MICEX Announces Russian Equity and Bond Indices December 2013
OREANDA-NEWS. In December 2013, Moscow Exchange's indices reflected the positive trend on the Russian stock market. The MICEX Index was up 1.67% to 1,504.08 (from 1,479.35 on 29 November), while the dollar-denominated RTS Index rose 2.84% to 1,442.73 (from 1,402.93).
The dollar depreciated 1.52% against the rouble.
Volatility decreased, with the Russian Volatility Index falling 23.56% to 17.20 (from 22.50).
Most key sectors made gains. The largest upturn was in Transport, the sector index of which rose 15.15%. Electric utilities and Industrials climbed a respective 8.33% and 6.14%.
The Blue Chip Index increased 1.12% to 10,176.90 (from 10,064.13).
The Second Tier Index appreciated 5.64% to 3,110.74 (from 2,944.53). The Broad Market Index gained 1.69% to 1,063.42 (from 1,045.75).
MICEX & RTS Indices: Moscow Exchange's main indices
In December 2013, Moscow Exchange's indices reflected the positive trend on the Russian stock market. The MICEX Index was up 1.67% to 1,504.08 (from 1,479.35 on 29 November), while the dollar-denominated RTS Index rose 2.84% to 1,442.73 (from 1,402.93).
The MICEX Index on 30 December was up 1.99% YoY (from 1,474.72). The RTS Index was down 5.52% YoY (from 1,526.98).
The RTS Index's increase last month was accompanied by a decrease in volatility, with the Russian Volatility Index (RTSVX) down 23.56%.
The turnover of securities included in Moscow Exchange's indices was RUB 665.99 bin, and their market cap totalled RUB 21,364.51 bln.
Of the 52 MICEX Index constituents, 33 constituents of the new and the reviewed MICEX Index list pulled the index up (rising a total 2.62%), while 19 incurred losses (totaling 0.95%).
On the sector level, the major positive impact was from metals and mining (up 0.45%) and telecoms (rising 0.37%).
The largest positive impact on the MICEX Index was from prices rising for ords of NORILSK NICKEL (up 0.29%), Sistema (up 0.29%) and VTB Bank (up 0.25%).
The largest negative impact was from price losses by ords of Gazprom (down 0.46) and Sberbank (off 0.29).
The largest positive impact on the RTS Index was from prices rising for ords of NORILSK NICKEL (up 0.33%), Sistema (up 0.31%) and VTB Bank (up 0.30%). The largest negative impact was from price losses by ords of Gazprom (down 0.30) and Sberbank (off 0.12).
Oil & gas accounted for 48.19% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 21.40%) and telecoms (at 8.37%).
The Blue Chip Index rose in December.
It was up 1.12% MoM to 10,176.90 (from 10,064.13), and up 0.74% YoY (from 10,102.06).
Of the 18 securities included in the new and reviewed Index list, 12 were pulling the Blue Chip Index up at the end of the month (rising a total 2.10%), while six made losses (totaling 0.98%).
The largest positive impact on the index was from prices rising for ords of NORILSK NICKEL (up 0.33%) and VTB Bank (up 0.29%).
The largest negative impact was from price losses by ords of Gazprom (down 0.53) and Sberbank (off 0.33).
The oil & gas sector accounted for 53.80% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (23.69%) and consumer goods and retail (7.30%).The Second Tier Index rose 5.64% during the month to 3,110.74 (from 2,944.53). The Broad Market Index rose 1.69% MoM to 1,063.42 (from 1,045.75).
The Second Tier Index was down 8.63% YoY (from 3,404.57). The Broad Market Index was up 1.68% YoY (from 1,045.87).
Of the fifty four securities included in the new and reviewed list of Second Tier Index, thirty seven were pulling the index up (with gains totaling 6.43%), while seventeen made losses (totaling 0.79%).
The largest positive impact on the Second Tier Index was from gains by ords of Cherkizovo Group (up 0.83%) and ords of HALSDevelopment (up 0.64%).
The heaviest positive impact on the Broad Market Index was from ords of NORILSK NICKEL (up 0.27%) and Sistema (up 0.27%).
The largest positive impact on the Second Tier Index was from electric utilities (up 2.15%) and chemicals (up 1.36%).
Electric utilities accounted for 33.43% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (17.42%) and chemicals (16.31%).
The Russian Government Bond Index RGBITR (total return) was up 1.37% to 324.62 last month (from 320.22 points on 29 November). The YTM of securities included in the calculation formula was down 25 bps to 7.15%.
The Municipal Bond Index (MICEXMBITR, total return) was up 0.65% to 179.16 points (from 178.01).
The MICEX Corporate Bond Index's MICEXCBITR total return value was up 0.82% to 243.91 points. The YTM was up 77 bps to 8.34%.
A conservative investment strategy tracking last month's pension index could have resulted in a 0.69% gain. An aggressive strategy based on the pension index could have incurred a 1.58% profit.
The bond overnight repo rate was up 8 bps (from 6.34% to 6.42%). The equity overnight repo rate was 6.65%.
Index Derivatives
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the December 2013 was RUB 1,987.63 bln, or 21.52 mln contracts.
Last month's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 1,621.53 bln, or 17.57 mln contracts.
The RTS Index futures contract traded in backwardation last week. The RTS Index gained 2.84% MoM, while the March and June futures were up a respective 2.70% and 4.79%. On December 16, the RTS Index December futures contracts were settled. The settlement price equaled 139,635 points.
Open interest in RTS Index futures decreased 5.29%.
Turnover in MICEX Index futures was RUB 12.24 bln, or 82,550 contracts. Open interest in MICEX Index futures decreased 60.31%.
The trading volume in options on RTS Index futures totaled RUB 353.52 bln, or 3.86 mln contracts. Open interest was RUB 122.99 bln, or 1.37 mln contracts. Puts made up 73.48% of the total open interest. The 155,000 strike calls and 130,000 strike puts had the highest open interest.
The open interest in options on RTS index futures fell 36.15%.
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