MICEX Released Russian Equity and Bond Indices (9-13 September 2013)
OREANDA-NEWS. Moscow Exchange's indices reflected the positive trend on the Russian stock market in the week to 13 September. The MICEX Index was up 1.22% to 1,440.74 (from 1,423.40 on 6 September), while the dollar-denominated RTS Index grew 3.79% to 1,396.57 (from 1,345.60).
The dollar depreciated 2.15% against the rouble.
Volatility increased, with the Russian Volatility Index rising 5.03% to 22.15 (from 21.09).
Most key sectors made gains. The largest upturn was in chemicals, the sector index of which rose 2.98%. Industrials and telecoms climbed a respective 1.88% and 1.75%. Oil & gas names lost 0.21%.
The MICEX Innovation Index fell 1.12% to 401.37 (from 405.90).
The Blue Chip Index increased 1.27% to 9,765.39 (from 9,642.48).
The Second Tier Index depreciated 1.77% to 2,997.50 (from 3,051.54). The Broad Market Index gained 1.17% to 1 019.15 (from 1,007.41).
MICEX & RTS Indices: Moscow Exchange's main indices
Moscow Exchange's indices reflected the positive trend on the Russian stock market in the week to 13 September. The MICEX Index was up 1.22% to 1,440.74 (from 1,423.40 on 6 September), while the dollar-denominated RTS Index grew 3.79% to 1,396.57 (from 1,345.60).
The MICEX Index on 13 September was up 2.34% MoM (from 1,407.86) and off 2.16% YoY (from 1,472.60). The RTS Index was up 4.31% MoM (from 1,338.85) and down 5.95% YoY (from 1,484.88).
The RTS Index's increase last week was accompanied by an increase in volatility, with the Russian Volatility Index (RTSVX) up 5.03%.
The MICEX Index's rise was due mainly to price increases in ordinary shares of Sberbank (up 0.45%), Uralkali (up 0.31%), and Magnit (up 0.29%).
The turnover of securities included in Moscow Exchange's indices was RUB 183.92 bln, and their market cap totalled RUB 19,999.74 bln.
Of the MICEX Index constituents, 34 pulled the index up (rising a total 1.54%), while 16 incurred losses (totalling 0.32%).
On the sector level, the major positive impact was from financials (rising 0.50%) and chemicals (up 0.31%).
Oil & gas accounted for 52.01% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 19.39%) and telecoms (at 7.07%).
Blue Chip Index
The Blue Chip Index rose in the week to 13 September.
It was up 1.27% WoW to 9,765.37 (from 9,642.48), up 2.83% MoM (from 9,496.39), and down 3.24% YoY (from 10,092.17).
Of the 17 securities included in the Index list, 11 were pulling the Blue Chip Index up at the end of the week (rising a total 1.57%), while six made losses (totalling 0.30%).
The largest positive impact on the index was from prices rising for ords of Sberbank (up 0.51%) and Uralkali (up 0.35%).
The largest negative impact was from price gains by ords of Rosneft (down 0.13%) and prefs of Surgutneftegas (off 0.06%).
The oil & gas sector accounted for 57.08% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (19.37%) and telecoms (7.70%).
Broad Market and Second Tier Indices
The Second Tier Index fell 1.77% during the week to 2,997.90 (from 3,051.54). The Broad Market Index rose 2.07% WoW to 1,019.15 (from 1,007.41).
The Second Tier Index was down 1.22% MoM (from 3,034.42) and 12.59% YoY (from 3,429.10).
The Broad Market Index was up 2.28% MoM (from 996.45) and off 2.80% YoY (from 1,048.47).
Of the securities included in the Second Tier Index, 30 were pulling the index down (with losses totalling 2.50%), while eighteen made gains (totalling 0.73%). Two stocks' prices remained flat.
The largest negative impact on the Second Tier Index was from losses by Transcontainer (off 1.03%) and WTC Moscow (down 0.27%).
The heaviest positive impact on the Broad Market Index was from ords of Sberbank (up 0.45%) and Uralkali (up 0.29%).
The largest negative impact on the Second Tier Index was from transportation (dropping 1.07%) and construction (down 0.24%).
Utilities accounted for 35.69% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (18.91%) and industrials (12.12%).
Debt Market
The Russian Government Bond Index RGBITR (total return) was up 1.93% to 322.49 last week (from 316.39 points on 06 September). The YTM of securities included in the calculation formula was down 16 bps to 7.25%.
The Municipal Bond Index (MICEXMBITR, total return) was up 0.12 bps WoW to 175.89 points (from 175.68).
The MICEX Corporate Bond Index's (MICEXCBITR) total return value was up 0.16% to 238.28 points.
A conservative investment strategy tracking last week's pension index could have resulted in a 0.25% WoW gain. An aggressive strategy based on the pension index could have generated 0.75% WoW profit.
The bond overnight repo rate was up 4 bps (from 6.09% to 6.13%). The equity overnight repo rate was 6.12%.
Index Derivatives
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the week to 13 September was RUB 610.88 bln, or 6.67 mln contracts.
Last week's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 517.73 bln, or 5.69 mln contracts.
The RTS Index futures contract traded in backwardation last week. The RTS Index gained 3.79% WoW, while the September and December futures were up a respective 3.42% and 3.68%.
Open interest in RTS Index futures increased 14.73%.
Turnover in MICEX Index futures was RUB 13.55 bln, or 99,335 contracts. Open interest in MICEX Index futures decreased 43.40%.
The trading volume in options on RTS Index futures totalled RUB 79.50 bln, or 884,664 contracts. Open interest was RUB 156.97 bln, or 1.84 bln contracts. Puts made up 59.90% of the total open interest. The 140,000 strike calls and 125,000 strike puts had the highest open interest.
The open interest in options on RTS index futures rose 14.26%.
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