OREANDA-NEWS. In September 2014, Moscow Exchange's indices reflected the positive trend by the MICEX Index on the Russian stock market. The MICEX Index was up 0.74% to 1,411.07 (from 1,400.71 on 29 August), while the dollar-denominated RTS Index fell 5.59% to 1,123.72 (from 1,190.23).

The dollar appreciated 8.49% against the rouble.

Volatility decreased, with the Russian Volatility Index falling 5.62% to 33.26 (from 35.24).

Part of the key sectors made gains. The largest upturn was in Chemicals, the sector index of which rose 5.12%. Consumer goods and retail and Oil and Gas climbed a respective 4.91% and 1.80%. The largest loss in Financials is 17.54%

The Blue Chip Index increased 1.22% to 9,479.29 (from 9,364.82).

The Second Tier Index depreciated 2.31% to 2,845.05 (from 2,912.22). The Broad Market Index gained 0.73% to 997.26 (from 989.99).

MICEX & RTS Indices: Moscow Exchange's main indices

In September 2014, Moscow Exchange's indices reflected the positive trend by the MICEX Index on the Russian stock market. The MICEX Index was up 0.74% to 1,411.07 (from 1,400.71 on 29 August), while the dollar-denominated RTS Index fell 5.59% to 1,123.72 (from 1,190.23).

The MICEX Index on 30 September was down 3.54% YoY (from 1,462.82). The RTS Index was down 21.00% YoY (from 1,422.49).

The RTS Index's decrease last month was accompanied by a decrease in volatility, with the Russian Volatility Index (RTSVX) down 5.62%.

The turnover of securities included in Moscow Exchange's indices was RUB 692.46 bin, and their market cap totaled RUB 20,724.27 bln.

Of the 52 MICEX Index constituents, 34 constituents of new and the reviewed MICEX Index lists pulled the index up (rising a total 3.32%), while 18 incurred losses (totaling 2.58%).

On the sector level, the major positive impact was from oil and gas (up 0.91%) and consumer goods and retail (up 0.69%).

The largest positive impact on the MICEX Index was from prices rising for ords of JSC "GAZPROM" (up 0.65%), OJSC "Magnit" (up 0.63%) and JSC "NOVATEK" (up 0.52%). The largest negative impact was from price losses by ords of Sistema JSFC (down 1.29%) and OAO "LUKOIL" (off 0.29%).

The largest negative impact on the RTS Index was from prices falling for ords of Sistema JSFC (down 1.33%), OAO "LUKOIL" (off 1.22%) and Sberbank (down 0.39%). The largest positive impact was from price gains by ords of JSC "NOVATEK" (up 0.19%) and OJSC "Magnit" (up 0.15%).

Oil & gas accounted for 50.50% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (17.24%) and metals and mining (9.93%).

Blue Chip Index

The Blue Chip Index rose in September.

It was up 1.22% MoM to 9,479.29 (from 9,364.82), and off 4.48% YoY (from 9,923.83).

Of the seventeen securities included in the new and the reviewed Index lists, thirteen were pulling the Blue Chip Index up at the end of the month (rising a total 3.29%), while four made losses (totaling 2.07%).

The largest positive impact on the index was from prices rising for ords of JSC "GAZPROM" (up 0.77%), OJSC "Magnit" (up 0.74%) and JSC "NOVATEK (up 0.61%).

The largest negative impact was from price losses by ords of Sistema JSFC (down 1.53%) and OAO "LUKOIL" (off 0.37%).

The oil & gas sector accounted for 58.97% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (18.04%) and consumer goods and retail (8.96%)

Broad Market and Second- Tier Indices

The Second Tier Index fell 2.31% during the month to 2,845.05 (from 2,912.22). The Broad Market Index rose 0.73% MoM to 997.26 (from 989.99).

The Second Tier Index was down 6.08% YoY (from 3,029.34). The Broad Market Index was down 3.63% YoY (from 1,034.74).

Of the fifty two securities included in the new and the reviewed Second Tier Index lists, thirty one were pulling the index down (with losses totaling 5.52%), while twenty one made gains (totaling 3.21%).

The largest negative impact on the Second Tier Index was from losses by ords of Mechel OAO (down 1.52%) and OJSC Enel OGK-5 (off 0.94%).

The heaviest positive impact on the Broad Market Index was from ords of JSC "GAZPROM" (up 0.65%) and OJSC "Magnit" (up 0.64%).

The largest negative impact on the Second Tier Index was from electric utilities (down 2.16%) and metals and mining (off 1.39%).

Electric utilities accounted for 46.86% of the Second Tier Index's total capitalization. The other heavily weighted sectors were and metals and mining (12.01%) and consumer goods and retail (8.49%).

Debt market

Aggregate bond index RUABITR (total return), comprised of Government, corporate and municipal bonds traded on Moscow Exchange was up 1.72%.

Russian Government Bond Index RGBITR was up 2.24% to 320.74 points. The YTM of securities included in the index was 9.24%. The highest growth among government bond indices, segmented by duration, showed RUGBITR5Y that includes government bonds with duration from 3 to 5 years. It grew up by 2.61%.

Municipal bond index MICEXMBITR was up 0.55% in Septembert and equaled 183.93 points. The highest growth among municipal bond indices segmented by duration and credit quality showed RUMBITRBBB3+ that includes bonds with duration more than 3 years and credit rating from BBB- to BBB+. It grew up by 1.41% in September.

The MICEX Corporate Bond Index MICEXCBITR total return value was up 0.02% to 248.97 points. The YTM of securities included in the calculation formula was 10.55%.

Among all corporate bond indices highest growth showed RUCBITRB3Y - 0.55%, that includes corporate bonds with credit quality from B-to B+ and duration more than 1 year.

High credit quality corporate bond index RUCBITRBBB was down 0.33%. "BB segment" bond index RUCBITRBB was up 0.42%. "B segment" bond index RUCBITRB was up 0.40%.

The highest yield to maturity (YTM) on 30.09.2014 showed RCBITRB index. It was 12.31%.

The bond overnight repo rate indicator was up 14 bps (from 8.34% to 8.48%).

The equity overnight repo rate indicator was 8.65%.

A conservative pension investment strategy tracking RUPCI index could have resulted in 0.65% gain. The aggressive investment strategy could have brought a profit of 0.22%. Moderate Pension index was up 0.47%.

Index Derivatives

The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the September 2014 was RUB 2,071.25 bln, or 22.77 mln contracts.

Last month's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 1,810.67 bln, or 19.96 mln contracts.

The RTS Index futures contract traded in backwardation last month. The RTS Index fell 5.59% MoM, while the December and the March futures were down a respective 5.07% and 5.08%. On September 15, the RTS Index September futures contracts were settled. The settlement price equaled 119,204 points.

Open interest in RTS Index futures decreased 26.36%.

Turnover in MICEX Index futures was RUB 16.75 bln, or 115.50 thousand contracts. Open interest in MICEX Index futures increased 9.77%.

The trading volume in options on RTS Index futures totaled RUB 242.89 bln, or 2.69 mln contracts. Open interest was RUB 104.82 bln, or 1.15 mln contracts. Puts made up 66.28% of the total open interest. The 140,000 strike calls and 115,000 strike puts had the highest open interest.

The open interest in options on RTS index futures fell 21.46%.