OREANDA-NEWS. August 1, 2012. In June 2012 the MICEX Index went up by 6.21% to 1 387.52 points (1 306.42 on May 31, 2012).

The RTS dollar Index went up by 8.07% to 1 350.51 points (1 242.43 on May 31, 2012). For the last month, the U.S. Dollar went up by 1.51% against the Ruble.

The Russian stock market showed minor volatility decrease: the Russian volatility index (RTSVX) went down by 28.82% to 33.25 points (46.71 points on May 31, 2012).

All key sectors represented on the Russian stock market showed a positive trend in the last month. Leading the growth was the Finance Sector - the sectoral Index went up by 9.11%. A considerable growth was also demonstrated by the Oil & Gas, Chemical and Petrochemical sectors - the Oil & Gas Index lost 5.50%, and the Index of Chemicals & Petrochemicals lost 5.16%.

The MICEX Innovation Index went down by 4.15%.

The stock market’s growing primarily affected mid-cap companies - MICEX Mid Cap Index went up by 6.08%, while MICEX Large Cap Index and MICEX Small Cap Index went up by 5.94% and 1.47%, respectively.

Index

Last Value

Return over the period, %

 

 

1 Month 1

Quarter |

Year |

Composite Indices

MICEX Index

1 387,52

6,21%

-8,56%

-16,74%

RTS Index

1 350,51

8,70%

-17,54%

-29,17%

RTS Standard Index

9 559,83

5,44%

-7,74%

-15,86%

Sectoral Indices (in RUB)*

Oil & Gas

2 920,25

5,50%

-9,62%

-5,42%

Electric Utilities

1 705,26

4,90%

-26,55%

-37,42%

Consumer & Retail

4 417,34

2,60%

-9,66%

-16,50%

Telecommunication

2 061,24

5,83%

-9,68%

-16,50%

Industrials

1 851,28

3,50%

-12,52%

-24,39%

Financials

4 857,53

9,11%

-9,95%

-18,09%

Chemicals

7 300,53

5,16%

1,26%

3,27%

Metals & Mining

2 808,57

3,27%

-13,60%

-45,28%

Cap Indices

Large Cap

2 227,32

5,94%

-7,71%

-16,74%

Mid Cap

2 304,95

6,08%

-12,57%

-22,80%

Small Cap

3 213,96

1,47%

-17,40%

-32,31%

Thematic indices

Russian Volatility Index

33,25

-28,82%

2,03%

46,09%

RTS Siberia Index

662,64

4,03%

-14,13%

-26,22%

MICEX Innovation Index

650,81

-4,15%

-11,20%

-34,17%

Currency (CBR)

USD/RUB

32,94

1,51%

12,46%

17,31%

* Sector indices based on prices in US dollars are also available

 

As a result of the described dynamics, by the end of the month the MICEX Index was 16.74% lower compared to its closing level one year age (1 666.59 on June 30, 2011).

Trading in Index-based securities on an overal basis amounted to RUR 832.65 billion in the lasi month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 511.22 billion.

At month end, 23 stocks out of MICEX Index’s total 30 constituents, had a positive impact on its dynamics (+6.35%), while 6 securities movec negatively (-0.14%).

In June, the major positive contributors in the MICEX Index growing were the securities of the Oi & Gas Sector (+3.2%) and Finance (+1.07%).

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC “LUKOIL” (+0.79%), JSC “Sberbank Rossii” (+0,78%) and JSC “Novatek” (+0,71%).

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC “Rosneft” (-0.09%).

55.4% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The othei large-weight sectors were Finance (17.8%) and Metallurgy (8.6%).

RTS Index

As a result of the described dynamics, in May 2012 the RTS Index was 29.17% lower compared to its closing level one year ago (1 906.71 points on June 30, 2011).

The growth of the RTS Index in the previous month was accompanied by a volatility decrease. The Russian volatility index (RTSVX) went down by 28.82%.

In June 2012, 40 stocks out of RTSI’s total 50 constituents had positive impact on the index’s dynamics (+8.94%), while 10 securities moved negatively (-0.24%).

In the previous month the major positive contributors were the securities of Oil & Gas Sector (+4.58%) and Finance (+0.24%).

The most positive impact on RTSI came from increasing prices of ordinary shares of JSC “Sberbank Rossii” (+1.27%), JSC “LUKOIL” (+1.25%) and JSC “Gazprom” (+1.09%).

The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC “TNK-BP Holding” (-0.07%).

Bond Indices

For the last month Russian Government Bond price Index (RGBI) went up by 0.46% to 128.81 points (128.22 on May 31, 2012). The Index calculated on the basis of the total returns method went up by 1.04% and reached 281.92 points. Bonds trades included in the RGBI calculation base amounted to RUR 32.33 billion (33.46% above the previous month).

In the Corporate Bonds Sector, the Index calculated on the basis of the total returns method (MICEX CBI TR) went up by 0.17% and reached 212.6 points; the price index was 91.65 points having dropped 0.34%.

Municipal Bond Indices showed negative performance: the MICEX MBI TR (total returns) Index went down by 0.42% to 158.2 points (158.86 on May 31, 2012).

Conservative investment strategy in pension indices would provide growth of 0.37% during the month, and aggressive strategy would provide growth of 0.98% during the month.

Overnight bonds REPO rate changed from 6.71% to 6.3% (6.11% decrease) during the last month. Overnight stocks REPO rate went down by 6.56% and reached 6.27%.

Index Derivatives

In June trading in Index-based derivatives on FORTS amounted to RUR 2 425.51 billion or 28.68 million contracts.

Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 197.76 billion or 26.02 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI went up by 8.70%, while the September futures went up by 9.50% and the December futures went up by 8.53%.

The total volume of opened positions in the RTSI-based futures went down by 32.27% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 14.87 billion, or 110.53 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 74.16%.

Trading in RTSI-based options in the previous month amounted to RUR 204.16 billion or 2.44 million contracts. The volume of opened positions as of the end of the month amounted to RUR 139.47 billion or 626.28 thousand contracts, while the share of call options in the total open interest made up 50.10%. The major open interest on call options was concentrated at the strike of 130 000, while the maximum on put options was observed at the strike of 135 000.

For the last month, the volume of opened positions in the RTSI-based futures went down by 55.10%.