OREANDA-NEWS. In August 2014, Moscow Exchange's indices reflected the positive trend by the MICEX Index on the Russian stock market. The MICEX Index was up 1.53% to 1,400.71 (from 1,379.61 on 31 July), while the dollar-denominated RTS Index fell 2.39% to 1,190.23 (from 1,219.36).

The dollar appreciated 1.62% against the rouble.

Volatility decreased, with the Russian Volatility Index falling 3.16% to 35.24 (from 36.39).

Most key sectors made gains. The largest upturn was in Telecommunication, the sector index of which rose 4.49%. Metals and Mining and Electric Utilities climbed a respective 4.26% and 3.02%. The largest loss in Transport is 6.07% The Blue Chip Index increased 1.17% to 9,364.82 (from 9,256.28).

The Second Tier Index depreciated 2.65% to 2,912.22 (from 2,991.61). The Broad Market Index gained 1.44% to 989.99 (from 975.91).

MICEX & RTS Indices: Moscow Exchange's main indices

In August 2014, Moscow Exchange's indices reflected the positive trend by the MICEX Index on the Russian stock market. The MICEX Index was up 1.53% to 1,400.71 (from 1,379.61 on 31 July), while the dollar-denominated RTS Index fell 2.39% to 1,190.23 (from 1,219.36).

The MICEX Index on 29 August was up 2.64% YoY (from 1,364.65). The RTS Index was down 7.80% YoY (from 1,290.96).

The RTS Index's decrease last month was accompanied by a decrease in volatility, with the Russian Volatility Index (RTSVX) down 3.16%.

The turnover of securities included in Moscow Exchange's indices was RUB 627.92 bin, and their market cap totaled RUB 20,006.44 bln.

Of the 50 MICEX Index constituents, 30 constituents of the MICEX Index lists pulled the index up (rising a total 2.12%), while 20 incurred losses (totaling 0.59%).

On the sector level, the major positive impact was from oil and gas (up 1.00%) and metals and mining (up 0.34%).

The largest positive impact on the MICEX Index was from prices rising for ords of OAO "LUKOIL" (up 0.40%),

JSC "TATNEFT" (up 0.17%) and prefs of JSC "Transneft" (up 0.19%). The largest negative impact was from price losses by ords of JSC VTB Bank (down 0.11%) and Sistema JSFC (off 0.09%).

The largest negative impact on the RTS Index was from prices falling for ords of JSC "GAZPROM" (down

0.56%), Sberbank (off 0.51%) and OJSC "Magnit" (down 0.31%). The largest positive impact was from price gains by prefs of JSC "Transneft" (up 0.11%) and ords of OJSC "Rostelecom" (up 0.09%).

Oil & gas accounted for 50.40% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (18.34%) and metals and mining (10.55%).

Blue Chip Index

The Blue Chip Index rose in August.

It was up 1.17% MoM to 9,364.82 (from 9,256.28), and up 1.70% YoY (from 9,208.07).

Of the seventeen securities included in the Index list, ten were pulling the Blue Chip Index up at the end of the month (rising a total 1.61%), while seven made losses (totaling 0.44%).

The largest positive impact on the index was from prices rising for ords of OAO "LUKOIL" (up 0.47%), JSC "TATNEFT" (up 0.20%) and prefs of JSC "Transneft" (up 0.22%).

The largest negative impact was from price losses by ords of JSC VTB Bank (down 0.13%) and Sistema JSFC (off 0.11%).

The oil & gas sector accounted for 56.99% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (20.29%) and consumer goods and retail (8.15%).

Broad Market and Second- Tier Indices

The Second Tier Index fell 2.65% during the month to 2,912.22 (from 2,991.61). The Broad Market Index rose 1.44% MoM to 989.99 (from 975.91).

The Second Tier Index was down 3.31% YoY (from 3,011.90). The Broad Market Index was up 2.46% YoY (from 974.20).

Of the fifty securities included in the Second Tier Index list, twenty two were pulling the index down (with losses totaling 4.64%), while twenty eight made gains (totaling 1.99%).

The largest negative impact on the Second Tier Index was from losses by ords of OJSC "Volga TGC" (down 0.66%) and JSC "Quadra - Power Generation" (off 0.61%).

The heaviest positive impact on the Broad Market Index was from ords of OAO "LUKOIL" (up 0.40%) and prefs of JSC "Transneft" (up 0.18%).

The largest negative impact on the Second Tier Index was from electric utilities (down 0.96%) and consumer goods and retail (off 0.55%).

Electric utilities accounted for 42.53% of the Second Tier Index's total capitalization. The other heavily weighted sectors were chemicals (13.96%) and industrials (9.66%).

Aggregate bond index RUABITR (total return), comprised of Government, corporate and municipal bonds traded on Moscow Exchange was down 0.23%.

Russian Government Bond Index RGBITR was down 0.41% to 313.70 points. The YTM of securities included in the index was 9.52%. The highest growth among government bond indices, segmented by duration, showed RUGBITR3Y that includes government bonds with duration from 1 to 3 years. It grew up by 0.18%.

Municipal bond index MICEXMBITR was up 0.18% in August and equaled 182.93 points. The highest growth among municipal bond indices segmented by duration and credit quality showed RUMBITRBBB3Y that includes bonds with duration from 1 to 3 years and credit rating from BBB- to BBB+. It grew up by 1.13% in August.

The MICEX Corporate Bond Index MICEXCBITR total return value was up 0.07% to 248.92 points. The YTM of securities included in the calculation formula was 10.17%.

Among all corporate bond indices highest growth showed RUCBITRB - 0.68 %. that includes corporate bonds with credit quality from B- to B+ and duration more than 1 year.

High credit quality corporate bond index RUCB1TRBBB was down 0.10%. "BB segment* bond index RUCB1TRBB was up 0.37%. "B segment* bond index RUCBITRB was up 0.68%.

The highest yield to maturity (YTM) on 29.08.2014 showed RCBITRB index. It was 12.11%.

A conservative pension investment strategy tracking RUPCI index could have resulted in 0.21% gain. The aggressive investment strategy could have brought a profit of 1.39%. Moderate Pension index was up 0.73%.

Index Derivatives

The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the August 2014 was RUB 1,782.44 bln, or 20.28 mln contracts.Last month's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 1,537.96 bln, or 17.51 mln contracts.

The RTS Index futures contract traded in backwardation last month. The RTS Index fell 2.39% MoM, while the September and the December futures were down a respective 1.68% and 1.58%.

Open interest in RTS Index futures increased 19.94%.

Turnover in MICEX Index futures was RUB 15.86 bln, or 112.80 thousand contracts. Open interest in MICEX Index futures decreased 18.32%.

The trading volume in options on RTS Index futures totaled RUB 228.49 bln, or 2.66 mln contracts. Open interest was RUB 130.05 bln, or 1.46 mln contracts. Puts made up 74.44% of the total open interest. The 125,000 strike calls and 125,000 strike puts had the highest open interest.

The open interest in options on RTS index futures rose 11.46%.