MICEX Released Russian Equity and Bond Indices September 24-28 Review
OREANDA-NEWS. October 15, 2012. For the week of September 24 - 28, 2012 the MICEX Index was down 2.57% to 1,458.26 (1,496.65 points as of September 21, 2012).
The RTS Index calculated based on prices in US dollar fell by 3.08% to 1,475.70 (1,522.63 as of September 21, 2012). The US dollar depreciated by 1.21% against the ruble.
The stock market volatility increased last week with the Russian Volatility Index rising by 4.56% to 31.67 points (30.29 points as of September 21, 2012).
Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the telecommunication sector with the relevant sector index falling by 3.25%. A significant decrease was also shown by the metals & mining and the financials with the relevant sector indices down 3.00% and 2.63% respectively. The industrials were up with the relevant sector indices rising by 2.40%.
The MICEX Innovation Index lost 1.00%.
The largest downturn was reported by the large cap companies. The MICEX Large Cap Index lost 2.79% as well as the MICEX Mid Cap Index (1.43%) and the MICEX Small Cap Index (1.34%).
For the week of September 24-28, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 2.52% to 1,496.65 (1,496.65 as of September 21, 2012).
At the end of the week the MICEX Index was 0.51% higher than a month ago (1,450.81 points as of August 28, 2012) and 5.83% higher than a year ago (1,377.87 as of September 28, 2011).
Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB153.59 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,688.86 billion.
25 constituents of the MICEX Index list were pushing the Index downwards (minus 2.68%) and 5 constituents behaved positively (plus 0.11%).
On the sector level the major negative contributors were the oil & gas (minus 1.10%) and financial sectors (minus 0.68%).
The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (minus 0.55%) followed by Sberbank (minus 0.40%) and NOVATEK (minus 0.24%).
The oil & gas sector accounted for 52.36% of the MICEX Index total capitalization. The other large weight sectors were financial (16.05%) and metallurgy (9.89%).
For the week of September 24 - 28, 2012 the RTS Index lost 3.08% to 1,475.70 (1,522.63 as of September 21, 2012). At the end of the week the RTS Index was 3.28% higher than a month ago (1,428.88 as of August 28, 2012) and 7.92% higher than a year ago (1,367.37 as of September 28, 2011).
Last week’s decrease of the RTS Index was accompanied by an increase of volatility levels, when the Russian Volatility Index RTSVX was up 4.56%.
The US dollar depreciated by 1.21%.
43 constituents of the RTS Index list were pulling the Index downwards (minus 3.18%), 7 constituents behaved positively (plus 0.10%).
On the sector level the major negative contributors were the oil & gas (minus 1.39%) and financial (minus 0.79%) sectors.
The negative impact was mainly related to the falling prices of ordinary shares of Gazprom (minus 0.63%), Sberbank (minus 0.50%) and LUKOIL (minus 0.26%).
The Russian Government Bond Index (RGBI) was up 0.05% to 132.40 points last week (132.33 points as of September 21, 2012). RGBI total return value grew by 0.19% to 294.90 points.
The Municipal Bond Index (MICEX MBI TR, weighted average return) showed the positive trend and reached 162.76 basis points growing by 0.50% (161.95 as of September 21, 2012).
The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.29% to 218.29 points. The weighted average return value, being the part of the index calculation formula, fell by 6 basis points to 8.61%.
The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.23% per week. The aggressive investment strategy based on the pension index could have brought a weekly profit of 1.15% per week.
The bond overnight repo rate was up 49 basis points (from 5.82% to 6.31%).The equity overnight repo rate gained 90 basis points and amounted to 5.95%.
For the week of September 24 - 28, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB640.70 billion representing 6.95 million contracts.
Last week’s trading volume for the most liquid contract on FORTS, futures contract on the rTs Index, amounted to RUB570.23 billion representing 6.19 million contracts.
The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 3.08%, while the March and December futures contracts fell by 2.79% and 2.84% respectively.
The total investor’s open interest measured in RTS Index futures decreased by 0.04%.
During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.49 billion representing 16.89 thousand contracts. Open interest in the contract on the MICEX Index increased by 15.14% for the week.
Trading volume in options on RTS Index futures totaled RUB67.22 billion representing 737.27 million contracts. Open interest of RUB92.00 billion or 1.04 million contracts was fixed. Call options made up 56.14% of the total open interest for these contracts. The 170.000 strike calls and 110.000 strike puts had the highest open interest.
The total investor’s open interest measured in options on the RTS index futures decreased by 47.24%.