OREANDA-NEWS. Moscow Exchange’s indices reflected the positive trend on the Russian stock market in the week to 20 September. The MICEX Index was up 2.50% to 1,476.73 (from 1,440.74 on 13 September), while the dollar-denominated RTS Index grew 4.75% to 1,462.92 (from 1,396.57).

The dollar depreciated 3.32% against the rouble.

Volatility increased, with the Russian Volatility Index rising 5.87% to 23.45 (from 21.15).

Most key sectors made gains. The largest upturn was in Metals & Mining, the sector index of which rose 2.85%. Financials and telecoms climbed a respective 2.41% and 2.31%. The least gain in Chemicals is 0.31%.

The MICEX Innovation Index fell 2.68% to 412.14 (from 401.37).

The Blue Chip Index increased 2.57% to 10,016.32 (from 9,765.39).

The Second Tier Index depreciated 0.79% to 3,021.26 (from 2,997.50). The Broad Market Index gained 2.48% to 1 044.40 (from 1,019.15).

MICEX & RTS Indices: Moscow Exchange’s main indices

Moscow Exchange’s indices reflected the positive trend on the Russian stock market in the week to 20 September. The MICEX Index was up 2.50% to 1,476.73 (from 1,440.74 on 13 September), while the dollar-denominated RTS Index grew 4.75% to 1,462.92 (from 1,396.57).

The MICEX Index on 20 September was up 7.22% MoM (from 1,377.28) and off 1.50% YoY (from 1,499.28). The RTS Index was up 11.01% MoM (from 1,317.77) and down 3.49% YoY (from 1,515.88).

The RTS Index’s increase last week was accompanied by an increase in volatility, with the Russian Volatility Index (RTSVX) up 5.87%.

The MICEX Index’s rise was due mainly to price increases in ordinary shares of Sberbank (up 0.92%), Gazprom (up 0.61%), and MTS (up 0.18%).

The turnover of securities included in Moscow Exchange’s indices was RUB 190.69 bln, and their market cap totalled RUB 21,202.80 bln.

Of the MICEX Index old and new constituents, 43 pulled the index up (rising a total 2.66%), while 9 incurred losses (totaling 0.16%).

On the sector level, the major positive impact was from financials (rising 1.00%) and oil and gas (up 0.94%).

Oil & gas accounted for 48.68% of the MICEX Index’s total capitalization. The other heavily weighted sectors were financials (at 21.76%) and telecoms (at 8.24%).

Blue Chip Index

The Blue Chip Index rose in the week to 20 September.

It was up 2.57% WoW to 10,016.32 (from 9,765.39), up 7.75% MoM (from 9,295.82), and down 2.58% YoY (from 10,281.18).

Of the 17 securities included in the old and new Index list, 14 were pulling the Blue Chip Index up at the end of the week (rising a total 2.72%), while three made losses (totalling 0.15%).

The largest positive impact on the index was from prices rising for ords of Sberbank (up 1.05%) and Gazprom (up 0.69%).

The largest negative impact was from price gains by ords of NOVATEK (down 0.07%) and prefs of Rostelecom (off 0.06%).

The oil & gas sector accounted for 55.67% of the Blue Chip Index’s total capitalization. The other large weight sectors were financials (21.57%) and telecoms (7.35%).

Broad Market and Second Tier Indices

The Second Tier Index fell 0.79% during the week to 3,021.26 (from 2,997.50). The Broad Market Index rose 2.48% WoW to 1,044.40 (from 1,019.15).

The Second Tier Index was down 1.32% MoM (from 3,061.65) and 12.07% YoY (from 3,436.03).

The Broad Market Index was up 7.08% MoM (from 975.37) and off 2.05% YoY (from 1,066.21).

Of the old and new securities included in the Second Tier Index, 27 were pulling the index up (with gains totalling 2.50%), while twenty six made losses (totalling 1.71%).

The largest positive impact on the Second Tier Index was from losses by ords of Transcontainer (up 0.50%) and prefs of RN Holding (up 0.44%).

The heaviest positive impact on the Broad Market Index was from ords of Sberbank (up 0.91%) and Gazprom (up 0.61%).

The largest positive impact on the Second Tier Index was from transportation (up 0.50%) and oil and gas (down 0.47%).

Utilities accounted for 31.25% of the Second Tier Index’s total capitalization. The other heavily weighted sectors were consumer goods & retail (15.93%) and industrials (10.55%).

Debt market

The Russian Government Bond Index RGBITR (total return) was up 0.73% to 324.83 last week (from 322.49 points on 13 September). The YTM of securities included in the calculation formula was down 10 bps to 7.02%.

The Municipal Bond Index (MICEXMBITR, total return) was up 0.20 bps WoW to 176.25 points (from 175.89).

The MICEX Corporate Bond Index’s MICEXCBITR total return value was up 0.12% to 238.56 points.

A conservative investment strategy tracking last week’s pension index could have resulted in a 0.23% WoW gain. An aggressive strategy based on the pension index could have incurred a 0.76% WoW profit.

The bond overnight repo rate was up 9 bps (from 6.13% to 6.22%). The equity overnight repo rate was 6.21%.

The total trading volume in index futures and options on Moscow Exchange’s Derivatives Market in the week to 20 September was RUB 584.79 bln, or 6.34 mln contracts.

Last week’s trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 447.84 bln, or 4.83 mln contracts.

The RTS Index futures contract traded in backwardation last week. The RTS Index gained 4.75% WoW, while the December and March futures were up a respective 4.43% and 4.97%.

Open interest in RTS Index futures increased 26.67%.

Turnover in MICEX Index futures was RUB 5.20 bln, or 34,970 contracts. Open interest in MICEX Index futures decreased 48.06%.

The trading volume in options on RTS Index futures totalled RUB 131.67 bln, or 1,468.01 mln contracts. Open interest was RUB 150.50 bln, or 1.74 bln contracts. Puts made up 74.94% of the total open interest. The 150,000 strike calls and 135,000 strike puts had the highest open interest.

The open interest in options on RTS index futures rose 5.59%.