OREANDA-NEWS. In February 2013 the Russian stock market reflected the negative trend. The MICEX Index was down 3.93% to 1,486.04 points (1,546.76 points as of Jan. 31, 2013) and the dollar-denominated RTS Index fell by 5.41% to 1,534.41 points (1,622.13 points as of Jan. 31, 2013).

For the last month, the U.S. Dollar went up by 1.97% against the ruble.

The stock market volatility increased last month with the Russian Volatility Index rising by 3.84% to 21.61 points (20.81 points as of Jan. 31, 2013).

Last month part of the key economy sectors represented on the Russian stock market behaved negatively. The largest downturn was reported by the metals & mining with the relevant sector index falling by 7.89%. A significant decrease was also shown by the electric utilities and the oil & gas with the relevant sector indices down 7.49% and 4.61%. The largest upturn was reported by the industrials (+4.07%).

The RTS Standard, the Blue Chips Index, decreased by 4.57% to 10,118.12 points (10,602.53 points as of Jan. 31, 2013).

Second-Tier Stocks Indices reflected the negative trend. The ruble-denominated MICEX SC Index depreciated by 5.46% to 3,589.68 points (3,590.52 points as of Jan. 31, 2013). The dollar- denominated RTS-2 Index gained 5.35% reaching 1,621.46 points (1,660.92 points as of Jan. 31, 2013).

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

In February 2013 the Russian stock market reflected the negative trend. The MICEX Index was down 3.93% to 1,486.04 points (1,546.76 points as of Jan. 31, 2013) and the dollar-denominated RTS Index fell by 5.41% to 1,534.41 points (1,622.13 points as of Jan. 31, 2013).

At the end of the month, the MICEX Index was 6.99% lower than a year ago (1,597.67 points as of Feb. 29, 2012), the RTS Index was 11.56% lower than a year ago (1,734.99 points as of Feb. 29, 2012).

Last month's decrease of the RTS Index was accompanied by the increase of volatility levels, when the Russian Volatility Index RTSVX was up 3.84%.

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 578.15 billion, and the market capitalization of the Indices' constituents amounted to RUB 20, 331.41 billion.

At the end of the month, 33 constituents of the MICEX Index list were pushing the Index down (minus 4.31%), and 17 constituents behaved positively (plus 0.38%).

On the sector level, the major negative impact was made by the oil & gas (minus 2.06%) and the metal & mining (minus 0.86%).

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of Sberbank of Russia (minus 0.71%), MMC Norilsk Nickel (minus 0.52%), and Rosneft Oil Company (minus 0.49%). The most positive impact on the MICEX Index was coming from the price increase of the ordinary shares of Oil Stock Company Bashneft (plus 0.08%), Mobile TeleSystems (plus 0.07%).

The most negative impact on the RTS Index was mainly due to the falling prices for ordinary shares of Sberbank of Russia (minus 0.95%), GAZPROM (minus 0.69%) and MMC Norilsk Nickel (minus 0.61%). The most positive impact on the RTS Index was coming from the price increase of the ordinary shares of Oil Stock Company Bashneft (plus 0.06%) and Mobile TeleSystems (plus 0.04%).

The oil and gas sector accounted for 49.69% of the MICEX Index total capitalization. The other large weight sectors were financials (19.94%) and metallurgy (9.617%).

Blue chips Index

In February 2013 the ruble-denominated RTS Standard, the Blue Chips Index, showed a negative trend.

The RTS Standard Index was down 4.57% to 10,118.12 points (10,602.53 points as of Jan. 31, 2013). At the end of the month the RTS Standard was 7.64% lower than a year ago (10,955.11 points as of Feb. 29, 2012).

At the end of the month, 13 out of 15 securities included into the RTS Index constituent list were pushing the RTS Standard down (minus 4.59%), and one constituent behaved positively (plus 0.02%). The price of one constituent stock remained unchanged.

The most negative impact on the RTS Standard Index was due to the falling prices for ordinary shares of Sberbank of Russia (minus 0.84%) and MMC Norilsk Nickel (minus 0.64%).

The positive impact was due to the rising prices for ordinary shares of Rostelecom (plus 0.02)

The oil and gas sector accounted for 54.21% of the Blue Chips Index total capitalization. The other large weight sectors were financials (24.52%) and metallurgy (8.06%).

Second-tier Stocks Index

In February 2013, Second-Tier Stocks Indices reflected the negative trend. The ruble-denominated MICEX SC Index depreciated by 5.46% to 3,589.68 points (3,590.52 points as of Jan. 31, 2013). The dollar-denominated RTS-2 Index gained 5.35% reaching 1,621.46 points (1,660.92 points as of Jan. 31, 2013).

At the end of the month the MICEX SC Index was 9.45% lower than a year ago (3,964.23 points as of Feb. 29, 2012). The RTS-2 Index was 12.70% lower than a year ago (1,857.30 points as of Feb. 29, 2012).

At the end of the month, 33 out of 50 securities included into the RTS-2 Index constituent list were pushing the Index down (minus 3.95%), and 14 constituents behaved positively (plus 1.57%). The price of three constituent stocks remained unchanged.

The most negative impact on the RTS-2 Index was mainly due to the falling prices for ordinary shares of Enel OGK-5 (minus 0.52%) and Bank Saint- Petersburg (minus 0.31%).

The most positive impact was due to the rising prices of GAZ (plus 0.40%) and Synergy (plus 0.33%).

The most negative impact on the Second-Tier Stocks Indices was mainly due to the falling prices for securities of the electric utilities (minus 1.85%) and the finance (minus 0.62%).

The electric utilities sector accounted for 41.37% of the RTS-2 Index total capitalization. The other large weight sectors were industrials (12.79%) and chemicals (11.61%).

Debt market

The Russian Government Bond Index (RGBI, total return) was down 0.33% to last month (139.22 points as of January 31, 2013). The yield to maturity of the securities being the part of the calculation formula was up 1 basis point to 6.33%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 169.60 growing by 0.87% (168.13 as of January 31, 2013).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.62% to 227.26 points.

The conservative investment strategy tracking the last month pension index could have resulted in a gain of 0.45% per month. The aggressive investment strategy based on the pension index could have brought a loss of 1.16% per month.

The bond overnight repo rate was down 7 basis point (from 6.23% to 6.16%). The equity overnight repo rate was down 10 basis points and equaled 6.01%.

Index Derivatives

In February 2013 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 2, 475.09 billion or 25.91 million contracts.

Last month's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 2, 183.76 billion or 22.90 million contracts.

The RTS Index futures contract traded in backwardation last month. By the end of the month the RTS Index decreased 5.41%, while the March and June futures contracts were down 5.21% and 5.05% respectively.

The total investor's open interest measured in RTS Index futures increased by 43.09%.

During the month the trading volume in futures contract on the MICEX Index was RUB 11.13 billion or 73.17 thousand contracts. Open interest in the contract on the MICEX Index increased by 0.05% for the month.

Trading volume in options on RTS Index futures totaled RUB 275.26 billion or 2.89 million contracts last month. Open interest of RUB 119.00 billion or 1.28 million contracts was fixed. Put options made up 48.52% of the total open interest for these contracts. The 160.000 strike calls and 150.000 strike puts had the highest open interest.

The total investor's open interest measured in options on the RTS index futures increased by 30.83%.