OREANDA-NEWS. January 18, 2013. Over the week of December 24 - 28, 2012, the Russian stock market edged lower according to the MICEX Index, but rose according to the RTS Index. The MICEX Index lost 0.18% to 1 474.72 (1 477.44 as of December 21, 2012) and the dollar-denominated RTS Index grew by 0.98% to 1,526.98 (1,512.18 as of December 21, 2012).

The US dollar depreciated by 0.91% against the ruble last week.

The stock market volatility increased last week with the Russian Volatility Index rising by 16.84% to 24.22 (20.73 as of December 21, 2012).

Last week most of the key economic sectors represented on the Russian stock market behaved positively. The largest upturn was reported by the industrials with the relevant sector index rising by 4.70%. A significant increase was also shown by the financials and telecommunications with the relevant sector indices being up 2.76% and 2.01% respectively. The largest downturn was reported by the electric utilities (- 0.67%).

The RTS Standard, the blue chips Index, decreased by 0.42% to 10,102.06 (10,144.23 as of December 21, 2012). Second-tier stocks indices experienced the positive trend. The ruble-denominated MICEX SC Index grew by 2.49% to 3,404.57 (3,321.99 as of December 21, 2012). The dollar-denominated RTS-2 Index gained 3.64% reaching 1,576.61 (1,521.26 as of December 21, 2012). The MICEX Innovation Index added 0.51% to 493.54 (491.02 as of December 21, 2012). The RTS Siberia Index gained 2.14% reaching 643.49 (630.02 points as of December 21, 2012).

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

Over the week of December 24 - 28, 2012, the Russian stock market edged lower according to the MICEX Index, but rose according to the RTS Index. The MICEX Index lost 0.18% to 1 474.72 (1 477.44 as of December 21, 2012) and the dollar-denominated RTS Index grew by 0.98% to 1 526.98 (1 512.18 as of December 21, 2012).

At the end of the week the MICEX Index was 6.79% higher than a month ago (1,380.94 as of November 28, 2012) and 6.63% higher than a year ago (1,383.09 as of December 28, 2011). The RTS Index was 9.27% higher than a month ago (1,397.38 as of November 28, 2012) and 10.48% higher than a year ago (1,382.19 as of December 28, 2011).

Last week's increase of the RTS Index was accompanied by the increase of volatility levels, when the Russian Volatility Index RTSVX was up 16.84%.

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of LUKOIL (- 0.15%), Norilsk Nickel (- 0.08%) and Sberbank (- 0.07%).

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB81.20 billion, and the market capitalization of the Indices' constituents amounted to RUB20,434.31 billion.

32 constituents of the MICEX Index list were pushing the Index down (- 0.63%), while 18 constituents behaved positively (+ 0.45%). On the sector level, the major negative impact was made by the metallurgy (- 0.12%) and the electric utilities (- 0.08%).

The oil & gas sector accounted for 51.36% of the MICEX ndex's total capitalization. The other largeweight sectors were he financial (18.11%) and the metallurgy (9.78%).

Blue chips Index

For the week of December 24 - 28, 2012, the ruble-denominated RTS Standard Index, the blue-chip index, showed a negative trend.

The RTS Standard Index was down 0.42% to 10,102.06 (10,144.23 as of December 21, 2012). At the end of the week the RTS Standard Index was 7.00% higher than a month ago (9,441.34 as of November 28, 2012) and 6.53% higher than a year ago (9,482.94 as of December 28, 2011).

At the end of the week, 10 out of 15 securities included into the index were pushing the RTS Standard down (-0.70%), while 2 securities behaved positively (+0.28%).

The most negative impact on the RTS Standard Index was mainly due to the falling prices for ordinary shares of Norilsk Nickel (-0.63%) and LUKOIL (-0.11%).

The positive impact was due to the rising prices for ordinary shares of Rosneft (+0.22%) and Rostelecom (+0.07%).

The oil & gas sector accounted for 56.00% of the blue chips index's total capitalization. The other large- weight sectors were the financial (22.17%) and the metallurgy (8.42%).

Second-tier Stocks Indices

For the week of December 24 - 28, 2012, the second-tier indices, the MICEX SC Index and the RTS-2 Index, showed a positive trend. The ruble-denominated MICEX SC Index grew by 2.49% to 3,404.57 (3,321.99 as of December 21, 2012). The dollar-denominated RTS-2 Index gained 3.64% reaching 1,576.61 points (1,521.26 as of December 21, 2012).

At the end of the week the MICEX SC Index was 6.19% higher than a month ago (3,206.26 as of November 28, 2012) and 0.28% lower than a year ago (3,413.99 as of December 28, 2011).

The RTS-2 Index was 8.76% higher than a month ago (1,449.61 points as of November 28, 2012) and 2.02% higher than a year ago (1,545.41 points as of December 28, 2011).

At the end of the week, 39 out of 50 securities included into the RTS-2 Index constituent list were pushing the Index up (+4.21%), while 10 securities behaved negatively (-0.57%). The price of one constituent stock remained unchanged.

The most positive impact on the RTS-2 Index was mainly due to the rising prices for ordinary shares of TGK 1 (+0.59%) and Irkutskenergo (+0.49%).

The negative impact was due to the falling prices of IDGC of Center and Volga Region (-0.24%) and IDGC of Center (-0.11%).

The most positive impact on the second-tier indices was mainly due to the rising prices for securities of the electric utilities (+2.16%) and the industrial (+0.77%) sectors.

The electric utilities sector accounted for 41.33% of the RTS-2 Index total capitalization. The other large-weight sectors were the industrial (12.91%) and the chemical (10.99%).

Debt market

The Russian Government Bond Index (RGBI, total return) was up 0.04% to 138.04 last week (137.99 as of December 21, 2012). The weighted average return of the securities being the part of the calculation formula was down 1 basis point to 6.58%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 166.21 points growing by 0.38% (165.58 as of December 21, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.38% to 224.16 points.

The conservative investment strategy tracking the last week's pension index could have resulted in a gain of 0.14% per week. The aggressive investment strategy based on the pension index could have brought a loss of 0.04% per week.

The bond overnight repo rate was up 1 basis point (from 6.34% to 6.35%).The equity overnight repo rate was up 3 basis points and equaled 6.27%.

Index Derivatives

For the week of December 24 - 28, 2012, the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB185.12 billion or 1.99 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB164.21 billion or 1.77 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 0.98% with the March and December futures contracts being up 0.84% and 0.87% respectively.

The total investors' open interest measured in RTS Index futures decreased by 7.68%.

During the week the trading volume in futures contract on the MICEX Index was RUB1.98 billion or 13.20 thousand contracts. Open interest in the MICEX Index futures on the decreased by 5.74% for the week.

Trading volume in options on RTS Index futures totaled RUB18.33 billion or 200.77 thousand contracts last week. Open interest of RUB54.11 billion or 60,367 thousand contracts was fixed. Call options made up 40.82% 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 investors' open interest measured in options on the RTS index futures increased by 10.95%.