnings/Assets, X3 = Operating profit/Assets, X4 = Market value of shares/Liabilities, X5 = Revenue/Assets
If Z > 2.9 – zone of financial stability (“green” zone).
If 1.8 < Z< 2.9 – zone of uncertainty (“gray” zone).
If Z < 1.8 – financial risk zone (“red” zone).
Altman index, Z-Score = 1.2 * 0.33 + 1.4 * 0.07 + 3.3 * 0 + 0.6 * 1.38 + 0.49 = 1.8098

Evstropov index

Y = 0.25 - 14.64 * R1 - 1.08 * R2 - 130.08 * R3
where Y is the calculated coefficient; R1 - the ratio of profit before taxes and interest to total assets; R2 is the growth rate of sales revenue in the reporting year; R3 - absolute liquidity ratio (ratio of cash to current liabilities).
P = 1 / (1 + e-Y) - probability of opening a bankruptcy procedure
Evstropov index, Y = 0.25 - 14.64 * 0 - 1.0.8 * 0.33 - 130.08 * 0.11 = -14.1849
P = 1 / (1 + e14.1849) = 0%