RUSSIAN EQUITY INDICES (April, 2012)

Transcription

1 (April, 212) Index Composite Indices Last Value Return over the period, % Month Quarter Year MICEX Index 1 473,5-2,89% -2,68% -15,41% 1 593,97-2,67% 1,6% -21,36% RTS Standard Index 1 86,75-2,66% -2,66% -15,19% Sectoral Indices (in RUB)* 3 128,97-3,16% -1,84% -3,83% Electric Utilities 2 66,66-1,98% -8,65% -27,37% Consumer & Retail 4 928,31,79% 12,4% -9,39% Telecommunication 2 173,57-4,75% -,73% -13,68% Industrials 2 156,37 1,89% 11,62% -15,14% Financials 5 18,4-5,3% -6,16% -19,76% Chemicals 7 53,68 4,45% 4,21% 13,8% Metals & Mining 3 139,7-3,41% -12,75% -42,18% Cap Indices Large Cap 2 355,18-2,41% -3,1% -16,9% Mid Cap 2 52,64-5,8% -1,45% -18,78% Small Cap 3 714,15-4,54% -,1% -26,79% Thematic indices Russian Volatility Index 29,7-1,8% -1,61% 19,79% RTS Siberia Index 742,4-3,8% 1,37% -22,74% MICEX Innovation Index 744,93 1,65% -2,31% -3,12% Currency (CBR) USD / RUB 29,42,47% -3,1% 7,% * Sector indices based on prices in US dollars are also available 19% 17% 15% 13% 11% 99% 97% 95% 93% 91% 89% 87% KEY SECTORS In April 212 the MICEX Index went down by 2.89% to points ( on March 3, 212). The RTS dollar Index went down by 2.67% to points ( on March 3, 212). For the last month, the U.S. Dollar went up by.47% against the Ruble. The Russian stock market showed minor volatility decrease: the Russian volatility index, RTSVX, went down by 1.8% to 29.7 points (32.59 points on March 3, 212). All key sectors represented on the Russian stock market showed a negative trend in the last month. The leader of falling was the Power Sector the sectoral Index went down by 1.98%. A considerable falling was also demonstrated by the Finance and Telecommunications sectors the Index of Financials lost 5.3%, and the Index of Telecommunications lost 4.75%. The MICEX Innovation Index went up by 1.65%. The stock market s falling primarily affected mid-cap companies - MICEX Mid Cap Index lost 5.8% while MICEX Small Cap Index and MICEX Large Cap Index went down by 4.54% and 2.41%, respectively. 14% 12% 1% 98% 96% 94% 92% CAP INDICES Metals & Mining Chemicals Financials MICEX Innovation Index MICEX Index Consumer & Retail Industrials Electric Utilities Telecommunication MICEX Index Large Cap Mid Cap Small Cap 1

2 (April, 212) MICEX Index Constituents volume*, bln. RUB MICEX Index * main market Stocks prices impact on MICEX Index, % LKOH SBER SNGSP MRKH SBERP GMKN TATN RTKM VTBR FEES NVTK GAZP As a result of the described dynamics, by the end of the month the MICEX Index was 15.41% lower compared to its closing level one year ago ( on April 29, 211). Trading in Index-based securities on an overall basis amounted to RUR billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR billion. At month end, 23 stocks out of MICEX Index s total 31 constituents, had a negative impact on its dynamics (-3.13%), while 8 securities moved positively (+.24%). In April, the major negative contributors in the MICEX Index falling were the securities of the Oil & Gas (-1.47%) and Power (-.56%) sectors. The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC Gazprom (-.93%), JSC Novatek (-.23%) and JSC FSK UES (-.22%). The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC LUKOIL (+.12%). 55.3% of the MICEX Index total capitalization concentrated in the Sector. The other large-weight sectors were Finance (18.3%) and Metallurgy (8.5%). -1,% -,8% -,6% -,4% -,2%,%,2% Monthly price change Up Down Unchanged Total influence, % Number of constituents Influence, % +,24% -3,13% % -2,89% MICEX Index Sector Structure 55,3% Sectoral contribution to MICEX Index dynamics, % Cons. Goods & Trading Air Transportation 18,3%,4% 1,6% 5,4% 6,% 8,5% 4,5% Financials Metals & Mining Chemical Manufacturing Electric Utilities Telecommunication Cons. Goods & Trading Air Transportation Chemical Manufacturing Telecommunication Metals & Mining Financials Electric Utilities -1,6% -1,2% -,8% -,4%,%,4% 2

3 (April, 212) Constituents' volume, mln. USD * Standard & Classica, including OTC trades Stocks prices impact on, % LKOHS USD/RUB 29,7 29,2 As a result of the described dynamics, in April 212 the was 21.36% lower compared to its closing level one year ago ( points on April 29, 211). The falling of the in the previous month was accompanied by a volatility decrease. The Russian volatility index RTSVX went down by 1.8%. In April 212, 33 stocks out of RTSI s total 5 constituents had negative impact on the index s dynamics (-3.2%), 13 securities had positive impact (+.35%) and the price of 4 stocks remained unchanged. In the previous month the major negative contributors were the securities of Sector (- 1.41%) and Finance (-.48%). The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC Gazprom (-.93%), JSC FSK UES (-.2%) and JSC Novatek (-.19%). The most positive impact on RTSI came from increasing prices of ordinary shares of JSC LUKOIL (+.13%). AKRN MAGNS HYDRS SBERS TNBP SNGSPS VTBRS MRKH GMKNS SBERPS TATNS RTKMS NVTKS FEESS GAZPS -1,2% -1,% -,8% -,6% -,4% -,2%,%,2% Monthly price change Up Down Unchanged Total influence, % Number of constituents Influence, % +,35% -3,2% % -2,67% Sectoral contribution to dynamics, % Cons. Goods & Trading Telecommunication Metals & Mining Financials Electric Utilities -2% -1% -1% % 3

4 (April, 212) RTS Standard Index Trading volume*, bln. RUB RTS Standard Index LKOHS CHMFS URKAS TRNFPS HYDRS SBERS SNGSPS VTBRS SBERPS GMKNS RTKMS FEESS GAZPS Stocks prices impact on RTS Standard Index, % * for the consistuent stocks -1,3% -1,1% -,9% -,7% -,5% -,3% -,1%,1%,3% RTS Siberia Index Trading volume*, mln. RUB 1 RTS Siberia Index 78 Stocks prices impact on RTS Siberia Index, % IRGZ UKUZ GMKNS 4 74 HYDRS SIBNS 2 BLNG RASP OGKC * for the consistuent stocks -2,% -1,5% -1,% -,5%,%,5% 1,% 1,5% MICEX Innovation Index 2 Trading volume*, mln. RUB MICEX Innovation Index 77 Stocks prices impact on MICEX Innovation Index, % ARMD UTII DZRD 1 RNAV NSVZ 5 73 ISKJ PLSM LIFE 71 ODVA DIOD * for the consistuent stocks -2,% -1,%,% 1,% 2,% 3,% 4,% 4

5 RUSSIAN EQUITY INDICES (April, 212) 24.4 Index Derivatives Basis -3, -4, -5, -6, -7, -8, RTSI Basis RIM2, points Basis RIU2, points 4.4 Volume, bln. RUB 4.4 Futures Open interest, bln. RUB MICEX Index Futures (FORTS market) In April trading in Index-based derivatives on FORTS amounted to RUR billion or million contracts. Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 9 billion or million contracts. In the last month, all the RTSI-based futures traded in backwardation. The RTSI lost 2.67%, while the June futures went down by 2.31% and the September futures went down by 1.93%. The total volume of opened positions in the RTSI-based futures went down by 5.36% against the end of the previous month. Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 1 billion, or thousand contracts. For the last month, the volume of opened positions on MICEXbased futures went down by 9.4%. Trading in RTSI-based options in the previous month amounted to RUR billion or 2.54 million contracts. The volume of opened positions as of the end of the month amounted to RUR 75.2 billion or thousand contracts, while the share of call options in the total open interest made up 61.99%. The major open interest on call options was concentrated at the strike of 17, while the maximum on put options was observed at the strike of 155. For the last month, the volume of opened positions in the RTSI-based futures went down by 4.57%. Volume, mln. RUB Open interest, mln. RUB Volume, bln. RUB Options on RTSI futures contract OI, bln. RUB Open interest in quarterly options RTS-6.12 by strike, mln. RUB call put 4.4 Call option volume Call option OI Put option volume Put option OI

6 (April, 212) RTS-MICEX 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. 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 precisely reflect the entire Russian cash equity market. The index is computed from the U.S. dollardenominated prices. Cap Indices are market-capitalization weighted indices comprising 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 the top companies. MICEX SC (MICEX Start Cap Index) contains companies with small capitalization. Sector Indices reflect the movements of prices in a given sector of the economy represented in the Russian stock market. They usually include ten 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 sector indices are presented in rubles and in U.S. dollars. Historical values of the MICEX sector 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 MICEX-RTS, 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 comprising stocks of Russian companies traded on the Innovations and Investments Market. The Russian Volatility Index is an aggregated indicator that reflects the average value of implied volatility of the options on futures contract. To calculate values of the index, the Black-Scholes option pricing formula is applied. OJSC «MICEX-RTS» Indices and Market Data Department Bolshoy Kislovskiy per., , Moscow, Russia Phones: +7(495) (extension 2631) Faxes: +7(495) (extension 22222) pr@micex.com 6