RUSSIAN EQUITY AND BOND INDICES (October 15-19, 2012)

Transcription

1 (October 15-19, 212) Index Composite Indices Value Return over the period, % Week Month Quarter Year MICEX Index 1, % -2.61% 1.78% 2.78% RTS Index 1, % -1.52% 5.69% 3.88% RTS Standard Index 9, % -2.77% 1.64% 3.54% Sectoral Indices (in RUB)* Oil & Gas 3, % -.7% 4.41% 15.2% Electric Utilities 1, % -5.78% -1.62% % Consumer & Retail 4, % -2.25% 3.32% 14.86% Telecommunication 2, % -2.47% 3.23% 4.32% Industrials 1, % 3.25% 4.9% 5.41% Financials 4, % -3.8% -1.95% -5.66% Chemicals 7, % -4.21% 1.81% 21.27% Metals & Mining 2, % -7.19% 1.48% -24.8% Cap Indices Large Cap 2, % -2.69% 1.6%.35% Mid Cap 2, % -4.17% 1.% 3.45% Small Cap 3, % -2.22% 2.63% -1.91% Thematic indices Russian Volatility Index % -22,58% -16,23% -52,96% RTS Siberia Index % -4,66% -6,73% -5,66% MICEX Innovation Index % -4,41% -7,57% -29,7% Currency (CBR) USD / RUB 3,72-1,43% -,52% -5,2% -,81% For the week of October 15-19, 212 the MICEX Index was up.97% to 1,46.6 (1,446.1 points as of October 12, 212). The RTS Index calculated based on prices in US dollar grew by 1.5% to 1, (1, points as of October 12, 212). The US dollar depreciated by 1.43% against the ruble. The stock market volatility decreased last week with the Russian Volatility Index falling by 13.2% to points (28.79 points as of October 12, 212). Last week most of the key economy sectors represented on the Russian stock market demonstrated a positive trend. The largest upturn was reported by the oil and gas sector with the relevant sector index growing by 1.73%. A significant increase was also shown by the telecommunications and the consumer and retail sector with the relevant sector indices up 1.63% and.69% respectively. The largest downturn was reported by the electric utilities with the sector index falling by 1.29%. The MICEX Innovation Index lost 1.21%. The largest upturn was shown by the small cap companies. The MICEX Small Cap Index gained 1.14%. The MICEX Large Cap Index was up 1.8% in contrast with the MICEX Mid Cap Index which was down.83%. 14% 13% 12% 11% 1% 99% 98% KEY SECTORS 1 4% 1 3% 1 2% 1 1% 1 % 99% CAP INDICES 97% % RTS Index Oil & Gas Metals & Mining Chemicals Financials MICEX Innovation Index MICEX Index Consumer & Retail Industrials Electric Utilities Telecommunication R T S I ndex M ICE X In dex La rg e Ca p M id Cap S m all Ca p 1

2 MICEX Index Constituents volume*, bln. RUB RUSSIAN EQUITY AND BOND INDICES (October 15-19, 212) Stocks prices impact on MICEX Index, % LKOH SBER GAZP ROSN NVTK TATN MGNT SBERP AFKS SNGS TRNFP HYDR MRKH URKA MICEX Index -,3% -,2% -,1%,%,1%,2%,3%,4% Weekly price change Up Down Unchanged Total influence, % Number of constituents Influence, % +1.44% -.47% % +.97% For the week of October 15-19, 212 the Russian stock market showed a positive trend. The MICEX Index was up.97% to 1,46.6 (1,446.1 as of October 12, 212). At the end of the week the MICEX Index was 2.61% lower than a month ago (1, points as of September 19, 212) and 2.78% higher than a year ago (1,42.5 as of October 19, 211). Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18, billion. 19 constituents of the MICEX Index list were pushing the Index upwards (plus 1.44%) and 11 constituents behaved negatively (minus.47%). On the sector level the major positive contributors were the oil & gas (plus.98%) and the financial sectors (plus.28%). The most positive impact was mainly due to the rising prices for ordinary shares of LUKOIL (plus.34%) followed by Sberbank (plus.23%) and Gazprom (plus.2%). The oil & gas sector accounted for 52.8% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.43%) and metallurgy (9.59%). MICEX Index Sector Structure 52,8% Sectoral contribution to MICEX Index dynamics, % Oi l & Gas,45% 2,58% 5,9% 5,96% 6,29% 9,59% Oil & Gas Financials Metals & Mining 16,43% Chemical Prod. Electric Utilities Telecommunication Cons. Goods & Trading Air Transportation Financi als Cons. Goods & Trading Telecommunication Electric Utilities Chemical Prod. -,3%,%,3%,6%,9% 1,2% 2

3 (October 15-19, 212) Индекс РТС RTS Index RTS Index RTS Index Constituents' volume (main market), mln. USD RTSVX 29, ,9 27,9 26,9 25,9 24,9 USD/RUB 31,1 31, 3,9 3,8 3,7 For the week of October 15 19, 212 the RTS Index rose by 1.5% to 1, (1, as of October 12, 212). At the end of the week the RTS Index was 1.52% lower than a month ago (1, as of September 19, 212) and 3.88% higher than a year ago (1, as of October 19, 211). Last week s increase of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 1.43%. The US dollar depreciated by 1.43%. 31 constituents of the RTS Index list were pulling the Index upwards (plus 1.88%), 19 constituents behaved negatively (minus.38%). On the sector level the positive impact was caused by the oil & gas (plus 1.22%) and financial (plus.41%) sectors. The positive impact was mainly related to the rising prices of ordinary shares of LOKOIL (plus.42%), Sberbank (plus.33%) and Gazprom (plus.29%). Stocks prices impact on RTS Index, % LKOH SBER GAZP ROSN TATN NVTK MGNT SNGS SBERP AFKS TRNFP Sectoral contribution to RTS Index dynamics, % Oil & Gas Financials Cons. Goods & Production Telecommunication MTSS HYDR MRKH URKA -,3% -,2% -,1%,%,1%,2%,3%,4%,5% Weekly price change Up Down Unchanged Total influence, % Number of constituents Influence, % +1.88% -.38% % +1.5% 3 Electric Utilities Chemical Prod. -,3%,%,3%,6%,9% 1,2% 1,5%

4 (October 15-19, 212) RTS Standard Index RTS Standard Index Trading volume*, bln. RUB 2,4 1,6,8, Stocks prices impact on RTS Standard Index, % LKOHS SBERS GAZPS ROSNS SBERPS FEESS SNGSS GMKNS HYDRS URKAS -,5% -,3% -,1%,1%,3%,5% * for the consistuent stocks RTS Siberia Index RTS Siberia Index IRGZ HYDR BLNG Stocks prices impact on RTS Siberia Index, % Trading volume (main market)*, mln. RUB * for the consistuent stocks KOGK KBTK RASP MICEX Innovation Indeх -,7% -,5% -,3% -,1%,1%,3% MICEX Innovation Index Trading volume*, mln. RUB LIFE PLSM RNAV ISKJ UTII NSVZ DIOD ARMD Stocks prices impact on MICEX Innovation Index, % -1,6% -1,2% -,8% -,4%,%,4%,8% * for the consistuent stocks 4

5 (October 15-19, 212) Index Value Russian Government Bond Indices Return over the period Debt Market Week Month Quarter Year RGBI % 1.61% 2.2% 4.94% RGBI-tr % 2.18% 3.85% 12.65% Yield to maturity Corporate Bond Indices MICEXCBICP %.12%.33% -.69% MICEXCBITR %.82% 2.28% 7.36% Yield to maturity Municipal Bond Indices MICEXMBICP %.48%.67%.1% MICEXMBITR % 1.8% 2.66% 7.% Yield to maturity Pension Indices Conservative 1, %.76% 1.99% 6.81% Moderate 1, %.1% 2.46% 5.61% Aggressive 1, % -.72% 2.94% 4.85% Equity Repo Rate indicators Overnight week weeks Bonds Repo Rate indicators Overnight week weeks The Russian Government Bond Index (RGBI) was up.56% to points last week ( points as of October 12, 212). RGBI total return value grew by.69% to 3.58 points. The weighted average return of the securities being the part of the calculation formula fell by 11 basis points to 7.9%. The Municipal Bond Index (MICEX MBI TR, weighted average return) showed the positive trend and reached basis points growing by.22% ( as of October 12, 212). The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up.21% to points. The conservative investment strategy tracking the last week s pension index could have resulted in a gain of.17% per week. The aggressive investment strategy based on the pension index could have brought a gain of.27% per week. The bond overnight repo rate was down 27 basis points (from 6.33% to 6.6%).The equity overnight repo rate lost 2 basis points to 5.86%. Index Derivatives 5

6 (October 15-19, 212) ,2 RTS Index Futures Volume, bln. RUB Open interest, bln. RUB MICEX Index Futures (FORTS market) 3, For the week of October 15-19, 212 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB billion representing 6.7 million contracts. Last week s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB billion representing 6.3 million contracts. The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 1.5%, while the March and December futures contracts were up 1.37% and 1.47% respectively. The total investor s open interest measured in RTS Index futures increased by 4.25%. During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.63 billion representing thousand contracts. Open interest in the contract on the MICEX Index increased by 22.79% for the week. Trading volume in options on RTS Index futures totaled RUB57.74 billion representing thousand contracts. Open interest of RUB8. billion or thousand contracts was fixed. Call options made up 5.56% of the total open interest for these contracts. The 16. strike calls and 135. strike puts had the highest open interest. The total investor s open interest measured in options on the RTS index futures increased by 32.91%.,9,6,3 2, 1,,, Volume, bln. RUB Open interest, bln. RUB Volume, bln. RUB Options on RTSI futures contract Call option volume Call option OI OI, bln. RUB Put option volume Put option OI Open interest in quarterly options call put 18 6

7 (October 15-19, 212) Moscow Exchange Indices are the leading benchmarks of the Russian organized securities and derivatives markets. The equity indices are capitalization-weighted indices. They are calculated based on the total market capitalization of constituent stocks divided by the total market capitalization of these stocks at the initial date. MICEX Index is a composite index of the 3 most liquid stocks of the largest and dynamically developing Russian companies from the major sectors of the Russian economy. The Index is calculated using ruble-denominated prices for the constituent stocks. RTS Index is a broad-based index calculated on the basis of prices of 5 liquid shares of the most highly capitalized Russian companies. This allows it to reflect precisely the entire Russian cash equity market. The Index is computed from the US dollar-denominated prices. Cap Indices are market-capitalization weighted indices comprised of the most liquid stocks of Russian issuers: MICEX LC (MICEX Large Cap Index) contains the top companies as measured by market capitalization. MICEX MC (MICEX Mid Cap Index) contains companies with market capitalization ranked lower than for the top companies. MICEX SC (MICEX Start Cap Index) contains companies with small capitalization. Sectoral Indices reflect the movements of prices in a given sector of the economy represented in the Russian stock market. They usually include 1 to 2 liquid shares of the most highly capitalized Russian issuers belonging to this sector. MICEX O&G (RTSog) comprises stocks of oil & gas companies. MICEX PWR (RTSeu) comprises stocks of power companies. MICEX TLC (RTStl) comprises stocks of telecommunication companies. MICEX M&M (RTSmm) comprises stocks of companies of metals and mining industry. MICEX MNF (RTSin) comprises stocks of companies of mechanical engineering industry. MICEX FNL (RTSfn) comprises stocks of banks and financial companies. MICEX CGS (RTScr) comprises stocks of companies of consumer & retail sector. MICEX CHM comprises stocks of companies of chemical and petrochemical industry. Values of the sectoral indices are presented in rubles and in US dollars. Historical values of the MICEX sectoral indices are served as a history for ruble-denominated indices, whereas historical values of the RTS indices are used as a history for dollar-denominated indices. Regional Indices are equity indices designed to include stocks admitted to trading in Moscow Exchange, selected on the basis of liquidity and capitalization with issuers operating primarily in the specific federal district of the Russian Federation. At the moment, the information on the RTS Siberia Index, with constituent stocks of companies from the Siberian Federal district, is available. RTS Standard Index is an indicator that tracks performance of the so called blue chips. It is calculated from ruble-denominated prices and bids for 15 top liquid stocks of the Russian cash equity market. MICEX Innovation Index is a capital-weighted price index comprised stocks of Russian companies traded on the Innovations and Investments Market. The Russian Volatility Index is an aggregated indicator which reflects the average value of implied volatility of the options on RTS Index futures contract. To calculate values of the Index the Black-Scholes option pricing formula is applied. The Bond Indices are the family of MICEX Bond Indices consists of the Russian Government Bond Index (RGBI), MICEX Corporate Bond Index (MICEX CBI) and MICEX Municipal Bond Index (MICEX MBI). The Indices were designed to measure the performance of the various segments of the Russian bond market. The Bond Indices are calculated by three methods concurrently: "total return", "clean price" and "gross price" method. In addition, duration and yield to maturity are calculated based on the Indices constituent lists. The repo rate indicators are calculated to evaluate Russian organized repo market condition. The Indicators are computed separately for the stock repo market and bond repo market. Trades in shares included in the MICEX Index constituent list and trades in bonds included in the Bank of Russia s Lombard list are used to calculate the Indicators. There are overnight, one-week and two-week repo rate indicators that are determined based on settlement periods of relevant repo transactions. OJSC «Moscow Exchange MICEX-RTS» Indices and Market Data Department Bolshoy Kislovskiy per., , Moscow, Russia Phones: +7(495) (ext. 243) Faxes: +7(495) (ext ) indices@micex.com 7