OREANDA-NEWS. January 30, 2013. In 2012 the MICEX Index was up 5.17% to 1,474.72 points (1,402.23 points as of Dec. 30, 2011) and the dollar-denominated RTS Index grew by 10.50% to 1,526.98 points (1,381.87 points as of Dec. 30, 2011).

For the last year, the U.S. Dollar has gone down by 4.81% against the ruble.

The stock market volatility decreased last year, with the Russian Volatility Index falling by 36.48% to 24.22 points (38.13 points as of Dec. 30, 2011).

Last year most of the key economy sectors represented on the Russian stock market behaved positively. The largest upturn was reported by the consumer and retail sector, with the relevant sector index rising by 27.27%. A significant increase was also shown by the industrials and chemicals sectors, with the relevant indices up 16.85% and 13.02%, respectively.

The RTS Standard, the Blue Chips Index, increased by 5.32% to 10,102.06 points (9,592.15 points as of Dec. 30, 2011).

Second-Tier Stocks Indices reflected a differently trend. The ruble-denominated MICEX SC Index went down by 1.45% to 3,404.57 points (3,454.75 points as of Dec. 30, 2011). The dollar- denominated RTS-2 Index gained 3.23%, reaching

1,576.61 points (1,527.32 points as of Dec. 30, 2011).

The MICEX Innovation Index lost 35.91% and equaled 493.54 points (770.11 points as of Dec. 30, 2011). The RTS Siberia Index went down by 3.79%, reaching 643.49 points (668.87 points as of Dec. 30, 2011).

In 2012 the MICEX Index rose 5.17% to 1,474.72 points (1,402.23 points as of Dec. 30, 2011) and the dollar-denominated RTS Index grew by 10.50% to I,526.98 points (1,381.87 points as of Dec. 30, 2011).

By the end of 2012 the MICEX Index was 7.64% higher than its closing level three years ago (1,370.01 points as of Dec. 31, 2009), and the RTS Index was 5.70% higher than its closing level three years ago (1,444.61 points as of Dec. 31, 2009).

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 9.20 trillion, and the market capitalization of the Indices' constituents amounted to RUB 20, 434.31 billion.

In 2011, 24 out of 52 securities included in the MICEX Index lists were pushing the Index up (plus II.68%), and 28 constituents behaved negatively (minus 6.51%).

The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of LUKOIL (plus 2.58%), Sberbank (plus 2.31%), and Rosneft (plus 1.79%).

The price decline of the ordinary shares of Gazprom (minus 2.47%) had the most negative impact on the MiCex Index.

On the sector level, the major positive impact was made by the oil and gas (plus 3.47%), financials (plus 2.17%), and consumer and retail sectors (plus 0.99%).

The oil and gas sector accounted for 51.36% of the MICEX Index total capitalization. The other large weight sectors were financials (18.11%) and the metallurgy (9.78%).

Blue Chips Index

In 2012 the ruble-denominated RTS Standard, the Blue Chips Index, showed a positive trend.

The RTS Standard Index was up 5.32% to 10,102.06 points (9,592.15 points as of Dec. 30, 2011). At the end of the month the RTS Standard was 5.57% higher than its closing level three years ago (9,568.83 points as of Dec. 31, 2009).

At the end of the year, 11 out of 16 securities included into the RTS Index constituent lists were pushing the RTS Standard up (plus 10.68%), and five constituents behaved negatively (minus 5.36%).

The most positive impact on the RTS Standard Index was due to the rising prices for ordinary shares of LUKOIL (plus 3.09%) and Sberbank (plus 2.74%).

The negative impact was due to the falling prices for ordinary shares of Gazprom (minus 3.04 %) and Rostelecom (minus 0.92%).

The oil and gas sector accounted for 56.00% of the Blue Chips Index total capitalization. The other large weight sectors were financials (22.17%) and metallurgy (8.42%).

Second- Tier Stocks Indices

In 2012 the MICEX SC and the RTS-2, the Second-Tier Stocks Indices, showed a different trend. The ruble-denominated MICEX SC Index went down by 1.45% to 3,404.57 points (3,454.75 points as of Dec. 30, 2011). The dollar-denominated RTS-2 Index gained 3.23%, reaching 1,576.61 points (1,527.32 points as of Dec. 30, 2011).

At the end of the year the MICEX SC Index was 6.11% lower than its closing level three years ago (3,626.05 points as of Dec. 31, 2009), while the RTS-2 Index was 10.46% higher than its closing level three years ago (1,427.28 points as of Dec. 31, 2009).

At the end of the year, 48 out of 86 securities included into the RTS-2 Index constituent lists were pushing the index up (plus 16.75%), and 36 constituents behaved negatively (minus 13.52%). The price of two constituent stocks remained unchanged.

The most positive impact on the RTS-2 Index was mainly due to the rising prices for ordinary and preferred shares of Bashneft (plus 3.21% and 3.10% thereafter).

The most negative impact was due to the falling prices of OGC 2 (minus 2.85%) and IDGC Holding (minus 2.38%).

The most positive impact on the Second-Tier Stocks Indices was mainly due to the rising prices for securities of the oil and gas (plus 6.26%) and chemicals sectors (plus 1.89%).

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

In 2012 the Russian Government Bond price Index (RGBI) went up by 6.91% to 138.04 points. The Index calculated on the basis of the total returns method went up by 14.65% and reached 312.73 points. The weighted average yield to maturity of the bonds being the part of the calculation formula was down 94 basis points to 6.58%. Trading volume of bonds included into the RGBI index amounted to RUB 612.2 billion for the year.

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR, total return) grew by 8.57% and amounted to 224.16 points. Growth of MICEX CBI 3Y total return sub-index was 8.34%, the MICEX CBI 5Y index was up 7.95%.

The weighted average yield to maturity of bonds included into the MICEX CBI index was 8.62%, spread to RGBI yield to maturity amounted 204 basis points. The weighted average yield to maturity of corporate bonds sub-index included bonds with mature data between six months and 2.5 years amounted 8.58%. The largest trading volume of bonds included in the Corporate Bond Index was RUB 133.51 billon in August. Total trading volume was RUB 1044.41 billion over the past year.

The Municipal Bond Index (MICEX MBI TR total return) rose 7.46%, reaching 166.21 points.

The conservative investment strategy tracking the Pension Index could have resulted in a gain of 7.22% per year. The aggressive investment strategy based on the pension index could have brought a growth of 6.07%. The Moderate Pension Index went up by 5.10%.

The bond overnight repo indicative rate (MICEXBORRON) was up 141 basis points (from 4.39% to 6.35%). The equity overnight repo indicative rate was up 47 basis points to 6.27%.

The bond overnight repo trade volume recognized in the indicative rate calculation formula amounted RUB 28.999 trillion for the past year.

Index Derivatives

In 2012 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 32, 483.54 billion or 356.99 million contracts.

Last year's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 29, 208.08 billion or 321.20 million contracts.

The RTS Index futures contract traded in backwardation last year. With RTSI going up by 10.50%, the March contracts with the settlement in 2013 grew in price by 11.91% by the end of 2012, compared with the price on the March contracts in the end of 2011 with the settlement in 2012.

The total investor's open interest measured in RTS Index futures decreased by 17.46%.

During 2012 the trading volume in futures contract on the MICEX Index was RUB 152.23 billion or 1,046.41 thousand contracts. Open interest in the contract on the MICEX Index increased by 148.74% for the year.

Trading volume in options on RTS Index futures totaled RUB 3, 045.16 billion or 33.92 million contracts last year. Open interest of RUB 83.96 billion or 603,000 thousand contracts was fixed. Put 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 investor's open interest measured in options on the RTS index futures increased by 35.81%.