MICEX Released Russian Equity and Bond Indices Review (November 26-30)
OREANDA-NEWS. December 20, 2012. For the week of November 26 - 30, 2012 the MICEX Index was down 0.51% to 1,405.97 (1,413.15 points as of November 23, 2012).
The RTS Index grew by 0.30% to 1,436.55 (1,432.24 points as of November 23, 2012). The US dollar depreciated by 0.31% against the ruble last week.
The stock market volatility decreased last week with the Russian Volatility Index falling by 1.71% to 22.36 points (22.75 points as of November 23, 2012).
Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the electric utilities with the relevant sector index falling by 2.01%. A significant decrease was also shown by the telecommunications and the consumer & retail sector with the relevant sector indices down 1.69% and 0.83% respectively. The largest growth was shown by the industrials (plus 1.33%).
The MICEX Innovation Index lost 0.47%.
The largest downturn was shown by the mid cap companies. The MICEX Mid Cap Index lost 1.24%. The MICEX Large Cap Index and the MICEX Small Cap Index were down 0.43% and 0.47% respectively.
For the week of November 26 - 30, 2012 the Russian stock market showed a negative trend.
The MICEX Index was down 0.51% to 1,405.97 (1,413.15 as of November 23, 2012).
At the end of the week the MICEX Index was 1.11% lower than a month ago (1,421.75 points as of October 30, 2012) and 6.24% lower than a year ago (1,499.62 as of November 30, 2011).
Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB143.74 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,115.26 billion.
19 constituents of the MICEX Index list were pushing the Index down (minus 1.27%) and 11 constituents behaved positively (plus 0.76%). On the sector level the major negative impact was made by telecommunications (minus 0.41%) and the oil & gas sector (minus 0.16%).
The most negative impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Rostelecom (minus 0.39%) followed by Gazprom (minus 0.28%) and Tatneft (minus 0.11%).
The oil & gas sector accounted for 53.12% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.62%) and the metallurgy (9.83%).
For the week of November 26 - 30, 2012 the RTS Index grew by 0.30% to 1,436. 55 (1,432.24 as of November 23, 2012). At the end of the week the RTS Index was 0.45% higher than a month ago (1,430.10 as of October 30, 2012) and 6.77% lower than a year ago (1,540.81 as of November 30, 2011).
Last week’s increase of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 1.71%.
The US dollar depreciated by 0.31%.
24 constituents of the RTS Index list were pulling the Index up (plus 1.16%), 26 constituents behaved negatively (minus 0.86%).
On the sector level the positive impact was caused by the financials (plus 0.37%) and the oil & gas (plus 0.29%).
The positive impact was mainly related to the rising prices of ordinary shares of Sberbank (plus 0.39%), LUKOIL (plus 0.19%) and Norilsk Nickel (plus 0.14%).
Debt Market
The Russian Government Bond Index (RGBI, total return) was up 0.50% to 136.93 points last week (136.25 points as of November 23, 2012). The weighted average return of the securities being the part of the calculation formula was down 9 basis points to 6.83%.
The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 164.67 basis points growing by 0.10% (164.50 as of November 23, 2012).
The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.22% to 221.61 points.
The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.24% per week.
The aggressive investment strategy based on the pension index could have brought a loss of 0.48% per week.
The bond overnight repo rate was up 15 basis points (from 6.26% to 6.41%).The equity overnight repo rate remained unchanged at 6.07%.
For the week of November 26 - 30, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled rUb535.41 billion representing 6.08 million contracts.
Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB483.93 billion representing 5.56 million contracts.
The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 4.08%, while the March and December futures contracts were up 0.28% and 0.36% respectively. The total investor’s open interest measured in RTS Index futures decreased by 0.50%.
During the week FORTS trading volume in futures contract on the MICEX Index was RUB1.54 billion representing 10.16 thousand contracts. Open interest in the contract on the MICEX Index decreased by 1.58% for the week.
Trading volume in options on RTS Index futures totaled RUB43.97 billion representing 500.32 thousand contracts. Open interest of RUB111.20 billion or 1.28 million contracts was fixed. Call options made up 45.80% of the total open interest for these contracts.
The 160.000 strike calls and 135.000 strike puts had the highest open interest. The total investor’s open interest measured in options on the RTS index futures increased by 17.26%.
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