MICEX Announced Russian Equity & Bond Indices July 2012
OREANDA-NEWS. August 23,
The RTS dollar Index went up by 1.99% to 1 377.35 points (1 350.51 on June 29, 2012). For the last month, the U.S. Dollar went down by 2.28% against the Ruble.
The Russian stock market showed volatility increase: the Russian volatility index (RTSVX) went up by 4.36% to 34.70 points (34.25 points on June 29, 2012).
All key sectors represented on the Russian stock market showed a positive trend in the last month. Leading the growth was the Chemicals and Petrochemicals Sector - the sectoral Index went up by 8.24%. A considerable growth was also demonstrated by the Consumer and Power sectors - the Consumer & Retail Index went up by 5.56%, and the Electric Utilities Index went up by 3.45%. The leader of falling was the Finance Sector - The Financials Index went down by 2.81%.
The MICEX Innovation Index went down by 2.32%.
The stock market’s growing primarily affected mid-cap companies - MICEX Mid Cap Index went up by 3.25%, while MICEX Small Cap Index and MICEX Large Cap Index went up by 2.12% and 1.12%, respectively.
As a result of the described dynamics, by the end of the month the MICEX Index was 17.49% lower compared to its closing level one year ago (1 705.18 on July 29, 2011).
Trading in Index-based securities on an overall basis amounted to RUR 681.87 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 601.01 billion.
At month end, 19 stocks out of MICEX Index’s total 30 constituents, had a positive impact on its dynamics (+2.86%), while 11 securities moved negatively (-1.45%).
In July, the major positive contributors in the MICEX Index growing were the securities of the Chemicals (+0.67%) and Oil & Gas (+0.53%) Sectors.
The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC “Uralkali” (+0.67%), JSC “Sberbank Rossii” (+0,53%) and JSC “Novatek” (+0,36%).
The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC “Norilsk Nickel” (-0.36%).
55.1% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (17.6%) and Metallurgy (8.2%).
As a result of the described dynamics, in July 2012 the RTS Index was 29.91% lower compared to its closing level one year ago (1 965.02 points on July 29, 2011).
The growth of the RTS Index in the previous month was accompanied by a volatility increase. The Russian volatility index (RTSVX) went up by 4.36%.
In July 2012, 31 stocks out of RTSI’s total 50 constituents had positive impact on the index’s dynamics (+3.23%), while 19 securities moved negatively (-1.24%).
In the previous month the major positive contributors were the securities of Oil & Gas Sector (+0.80%) and Chemical Production (+0.63%).
The most positive impact on RTSI came from increasing prices of ordinary shares of JSC “Sberbank Rossii” (+0.61%), JSC “Uralkali” (+0.60%) and JSC “LUKOIL” (+0.29%).
The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC “
For the last month Russian Government Bond price Index (RGBI) went up by 2.02% to 131.41 points (128.81 on June 29, 2012). The Index calculated on the basis of the total returns method went up by 2.63% and reached 289.34 points. While weighted average return on bonds included in the RGBI calculation base went down on 44 points and amounted to 7.64%.
Municipal Bond Indices showed positive performance: the MICEX MBI TR (total returns) Index went up by 0.92% to 159.70 points (158.2 on June 29, 2012).
In the Corporate Bonds Sector, the Index calculated on the basis of the total returns method (MICEX CBI TR) went up by 1.13% and reached 215.01 points; the price index was 92.04 points having dropped 0.43%. Weighted average return went down on 20 points and amounted to 8.88%.
Conservative investment strategy in pension indices would provide growth of 1.01% during the month, and aggressive strategy would provide growth of 2.68% during the month.
Overnight bonds REPO rate changed from 6.3% to 6.09% during the last month. Overnight stocks REPO rate went down by 5.79% (48 points decrease).
In July trading in Index-based derivatives on FORTS amounted to RUR 2 642.52 billion or 29.92 million contracts.
Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 348.49 billion or 26.59 million contracts.
In the last month, all the RTSI-based futures traded in backwardation. The RTSI went up by 1.99%, while the September futures went up by 1.93% and the December futures went up by 1.88%.
The total volume of opened positions in the RTSI-based futures went up by 22.65% against the end of the previous month.
Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 11.76 billion, or 82.88 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 21.22%.
Trading in RTSI-based options in the previous month amounted to RUR 276.76 billion or 3.19 million contracts. The volume of opened positions as of the end of the month amounted to rUr 83.62 billion or 993.60 thousand contracts, while the share of call options in the total open interest made up 57.23%. The major open interest on call options was concentrated at the strike of 135 000, while the maximum on put options was observed at the strike of 135 000.
For the last month, the volume of opened positions in the RTSI-based futures went up by 58.65%.
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