MOEX Revises Russian Equity and Bond Indices (2-6 December 2013)
OREANDA-NEWS. Moscow Exchange's indices reflected the negative trend on the Russian stock market in the week to 6 December. The MICEX Index was down 2.07% to 1,448.67 (from 1,479.35 on 29 November), while the dollar- denominated RTS Index lost 0.88% to 1,390.61 (from 1,402.93).
The dollar depreciated 0.06% against the rouble.
Volatility increased, with the Russian Volatility Index rising 3.96% to 23.39 (from 22.50).
Most key sectors made losses. The largest downturn was in Oil and Gas, the sector index of which fell 2.10%. Financials and Metals and Mining climbed down a respective 1.99% and 1.64%. The largest gain in Electric Utilities is 5.03%.
The MICEX Innovation Index rose 1.16% to 362.71 (from 358.56).
The Blue Chip Index decreased 2.32% to (from 10,064.13).
The Second Tier Index appreciated 2.43% to 3,016.00 (from 2,944.53). The Broad Market Index lost 2.01% to 1,024.75 (from 1,045.75).MICEX & RTS Indices: Moscow Exchange's main indices
Moscow Exchange's indices reflected the negative trend on the Russian stock market in the week to 6 December. The MICEX Index was down 2.07% to
(from 1,479.35 on 29 November), while the dollar-denominated RTS Index lost 0.88% to 1,390.61 (from 1,402.93).
The MICEX Index on 6 December was down 3.42% MoM (from 1,499.95) and up 0.70% YoY (from 1,438.54). The RTS Index was down 4.68% MoM (from 1,458.93) and off 5.21% YoY (from 1,467.00).
The RTS Index's decrease last week was accompanied by an increase in volatility, with the Russian Volatility Index (RTSVX) up 3.96%.
The MICEX Index's fall was due mainly to price decreases in ordinary shares of GAZPROM (down 0.59%), LUKOIL (off 0.49%), and Sberbank (down 0.46%).
The turnover of securities included in Moscow Exchange's indices was RUB 196.69 bln, and their market cap totalled RUB 20,547.82 bln.
Of the MICEX Index constituents, 34 pulled the index down (falling a total 2.43%), while 16 incurred gains (totalling 0.36%).
On the sector level, the major negative impact was from oil & gas (down 1.36%) and financials (off 0.54%).
Oil & gas accounted for 48.43% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 21.84%) and telecoms (at 8.25%).
The Blue Chip Index fell in the week to 6 December.
It was down 2.32% WoW to 9,830.13 (from 10,064.13), off 3.75% MoM (from 10,213.95), and up 0.11% YoY (from 9,819.61).
Of the 17 securities included in the Index list, 13 were pulling the Blue Chip Index down at the end of the week (falling a total 2.53%), while 4 made gains (totalling 0.21%).
The largest negative impact on the index was from prices falling for ords of GAZPROM (down 0.69%) and LUKOIL (off 0.57%).
The largest positive impact was from price gains by ords of MTS (up 0.08%) and MMC NORILSK NICKEL (up 0.07%).
The oil & gas sector accounted for 54.16% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (22.29%) and telecommunication (7.59%).
The Second Tier Index gained 2.43% during the week to 3,016.00 (from 2,944.53). The Broad Market Index fell 2.01% WoW to 1,024.75 (from 1,045.75).
The Second Tier Index was down 0.23% MoM (from 3,022.86) and down 6.69% YoY (from 3,232.25). The Broad Market Index was off 3.37% MoM (from 1,060.54) and up 0.41% YoY (from 1,020.57).
Of the 50 securities included in the Second Tier Index, 34 were pulling the index up (with gains totalling 3.68%), while 15 made losses (totalling 1.25%). One stock's prices remained flat.
The largest positive impact on the Second Tier Index was from gains by HALS-Development (up 0.63%) and Cherkizovo Group (up 0.44%).
The heaviest negative impact on the Broad Market Index was from ords of GAZPROM (down 0.60%) and LUKOIL (off 0.49%).
The largest positive impact on the Second Tier Index was from electric utilities (rising 1.61%) and consumer goods & retail (up 0.87%).
Electric utilities accounted for 28.50% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (19.12%) and oil and gas (11.58%).
The Russian Government Bond Index RGBITR (total return) was up 0.48% to 321.77 last week (from 320.22 points on 29 November). The YTM of securities included in the calculation formula was up 10 bps to 7.50%.
The Municipal Bond Index (MICEXMBITR, total return) was down 0.03% WoW to 177.96 points (from 178.01).
The MICEX Corporate Bond Index's MICEXCBITR total return value was up 0.05% to 242.04 points.
A conservative investment strategy tracking last week's pension index could have resulted in a 0.03% WoW gain. An aggressive strategy based on the pension index could have incurred a 0.78% WoW loss.
The bond overnight repo rate was up 3 bps (from 6.34% to 6.37%). The equity overnight repo rate was 6.38%.
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the week to 6 December was RUB 619.13 bln, or 6.77 mln contracts.
Last week's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 503.17 bln, or 5.52 mln contracts.
The RTS Index futures contract traded in backwardation last week. The RTS Index lost 0.88% WoW, while the December and March futures were down a respective 1.17% and 1.22%.
Open interest in RTS Index futures increased 4.30%.
Turnover in MICEX Index futures was RUB 3.47 bln, or 23,909 contracts. Open interest in MICEX Index futures decreased 1.61%.
The trading volume in options on RTS Index futures totalled RUB 112.42 bln, or 1,22 mln contracts. Open interest was RUB 220.30 bln, or 2.41 bln contracts. Puts made up 62.46% of the total open interest. The 145,000 strike calls and 135,000 strike puts had the highest open interest.
The open interest in options on RTS index futures rose 11.97%.