RUSSIAN EQUITY AND BOND INDICES (7-11 October 2013)

Transcription

1 (7-11 October 213) Composite Indices Value Return over the period, % Week Month Quarter Year MICEX 1 513,3 2.63% 4.5% 1.59% 3.41% RTS 1 477, 2.35% 5.95% 11.66% -.9% Blue Chip 1 3,4 3.8% 4.52% 11.25% 2.85% Second-Tier 2 994,55 -.7% -2.95% -.66% % Broad-Market 1 69,51 2.6% 3.95% 1.47% 2.79% Sectoral Indices (in RUB) Oil & Gas 3 592, % 4.3% 13.99% 13.37% Electric Utilities 1 78,29.89% -7.9% -9.2% % Consumer goods & Retail 5 97,8.98% 3.96% 5.27% 24.12% Telecommunication 2 434, % 7.7% 17.38% 15.2% Industrials 1 863, % -3.5% 2.83% -6.73% Financials 4 91, % 5.39% 11.15% 1.58% Chemicals 6 248,67 1.4% -2.12% % % Metals & Mining 2 15,89-1.1% -2.49% 4.41% -25.3% Thematic indices MICEX ,26 2.2% 1.77% 4.41% -4.32% Russian Volatility 23,9 -.67% 5.61% -8.6% % MICEX Innovation 394, % -1.67% -9.61% % RTS Siberia 472,65.12% -.14% 1.44% % Currency (CBR) USD / RUB 32,36.72% -2.13% -1.69% 3.7% Moscow Exchange s indices reflected the positive trend on the Russian stock market in the week to 11 October. The MICEX was up 2.63% to 1,513.3 (from 1, on 4 October), while the dollar-denominated RTS grew 2.35% to 1,477. (from 1,443.15). The dollar appreciated.72% against the rouble. Volatility decreased, with the Russian Volatility falling.67% to 23.9 (from 24.6). Most key sectors made gains. The largest upturn was in Oil and Gas, the sector index of which rose 3.58%. Financials and Telecoms and climbed a respective 1.84% and 1.15%. The least loss in Metals and Mining is 1.1%. The MICEX Innovation fell.67% to (from ). The Blue Chip increased 3.8% to 1,3.4 (from 9,992.71). The Second Tier depreciated.7% to 2, (from 2,996.54). The Broad Market gained 2.6% to 1,69.51 (from 1,42.45). Key Sectors 15% 14% 13% 12% 11% 1% 99% 98% 97% 96% 95% 94% MICEX RTS Oil & Gas Consumer & Retail Metals & Mining Industrials Chemicals Electric Utilities Financials Telecommunication MICEX Innovation Composite Indices 14,% 13,5% 13,% 12,5% 12,% 11,5% 11,% 1,5% 1,% 99,5% 99,% 98,5% RTS MICEX Blue-chip Second-Tier Broad Market 1

2 Electric Utilities C hemicals С onsumer goods & retail Metals & Mining Transportatation Telecommunication F inance O il & Gas RUSSIAN EQUITY AND BOND INDICES (7-11 October 213) MICEX & RTS Indices: Moscow Exchange s main indices ,3 RTSVX 26,8 26,3 25,8 25,3 24,8 24,3 23,8 23,3 32,3 32,2 32,1 MICEX RTS USD/RUB 32,4 Trading volume*, bln. RUB 5 26,8 43,5 36,2 39, 31, GAZP LKOH SBER NVTK MTSS SNGS Stock price influences onindices Moscow Exchange s indices reflected the positive trend on the Russian stock market in the week to 11 October. The MICEX was up 2.63% to 1,513.3 (from 1, on 4 October), while the dollardenominated RTS grew 2.35% to 1,477. (from 1,443.15). The MICEX on 11 October was up 4.5% MoM (from 1,454.12) and up 3.41% YoY (from 1,463.12). The RTS was up 5.95% MoM (from 1,394.3) and down.9% YoY (from 1,49.41). The RTS s increase last week was accompanied a decrease in volatility, with the Russian Volatility (RTSVX) down.67%. The MICEX s rise was due mainly to price increases in ordinary shares of GAZPROM (up.89%), LUKOIL (up.43%), and Sberbank (up.36%). The turnover of securities included in Moscow Exchange s indices was RUB bln, and their market cap totalled RUB 21, bln. Of the MICEX constituents, 35 pulled the index up (rising a total 2.85%), while 15 incurred losses (totalling.22%). On the sector level, the major positive impact was from oil and gas (rising 1.99%) and financials (up.46%). Oil & gas accounted for 5.22% of the MICEX s total capitalization. The other heavily weighted sectors were financials (at 2.92%) and telecoms (at 8.31%). Impact,% 3,% 2,5% 2,% 1,5% MICEX : Sector impact and weight Weight 5,22% MGNT 1,% 2,92% TATN ALRS POLY RTS MICEX,5%,% -,5%,51% 3,25% 6,63% 8,31% 2,33% 7,1% -,2%,%,2%,4%,6%,8% 1,% Weekly impact on indices Up Down Total influence. % MICEX +2.85% -.22% +2.63% RTS +2.6% -.25% +2.35% 2

3 Electric Utilities C hemicals Metals & mining C onsumer goods & retail Teecommmunication F inance O il & Gas Blue Chip RUSSIAN EQUITY AND BOND INDICES (7-11 October 213) Blue Сhip The Blue Chip rose in the week to 11 October. It was up 3.8% WoW to 1,3.4 (from 9,992.71), up 4.52% MoM (from 9,854.15), and up 2.85% YoY (from 1,14.97). Trading volume*, bln. RUB ,5 41,1 34, 35,8 28, Stock price influences onblue Chip GAZP LKOH SBER NVTK MTSS SNGS MGNT TATN SNGSP ROSN VTBR GMKN TRNFP SBERP HYDR RTKM URKA Weekly price change -,2%,%,2%,4%,6%,8% 1,% 1,2% Number of constituents Up Down Unchanged Total influence, % Influence, % +3.13% -.5% % +3.8% Impact,% 3,% 2,5% 2,% 1,5% 1,%,5%,% -,5%,97% 3,36% Blue Сhip : Sector impact and weight 3,73% 6,84% 7,54% 21,47% Weight 56,9% Of the 17 securities included in the list, 15 were pulling the Blue Chip up at the end of the week (rising a total 3.13%), while 2 made losses (totalling.3%). The largest positive impact on the index was from prices rising for ords of GAZPROM (up.3%) and LUKOIL (up.18%). The largest negative impact was from price losses by ords of Uralkali (down.3%) and Rostelecom (off.2%). The oil & gas sector accounted for 56.9% of the Blue Chip s total capitalization. The other large weight sectors were financials (21.47%) and telecoms (7.54%). Code Security Weight in Blue Chip Weight in MICEX GAZP Gazprom, ord 18.28% 15.85% GMKN Norilsk Nickel, ord 3.73% 3.23% HYDR Rushydro, ord.97%.84% LKOH Lukoil, ord 16.1% 13.96% MGNT Magnit, ord 6.84% 5.93% MTSS МТS, ord 5.53% 4.79% NVTK Novatek, ord 5.4% 4.69% ROSN Rosneft, ord 5.47% 4.75% RTKM Rostelecom, ord 2.1% 1.75% SBER Sberbank, ord 16.71% 14.49% SBERP Sberbank, pref 1.23% 1.7% SNGS Surgutneftegas, ord 4.6% 3.52% SNGSP Transneft, pref 2.15% 1.86% TATN Tatneft, ord 2.47% 2.14% TRNFP Transneft, pref 2.16% 1.87% URKA Uralkali, ord 3.36% 2.91% VTBR VTB, ordinary 3.53% 3.6% Total 1.% 86.7% 3

4 IT Metals & Mining Building Finance Transportation Industrials Chemicals Oil & Gas Cosumer goods & retail Electric Utilities Second-Tier Trading volume*, bln. RUB. 26,9 43,7 RUSSIAN EQUITY AND BOND INDICES (7-11 October 213) Broad Market and Second Tier Indices 36,4 39,3 Broad Market , Stock price influences on Second Tier TGKA GCHE MRKU MRKP KMAZ GAZA TRCN -,7%-,6%-,5%-,4%-,3%-,2%-,1%,%,1%,2%,3% Stock price influences on Broad Market GAZP LKOH SBER NVTK MTSS ALRS POLY -,2%,%,2%,4%,6%,8% 1,% Weekly impact on indices Up Down Total influence, % Second-Tier +1.58% -1.65% -.7% Broad Market +2.84% -.24% +2.6% The Second Tier fell.7% during the week to 2, (from 2,996.54). The Broad Market rose 2.6% WoW to (from 1,42.45). The Second Tier was down 2.95% MoM (from 3,85.55) and 11.85% YoY (from 3,396.99). The Broad Market was up 3.95% MoM (from 1,28.91) and up 2.79% YoY (from 1,4.46). Of the 5 securities included in the Second Tier, 26 were pulling the index down (with losses totalling 1.65%), while 22 made gains (totalling 1.58%). Two stocks prices remained flat. The largest negative impact on the Second Tier was from losses by Transcontainer (off.61%) and GAZ (down.22%). The heaviest positive impact on the Broad Market was from ords of GAZPROM (up.89%) and LUKOIL (up.43%). The largest negative impact on the Second Tier was from transportation (dropping.59%) and industrials (down.43%). Utilities accounted for 31.26% of the Second Tier s total capitalization. The other heavily weighted sectors were consumer goods & retail (16.16%) and oil and gas (11.24%). Impact, %,6%,4%,2%,% -,2% -,4% -,6% -,8% 1,4% 2,26% Second-Tier : Weight Sector impact and weight 6,55% 16,16% 31,26% 2,75% 8,7% 9,92% 1,39% 11,24% 4

5 MICEX-1 RUSSIAN EQUITY AND BOND INDICES (7-11 October 213) Trading volume*, bln. RUB MICEX 1 23,5 38,2 31,3 32,9 27, MICEX Innovation Trading volume*, mln. RUB 13,8 9,7 GAZP HYDR SNGS LKOH SBER VTBR GMKN ROSN URKA RTKM MICEX Innovation 9,5 9,4 8, ODVA UTII NSVZ DIOD ARMD LIFE RNAV LVHK ISKJ SEMZ PLSM NAUK RTS Siberia MICEX 1 stock price changes -2% -1% % 1% 2% 3% 4% 5% 6% Stock price influences on MICEX Innovation -1,6% -1,4% -1,2% -1,% -,8% -,6% -,4% -,2%,%,2% RTS Siberia Stock price influences on RTS Siberia IRGZ HYDR GMKN LNZL BLNG RASP Trading volume*, bln. RUB 1,4 2,2 1,6 2,5 1, TGKN KOGK -1,6% -1,2% -,8% -,4%,%,4%,8% 1,2%

6 (7-11 October 213) Debt Market Value Return over the period Week Month Quarter Year Russian Government Bond Indices RGBI %.56%.12% 1.21% RGBI-tr % 1.15% 1.96% 8.72% Yield to maturity 7.14% 3 bps -9 bps -1 bps -11 bps Corporate Bond Indices MICEXCBICP %.17%.35% 1.2% MICEXCBITR 24.16%.79% 2.32% 9.61% Yield to maturity 7.67% -1 bps -12 bps -4 bps -92 bps Municipal Bond Indices MICEXMBICP %.15%.18%.83% MICEXMBITR %.73% 2.2% 8.51% Yield to maturity 7.65% -1 bps -9 bps -16 bps -56 bps Pension Indices Conservative 1, %.81% 2.21% 8.16% Moderate 1, %.96% 2.9% 4.92% Aggressive 1, % 1.16% 3.79% 1.87% Equity Repo Rate indicators Overnight 6.15% 19 bps 1 bps 15 bps 5 bps 1 week 6.62% -6 bps 13 bps -11 bps 84 bps 2 weeks 6.71% bps -9 bps -9 bps -52 bps Bonds Repo Rate indicators Overnight 6.14% 25 bps bps 6 bps -16 bps 1 week 6.5% -48 bps 47 bps 12 bps 98 bps 2 weeks 9.5% 316 bps 28 bps 319 bps 358 bps The Russian Government Bond RGBITR (total return) was down.12% to last week (from points on 4 October). The YTM of securities included in the calculation formula was up 3 bps to 7.14%. The Municipal Bond (MICEXMBITR, total return) was up.27 bps WoW to points (from ). The MICEX Corporate Bond s MICEXCBITR total return value was up.16% to 24. points. A conservative investment strategy tracking last week s pension index could have resulted in a.17% WoW gain. An aggressive strategy based on the pension index could have incurred a 1.3% WoW gain. The bond overnight repo rate was up 25 bps (from 5.89% to 6.14%). The equity overnight repo rate was 6.15%. 6

7 (7-11 October 213) Derivatives The total trading volume in index futures and options on Moscow Exchange s Derivatives Market in the week to 11 October was RUB bln, or 5.83 mln contracts. Last week s trading volume in RTS futures, which is the most liquid contract on FORTS, was RUB bln, or 4.87 mln contracts ,2,9,6,3, RTS Futures 23-Sep 24-Sep 25-Sep 26-Sep 27-Sep 3-Sep 1-Oct 2-Oct 3-Oct 4-Oct 7-Oct 8-Oct 9-Oct 1-Oct 11-Oct Volume, bln. RUB Open interest, bln. RUB MICEX Futures ,2 2,4 1,6,8, The RTS futures contract traded in backwardation last week. The RTS gained 2.35% WoW, while the December and March futures were up a respective 2.41% and 2.48%. Open interest in RTS futures increased 2.44%. Turnover in MICEX futures was RUB 3.69 bln, or 24,366 contracts. Open interest in MICEX futures increased 9.91%. The trading volume in options on RTS futures totalled RUB bln, or 938,62 contracts. Open interest was RUB bln, or 2.41 bln contracts. Puts made up 71.86% of the total open interest. The 155, strike calls and 135, strike puts had the highest open interest. The open interest in options on RTS index futures rose 2.8%. 23-Sep 24-Sep 25-Sep 26-Sep 27-Sep 3-Sep 1-Oct 2-Oct 3-Oct 4-Oct 7-Oct 8-Oct 9-Oct 1-Oct 11-Oct Volume, bln. RUB Open interest, bln. RUB Volume, bln. RUB Sep 24-Sep 25-Sep Options on RTSI futures contract 26-Sep 27-Sep 3-Sep 1-Oct Call option volume Call option OI 2-Oct 3-Oct 4-Oct 7-Oct 8-Oct 9-Oct OI, bln. RUB 1-Oct 11-Oct Put option volume Put option OI Open interest in quarterly options call put 85, 9, 95, 1, 15, 11, 115, 12, 125, 13, 135, 14, 145, 15, 155, 16, 165, 17, 175, 18, 7

8 (7-11 October 213) Moscow Exchange s indices are key indicators of the Russian organized securities and derivatives market. The indices are capitalization-weighted. The calculation formula is based on the ratio of the total market cap of stocks included in the index to the same indicator as of the index inception date. The MICEX and RTS Indices are Russian stock market composite indices that include the 5 most liquid stocks of the largest and most dynamically developing Russian issuers. The MICEX is calculated based on the stock prices denominated in RUB. The RTS is calculated based on the stock prices denominated in USD. Sectoral indices reflect the movements of prices in a given sector of the economy represented on the Russian stock market. They usually include 1-2 liquid stocks of the most highly capitalized Russian issuers belonging to the sector. MICEX O&G (RTSog) comprises stocks of oil & gas companies. MICEX PWR (RTSeu) comprises stocks of utilities companies. MICEX TLC (RTStl) comprises stocks of telecoms companies. MICEX M&M (RTSmm) comprises stocks of metals & mining companies. MICEX MNF (RTSin) comprises stocks of manufacturing companies. MICEX FNL (RTSfn) comprises stocks of banks and financial companies. MICEX CGS (RTScr) comprises stocks of consumer & retail companies. MICEX CHM (RTSch) comprises stocks of chemicals companies. Values of the sectoral indices are presented in RUB and USD. MICEX sectoral indices historical values provide historical values for rouble denominated indices, while the RTS indices historical values provide them for dollar-denominated indices. The Blue Chip is an indicator that tracks blue chips performances. It is calculated from rouble denominated prices and bids for the 15 most liquid Russian stocks. The MICEX1 is an unweighted price index calculated as the average of price fluctuations of 1 most liquid stocks admitted to trading on the exchange. The index tracks the increase in the value of a portfolio comprising 1 stocks with the same initial weights. The Second-Tier is an indicator that tracks the performance of stocks issued by small and mid cap companies. The index includes 5 securities with free floats ranked by market cap behind the stocks in the MICEX and RTS s unified constituent list. The is calculated based on USD and RUB denominated stock prices. The Broad Market includes the top 1 shares by liquidity, market cap, and the proportion of shares in free float. The s list of securities is used as the basis for the constituent list of other Moscow Exchange indices. The top 5 stocks in the Broad Market list are used to calculate the MICEX and RTS, and the bottom 5 to calculate the Second Tier. Sectoral indices baskets comprise relevant names in the Broad Market. The MICEX Innovation is a capitalization weighted price index comprising Russian stocks traded on the Innovations and Investments Market. Regional Indices are equity indices designed to include stocks admitted to trading on Moscow Exchange, selected based on liquidity and capitalization, with issuers operating primarily in a specific region of Russia. Information on the RTS Siberia, comprising stocks of companies from the Siberian federal district, is currently available. The Russian Volatility is an aggregated indicator which reflects the average value of implied volatility of options on RTS futures. The Black Scholes model is used to calculate the index s values,. The Bond Indices are the family of MICEX Bond Indices, consisting of the Russian Government Bond (RGBI), MICEX Corporate Bond (MICEX CBI), and MICEX Municipal Bond (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: these are total return, clean price, and gross price. In addition, duration and YTM are calculated based on the index constituent lists. The repo rate indicators are calculated to evaluate Russian organized repo market conditions. They are calculated separately for the stock and bond repo markets. Trades in shares in the MICEX and in bonds included on the CBR s Lombard list are used to calculate the indicators. There are overnight, one-week, and two-week repo rate indicators. Moscow Exchange Indices and Market Data Department Bolshoy Kislovskiy per., , Moscow, Russia Phones: +7(495) (ext. 243) Faxes: +7(495) (ext ) index@moex.com 8

9 (7-11 October 213) The report has been prepared and issued by Moscow Exchange This report has been prepared and issued by MOSCOW EXCHANGE (the Company ). Unless otherwise stated, the Company is the source for all data contained in this document. Such data is provided as at the date of this document and is subject to change without notice. This document does not constitute or form part of, and should not be construed as, an offer or invitation for the sale or subscription of, or a solicitation of any offer to buy or subscribe for, any securities, nor shall it or any part of it or the fact of its distribution form the basis of, or be relied on in connection with, any offer, contract, commitment or investment decision relating thereto, nor does it constitute a recommendation regarding the securities of the Company. The information in this document has not been independently verified. No rereport or warranty, express or implied, is made as to, and no reliance should be placed on, the fairness, accuracy or completeness of the information or opinions contained herein. None of the Company, or any of its subsidiaries or affiliates or any of such person's directors, officers or employees, advisers or other representatives, accepts any liability whatsoever (whether in negligence or otherwise) arising, directly or indirectly, from the use of this document or otherwise arising in connection therewith. This report includes forward-looking statements. All statements other than statements of historical fact included in this report, including, without limitation, those regarding our financial position, business strategy, management plans and objectives for future operations are forward-looking statements. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause our actual results, performance, achievements or industry results to be materially different from those expressed or implied by these forward-looking statements. These forward-looking statements are based on numerous assumptions regarding our present and future business strategies and the environment in which we expect to operate in the future. Important factors that could cause our actual results, performance, achievements or industry results to differ materially from those in the forward-looking statements include, among other factors: Perception of market services offered by the Company and its subsidiaries Volatility (a) of the Russian economy and the securities market and (b) sectors with a high level of competition that the Company and its subsidiaries operate Changes in (a) domestic and international legislation and tax regulation and (b) state policies related to financial markets and securities markets Competition increase from new players on the Russian market The ability to keep pace with rapid changes in science and technology environment, including the ability to use advanced features that are popular with the Company's and its subsidiaries' customers The ability to maintain continuity of the process of introduction of new competitive products and services, while keeping the competitiveness The ability to attract new customers on the domestic market and in foreign jurisdictions The ability to increase the offer of products in foreign jurisdictions Forward-looking statements speak only as of the date of this report and we expressly disclaim any obligation or undertaking to release any update of, or revisions to, any forward-looking statements in this report as a result of any change in our expectations or any change in events, conditions or circumstances on which these forward-looking statements are based. 9