MICEX Released Russian Equity and Bond Indices (7 -11 October 2013)
OREANDA-NEWS. Moscow Exchange's indices reflected the positive trend on the Russian stock market in the week to 11 October. The MICEX Index was up 2.63% to 1,513.03 (from 1,474.21 on 4 October), while the dollar-denominated RTS Index grew 2.35% to 1,477.00 (from 1,443.15).
The dollar appreciated 0.72% against the rouble.
Volatility decreased, with the Russian Volatility Index falling 0.67% to 23.90 (from 24.06).
Most key sectors made gains. The largest upturn was in Oil and Gas, the sector index of which rose 3.58%. Financials and Telecoms and climbed a respective 1.84% and 1.15%. The least loss in Metals and Mining is 1.01%.
The MICEX Innovation Index fell 0.67% to 394.37 (from 413.17).
The Blue Chip Index increased 3.08% to 10,300.04 (from 9,992.71).
The Second Tier Index depreciated 0.07% to 2,996.54 (from 2,996.54). The Broad Market Index gained 2.60% to 1 069.51 (from 1 042.45).
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 11 October. The MICEX Index was up 2.63% to 1,513.03 (from 1,474.21 on 4 October), while the dollar- denominated RTS Index grew 2.35% to 1,477.00 (from 1,443.15).
The MICEX Index on 11 October was up 4.05% MoM (from 1,454.12) and up 3.41% YoY (from 1,463.12). The RTS Index was up 5.95% MoM (from 1,394.03) and down 0.90% YoY (from 1,490.41).
The RTS Index's increase last week was accompanied a decrease in volatility, with the Russian Volatility Index (RTSVX) down 0.67%.
The MICEX Index's rise was due mainly to price increases in ordinary shares of GAZPROM (up 0.89%), LUKOIL (up 0.43%), and MTS Sberbank (up 0.36%).
The turnover of securities included in Moscow Exchange's indices was RUB 177.24 bln, and their market cap totalled RUB 21,635.53 bln.
Of the MICEX Index constituents, 35 pulled the index up (rising a total 2.85%), while 15 incurred losses (totalling 0.22%).
On the sector level, the major positive impact was from oil and gas (rising 1.99%) and financials (up 0.46%).
Oil & gas accounted for 50.22% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 20.92%) and telecoms (at 8.31%).
Blue Chip Index
The Blue Chip Index rose in the week to 11 October.
It was up 3.08% WoW to 10,300.04 (from 9,992.71), up 4.52% MoM (from 9,854.15), and up 2.85% YoY (from 10,014.97).
Of the 17 securities included in the Index list, 15 were pulling the Blue Chip Index up at the end of the week (rising a total 3.13%), while 2 made losses (totalling 0.03%).
The largest positive impact on the index was from prices rising for ords of GAZPROM (up 0.30%) and LUKOIL (up 0.18%).
The largest negative impact was from price losses by ords of Uralkali (down 0.03%) and Rostelecom (off 0.02%).
The oil & gas sector accounted for 56.09% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (21.47%) and telecoms (7.54%).
Broad Market and Second Tier Indices
The Second Tier Index fell 0.07% during the week to 2,994.55 (from 2,996.54). The Broad Market Index rose 2.60% WoW to 1 069.51 (from 1,042.45).
The Second Tier Index was down 2.95% MoM (from 3,085.55) and 11.85% YoY (from 3,396.99).
The Broad Market Index was up 3.95% MoM (from 1,028.91) and up 2.79% YoY (from 1,040.46).
Of the 50 securities included in the Second Tier Index, 26 were pulling the index down (with losses totalling 1.65%), while 22 made gains (totalling 1.58%). Two stocks' prices remained flat.
The largest negative impact on the Second Tier Index was from losses by Transcontainer (off 0.61%) and GAZ (down 0.22%).
The heaviest positive impact on the Broad Market Index was from ords of GAZPROM (up 0.89%) and LUKOIL (up 0.43%).
The largest negative impact on the Second Tier Index was from transportation (dropping 0.59%) and industrials (down 0.43%).
Utilities accounted for 31.26% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (16.16%) and oil and gas (11.24%).
Debt Market
The Russian Government Bond Index
RGBITR (total return) was down 0.12% to 323.74 last week (from 324.14 points on 04 October). The YTM of securities included in the calculation formula was up 3 bps to 7.14%.
The Municipal Bond Index (MICEXMBITR, total return) was up 0.27 bps WoW to 177.01 points (from 176.53).
The MICEX Corporate Bond Index's
MICEXCBITR total return value was up 0.16% to 240.00 points.
A conservative investment strategy tracking last week's pension index could have resulted in a 0.17% WoW gain. An aggressive strategy based on the pension index could have incurred a 1.30% WoW gain.
The bond overnight repo rate was up 25 bps (from 5.89% to 6.14%). The equity overnight repo rate was 6.15%.
Index Derivatives
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the week to 11 October was RUB 550.52 bln, or 5.83 mln contracts.
Last week's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 459.43 bln, or 4.87 mln contracts.
The RTS Index futures contract traded in backwardation last week. The RTS Index gained 2.35% WoW, while the December and March futures were up a respective 2.41% and 2.48%.
Open interest in RTS Index futures increased 2.44%.
Turnover in MICEX Index futures was RUB 3.69 bln, or 24,366 contracts. Open interest in MICEX Index futures increased 9.91%.
The trading volume in options on RTS Index futures totalled RUB 87.35 bln, or 938,602 contracts. Open interest was RUB 214.33 bln, or 2.41 bln contracts. Puts made up 71.86% of the total open interest. The 155,000 strike calls and 135,000 strike puts had the highest open interest.
The open interest in options on RTS index futures rose 2.08%.
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