RUSSIAN EQUITY AND BOND INDICES (June 10-14, 2013)

Transcription

1 RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) Composite Indices Value Return over the period. % Week Month Quarter Year MICEX 1, % -7.55% -13.3% -3.45% RTS 1, % -8.41% % -.78% Blue Chip 8, % -7.89% % -4.82% Second-Tier 2, % -3.5% -16.1% -6.86% Broad-Market % -7.53% % -3.74% Sectoral Indices (in RUB) Oil & Gas 2, % -5.59% -12.1%.77% Electric Utilities 1, % % -3.65% % Consumer goods & Retail 5, % -2.96% -2.65% 29.8% Telecommunication 1, % -7.69% % -4.99% Industrials 1, % -8.95% % -11.7% Financials 4, % -.5% % -6.82% Chemicals 7, % -3.46% -9.21% 3.96% Metals & Mining 1, % % -25.9% % Thematic indices MICEX-1 2, % -6.23% % -6.3% Russian Volatility % 48.42% 61.18% % MICEX Innovation % 4.9% -8.62% -35.6% RTS Siberia % -9.78% % % Currency (CBR) USD / RUB % 3.9% 5.29% -1.18% Over the week of June 1-14, 213 the Moscow Exchange MICEX reflected the negative trend on the Russian stock market. The MICEX was down 3.3% to 1, (1,343.9 as of June 7, 213) and the dollar-denominated RTS fell by 1.56% to 1, (1, as of June 7, 213). The US dollar appreciated by.65% against the ruble last week. The stock market volatility increased last week with the Russian Volatility rising by 2.74% to 3.56 (25.31 as of June 7, 213). Last week most of the key economic sectors represented on the Russian stock market behaved negatively. The largest downturn was reported by the industrials and the metals and mining with the relevant sector indices falling by 3.64%. A significant decrease was also shown by the financials with the relevant sector index being down 3.46%. The MICEX Innovation gained.14% to ( as of June 7, 213). The Blue-Chip decreased by 3.63% to 8, (9,118.2 as of June 7, 213). The Second-Tier depreciated by 1.35% to 2, (2, as of May 31, 213). The Broad Market lost 3.31% to 92.9 ( as of June 7, 213). 12% Key Sectors 11% Composite Indices 1% 1% 99% 98% 98% 96% 97% 96% 94% 95% 92% MICEX RTS Oil & Gas Consumer & Retail Metals & Mining Industrials Chemicals Electric Utilities Financials Telecommunication MICEX Innovation 94% 93% RTS MICEX Blue-chip Second-Tier Broad Market 1

2 Electric Utilities C onsumer goods & retail Transportatation Telecommunication C hemicals Metals & Mining F inance O il & Gas RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) MICEX & RTS Indices, the main indices of the Moscow Exchange MICEX RTS Over the week of June 1-14, 213 the Moscow Exchange MICEX reflected the negative trend on the Russian stock market. The MICEX was down 3.3% to 1, (1,343.9 as of June 7, 213) and the dollar-denominated RTS fell by 1.56% to 1, (1, as of June 7, 213). 34 RTSVX USD/RUB 32,42 32,37 32,32 32,27 32,22 Trading volume*, bln. RUB ,8 33,8 34,5 28, Stocks prices impact on indices, % At the end of the week the MICEX was 7.55% lower than a month ago (1,45.76 as of May 14, 213) and 3.45% lower than a year ago (1,346.4 as of June 14, 212). The RTS was 8.41% lower than a month ago (1, as of May 14, 213) and.78% lower than a year ago (1,34.7 as of June 14, 212). Last week s decrease of the RTS was accompanied by the increase of volatility levels, when the Russian Volatility RTSVX was up 2.74%. The most negative impact on the MICEX was mainly due to the falling prices for ordinary shares of JSC «GAZPROM» (-.9%), Sberbank (-.82%) and OAO «LUKOIL» (-.48%). Trading volume of securities included into the Moscow Exchange Indices list of constituents amounted to RUB billion, and the market capitalization of the Indices constituents amounted to RUB 17,76.22 billion. At the end of the week, 42 constituents of the MICEX list were pushing the down (-3.48%), while 8 securities behaved positively (+.18%). On the sector level, the major negative impact was made by the oil & gas (-1.74%) and the financials (-.91%). The oil & gas sector accounted for 51.16% of the MICEX total capitalization. The other large-weight sectors were the finance (19.82%) and the metals & mining (8.25%). MGNT NVTK NLMK CHMF ROSN TATN RTS MICEX Impact,%,5%,% -,5%,81% 3,92% MICEX : Sector impact and weight 4,83% 4,6% 5,75% 8,25% Weight 19,82% URKA RTKM LKOH SBER -1,% -1,5% -2,% 51,16% GAZP -2,5% -1,% -,8% -,6% -,4% -,2%,%,2% Weekly impact on indices Up Down Total influence. % MICEX +.18% -3.48% -3.3% RTS +.47% -2.3% -1.56% 2

3 Electric Utilities Telecommunication C hemicals Metals & Mining Finance O il & Gas Blue-Chip RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) Blue Сhip Trading volume*, bln. RUB ,4 29,5 3,8 25, Stocks prices impact on Blue Chip, % NVTK VTBR HYDR FEES SBERP SNGS TRNFP CHMF ROSN URKA RTKM LKOH SBER GAZP Weekly price change -1,2% -,9% -,6% -,3%,%,3% Number of constituents Up Down Unchanged Total influence, % Influence, % +,11% -3,74% % -3,63% Impact,%,5%,% -,5% -1,% -1,5% -2,% -2,5% 2,39% Blue Сhip : Sector impact and weight 3,51% 6,7% 6,98% 23,61% Weight 56,81% For the week of June 1-14, 213 the Blue Chip showed a negative trend. The Blue Chip was down 3.63% to 8, (9,118.2 as of June 7, 213). At the end of the week the Blue Chip was 7.89% lower than a month ago (9,54.29 as of May 14, 213) and 4.82% lower than a year ago (9, as of June 14, 212). At the end of the week, 12 out of 15 securities included into the were pushing the Blue Chip down (-3.74%), while three shares behaved positively (+.11%). The most negative impact on the Blue Chip was mainly due to the falling prices for ordinary shares of JSC «GAZPROM» (-1.15%) and Sberbank (-1.5%). The most positive impact was due to the rising prices for ordinary shares of JSC «NOVATEK» (+.1%) and JSC VTB Bank (+.1%). The oil & gas sector accounted for 56.81% of the Blue Chip total capitalization. The other large-weight sectors were the finance (23.61%) and the metals & mining (6.98%). Code Security name Weight in Blue Chip Weight in MICEX CHMF Severstal, Ordinary 1.17%.91% FEES "FGC UES", JSC, Ordinary.82%.64% GAZP GAZPROM, Ordinary 17.59% 13.73% "OJSC "MMC "NORILSK NICKEL", Ordinary 5.82% 4.54% HYDR JSC "RusHydro", Ordinary 1.57% 1.23% LKOH ОАО "LUKOIL", Ordinary 19.94% 15.57% NVTK JSC "NOVATEK", Ordinary 5.16% 4.3% ROSN Rosneft, Ordinary 5.93% 4.63% RTKM Rostelecom, Ordinary 3.51% 2.74% SBER Sberbank, Ordinary 18.51% 14.46% SBERP Sberbank, Pref 1.34% 1.5% SNGS Surgutneftegas, Ordinary 4.78% 1.89% TRNFP Transneft, Pref 3.41% 2.66% URKA Uralkali, Ordinary 6.7% 5.23% VTBR JSC VTB Bank, Ordinary 3.76% 2.93% Total 1.% 76.25% 3

4 Oil & Gas Building Transportation Finance Metals & Mining Industrials Chemicals Cosumer goods & retail Electric Utilities Second-Tier Trading volume*, bln. RUB. VTGK TGKA BSPB MRKP MRKC 25,8 RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) Broad Market and Second-Tier Indices 33,9 34,6 Broad Market , Stocks prices impact on Second-Tier, % For the week of June 1-14, 213 the Second-Tier depreciated by 1.35% to 2, (2, as of May 31, 213). The Broad Market lost 3.31% to 92.9 ( as of June 7, 213). At the end of the week the Second-Tier was 3.5% lower than a month ago (3,61.14 as of May 14, 213) and 6.86% lower than a year ago (3, as of June 14, 212). The Broad Market was 7.53% lower than a month ago ( as May 14, 212) and 3.74% lower than a year ago ( as of June 14, 212). At the end of the week, 28 securities included into the Second-Tier constituent list were pushing the down (-2.75%), while 18 securities behaved positively (+1.4%). The price of three constituent stocks remained unchanged. The most negative impact on the Second-Tier was due to the falling prices of JSC Irkutskenergo (-.37%) and V.Bank (-.35%). The most negative impact on the Broad Market was mainly due to the falling prices for ordinary shares of JSC «GAZPROM» (-.9%) and Sberbank (-.82%). The most negative impact on the Second-Tier was mainly due to the falling prices for securities of the finance (-.57%) and the electric utilities (-.28%). The sector accounted for 39.5% of the Second-Tier total capitalization. The other large-weight sectors were the consumer goods & retail (12.58%) and the chemicals (12.11%). VZRZ IRGZ -,4% -,3% -,2% -,1%,%,1%,2%,3% Stocks prices impact on Broad-Market, % MGNT NVTK RTKM URKA LKOH SBER GAZP Impact, %,4%,2%,% -,2% -,4% -,6% -,8% 1,3% 3,15% Second-Tier : Sector impact and weight 5,81% 7,68% 6,5% 11,5% 12,11% 12,58% Weight 39,5% -,9% -,6% -,3%,%,3% Weekly impact on indices Up Down Total influence. % Second-Tier +1.4% -2.75% -1.35% Broad Market +.19% -3.5% -3.31% 4

5 MICEX-1 Trading volume*, bln. RUB , RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) 26,9 28,2 MICEX-1 22, MICEX Innovation Trading volume*, mln. RUB 3,3 5,5 6,6 5, Stock prices change in MICEX-1, % VTBR FEES SNGS ROSN URKA LKOH SBERP SBER GAZP MICEX Innovation ODVA ARMD RNAV DIOD DZRD NSVZ PLSM ISKJ SEMZ UTII RTS Siberia -7% -6% -5% -4% -3% -2% -1% % 1% Stocks prices impact on MICEX Innovation, % LIFE -1,5% -1,% -,5%,%,5% 1,% 1,5% 2,% RTS Siberia Stocks prices impact on RTS Sideria, % BLNG HYDR TGKN Trading volume*, bln. RUB 1,4 2,6 2, 2, RASP IRGZ -1,5% -1,% -,5%,%,5% 5

6 RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) Debt Market Value Return over the period Week Month Quarter Year Russian Government Bond Indices RGBI % -3.47% -1.48% 5.56% RGBI-tr % -2.8%.36% 13.29% Yield to maturity 7.8 % -11 b.p. 59 b.p. 43 b.p. -17 b.p. Corporate Bond Indices MICEXCBICP % -.65% -.36% 1.72% MICEXCBITR %.6% 1.68% 1.17% Yield to maturity 8.13% 15 b.p. 29 b.p. 7 b.p b.p. Municipal Bond Indices MICEXMBICP % -.9% -.1% 1.71% MICEXMBITR %.41% 1.84% 9.71% Yield to maturity 7.7% 4 b.p. b.p. -1 b.p. -72 b.p. Pension Indices Conservative 1, %.3% 1.87% 8.17% Moderate 1, % -1.19% -.88% 5.13% Aggressive 1, % -3.11% -4.25% 2.12% Equity Repo Rate indicators Overnight 6.1% -2 b.p. -15 b.p. 23 b.p. 2 b.p. 1 week 7.61% 21 b.p. 28 b.p. 216 b.p. 152 b.p. 2 weeks 7.92% 33 b.p. 17 b.p. 132 b.p. 82 b.p. Bonds Repo Rate indicators Overnight 6.3% -2 b.p. -23 b.p. 1 b.p. -26 b.p. 1 week 7.89% 175 b.p. 165 b.p. 189 b.p. 164 b.p. 2 weeks 6.41% -39 b.p. -49 b.p. 7 b.p. 79 b.p. The Russian Government Bond (RGBI, total return) was up.7% to last week ( points as of June 7, 213). The yield to maturity of the securities being the part of the calculation formula was down 11 basis point to 7.19%. The Municipal Bond (MICEX MBI TR, total return) showed the negative trend and reached basis points ( as of June 7, 213). The total return value of the MICEX Corporate Bond (MICEX CBI TR) was down.16% to points. The conservative investment strategy tracking the last week s pension index could have resulted in a loss of.9% per week. The aggressive investment strategy based on the pension index could have brought a loss of.7% per week. The bond overnight repo rate was down 2 basis points (from 6.5% to 6.3%). The equity overnight repo rate was down 2 basis points and equaled 6.1%. 6

7 RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) Derivatives For the week of June 1-14, 213 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB billion or 8.69 million contracts. Last week s trading volume for the most liquid contract on FORTS, futures contract on the RTS, amounted to RUB billion or 7.51 million contracts. The RTS futures contract traded in backwardation last week. By the end of the week the RTS lost 1.56%, while the June and the September futures contracts down.8% and 1.65% respectively , RTS Futures Volume, bln. RUB Open interest, bln. RUB MICEX Futures ,8 The total investor s open interest measured in RTS futures increased by 4.55%. During the week the trading volume in futures contract on the MICEX was RUB 4.58 billion or thousand contracts. Open interest in the MICEX futures decreased by 27.54%. Trading volume in options on RTS futures totaled RUB billion or 1.14 million contracts last week. Open interest of RUB billion or 1.98 million contracts was fixed. Put options made up 37.31% of the total open interest for these contracts. The 145. strike calls and 135. strike puts had the highest open interest. 1,5 1,,5 2,1 1,4,7 The total investors open interest measured in options on the RTS index futures increased by 11.63%.,, Volume, bln. RUB Open interest, bln. RUB Volume, bln. OI, bln. RUB Options on RTSI futures contract RUB Call option volume Put option volume Call option OI Put option OI Open interest in quarterly options call put

8 RUSSIAN EQUITY AND BOND INDICES (June 1-14, 213) The Moscow Exchange Indices are key indicators of the Russian organized market of securities and derivatives. The Indices refer to the type of the capitalization-weighted equity indices. The Indices calculation formula is based on the ratio of the total market capitalization of stocks included into the to the same indicator as of the inception date. The MICEX and the RTS Indices are Russian stock market composite indices that include 5 most liquid stocks of the largest and most dynamically performing 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 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 utilities 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 manufacturing industry. MICEX FNL (RTSfn) comprises stocks of banks and financial companies. MICEX CGS (RTScr) comprises stocks of companies of consumer & retail sector. MICEX CHM (RTSch) comprises stocks of companies of chemical 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. The Blue Chip is an indicator that tracks performance of the blue chips. It is calculated from ruble-denominated prices and bids for 15 top liquid stocks of the Russian equity market. The MICEX1 is a price equal-weighted index calculated as the average of price fluctuations of 1 most liquid stocks admitted to trading on the Exchange. The tracks the increase in the value of portfolio comprising 1 stocks with the same initial weights. The Second-Tier is an indicator that tracks the performance of stocks issued by small cap and mid cap companies. The constituent list includes 5 securities ranked below the stocks with the largest capitalization (taking into account free-float) included into the MICEX and the RTS unified list of constituents. The is calculated based on the dollar-denominated and rubledenominated stock prices. The Broad Market includes the top 1 shares selected by the criteria of liquidity, capitalization and shares that are in freefloat. The s list of securities is used as the basis for the constituent list of other indices of the Moscow Stock Exchange, e.g. where TOP-5 stock of the Broad Market list is an underlying for MICEX as well as for RTS and BOTTOM-5 of the Broad Market list is an underlying for the Second-Tier. Whole sectoral indices baskets compose the list of the Broad Market. The MICEX Innovation is a capitalization-weighted price index comprised stocks of Russian companies traded on the Innovations and Investments Market. 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, with constituent stocks of companies from the Siberian Federal district, is available. The Russian Volatility is an aggregated indicator which reflects the average value of implied volatility of the options on RTS futures contract. To calculate values of the the Black-Scholes option pricing formula is applied. The Bond Indices are the family of MICEX Bond Indices consists 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: "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 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. Moscow Exchange Indices and Market Data Department Bolshoy Kislovskiy per., , Moscow, Russia Phones: +7(495) (ext. 243) Faxes: +7(495) (ext ) indices@micex.com 8