Moscow Exchange Reviews Russian Equity and Bond Indices May 2014
OREANDA-NEWS. In May 2014, Moscow Exchange's indices reflected the positive trend on the Russian stock market. The MICEX Index was up 9.65% to 1,432.03 (from 1,306.01 on 30 April, 2014), while the dollar-denominated RTS Index rose 12.12% to 1,295.75 (from 1,155.70).
The dollar depreciated 2.94% against the rouble.
Volatility decreased, with the Russian Volatility Index falling 36.12% to 25.45 (from 39.84).
Most key sectors made gains. The largest upturn was in Financials, the sector index of which rose 19.82%. Electric Utilities and Telecommunication climbed a respective 13.80% and 9.25%. The largest lost in Chemicals is 2.61%
The Blue Chip Index increased 9.51% to 9,626.25 (from 8,790.54).
The Second Tier Index appreciated 2.09% to 2,981.85 (from 2,920.74). The Broad Market Index gained 9.56% to 1,012.56 (from 924.24).
MICEX & RTS Indices: Moscow Exchange's main indices
In May 2014, Moscow Exchange's indices reflected the positive trend on the Russian stock market. The MICEX Index was up 9.65% to 1,432.03 (from 1,306.01 on 30 April, 2014), while the dollar-denominated RTS Index rose 12.12% to 1,295.75 (from 1,155.70).
The MICEX Index on 30 May was up 6.06% YoY (from 1,350.17). The RTS Index was down 2.68% YoY (from 1,331.43).
The RTS Index's increase last month was accompanied by a decrease in volatility, with the Russian Volatility Index (RTSVX) down 36.12%.
The turnover of securities included in Moscow Exchange's indices was RUB 764.93 bin, and their market cap totalled RUB 20,410.03 bln.
Of the 50 MICEX Index constituents, 42 constituents of the MICEX Index list pulled the index up (rising a total 9.84%), while 8 incurred losses (totaling 0.19%).
On the sector level, the major positive impact was from financials (up 3.45%) and oil and gas (up 2.97%).
The largest positive impact on the MICEX Index was from prices rising for ords of Sberbank (up 1.95%), JSC "GAZPROM" (up 1.54%) and OJSC “Magnit” (up 1.40%). The largest negative impact was from price losses by ords of Polymetal International plc (down 0.09%) and and RDR of Rusal (off 0.03%).
The largest positive impact on the RTS Index was from prices rising for ords of Sberbank (up 2.26%), JSC "GAZPROM" (up 1.92%) and OJSC “Magnit” (up 1.56%). The largest negative impact was from price losses by ords of Polymetal International plc (down 0.06%) and and RDR of Rusal (off 0.02%).
Oil & gas accounted for 49.68% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (20.60%) and metals and mining (9.67%).
Blue Ohip Index
The Blue Chip Index rose in May.
It was up 9.51% MoM to 9,626.25 (from 8,790.54), and up 5.22% YoY (from 9,148.54).
Of the seventeen securities included in the Index list, fifteen were pulling the Blue Chip Index up at the end of the month (rising a total 9.56%), while two made losses (totaling 0.05%).
The largest positive impact on the index was from prices rising for ords of Sberbank (up 2.28%) and JSC "GAZPROM" (up 1.80%).
The largest negative impact was from price losses by ords of OJSC Uralkali (down 0.03%) and JSC “TATNEFT” (off 0.02%).
The oil & gas sector accounted for 55.69% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (22.94%) and consumer goods and retail (7.54%).
Broad Market and Second- Tier Indices
The Second Tier Index rose 2.09% during the month to 2,981.85 (from 2,920.74). The Broad Market Index rose 9.56% MoM to 1,012.56 (from 924.24).
The Second Tier Index was down 1.49% YoY (from 3,027.00). The Broad Market Index was up 5.88% YoY (from 956.34).
Of the fifty securities included in the Second Tier Index list, thirty were pulling the index up (with gains totaling 4.89%), while twenty made losses (totaling 2.80%).
The largest positive impact on the Second Tier Index was from gains by ords of JSC Acron (up 0.78%) and JSC “OGK-2” (up 0.52%).
The heaviest positive impact on the Broad Market Index was from ords of Sberbank (up 1.99%) and JSC "GAZPROM" (up 1.54%).
The largest positive impact on the Second Tier Index was from electric utilities (up 2.86%) and consumer goods and retail (up 0.16%).
Electric utilities accounted for 38.33% of the Second Tier Index's total capitalization. The other heavily weighted sectors were chemicals (20.43%) and industrials (10.40%).
Aggregate bond index RUABITR (total return), comprised of Government, corporate and municipal bonds traded on Moscow Exchange was up 2.42%.
Russian Government Bond Index RGBITR was up 3.00% to 320.01 points. The YTM of securities included in the index 8.40%. The highest growth among government bond indices. segmented by duration, showed RUGBITR5+ that includes government bonds with duration more than 5 years. It grew up by 5.21%.
Municipal bond index MICEXMBITR was up 0.78% in march and equaled 180.60 points. The highest growth among municipal bond indices segmented by duration and credit quality showed RUMBITRBBB3+ that includes bonds with duration more than 3 years and credit rating from BBB- to BBB+. It grew up by 2.52% in May. The highest fall among municipal bond showed RUMBITRBB. It was 0.03%.
The MICEX Corporate Bond Index MICEXCBITR total return value was up 0.54% to 245.56 points. The YTM of securities included in the calculation formula was 10.50%.
Among all corporate bond indices highest growth showed RUCBITRB3Y - 2.44%, that includes corporate bonds with credit quality from B- to B+ and duration 1 - 3 years.
High credit quality corporate bond index RUCBITRBBB was up 0.16%. "BB segment" bond index RUCBITRBB was up 0.37%. "B segment" bond index RUCBITRB was up 2.31%.
The RUCBITRBBB3+ index that includes corporate bonds with credit quality more than BBB-and duration over 3 years was down 0.29%.
The highest yield to maturity (YTM) on 30.05.2014 showed RCBITRB3Y index. It was 18.02%.
The bond overnight repo rate indicator was down 8 bps (from 8.38% to 8.30%).
The equity overnight repo rate indicator was 8.31%.
A conservative pension investment strategy tracking RUPCI index could have resulted in 0.33 gain. The aggressive investment strategy could have brought a profit of 5.74%. Moderate Pension index was up 2.77%.
Index Derivatives
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the May 2014 was RUB 1,814.23 bln, or 21.15 mln contracts.
Last month's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 1,518.16 bln, or 17.71 mln contracts.
The RTS Index futures contract traded in backwardation last month. The RTS Index rose 12.12% MoM, while the June and the September futures were up a respective 15.68% and 14.78%. Open interest in RTS Index futures decreased 19.49%.
Turnover in MICEX Index futures was RUB 13.70 bln, or 99.44 thousand contracts. Open interest in MICEX Index futures decreased 22.95%.
The trading volume in options on RTS Index futures totaled RUB 282.29 bln, or 3.33 mln contracts. Open interest was RUB 200.74 bln, or 2.55 mln contracts. Puts made up 60.38% of the total open interest. The 120,000 strike calls and 100,000 strike puts had the highest open interest.
The open interest in options on RTS index futures fell 8.84%.
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