OREANDA-NEWS. January 9, 2013. Over the week of December 17 - 21, 2012 the Moscow Exchange Indices reflected the positive trend on the Russian stock market. The MICEX Index was up 0.77% to 1,477.44 points (1,466.15 points as of December 14, 2012) and the dollar-denominated RTS Index grew by 0.75% to 1,512.18 points (1,500.89 points as of December 14, 2012).

The US dollar appreciated 0.52% against the ruble last week.

The stock market volatility decreased last week with the Russian Volatility Index falling by 10.34% to 20.73 points (23.12 points as of December 14, 2012).

Last week most of the key economy sectors represented on the Russian stock market behaved positively. The largest upturn was reported by the metallurgy with the relevant sector index rising by 1.98%. A significant increase was also shown by the consumer & retail and oil & gas sectors with the relevant sector indices up 1.69% and 0.56%. The largest downturn was reported by the chemicals (minus 3.01%).

The RTS Standard, the blue chips Index, grew by 1.61% to 10,144.23 points (9,983.53 points as of December 14, 2012). The RTS-2 Index gained 0.11% reaching 1,521.26 points (1,519.60 points as of December 14, 2012). The MICEX Innovation Index lost 5.51% and equaled 491.02 points (519.63 points as of December 14, 2012). The RTS Siberia Index gained 0.44% reaching 630.02 points (627.27 points as of December 14, 2012).

MICEX & RTS Indices, the main indices of the Moscow Exchange

For the week of December 17 - 21, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 0.77% to 1,477.44 points (1,466.15 points as of December 14, 2012), and the RTs Index grew by 0.77% to 1,512.18 points (1,500.89 points as of December 14, 2012).

At the end of the week the MICEX Index was 5.10% higher than a month ago 1,405.70 points as of November 21, 2012) and 6.69% higher than a year ago (1,384.79 points as of December 21, 2011). The RTS Index was 6.42% higher than a month ago (1,420.97 points as of November 21, 2012) and 9.38% higher than a year ago (1,382.50 points as of December 21, 2011).

Last week's increase of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 10.34%.

The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Gazprom (plus 0.46%), Norilsk Nickel (plus 0.35%) and LUKOIL (plus 0.15%).

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB143.59 billion, and the market capitalization of the Indices' constituents amounted to RUB20,395.36 billion.

22 constituents of the MICEX Index list were pushing the Index up (plus 1.41%), and 8 constituents behaved negatively (minus 0.64%). On the sector level, the major positive impact was made by the oil & gas sector (plus 0.51%) and the metallurgy (plus 0.47%).

The oil & gas sector accounted for 51.06% of the MICEX Index total capitalization. The other large weight sectors were the financials (18.28%) and the metallurgy (9.73%).

Blue chips Index

For the week of December 17 - 21, 2012 the ruble- denominated RTS Standard, the blue chips Index, I showed a positive trend.

. The RTS Standard Index was up 1.61% to 10,144.23 points (9,983.53 points as of December 14, 2012). At the end of the week the RTS Standard was . 5.54% higher than a month ago (9,611.92 points as of November 21, 2012) and 6.83% higher than a year ago (9,495.77 points as of December 21, 2011).

At the end of the week, 10 out of 16 securities included into the old and the reviewed RTS Index constituent lists were pushing the RTS Standard up (plus 1.98%), and 6 constituents behaved negatively (minus 0.37 %).

The most positive impact on the RTS Standard Index was mainly due to the rising prices for ordinary shares of Gazprom (plus 0.63%) and Norilsk Nickel (plus 0.37%). The negative impact was due to the falling prices for ordinary shares of Uralkali (minus 0.24%) and FGC UES (minus 0.06%).

The oil & gas sector accounted for 55.80% of the blue chips Index total capitalization. The other large weight sectors were the financials (22.21%) and the metallurgy (8.58%).

Second-tier stocks Index

For the week of December 17 - 21, 2012 the RTS-2, the second-tier stocks Index, showed a positive trend.

The RTS-2 Index grew by 0.11% to 1,521.26 points (1,519.60 points as of December 14, 2012). At the end of the week the RTS-2 was 4.88% higher than a month ago (1,450.41 points as of November 21, 2012) and 1.61% lower than a year ago (1,546.23 points as of December 21, 2012).

At the end of the week, 26 out of 73 securities included into the old and the reviewed RTS-2 Index constituent lists were pushing the Index up (plus 1.52%), and 40 constituents behaved negatively (minus 1.41%). The prices of 7 constituent stocks remained unchanged.

The most positive impact on the RTS-2 Index was mainly due to the rising prices for ordinary shares of IDGC of Center (plus 0.59%) and IDGC of Center and Volga Region (plus 0.26%). The negative impact was due to the falling prices of IDGC of Urals (minus 0.22%) and OGC-5 (minus 0.14%).

The most positive impact on the RTS Standard Index was mainly due to the rising prices for securities of the electric utilities (plus 0.39%) and the transportation (plus 0.16%).

The electric utilities sector accounted for 39.90% of the RTS-2 Index total capitalization. The other large weight sectors were the metallurgy (13.17%) and the chemicals (8.89%).

Debt Market

The Russian Government Bond Index (RGBI) was down 0.25% to 137.99 points (138.33 as of December 14, 2012). The weighted average return of the securities being the part of the calculation formula was up 3 basis points to 6.59%.

The Municipal Bond Index (MICEX MBI TR total return) showed the positive trend and reached 165.58 points growing by 0.12% (165.38 as of December 14, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR, total return) grew by 0.25% and amounted to 223.32 points.

The conservative investment strategy tracking the last week's Pension Index could have resulted in a gain of 0.17% per week. The aggressive investment strategy based on the pension index could have brought a loss of 0.39% per week.

The bond overnight repo rate was down 1 basis point (from 6.35% to 6.34%). The equity overnight repo rate was up 16 basis points to 6.24%.

Index Derivatives

For the week of December 17 - 21, 2012 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB477.88 billion or 5.12 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB421.28 billion or 4.53 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index have gained 0.75%, while the March and December futures contracts were up 1.17% and 1.07% respectively. On Tuesday, December 18, the RTS Index December futures contracts were settled. On December 17, 2012 the settlement price was determined. The settlement price equaled 149,282 points.

The total investor's open interest measured in RTS Index futures decreased by 23.78%.

During the week the trading volume in futures contract on the MICEX Index was RUB3.84 billion or 25.74 thousand contracts. Open interest in the contract on the MICEX Index increased by 9.75% for the week.

Trading volume in options on RTS Index futures totaled RUB51.22 billion or 555.52 thousand contracts last week. Open interest of RUB49.35 billion or 544.09 thousand contracts was fixed. Call options made up 39.91% of the total open interest for these contracts. The 155.000 strike calls and 135.000 strike puts had the highest open interest.

The total investor's open interest measured in options on the RTS index futures decreased by 62.59%.