OREANDA-NEWS. October 1, 2012. For the week of September 12-21, 2012 the MICEX Index was down 2.52% to 1,496.65 (1,535.38 points as of September 14, 2012).

The RTS Index calculated based on prices in US dollar fell by 4.20% to 1.522.63 (1.589.40 as of September 14, 2012). The US dollar appreciated by 0.56% against the ruble.

The stock market volatility decreased last week with the Russian Volatility Index rising by 1.56% to 30.29 points (30.77 points as of September 14, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the financial sector with the relevant sector index falling by 4.49%. A significant decrease was also shown by the Consumer & Retail and the Industrials with the relevant sector indices down 3.57% and 3.35% respectively.

The MICEX Innovation Index lost 1.17%.

The largest downturn was reported by the large cap companies. The MICEX Large Cap Index lost 2.50% as well as the MICEX Mid Cap Index (2.08%) and the MICEX Small Cap Index (2.05%).

For the week of September 17-21, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 2.52% to 1,496.65 (1,535.38 points as of September 14, 2012).

At the end of the week the MICEX Index was 2.90% higher than a month ago (1,454.48 points as of August 21, 2012) and 0.70% lower than a

year ago (1,507.25 as of September 21, 2011).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB259.94 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB21,901.62 billion.

27 constituents of the former and the current MICEX Index lists were pushing the Index downwards (minus 2.95%) and 4 constituents behaved positively (plus 0.43%).

On the sector level the major positive contributors were the oil & gas (minus 1.68%) and financial sectors (minus 0.68%).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (minus 0.51%) followed by Surgutneftegaz (minus 0.51%) and LUKOIL (minus 0.43%).

The oil & gas sector accounted for 52.68% of the MICEX Index total capitalization. The other large weight sectors were financial (16.33%) and metallurgy (9.89%).

For the week of September 17-21, 2012 the RTS Index lost 4.20% to 1,522.63 (1,589.40 as of September 14, 2012). At the end of the week the RTS Index was 5.54% higher than a month ago (1,442.72 as of August 21, 2012) and 0.26% higher than a year ago (1,518.64 as of September 21,

2011).

Last week’s decrease of the RTS Index was accompanied by a decrease of volatility levels, when the Russian Volatility Index RTSVX was down 1.56%.

The US dollar appreciated by 0.56%.

44 constituents of the former and the current RTS Index lists were pulling the Index downwards (minus 4.48%), 6 constituents behaved positively (plus 0.28%) and the price of 4 constituents remained unchanged.

On the sector level the major negative contributors were the oil & gas (minus 2.67%) and financial (minus 0.95%) sectors.

The negative impact was mainly related to the falling prices of ordinary shares of Gazprom (minus 0.85%), LUKOIL (minus 0.70%) and Sberbank (minus 0.59%).

The Russian Government Bond Index (RGBI) was down 0.20% to 132.33 points last week (132.60 points as of September 14,

2012). RGBI total return value lost 0.06% to 294.34 points. The weighted average return value of the MICEX Government Bond Index added 4 basis points and amounted to 7.44%.

The Municipal Bond Index (MICEX MBI TR) showed the positive trend and reached 161.24 basis points growing by 0.21% (161.61 as of September 14, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.13% to 217.65 points; while the clean price value of the index reached 92.07 points losing 0.04%. The weighted average return value fell by 1 basis point to 8.67%.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.12% per week. The aggressive investment strategy based on the pension index could have brought a weekly profit of 0.29% per week.

The bond overnight repo rate was up 9 basis points (from 5.73% to 5.82%). The equity overnight repo rate lost 26 basis points and amounted to 5.05% in value.

Index Derivatives

For the week of September 17-21, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB664.97 billion representing 6.98 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB584.56 billion representing 6.15 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 4.20%, while the March and December futures contracts fell by 4.50% and 4.56% respectively.

The total investor’s open interest measured in RTS Index futures decreased by 38.94%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB4.28 billion representing 28.05 thousand contracts. Open interest in the contract on the MICEX Index decreased by 70.00% for the week.

Trading volume in options on RTS Index futures totaled RUB75.09 billion representing 794.64 million contracts. Open interest of RUB63.38 billion or 710.15 million contracts was fixed. Call options made up 48.90% of the total open interest for these contracts. The 170.000 strike calls and 110.000 strike puts had the highest open interest.

The total investor’s open interest measured in options on the RTS index futures decreased by 47.82%.