Moscow Exchange Reviews Russian Equity and Bond Indices March 2014
OREANDA-NEWS. In March 2014, Moscow Exchange's indices reflected the negative trend on the Russian stock market. The MICEX Index was down 5.22% to 1,369.29 (from 1,444.71 on 28 February), while the dollar-denominated RTS Index fell 3.25% to 1,226.10 (from 1,267.27).
The dollar depreciated 1.01% against the rouble.
Volatility increased, with the Russian Volatility Index rising 16.35% to 34.79 (from 29.90).
Most key sectors made losses. The largest downturn was in Transport, the sector index of which fell 18.02%. Industrials and Financials climbed down a respective 15.61% and 9.15%.
The Blue Chip Index decreased 4.87% to 9,267.08 (from 9,741.00).
The Second Tier Index depreciated 2.75% to 2,951.96 (from 3,035.28). The Broad Market
Index lost 5.10% to 969.60 (from 1,021.76).
MICEX & RTS Indices: Moscow Exchange's main indices
In March 2014, Moscow Exchange's indices reflected the negative trend on the Russian stock market. The MICEX Index was down 5.22% to 1,369.29 (from 1,444.71 on 28 February), while the dollar-denominated RTS Index fell 3.25% to 1,226.10 (from 1,267.27).
The MICEX Index on 31 March was down 4.82% YoY (from 1,438.57). The RTS Index was down 16.02% YoY (from 1,460.04).
The RTS Index's decrease last month was accompanied by an increase in volatility, with the Russian Volatility Index (RTSVX) up 16.35%.
The turnover of securities included in Moscow Exchange's indices was RUB 1,235.76 bin, and their market cap totalled RUB 19,580.76 bln.
Of the 52 MICEX Index constituents, 46 constituents of the new and the reviewed MICEX Index lists pulled the index down (falling a total 5.35%), while 6 incurred gains (totaling 0.13%).
On the sector level, the major negative impact was from oil and gas (down 1.92%) and financials (falling 1.62%).
The largest negative impact on the MICEX Index was from prices falling for ords of Sberbank (down 0.95%), JSC "NOVATEK" (off 0.75%) and OJSC "Magnit" (down 0.47%). The largest positive impact was from price gains by ords of JSC "Pharmstandard" (up 0.03%) and OJSC Uralkali (up 0.03%).
The largest negative impact on the RTS Index was from prices falling for ords of Sberbank (down 0.69%), JSC "NOVATEK" (off 0.66%) and OJSC "Magnit" (down 0.34%). The largest positive impact was from price gains by ords of OAO "LUKOIL" (up 0.03%) and OJSC Uralkali (up 0.03%).
Oil & gas accounted for 50.76% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (20.19%) and metals and mining (9.25%).
Blue Chip Index
The Blue Chip Index fell in March.
It was down 4.87% MoM to 9,267.08 (from 9,741.00), and down 5.11% YoY (from 9,766.50).
Of the seventeen securities included in the Index list, sixteen were pulling the Blue Chip Index down at the end of the month (falling a total 4.91%), while one made gain (totaling 0.04%).
The largest negative impact on the index was from prices falling for ords of Sberbank (down 1.11%) and JSC "NOVATEK" (off 0.88%).
The largest positive impact was from price gains by ords of OJSC Uralkali (up 0.04%).
The oil & gas sector accounted for 56.81% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (22.39%) and consumer goods and retail (7.20%).
Broad Market and Second- Tier Indices
The Second Tier Index fell 2.75% during the month to 2,951.96 (from 3,035.28). The Broad Market Index fell 5.10% MoM to 969.60 (from 1,021.76).
The Second Tier Index was down 10.45% YoY (from 3,296.30). The Broad Market Index was down 5.00% YoY (from 1,020.61).
Of the fifty three securities included in the new and reviewed Second Tier Index lists, thirty six were pulling the index down (with losses totaling 4.82%), while seventeen made gains (totaling 2.07%).
The largest negative impact on the Second Tier Index was from losses by ords of OJSC Enel OGK-5 (down 0.47%) and JSC "RAO Energy System of East" (off 0.38%).
The heaviest negative impact on the Broad Market Index was from ords of Sberbank (down 0.93%) and JSC "NOVATEK" (off 0.70%).
The largest negative impact on the Second Tier Index was from electric utilities (down 1.38%) and chemicals (off 0.64%).
Electric utilities accounted for 36.42% of the Second Tier Index's total capitalization. The other heavily weighted sectors were chemicals (19.65%) and transportation (9.73%).
Aggregate bond index RUABITR (total return), comprised of Government, corporate and municipal bonds traded on Moscow Exchange was down 1.38%.
Russian Government Bond Index RGBITR was down 1.70% to 314.88 points. The YTM of securities included in the index was up 64 bps to 8.37%. The highest growth among government bond indices, segmented by duration, showed RUGBITR1Y that includes government bonds with duration less than 1 year. It grew up by 0.20%.
Municipal bond index MICEXMBITR was down 0.19% in march and equaled 180.00 points. The highest growth among municipal bond indices segmented by duration and credit quality showed RUMBITRBBB3Y that includes bonds with duration 1 - 3 years and credit rating from BBB- to BBB+. It grew up by 0.82% in Match. The highest fall among municipal bond showed RUMBITRBB. It was 0.78%.
The MICEX Corporate Bond Index MICEXCBITR total return value was down 0.80% to 244.02 points. The YTM of securities included in the calculation formula was 9.99%.
Among all corporate bond indices only 3 showed gains. It was RUCBITRBB3Y - growth of 0,26%, RUCBITRBB - 0,13%, and the index RUCBURIYB which grew up by 0.12%.
High credit quality corporate bond index RUCBITRBBB was up 0.61%. "BB segment* bond index RUCBITRBB was up 0.13%. "B segment* bond index RUCBURB was down 3.02%. The highest growth among corporate bond indices showed RUCB1TRBB3Y that includes bonds with credit rating from BB- to BB+ and duration 1 - 3 years. It grew up by 0.26%.
The RUCB1TRBBB3+ index that includes corporate bonds with credit quality more than BBB-and duration over 3 years was down 1.13%.
The highest yield to maturity (YTM) on 31.03.2014 showed RCB1TRB3Y index. It was 17.74%.
The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the March 2014 was RUB 2,623.92 bln, or 32.27 mln contracts.
Last month's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 2,275.45 bln, or 28.17 mln contracts.
The RTS Index futures contract traded in backwardation last month. The RTS Index lost 3.25% MoM, while the June and the September futures were down a respective 4.93% and 4.53%. On March 17, the RTS Index March futures contracts were settled. The settlement price equaled 109,860 points.
Open interest in RTS Index futures decreased 21.53%.
Turnover in MICEX Index futures was RUB 19.43 bln, or 146.29 thousand contracts. Open interest in MICEX Index futures decreased 84.00%.
The trading volume in options on RTS Index futures totaled RUB 328.95 bln, or 3.96 mln contracts. Open interest was RUB 135.92 bln, or 1.74 mln contracts. Puts made up 60.75% of the total open interest. The 135,000 strike calls and 110,000 strike puts had the highest open interest.
The open interest in options on RTS index futures fell 37.74%.