OREANDA-NEWS. Over the week of May 20 - 24, 2013 the Moscow Exchange MICEX Index reflected the negative trend on the Russian stock market. The MICEX Index was down 1.49% to 1,380.88 (1,401.79 as of May 17, 2013) and the dollar-denominated RTS Index fell by 1.20% to 1,388.52 (1,405.34 as of May 17, 2013).

The US dollar appreciated by 0.17% against the ruble last week.

The stock market volatility increased last week with the Russian Volatility Index rising by 18.02% to 24.50 (20.76 as of May 17, 2013).

Last week most of the key economic sectors represented on the Russian stock market behaved negatively. The largest downturn was reported by the industrials with the relevant sector index falling by 3.24%. A significant decrease was also shown by the telecommunication and the consumer goods and retail with the relevant sector indices being down 1.84% and 1.77% respectively. The upturn was reported by the financials (+2.40%).

The MICEX Innovation Index lost 1.55% to 400.38 (406.70 as of May 17, 2013).

The Blue-Chip Index decreased by 1.29% to 9,357.66 (9,480.07 as of May 17, 2013).

The Second-Tier Index depreciated by 0.21% to 3,067.05 (3,073.43 as of May 17, 2013). The Broad Market Index lost 1.56% to 977.74 (993.21 as of May 17, 2013).

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

Over the week of May 20 - 24, 2013 the Moscow Exchange MICEX Index reflected the negative trend on the Russian stock market. The MICEX Index was down 1.49% to 1,380.88 (1,401.79 as of May 17, 2013) and the dollar-denominated RTS Index fell by 1.20% to 1,388.52 (1,405.34 as of May 17, 2013).

At the end of the week the MICEX Index was 0.28% higher than a month ago (1,377.01 as of April 24, 2013) and 7.50% higher than a year ago (1,284.48 as of May 24, 2012). The RTS Index was 0.95% higher than a month ago (1,375.40 as of April 24, 2013) and 7.85% higher than a year ago (1,287.43 as of May 24, 2012).

Last week's decrease of the RTS Index was accompanied by the increase of volatility levels, when the Russian Volatility Index RTSVX was up 18.02%.

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of GAZPROM (0.64%), Sberbank (-0.30%) and Rostelecom (-0.21%).

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 138.06 billion, and the market capitalization of the Indices' constituents amounted to RUB 18,774.40 billion.

At the end of the week, 34 constituents of the MICEX Index list were pushing the Index down (-2.03%), while 16 securities behaved positively (+0.54%).

On the sector level, the major negative impact was made by the oil & gas (-0.91%) and the telecommunication (-0.22%).

The oil & gas sector accounted for 51.15% of the MICEX Index total capitalization. The other large-weight sectors were the finance (20.07%) and the metals & mining (8.12%).

Blue-Chip Index

For the week of May 20-24, 2013 the Blue- Chip Index showed a negative trend.

The Blue-Chip Index was down 1.29% to 9,357.66 (9,480.07 as of May 17, 2013). At the end of the week the Blue-Chip Index was 0.06% lower than a month ago (9,363.04 as of April 24, 2013) and 5.38% higher than a year ago (8.880,21 as of May 24, 2012).

At the end of the week, 9 out of 15 securities included into the index were pushing the Blue- Chip Index down (-1.95%), while six shares behaved positively (+0.66%).

The most negative impact on the RTS Standard Index was mainly due to the falling prices for ordinary shares of GAZPROM (-0.86%) and Sberbank (-0.43%).

The most positive impact was due to the rising prices for preferred shares of Transneft (+0.26%) and ordinary shares of FGC UES (+0.18%).

The oil & gas sector accounted for 56.42% of the blue chips index total capitalization. The other large-weight sectors were the finance (23.92%) and the metals & mining (6.78%).

Broad Market and Second- Tier Indices

For the week of May 20-24, 2013 the Second-Tier Index depreciated by 0.21% to 3,067.05 (3,073.43 as of May 17, 2013). The Broad Market Index lost 1.56% to 977.74 (993.21 as of May 17, 2013).

At the end of the week the Second-Tier Index was 2.33% higher than a month ago (2,997.14 as of April 24, 2013) and 1.95% lower than a year ago (3,128.17 as of May 24, 2012).

The Broad Market Index was 0.10% higher than a month ago (976.75 as April 24, 2012) and 6.60% higher than a year ago (917.24 as of May 24, 2012).

At the end of the week, 29 securities included into the Second-Tier Index constituent list were pushing the Index down (-1.99%), while 18 securities behaved positively (+1.78%). The prices of two constituent stocks remained unchanged.

The most negative impact on the Second-Tier Index was due to the falling prices of TGC 1 (-0.29%) and FESCO (-0.19%).

The most negative impact on the Broad Market Index was mainly due to the falling prices for ordinary shares of GAZPROM (-0.64%) and Sberbank (-0.30%).

The most negative impact on the Second-Tier Index was mainly due to the falling prices for securities of the industrials (-0.28%) and the metals & mining (-0.28%).

The electric utilities sector accounted for 39.56% of the Second-Tier Index total capitalization. The other large-weight sectors were the consumer goods & retail (12.22%) and the chemicals (12.02%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was down 1.71% to 138.20 last week (140.60 points as of May 17, 2013). The yield to maturity of the securities being the part of the calculation formula was up 29 basis point to 6.77%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 172.79 basis points (172.49 as of May 17, 2013).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.19% to 233.39 points.

The conservative investment strategy tracking the last week's pension index could have resulted in a gain of 0.16% per week. The aggressive investment strategy based on the pension index could have brought a profit of 0.52% per week.

The bond overnight repo rate was down 5 basis points (from 6.26% to 6.21%). The equity overnight repo rate was down 2 basis points and equaled 6.24%.

Index Derivatives

For the week of May 20-24, 2013 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 722.56 billion or 8.12 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 626.71 billion or 7.05 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 1.20%, while the June and the September futures contracts down 1.33% and 1.31% respectively.

The total investor's open interest measured in RTS Index futures increased by 11.64%.

During the week the trading volume in futures contract on the MICEX Index was RUB 5.08 billion or 35.89 thousand contracts. Open interest in the MICEX Index futures increased by 19.90%.

Trading volume in options on RTS Index futures totaled RUB 90.36 billion or 1.03 million contracts last week. Open interest of RUB 124.03 billion or 1.42 million contracts was fixed. Put options made up 46.27% of the total open interest for these contracts. The 145.000 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 37.38%.