of Moscow Exchange Group Monthly Market Report February 2014

Transcription

1 Trading Volume Moscow Exchange Group Monthly Market Report February 214 Trading Volume of Moscow Exchange Group monthly Trading Volume by markets RUB tln % 37.1% 2.5% 13.5% 45.1% Equities Bonds Derivatives FX Money The total monthly trading volume on the Moscow Exchange s markets in February was RUB 39.2 tln. The average daily trading volume was RUB 1.96 tln, up 5.6% MoM. Trading in securities, RDRs, and mutual fund units made up 1.8% (RUB.7 tln) of the total trading volume, the bond market s share was 2.5% (RUB.99 tln), the derivatives market made up 13.5% (RUB 5.3 tln), and the FX and money market accounted for a combined 82.2% (RUB 32.2 tln). Securities market (stocks, RDRs, and INVESTMENT fund units) Value Traded in Stocks, RDRs and Inv. Funds units Trading Volume Breakdown by Market Sectors USD bln 1,9 9 1,7 1,5 8 1,3 1, Secondary market value (LHS) Capitalisation (RHS) 5 1.7%.7%,1% 97.6% T Standard Classica T+2 The trading volume of stocks totaled RUB.7 tln in February. The average daily trading volume was RUB 34.6 bln, down 6.4% MoM. The T+2 sector made up 97.6% of the total secondary market trading volume, the Standard sector accounted for.7%, the Classica sector made up.1%, and the T sector came in at 1.7%. No placements were run on the primary market. The OTC trading volume was RUB.7 tln, or 5.3% of the combined value of the secondary market and OTC trades.

2 Moscow Exchange Group Monthly Market Report February 214 MICEX Index, RTS Index Points 1,6 1,5 The MICEX Index was down.67% MoM to 1, at the end of February from 1,35.17 at the end of January. The dollardenominated RTS Index was down 2.59% to 1, from 1,31.2. The cash equity market s capitalisation depreciated 2.7% to USD bln from USD bln. 1,4 1,3 1,2 MICEX Index RTS Index Monthly Changes in Blue Chips Closing Prices FEES RTKM VTBR GAZP SBER LKOH ROSN SNGS PLZL GMKN % The following blue chips weredown in February: Federal Grid Company ords, by 16.3% (RUB.725 per share), Rostelecom ords, by 1.5% (RUB 99 per share), VTB Bank ords, by 7.3% (to RUB.4213 per share), Gazprom ords, by 4.1% (RUB per share), Sberbank ords, by 3.7% (to RUB per share), Lukoil ords, by 1.3% (RUB 1,963 per share), Rosneft ords, by.4% (to RUB per share). The following blue chip shares were up in February: Surgutneftegas ords, by 1.5% (to RUB per share), Polyus Gold ords, by 2.1% (RUB per share), and Norilsk Nickel ords, by 11.2% (to RUB 5,98 per share). monthly Best Sellers on the Securities Market SBER 21% LKOH 8% GAZP 24% GMKN 6% MGNT 4% Other 41% SBERP 3% MTSS 2% Other securities 21% SNGSP 3% VTBR ROSN 4% 4% This month s most traded stocks were Gazprom ords (GAZP) with a turnover of RUB bln (22% of the total), followed by Sberbank (SBER) with RUB bln (21%), Lukoil (LKOH) with RUB bln (8%), Norilsk Nickel (GMKN) with RUB bln (6%), and Magnit (MGNT) with RUB bln (4%). Other securities turnover totalled RUB bln (36% of the total trading volume). 2

3 Moscow Exchange Group Monthly Market Report February 214 Market for corporate,regional, and government bonds, and eurobonds Total value traded on the primary and secondary bond markets Trading Volume 1.2% 1,8 1,6 1,4 1,2 1, 8 1,41 1,295 1, ,539 1,241 1,83 1,94 1,476 1,8 1, % 12.% 44.4% % 2 New issues Regional ruble bonds Eurobonds Corporate ruble bonds Sovereign ruble bonds The secondary bond market s trading volume totaled RUB.99 tln in February. The average daily trading volume was RUB 49.4 bln, up 19.6% MoM. Secondary market turnover in corporate ruble bonds was RUB bln (44.4% of the total trading volume). Regional ruble bonds turnover was RUB 32.9 bln (3.3%), Sovereign ruble bonds saw RUB bln (39%), while Eurobonds had RUB 11.9 bln (1.2%). The total volume of new issues placed was to RUB bln (12%). Monthly Changes in Bond Indices RGBI MBI CP The Russian Government Bond Index (RGBI) fell.25% in February to (from at the end of January). The MICEX Municipal Bond Index (MICEX MBI CP) was down.13% to (from 96.71). The MICEX Corporate Bond Index was down.11% to (from 93.7). CBI CP %

4 Moscow Exchange Group Monthly Market Report February 214 Derivatives market Derivatives Market Trading Volume 6, 5, 4, 3, 2, 3,916 4,59 5,355 4,324 5,124 3,941 3,963 3,7543,459 4,27 3,539 3,597 5,268 Contracts, mln , 2 Derivatives market open interest Contracts, mln Trading Volumes by Underlying Asset 5.1% 44.2%.3% 1.7% 1.4% 49.% The total value traded on the Moscow Exchange s derivatives market in February was RUB 5.3 tln, or 117 mln contracts. The average daily value was RUB 263 bln, up 19.5% MoM. The total open interest at the end of the month was RUB 66 bln, or15 mln contracts. Index derivatives made up 49% of the total trading volume (RUB 2.6 tln), securities derivatives constituted 5.1% (RUB.27 tln), FX derivatives made up 44.2% (RUB 2.3 tln), interest derivatives came to.3% (RUB 16.8 bln), and commodity derivatives were 1.4% (RUB 72.2 bln). Index derivatives FX derivatives Commodity derivatives Equity derivatives Interest derivatives 4

5 Moscow Exchange Group Monthly Market Report February 214 Derivatives Market Monthly Best Sellers 2.9%2.2% 2.% 5.6% RTS Si- Eu- ED- The most traded derivatives in February were the RTS Index futures contract (RTS), with a trading volume of RUB 2.56 tln (48.6% of the total), the USD/RUB FX futures contract (Si) at RUB 2.3 tln (38.6%), the EUR/RUB FX futures contract (Es) at RUB bln (2.9%), the EUR/USD FX futures contract (ED) at RUB tln (2.2%), and futures on Gazprom ords (GAZ) at RUB 13.5 bln (2%). Other derivatives turnovers totalled RUB.3 tln (5.6%). 38.6% 48.6% GAZ Other FX and Money Market Exchange Rates RUB/USD Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 USD/RUB_TOM Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 EUR/RUB_TOM (right axis) RUB/EUR The USD and EUR appreciated against the RUB in February. The USD with next day settlement firmed RUB.93 (2.7%) to RUB The EUR with next day settlement strengthened RUB 2.1 (4.4%) to RUB at the end of February. FX Market Trading Volume RUB billion 14, 12, 1, 8, 6, 5,238 3,837 4, 2, 9,27 7,97 5,758 6,174 4,37 4,223 11,899 Swap value traded Spot value traded 11,45 1,265 9,415 9,328 9,235 8,274 7,74 7,69 5,584 6,224 5,633 5,32 5,273 4,62 4,584 4,635 4,973 5

6 Moscow Exchange Group Monthly Market Report February 214 Trading Volume 15.6%.9%.1% 83.4% The FX market s trading volume totaled RUB tln* in February. The average daily trading volume was RUB bln, up 21.4% MoM. Spot trading reached RUB 6.22 tln, or 35.2% of the total trading volume. Swap operations accounted for 64.8% of the total trading volume (RUB tln). USD/RUB transactions made up 83.4% of the total trading volume, with a total value of RUB tln; EUR/RUB came to RUB 2.76 tln (15.6%); EUR/USD totalled RUB.15 tln (.9%), CNY/RUB were RUB 18.2 bln (.9%), and the dual currency basket s transaction volume came to RUB 2.1 bln (.1%). USD/RUB FX market EUR/RUB FX market EUR/USD FX market Other Trading Volume Breakdown Money Market Trading Volume RUB trillion 3.% 3.9% 2.7%.5% % 5.9% 1 5 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Interdealer repo Credit market Direct CBR repo OTC repo The money market trading volume was RUB 14.5 tln in February. The average daily trading volume was RUB.73 tln, up 18% MoM. Interdealer repo transactions totalled RUB 7.4 tln (5.9% of the total trading volume), direct repo with the CBR came to RUB 6.1 tln (42%), credit market volumes were RUB.56 tln (3.9%) (including CBR deposit operations of RUB 46 bln, CBR lombard auctions of RUB.58 bln, and VEB auctions of RUB 1 bln), Federal Treasury and Pesion Fund deposit operations reached RUB 4 bln (2.7%) and RUB 68.2 bln (.5%) respectively. Commodities market Commodities market trading volume The commodities market trading volume was RUB.9 bln in February. 6

7 Moscow Exchange Group Monthly Market Report February 214 Moscow Exchange Group Monthly Market Report: February 214 Market Trading volume, bln RUB February Number of trades Trading volume, bln RUB January Number of trades 7 Appendix 1 Change in trading volume, % Secondary securities market (stocks, RDRs and fund units) T , , T Standard Classica Primary market.... Total , , Bond market Corporate bonds Regional bonds Government bonds Government bonds T Eurobonds Bond placements Total Derivatives market Index derivatives 2, ,412. 1,95.5 5, Cash Equity derivatives , , FX derivatives 2, ,39.3 1, , Interest rate derivatives Commodity derivatives Total 5, , ,26.7 1, FX market USD/RUB (spot) 5, , EUR/RUB (spot) EUR/USD (spot) CNY/RUB (spot) Dual currency basket (spot) USD/RUB (swap) 9, , EUR/RUB (swap) 1, , EUR/USD (swap) CNY/RUB (swap) Swaps (USD/RUB, EUR/RUB, EUR/USD) 11, , Spot trades 6, , Total 17, , Money market Inter-dealer repo 7, , Direct repo with the Bank of Russia 6, , Credit market OTC repo with the Bank of Russia.... deposits operations of the Federal Treasury deposit operations of the Pension Fund Total 14, , Commodities market Interventions Spot trades.... Precious metals market Standartized OTC derivatives market.... Total 39, , , , OTC trades Stocks, RDRs and fund units

8 Moscow Exchange Group Monthly Market Report February 214 Appendix 2 Moscow Exchange Group Monthly Market Report: February 214 Value in points Index Change, % YTD change, % February 28 January 31 Equity Indices Key Indices: MICEX Index 1, , RTS Index 1, , Cap Indices: MICEX Start Cap Index 3, , Sectoral: Oil & Gas (MICEX O&G) 3, , Power (MICEX PWR) , Telecommunication (MICEX TLC) 2, , Meatls & Mining (MICEX M&M) 2, , Industrials (MICEX MNF) 1,672. 1, Financials (MICEX FNL) 4, , Consumer & Retail (MICEX CGS) 5, , Chemicals (MICEX CHM) 6, , Thematic: MICEX1 Index 3, , RTS Standard Index 9,741. 9, RTS-2 Index 1, , MICEX Innovation Index RTS Siberia Index Bond Indices Russian Government Bond Index MICEX Corporate Bond Index MICEX Municipal Bond Index Derivatives Market Indicator Russain Volatility Index (RTSVX) Value in points Change, % YTD change, % February 28 January 31 Exchange rates USD/RUB EUR/RUB CHY/RUB Dual currency basket