of Moscow Exchange Group Monthly Market Report September 2013

Transcription

1 Trading Volume Moscow Exchange Group Monthly Market Report September 213 Trading Volume of Moscow Exchange Group monthly Trading Volume by markets RUB trillion 2.1% 2.7% % 9.7% % Securities Market Bond Market Derivatives Market FX Market Money Market The total monthly trading volume on Moscow Exchange s markets in September was RUB4.9 tn. The average daily trading volume was RUB1.95 tn, up 1% from the previous month. Trading in securities, RDRs, and mutual fund units constituted 2.1% (RUB.85 tn) of the total trading volume, while the bond market s share was 2.7% (RUB1 tn), the derivatives market made up 9.7% (RUB3.96 tn), and the FX and money market accounted for 85.6% (RUB35 tn). Securities market (stocks, RDRs, and INVESTMENT fund units) Value Traded in Stocks, RDRs and Inv. Funds units Trading Volume Breakdown by Market Sectors 1,9 1,7 1,5 1,3 1, USD billion % 2.7%.9%.2% Secondary market value Capitalization (right axis) Main Market Standard Classica T+2 The stock-trading volume totaled RUB.85 tn in September. The average daily trading volume was RUB4.6 bn, up 5% from the previous month. The T+2 sector made up 96.2% of the total secondary market trading volume, the Standard sector accounted for 1%, the Classica sector constituted.2%, and the T sector came in at 2.7%. The primary market s value was RUB9.6 bn. OTC trading came to RUB.24 tn, or 22% of the combined value of secondary market and OTC trades.

2 Moscow Exchange Group Monthly Market Report September 213 MICEX Index, RTS Index points The MICEX Index gained 6.33% over the month to 1, (from 1, at the end of August). The dollar-denominated RTS Index was up 8.31% to 1, (1,29.96 at the end of August). The cash equity market s capitalization appreciated 9% in September to USD78.11 bn on the last day of the month (from USD bn at the end of August) MICEX Index RTS Index Monthly Changes in Blue Chips Closing Prices VTBR PLZL RTKM LKOH ROSN GMKN SNGS GAZP SBER % The following blue-chip shares were up: Rostelecom ords by.8% (RUB11.61 per share), Sberbank ords by 11% (RUB97.86 per share), Gazprom ords by 9.4% (RUB per share), Rosneft ords by 7.1% (RUB per share), Norilsk Nickel ords by 7.2% (RUB4,688 per share), LUKOIL ords by 6.8% (RUB2,54.9 per share), and Surgutneftegas ords by 9% (RUB per share). The following blue-ship shares were down: Federal Grid Company ords by 6.3% (RUB.9883 per share), VTB Bank ords by 4.2% (RUB.4267 per share), and Polyus Gold ords by 1.3% (RUB893 per share). monthly Best Sellers on the Securities Market GAZP 22% LKOH 7% ROSN 6% VTBR 5% Other 35% MGNT 2% SNGS 2% SBERP 2% Other securities 21% September s top sellers were Sberbank ords (SBER) with a turnover of RUB bn (25%), followed by GAZPROM (GAZP) with a turnover of RUB bn (22%), LUKOIL (LKOH) with RUB55.66 (7%), Rosneft (ROSN) with RUB51.19 bn (6%), and VTB Bank (VTBК) with RUB43.19 bn (5%). Trading in other securities came to RUB177.9 bn (35% of the total trading volume). SBER 25% URKA 4% GMKN 4% 2

3 Moscow Exchange Group Monthly Market Report September 213 Market for corporate,regional, and government bonds, and eurobonds Total value traded on the primary and secondary bond markets Trading Volume 2, 1,738 1,8 1,6 1,4 1,2 1, ,17 1,546 1,169 1,461 1,295 1, ,539 1,241 1,831,94.1% 37.1% 16.2% 3.8% 42.9% New issues Corporate bonds Regional bonds Government bonds Eurobonds The secondary bond market s trading volume totaled RUB1.94 tn in September. The average daily trading volume was RUB52.1 bn, up 6% from the previous month. Secondary-market turnover in corporate bonds was RUB469 bn (42.9% of the total trading volume), while regional bonds accounted for RUB41.3 bn (3.8%), government bonds came in at RUB45.4 bn (37.1%), and eurobonds made up RUB1 bn (.1%). The volume of new issues placed totaled RUB177.5 (16.2%). Monthly Changes in Bond Indices MBI CP RGBI The Russian Government Bond Index (RGBI) was up 1.4% in September to (from 133. at the end of August). The MICEX Municipal Bond Index (MICEX MBI CP) was up.29% to (from at the end of August). The MICEX Corporate Bond Index was up.11% to (from at the end of August). CBI CP %

4 Moscow Exchange Group Monthly Market Report September 213 Derivatives market Derivatives Market Trading Volume ,491 4,774 4,75 3,279 2,828 4,59 4,131 5,355 4,324 5,124 3,941 3,539 3,963 millions of contracts Derivatives market open interest millions of contracts Trading Volumes by Underlying Asset 7.7% 56.8% 31.1% 4.4%.4% 4.% The total value traded on Moscow Exchange s Derivatives market in September was RUB3.96 tn, or 92 mn contracts. The average daily value traded was RUB188.7 bn, up 17% from the previous month. The total open interest at the end of the month was RUB447 bn, or 1 mn contracts. Index derivatives made up 56.8% of the total trading volume (RUB2.3 tn), securities derivatives came in at 7.7% (RUB.3 tn), FX derivatives at 31.1% (RUB1.2 tn), interest derivatives at.4% (RUB16 bn), and commodity derivatives totaled 4% (RUB157.7 bn). Index derivatives Equity derivatives FX derivatives Interest derivatives Commodity derivatives 4

5 Moscow Exchange Group Monthly Market Report September 213 Derivatives Market Monthly Best Sellers 2.6% 3.2% 4.6% 24.7% 9.% 56.% RTS Si- ED- SBR GAZ другие The derivatives market s best sellers in September were the RTS Index futures contract (RTS) with a trading volume of RUB2.2 tn (56%), the USD/RUB FX futures contract (Si) with RUB.98 tn (24.7%), the EUR/USD FX futures contract (ED) with RUB.18 tn (4.6%), futures on Sberbank ords (SBR) with RUB.13 tn (3.2%), and futures on Gazprom ords (GAZ) with RUB12.8 bn (2.6%) of the trading volume. Other derivatives saw trading totaling RUB.35 tn (9%). FX and Money Market Exchange Rates RUB/USD RUB/EUR The USD and EUR depreciated against the ruble in September. The USD with tomorrow settlement lost RUB.8 (2.4%) to RUB/USD. The EUR with tomorrow settlement weakened RUB.17 (.4%) to RUB/EUR at the end of September. 28 USD/RUB_TOM EUR/RUB_TOM (right axis) 37 FX Market Trading Volume Swap value traded 5,712 5,4735,474 5,946 4,842 4,8624,681 4,698 Spot value traded 5,758 5,238 4,671 4,37 3,737 3,837 9,27 6,174 1,265 9,415 9,328 8,274 7,97 5,633 5,32 4,62 5,273 4,

6 Moscow Exchange Group Monthly Market Report September 213 Trading Volume 83.7% 14.8% 1.5%.1% The FX market s trading volume totaled RUB14.6 tn in September. The average daily trading volume was RUB695 bn, up 3% from the previous month. Spot trading reached RUB5.3 tn, or 36% of the total trading volume. Swap operations constituted 64% of the total trading volume (RUB9.3 tn). USD/RUB transactions made up 83.7% of the market s total trading volume, totaling RUB12.2 tn, while EUR/RUB transactions came to RUB2.2 tn (14.8%), EUR/USD transactions to RUB.21 bn (1.5%), CNY/RUB transactions to RUB2.9 bn (.1%), and the dual currency basket to RUB5.1 bn (.1%). USD/RUB FX market EUR/RUB FX market EUR/USD FX market Other Money Market Trading Volume JULY Trading Volume Breakdown RUB trillion Inter-dealer repo Direct repo with the Bank of Russia Credit market.% 1.3% 3.1%.7% 3.4% 1 OTC repo 5 Deposit operations of Fed Treasury 64.5% Deposit operation of the Pension Fund The Money Market s trading volume came to RUB2.4 tn in September. The average daily trading volume was RUB.97 tn, up 13% from the previous month. The volume of inter-dealer repo transactions was RUB6.2 tn (3.4% of the total trading volume), while the volume of direct repo with the Bank of Russia came to RUB13.2 tn (64.5%). Credit market volumes accounted for RUB.64 tn (3.1%) (including the Bank of Russia s deposit operations at RUB64 bn and its lombard auctions at RUB1 bn). The Pension Fund and Federal Treasury s deposit operaions totaled RUB135 bn (.7%) and RUB267 bn (1.3%), respectively Commodities market Commodities market trading volume The Commodities market spot trading volume was RUB.1 bn ep-12 ov-12 ec-12 an-13 eb-13 ay-13 un-13 ug-13 ep-13 6

7 Moscow Exchange Group Monthly Market Report September 213 Moscow Exchange Group Monthly Market Report: September 213 Appendix 1 Market Trading volume, bn RUB September Number of trades Trading volume, bn RUB August Number of trades Change in trading volume, % Secondary securities market (stocks, RDRs and fund units) Main Market , Standard Classica T , ,19.7 Primary market Total , , Bond market Corporate bonds Regional bonds Government bonds Government bonds T Eurobonds Bond placements Total 1, , Derivatives market Index derivatives 2, ,915. 2,5. 5, Cash Equity derivatives , , FX derivatives 1, , ,118. 1, Interest rate derivatives Commodity derivatives Total 3, , , , FX market USD/RUB (spot) 4, , EUR/RUB (spot) EUR/USD (spot) CNY/RUB (spot) Dual currency basket (spot) USD/RUB (swap) 7, , EUR/RUB (swap) 1, , EUR/USD (swap) CNY/RUB (swap) Swaps (USD/RUB, EUR/RUB, EUR/USD) 9, , Spot trades 5, , Total 14, , Money market Inter-dealer repo 6, , Direct repo with the Bank of Russia 13, , Credit market OTC repo with the Bank of Russia deposits operations of the Federal Treasury deposit operation of the Pension Fund Total 2, , Commodities market Interventions.... Spot trades.... Total value traded 4, , , , OTC trades Stocks, RDRs and fund units

8 Moscow Exchange Group Monthly Market Report September 213 Appendix 2 Moscow Exchange Group Monthly Market Report: September 213 Value in points Index Change, % YTD change, % Sept 3 August 31 Equity Indices Key Indices: MICEX Index\ 1, , RTS Index 1, , Cap Indices: MICEX Start Cap Index 3, , Sectoral: Oil & Gas (MICEX O&G) 3,48.7 3, Power (MICEX PWR) 1, , Telecommunication (MICEX TLC) 2, , Meatls & Mining (MICEX M&M) 2, , Industrials (MICEX MNF) 1, , Financials (MICEX FNL) 4, , Consumer & Retail (MICEX CGS) 5,76.1 5, Chemicals (MICEX CHM) 6, , Thematic: MICEX1 Index 3, , RTS Standard Index 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, % July 31 June 28 Exchange rates USD/RUB EUR/RUB CHY/RUB Dual currency basket