moscow exchange group monthly market report...moscow exchange group monthly market report december...

Moscow ExchangE groupMonthly Market report dEcEMbEr 2013

trading VoluMetrading VoluMe of Moscow ExchangE group

37.5

25.227.9

30.8

42.4

37.541.0

44.0

39.040.9 40.5

33.7

46.6

0

5

10

15

20

25

30

35

40

45

50

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB tln

Monthly trading VoluMe by MarkEts

1.6% 2.8%

7.7%

36.2%51.7%

Equities Bonds Derivatives FX Money

The total monthly trading volume on the Moscow Exchange’s markets in December was RUB 46.6 tln. The average daily trading volume was RUB 2.22 tln, up 31.6% MoM. Trading in securities, RDRs, and mutual fund units made up 1.6% (RUB 760 bln) of the total trading volume, the bond market’s share was 2.8% (RUB 1.3 tln), the derivatives market made up 7.7% (RUB 3.6 tln), the FX and money market accounted for a combined 87.9% (RUB 41 tln).

SecuritieS Market (stocks, rdrs, and InVEstMEnt fund unIts)Value traded in StockS, rdrs and InV. funds unIts

615 647 669 691816

698 666 687592

854 893731 763

500

600

700

800

900

-100100300500700900

1,1001,3001,5001,7001,900

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

USD blnRUB bln

Secondary market value (LHS) Capitalisation (RHS)

trading VoluMe Breakdown by MarkEt sEctors

6.1%1.2%

0.0%

92.6%

T0 Standard Classica T+2

The trading volume of stocks totaled RUB 0.76 tln in December. The average daily trading volume was RUB 36.3 bln, down 1% MoM. The T+2 sector made up 92.6% of the total secondary market trading volume, the Standard sector accounted for 1.2%, the Classica sector made up 0.1%, and the T0 sector came in at 6.1%. The primary market’s value was RUB 13.5 bln. The OTC trading volume was RUB 0.35 tln, or 31% of the combined value of the secondary market and OTC trades.

The information provided herein is intended for informational purposes only. This annotation does not provide any recommendations and guidance to take actions on financialmarkets. For further information, please contact [email protected] — moex.com

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Moscow Exchange Group Monthly Market Report December 2013

2

MiceX indeX, rtS indeX

1,200

1,300

1,400

1,500

1,600

1,700

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

Points

MICEX Index RTS Index

The MICEX Index was up 1.67% MoM to 1,504.08 at the end of December from 1,479.35 at the end of November. The dollar-denominated RTS Index was up 2.84% to 1,442.73 from 1,402.93. The cash equity market’s capitalisation appreciated 4.5% to USD 776.13 bln from USD 742.57 bln at the end of November.

Monthly changeS in Blue chipS closIng prIcEs

-5 0 5 10 15

FEES

GMKN

VTBR

ROSN

RTKM

SNGS

LKOH

SBER

GAZP

PLZL

%

The following blue chips were up in December: Federal Grid Company ords, by 13.1% (RUB 0.09016 per share),Rosneft ords, by 5.5% (to RUB 251.6 per share),Rostelecom ords, by 4.2% (RUB 110.98 per share),VTB Bank ords, by 7.3% (to RUB 0.04966 per share),Norilsk Nickel ords, by 8.3% (to RUB 5,399 per share),Surgutneftegas ords, by 3.5% (to RUB 28,364 per share).The following blue chip shares were down in December:Lukoil ords, by 0.2% (RUB 2,039.7 per share),Gazprom ords, by 3% (RUB 138.75 per share), Sberbank ords, by 1.8% (to RUB 101.17 per share),Polyus Gold ords, by 3.9% (RUB 778.5 per share).

Monthly BeSt SellerS on thE sEcurItIEs MarkEt

SBER21%

GAZP21%

LKOH6%

VTBR6%

ROSN5%

GMKN4%

MGNT3%

SBERP2%

SNGS2%

MRKH2%

Other securities

28%Other41%

This month’s most traded stocks were Sberbank ords (SBER) with a turnover of RUB 162.09 bln (21% of the total), followed by Gazprom (GAZP) with RUB 157.38 bln (21%), Lukoil (LKOH) with RUB 49.12 bln (6%), VTB Bank (VTBR) with RUB 43.85 bn (6%) and Rosneft (ROSN) with RUB 38.88 bln (5%). Other securities’ turnover totalled RUB 311.78 bln (41% of the total trading volume).


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3

Market for corporate,regional, and goVErnMEnt bonds, and Eurobondstotal Value traded on thE prIMary and sEcondary bond MarkEts

1,546

1,169

1,461

1,295

1,602

979

1,539

1,2411,083

1,094

1,476

1,080

1,300

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB bln

trading VoluMe

20.8%

44.8%3.8%

30.2%

0.4%

New issues Corporate ruble bondsRegional ruble bonds Sovereign ruble bondsEurobonds

The secondary bond market’s trading volume totaled RUB 1.3 tln in December. The average daily trading volume was RUB 61.9 bln, up 14% MoM. Secondary market turnover in corporate bonds was RUB 582.7 bln (44.8% of the total trading volume). Regional ruble bonds’ turnover was RUB 49.4 bln (3.8%), Sovereign ruble bonds saw RUB 392.1 bln (30.2%), while Eurobonds had RUB 4.9 bln (0.4%). The total volume of new issues placed was to RUB 271 bln (20.8%).

Monthly changeS In bond IndIcEs

CBI CP

MBI CP

RGBI

0.0 0.2 0.4 0.6 0.8 1.0

%

The Russian Government Bond Index (RGBI) rose by 0.79% in December to 133.27 (from 132.23 at the end of November). The MICEX Municipal Bond Index (MICEX MBI CP) was up 0.28% to 97.21 (from 96.94). The MICEX Corporate Bond Index was up 0.16% to 93.37 (from 93.22).


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4

deriVatiVeS MarketderiVatiVeS Market trading VoluMe

3,2792,828

4,1314,590

5,355

4,324

5,124

3,9413,539

3,9633,7543,4593,597

0

1,000

2,000

3,000

4,000

5,000

6,000

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB bln

deriVatiVeS Market open intereSt

271

358

428

346392

451

326385

433 447 476

515

390

0

100

200

300

400

500

600

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB bln

7667

93104

128

103

124

9582

92

82 81 84

0

20

40

60

80

100

120

140

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

Contracts, mln

8

1011

10

1112

8

11

12

1011

13

10

0

2

4

6

8

10

12

14

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

Contracts, mln

trading VoluMeS By underlying aSSet

55.3%

7.5%33.9%

0.4%

3.0%3.4%

Index derivatives Equity derivativesFX derivatives Interest derivativesCommodity derivatives

The total value traded on the Moscow Exchange’s derivatives market in December was RUB 3.6 tln, or 84 mln contracts. The average daily value was RUB 171 bln, down 1% MoM. The total open interest at the end of the month was RUB 390 bln, or 10 mln contracts. Index derivatives made up 55.3% of the total trading volume (RUB 2 tln), securities derivatives constituted 7.5% (RUB 0.3 tln), FX derivatives made up 33.9% (RUB 1.2 tln), interest derivatives came to 0.4% (RUB 14.2bln), and commodity derivatives were 3% (RUB 108.1 bln).


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5

deriVatiVeS Market Monthly BeSt SellerS

54.9%27.1%

4.4%

2.9%

2.5%

8.2%

RTS

Si-

ED-

SBR

GAZ

Other

The most traded derivatives in December were the RTS Index futures contract (RTS), with a trading volume of RUB 1.98 tln (54.9% of the total), the USD/RUB FX futures contract (Si) at RUB 0.97 tln (27.1%), the EUR/USD FX futures contract (ED) at RUB 0.16 tln (4.4%), futures on Sberbank ords (SBR) at RUB 0.1 tln (2.9%), and futures on Gazprom ords (GAZ) at RUB 90.9 bln (2.5%). Other derivatives’ tirnovers totalled RUB 0.3 tln (8.2%).

fX and Money MarketeXchange rateS

37

38

39

40

41

42

43

44

45

46

28

29

30

31

32

33

34

Dec

-12

Jan-

13

Feb-

13

Mar

-13

Apr-

13

May

-13

Jun-

13

Jul-1

3

Aug-

13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

RUB/EURRUB/USD

USD/RUB_TOM EUR/RUB_TOM (right axis)

The USD and EUR depreciated against the RUB in December. The USD with next day settlement lost RUB 0.42 (1.3%) to RUB 32.76. The EUR with next day settlement weakened RUB 0.07 (0.2%) to RUB 45.09 at the end of December.

fX Market trading VoluMe

5,9464,671 5,238 5,758

9,0277,907 8,274

9,41510,265

9,328 9,235

7,704

11,899

4,6983,737 3,837 4,307

6,174

4,223

5,633 5,3024,620

5,2734,584

4,635 4,973

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

Dec

12

Jan

13

Feb

13

Mar

13

Apr 1

3

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB billion

Swap value traded Spot value traded


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6

trading VoluMe

84.5%

13.9%

1.6%0.0%

USD/RUB FX market EUR/RUB FX market

EUR/USD FX market Other

Money Market trading VoluMe

21.4

12.2 12.514.1

19.4 19.3 19.7

23.4

18.920.4 20.5

16.1

24.1

0

5

10

15

20

25

30

Dec

-12

Jan-

13

Feb-

13

Mar

-13

Apr-

13

May

-13

Jun-

13

Jul-1

3

Aug-

13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

RUB trillion

The FX market’s trading volume totaled RUB 16.87 tln in December. The average daily trading volume was RUB 803 bln, up 30% MoM. Spot trading reached RUB 4.97 tln, or 30% of the total trading volume. Swap operations accounted for 70% of the total trading volume (RUB 11.9 tln). USD/RUB transactions made up 84.5% of the total trading volume, with a total value of RUB 14.3 tln; EUR/RUB came to RUB 2.3 tln (13.9%); EUR/USD totalled RUB 0.27 tln (1.6%), CNY/RUB were RUB 5.4 bln (0.08%), and the dual currency basket’s transaction volume came to RUB 1 tln (0.02%).

trading VoluMe Breakdown

29.9%

64.2%

3.5%0.0%1.5%

0.9%

Interdealer repo Direct CBR repoCredit market OTC repo

The money market trading volume was RUB 24.1 tln in December. The average daily trading volume was RUB 1.1 tln, up 42% MoM. Interdealer repo transactions totalled RUB 7.2 tln (29.9% of the total trading volume), while direct repo with the CBR came to RUB 15.5 tln (64.2%). Credit market volumes were RUB 0.84 tln (3.5%) (including CBR deposit operations of RUB 836 bln, CBR lombard auctions of RUB 6.7 bln, Pension Fund deposit operations of RUB 223 bln (1.5%), and Federal Treasury deposit operation of RUB 355 bln (0.9%).

coMModitieS MarketcoMModitieS Market trading VoluMe

4.2

3.3

4.5

4.04.3

1.92.2

0.5

0.0 0.0

1.11.3

0.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

Dec

12

Jan

13

Feb

13

Mar

13

Apr

13

May

13

Jun

13

Jul 1

3

Aug

13

Sep

13

Oct

13

Nov

13

Dec

13

RUB bln The commodities market trading volume was RUB 0.8 bln in December.


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7

Appendix 1

MoScow eXchange group Monthly Market report: deceMBer 2013

Market

December NovemberChange in

tradingvolume, %

Trading volume,bn RUB

Number oftrades

Trading volume,bn RUB

Number oftrades

Secondary securities market (stocks, RDRs and fund units)T+2 694.4 6,579.0 693.5 6,437.0 0.1T0 46.0 13.1 32.0 12.7 43.7Standard 8.9 37.9 4.8 18.8 85.2Classica 0.3 0.0 0.8 0.1 –64.8Primary market 13.5 0.0 0.0 0.0 –

Total 763.1 6,630.0 731.2 6,468.6 4.4Bond market

Corporate bonds 582.7 37.9 349.2 30.5 66.9Regional bonds 49.4 3.0 32.9 2.3 49.9Government bonds 392.1 9.2 456.3 10.2 –14.1

Government bonds T+2 3.02 0.18 7.3 0.2 –58.6Eurobonds 4.9 0.0 5.4 0.0 –9.2Bond placements 271.0 0.6 236.2 1.7 14.8

Total 1,300.2 50.7 1,080.0 44.8 20.4Derivatives market

Index derivatives 1,987.6 5,480.5 1,921.3 5,515.7 3.5Cash Equity derivatives 269.1 2,628.9 270.0 2,747.2 –0.4FX derivatives 1,218.2 1,551.1 1,163.8 1,901.3 4.7Interest rate derivatives 14.2 1.2 13.7 1.7 3.4Commodity derivatives 108.1 270.8 90.4 245.4 19.6

Total 3,597.2 9,932.5 3,459.3 10,411.2 4.0FX market

USD/RUB (spot) 4,204.1 378.4 4,022.6 410.6 4.5EUR/RUB (spot) 649.4 69.0 527.9 60.9 23.0EUR/USD (spot) 115.4 10.2 74.2 6.1 55.5CNY/RUB (spot) 3.3 0.0 6.4 0.8 –48.9Dual currency basket (spot) 1.0 0.1 4.0 0.2 –75.7USD/RUB (swap) 10,054.4 19.0 6,060.3 16.5 65.9EUR/RUB (swap) 1,689.0 7.7 1,504.8 8.1 12.2EUR/USD (swap) 153.2 0.8 136.4 0.7 12.3CNY/RUB (swap) 2.1 0.3 2.3 0.3 –7.0Swaps (USD/RUB, EUR/RUB, EUR/USD) 11,898.7 27.8 7,703.8 25.6 54.5Spot trades 4,973.2 458.4 4,635.1 478.6 7.3

Total 16,871.9 486.1 12,338.9 504.2 36.7Money market

Inter-dealer repo 7,201.9 122.4 6,314.1 118.0 14.1Direct repo with the Bank of Russia 15,488.4 54.8 8,313.0 34.3 86.3Credit market 842.8 1.9 724.7 1.6 16.3OTC repo with the Bank of Russia 0.0 2.7 0.0 5.1 –deposits operations of the Federal Treasury 355.0 0.0 706.3 0.0 –49.7deposit operation of the Pension Fund 223.0 0.0 67.0 0.0 232.8

Total 24,111.1 181.9 16,125.1 159.0 49.5Commodities market

Interventions 0.8 0.24 1.3 0.34 –38.5Spot trades 0.0 0.00 0.0 0.00 –

Precious metals market 0.1 0.00 0.0 0.00 138,310.0

Standartised OTC derivatives market 0.0 0.00 0.0 0.00 –Total valu traded 46,644.3 17,281.5 33,735.8 17,588.2 38.3

OTC trades

Stocks, RDRs and fund units 347.1 61.4 271.3 63.3 27.9


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IndexValue in points

Change, % YTD change, %December November

Equity Indices

Key Indices:

MICEX Index 1,504.08 1,479.35 1.67 9.32

RTS Index 1,442.73 1,402.93 2.84 9.85

Cap Indices:

MICEX Start Cap Index 3,110.74 2,944.53 5.64 4.41

Sectoral:

Oil & Gas (MICEX O&G) 3,491.14 3,425.91 1.90 9.44

Power (MICEX PWR) 1,032.39 952.97 8.33 –14.04

Telecommunication (MICEX TLC) 2,402.69 2,295.27 4.68 11.37

Meatls & Mining (MICEX M&M) 2,264.99 2,173.34 4.22 9.56

Industrials (MICEX MNF) 1,930.58 1,818.89 6.14 7.58

Financials (MICEX FNL) 5,362.37 5,139.18 4.34 19.01

Consumer & Retail (MICEX CGS) 6,245.95 6,170.00 1.23 8.51

Chemicals (MICEX CHM) 6,468.10 6,127.76 5.55 8.87

Thematic:

MICEX10 Index 3,266.42 3,178.91 2.75 8.49

RTS Standard Index 10,176.90 10,064.13 1.12 9.49

RTS-2 Index 1,249.28 1,171.25 6.66 4.50

MICEX Innovation Index 386.62 358.56 7.83 –14.30

RTS Siberia Index 460.09 425.88 8.03 0.69

Bond Indices

Russian Government Bond Index 133.27 132.23 0.79 –3.46

MICEX Corporate Bond Index 93.37 93.22 0.16 0.50

MICEX Municipal Bond Index 97.21 96.94 0.28 0.27

Derivatives Market Indicator

Russain Volatility Index (RTSVX) 17.20 22.50 –23.56 –28.98

Value in pointsChange, % YTD change, %

December November

Exchange rates

USD/RUB 32.76 33.18 –1.3 7.7

EUR/RUB 45.09 45.16 –0.2 12.3

CHY/RUB 5.38 5.44 –1.1 –89.0

Dual currency basket 38.27 38.36 –0.2 10.0

Appendix 2

MoScow eXchange group Monthly Market report: deceMBer 2013


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moscow exchange group monthly market report...moscow exchange group monthly market report december...

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