The stock market
. The decline, which started in April, continued in May. As a result of the month, the MICEX Index fell by 4.7% to 535.40 points. The blue chips that dropped the most were the common shares of YUKOS, whose price decreased by 30.6%. Also went down the common shares of Norilsk Nickel (5.9%), Rostelekom (5.8%), RAO UES (3.8%) and Surgutneftegaz (2.3%). The stocks that went up included the common shares of Sberbank (2%), LUKoil (2.1%) and Mosenergo (4%).
In May, the activity of market participants decreased as compared with April. The total turnover of transactions in stocks amounted to 224.84 bln rubles, while the average daily turnover of trading decreased by 16% to 13.2 bln rubles. In May, the turnover of REPO transactions in stocks amounted to 25.12 bln rubles or 11.2% of the total turnover of transactions in stocks (in April – 10.2%). The turnover of transactions in the negotiated deals mode amounted to 23.57 bln rubles or 10.5% of the total turnover of transactions in stocks (in April – 12.4%).
The market of corporate and regional bonds
In May, in the sector of corporate and regional bonds the quotations of the most liquid issues decreased. After falling by 1.98% in April the MICEX Corporate Bonds Index (RCBI) dropped by 1.15% in May and on 31 May reached 104.78 points at the close. The Corporate Bonds Index RCBI-c decreased by 0.71% to 121.55 points.
As a result of the month, the total volume of transactions in corporate and regional bonds amounted to 57.07 bln rubles, of which 4.81 bln rubles (8.4% of the total turnover) was accounted for by primary distributions, 32.42 bln rubles (56.8%) – by secondary trading and 19.84 bln rubles (34.8%) – by REPO transactions. In May, the structure of exchange turnover was still dominated by corporate bonds – 35.45 bln rubles (62.1% of the total turnover), with subfederal (regional) and municipal bonds accounting for 21.14 bln rubles (37%) and 0.48 bln rubles (0.9%) respectively. As compared with April’s record figures, the total volume of trading in the sector of corporate and regional bonds decreased by 47.2%.
In May, the yield of most liquid issues of corporate and regional bonds increased. In particular, the yield on the bonds of MosGorZaim (the 34th issue) increased by 0.55 points, on the bonds of Moscow Oblast (Region) (series 25004) – by 0.10 points, on Gazprom bonds (series ?2) - by 0.03 points, on TNK bonds (the 5th issue) – by 1.44 points, on VTB bonds (the 4th issue) – by 0.66 points and on RAO UES bonds (series R2) – by 0.65 points. The yield on the bonds of MosGorZaim (the 38th issue) decreased by 0.26 points and the yield on Gazprom bonds (series A3) decreased by 0.06 points.
The government securities market
In May, the total volume of trading in the GKO/OFZ market amounted to 142.06 bln rubles, 31% more than in April. As in April, the bulk of the market turnover was accounted for by the instruments of direct REPO against the Bank of Russia. The volume of transactions in these instruments amounted to 84% of the total turnover. The volume of secondary trading fell y 11% to 20.4 bln rubles, while the volume of inter-dealer REPO transactions increased 2.5 times to 580 mln rubles.
In the structure of the secondary market exchange turnover, the share of OFZ-AD decreased from 80% to 70% (or 14.3 bln rubles); the OFZ-FD sector accounted for 5.4 bln rubles or 27%, the OFZ-PD sector – 0.1 bln rubles or 0.6% and the GKO sector – 0.4 bln rubles or 2%. In May, leaders in the volume of transactions were issues of OFZ 46003, whose average weighted yield grew by 0.39 points, and issues of OFZ 27025, whose yield decreased by 0.04 points. The average weighted yield of other liquid issues of OFZ-FD changed within the range of (–0.4) – (+0.2) points, while the yield of OFZ-AD increased by 0.2-0.5 points.
At an auction to place the additional issue of OFZ 46003 (volume - 5 bln rubles) the demand reached 2.65 bln rubles, while the volume of placement amounted to 1 bln rubles and the average weighted yield amounted to 7.68% of yearly interest (0.04 points higher than the secondary market level).
The foreign exchange
During the month, the exchange rate of the ruble to the US dollar decreased by 6.8 kopecks ( 0,2%), while the exchange rate of the ruble to the euro dropped by 87.7 kopecks ( 2,5%). On Friday, May 28, the exchange rate of the dollar with today settlements in the UTS amounted to 28.9756 rubles per dollar. On Monday, May 31, the exchange rate of the euro reached 35.4133 rubles per euro. Participants’ activity decreased due to several days of official holidays in May. The average daily turnover in dollars-denominated instruments decreased by 6% to 883.4 mln dollars. The volume of trading in the euro reached 8.8 mln euros a day. The total turnover of the foreign currency? market decreased to 16.1 bln dollars. The share of transactions “dollar-ruble” reached 98.8%, while the volume of transactions in the euro amounted to 1.2%. The share of transactions made in the UTS amounted to 36.8%, the turnover of the afternoon session accounted for 63.2%, of which 24.9% was accounted for by swap operations.
The standard contracts market
In May, the total turnover of trading in futures contracts on the US dollar amounted to 51.1 mln rubles or 1745 contracts. The average daily turnover of trading decreased against April and reached 2.8 mln rubles. The volume of open positions at the end of May decreased by 9% against the end of April and reached 10520 contracts (about 10.5 mln dollars). Of these, 7790 contracts were accounted for by June 2004 contract, 100 – by July 2004 contract, 1100 – by August 2004 contract and 1530 by September 2004 contract. The average spread for the nearest to performance contract was 2 to 4 kopecks on average.
