OREANDA-NEWS. January 30, 2013. In December the Russian stock market reflected the positive trend. The MICEX Index was up 4.89% to 1,474.72 points (1,405.97 points as of Nov. 30, 2012) and the dollar-denominated RTS Index grew by 6.29% to 1,526.98 points (1,436.55 points as of Nov. 30, 2012).

For the last month, the U.S. Dollar went down by 1.85% against the ruble.

The stock market volatility increased last month with the Russian Volatility Index rising by 8.32% to 24.22 points (22.36 points as of Nov. 30, 2012).

Last month most of the key economy sectors represented on the Russian stock market behaved positively. The largest upturn was reported by the industrials with the relevant sector index rising by 8.13%. A significant increase was also shown by the consumer and retail and oil and gas sectors with the relevant sector indices up 6.50% and 5.53%. The downturn was reported only by the chemicals (minus 0.76%).

The RTS Standard, the Blue Chips Index, increased by 4.97% to 10,102.06 points (9,624.04 points as of Nov. 30, 2012). Second-Tier Stocks Indices reflected the positive trend. The ruble- denominated MICEX SC Index grew by 5.57% to 3,404.57 points (3,224.91 points as of Nov. 30, 2012). The dollar-denominated RTS-2 Index gained 6.77% reaching 1,576.61 points (1,476.62 points as of Nov. 30, 2012).

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

In December the Russian stock market reflected the positive trend. The MICEX Index was up 4.89% to 1,474.72 points (1,405.97 points as of Nov. 30, 2012) and the dollar-denominated RTS Index grew by 6.29% to 1,526.98 points (1,436.55 points as of Nov. 30, 2012).

At the end of the month, the MICEX Index was 5.17% higher than a year ago (1,402.23 points as of Dec. 30, 2011), the RTS Index was 10.50% higher than a year ago (1,381.87 points as of Dec. 30, 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 8.32%.

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 487.82 billion, and the market capitalization of the Indices' constituents amounted to RUB 20, 434.31 billion.

At the end of the month, 32 constituents of the MICEX Index list were pushing the Index up (plus 5.13%), and 18 constituents behaved negatively (minus 0.24%).

On the sector level, the major positive impact was made by the oil and gas (plus 2.66%) and the metallurgy sectors (plus 1.04%).

The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Norilsk Nickel (plus 0.93%), Rosneft (plus 0.79%), and Gazprom (plus 0.52%). The most negative impact on the MICEX Index was coming from the price decline of the ordinary shares of Bashneft (minus 0.04%), FGC UES (minus 0.04%).

The most positive impact on the RTS Index was mainly due to the rising prices for ordinary shares of Rosneft (plus 0.84%), Norilsk Nickel (plus 0.84%) and Gazprom (plus 0.74%). The most negative impact on the RTS Index was coming from the price decline of the ordinary shares of FGC UES (minus 0.03%) and preferred shares of Mechel (minus 0.01%).

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 metallurgy (9.78%).

Blue Chips Index

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

The RTS Standard Index was up 4.97% to 10,102.06 points (9,624.04 points as of Nov. 30, 2012). At the end of the month the RTS Standard was 5.32% higher than a year ago (9,592.15 points as of Dec. 30, 2011).

At the end of the month, 14 out of 16 securities included into the old and the reviewed RTS Index constituent lists were pushing the RTS Standard up (plus 5.04%), and two constituents behaved negatively (minus 0.07 %).

The most positive impact on the RTS Standard Index was due to the rising prices for ordinary shares of Norilsk Nickel (plus 0.92%) and Rosneft (plus 0.91%).

The negative impact was due to the falling prices for ordinary shares of FGC UES (minus 0.06 %) and Rushydro (minus 0.01%).

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 Index

In December the MICEX SC and the RTS-2, the Second-Tier stocks Indices, showed a positive trend. The ruble-denominated MICEX SC Index grew by 5.57% to 3,404.57 points (3,224.91 points as of Nov. 30, 2012). The dollar-denominated RTS-2 Index gained 6.77%, reaching 1,576.61 points (1,476.62 points as of Nov. 30, 2012).

At the end of the month the MICEX SC Index was 1.45% lower than a year ago (3,454.75 points as of Dec. 30, 2011).

The RTS-2 Index was 3.23% higher than a year ago (1,527.32 points as of Dec. 30, 2011).

At the end of the month, 51 out of 73 securities included into the old and the reviewed RTS-2 Index constituent lists were pushing the Index up (plus 7.91%), and 21 constituents behaved negatively (minus 1.14%). 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 (plus 0.77%) and E.ON Russia (plus 0.75%).

The most negative impact was due to the falling prices of the PIK Group (minus 0.21%) and FosAgro (minus 0.15%).

The most positive impact on the Second-Tier Stocks Indices was mainly due to the rising prices for securities of the electric utilities (plus 3.92%) and the consumer and retail (plus 1.03%).

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 (7.93%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was up 0.04% to 138.04 points last month (136.93 points as of Nov. 31, 2012). The weighted average return of the securities being the part of the calculation formula was down 25 basis point to 6.58%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend, growing 0.94% to 166.21 points (164.67 as of Nov. 30, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 1.15% to 224.16 points.

The conservative investment strategy tracking the last month's pension index could have resulted in a gain of 1.15% per week. The aggressive investment strategy based on the pension index could have brought a growth of 1.64% per week.

The bond overnight repo rate was down 6 basis points (to 6.35% from 6.41%). The equity overnight repo rate was up 20 basis points and equaled 6.27%.

Index Derivatives

In December the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 1, 785.67 billion or 19.43 million contracts.

Last month's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 1, 576.47 billion or 17.19 million contracts.

The RTS Index futures contract traded in backwardation last month. By the end of the month the RTS Index had gained 6.29%, while the March and December futures contracts were up 6.61% and 5.89% respectively. On Tuesday, Dec. 18, the RTS Index December futures contracts were settled. On Dec. 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 24.56%.

During the month the trading volume in futures contract on the MICEX Index was RUB 13.05 billion or 88.58 thousand contracts. Open interest in the contract on the MICEX Index increased by 42.11% for the month.

Trading volume in options on RTS Index futures totaled RUB 193.10 billion or 2.13 million contracts last month. Open interest of RUB 54.11 billion or 603.67 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 decreased by 52.72%.