OREANDA-NEWS. In May 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 2.58% to

1,350.17 points (1,385.88 points as of Apr. 30, 2013) and the dollar-denominated RTS Index fell by 5.39% to 1,331.43 points (1,407.21 points as of Apr. 30, 2013).

For the last month, the U.S. Dollar went up by 1.07% against the ruble.

The stock market volatility increased last month with the Russian Volatility Index rising by 21.50% to 25.20 points (20.74 points as of Apr. 30, 2013).

Last month most of the key economy sectors represented on the Russian stock market behaved negatively. The largest downturn was reported by the metals and mining with the relevant sector index falling by 6.50%. A significant decrease was also shown by the telecommunication and the electric utilities with the relevant sector indices down 4.90% and 4.17%. The largest upturn was reported by the consumer goods & retail (+2.66%).

The Blue Chip Index decreased by 2.59% to 9,148.54 points (9,392.15 points as of Apr. 30, 2013).

The Second-Tier Index depreciated by 0.43% to 3,027.00 points (3,040.13 points as of Apr. 30, 2013). The Broad Market Index lost 2.62% reaching 956.34 points (982.10 points as of Apr. 30, 2013).

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

In May 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 2.58% to 1,350.17 points (1,385.88 points as of Apr. 30, 2013) and the dollar-denominated RTS Index fell by 5.39% to 1,331.43 points (1,407.21 points as of Apr. 30, 2013).

At the end of the month, the MICEX Index was 3.35% higher than a year ago (1,306.42 points as of May 31, 2012), the RTS Index was 7.16% higher than a year ago (1,242.43 points as of May 31, 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 21.50%.

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 591.32 billion, and the market capitalization of the Indices' constituents amounted to RUB 18,467.30 billion.

At the end of the month, 32 constituents of the MICEX Index list were pushing the Index down (minus 3.72%), and 18 constituents behaved positively (plus 1.14%).

On the sector level, the major negative impact was made by the oil and gas (minus 1.38%) and the metals and mining (minus 0.68%).

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of ОАО "LUKOIL" (minus 0.74%), "OJSC "MMC "NORILSK NICKEL" (minus 0.48%), and OJSC "Rostelecom" (minus 0.44%). The most positive impact on the MICEX Index was coming from the price increase of the ordinary shares of JSC "NOVATEK (plus 0.35%) and ОJSC "Magnit" (plus 0.26%).

The most negative impact on the RTS Index was mainly due to the falling prices for ordinary shares of ОАО "LUKOIL" (minus 1.17%), "OJSC "MMC "NORILSK NICKEL" (minus 0.60%), and OJSC "Rostelecom" (minus 0.52%). The most positive impact on the RTS Index was coming from the price increase of the ordinary shares of JSC "NOVATEK (plus 0.23%) and ОJSC "Magnit" (plus 0.16%).

The oil and gas sector accounted for 51.12% of the MICEX Index total capitalization. The other large weight sectors were the finance (19.83%) and the metallurgy (8.29%).

Blue -Chip Index

In May 2013, the Blue Chip Index showed a negative trend.

The Blue Chip Index was down 2.59% to 9,148.54 points (9,392.15 points as of Apr.30, 2013). At the end of the month the Blue Chip Index was 0.91% higher than a year ago (9, 066.19 points as of May 31, 2012).

At the end of the month, 10 out of 15 securities included into the Blue Chip Index constituent list were pushing the Index down (minus 3.38%), and five constituents behaved positively (plus 0.79%).

The most negative impact on the Blue Chip Index was due to the falling prices for ordinary shares of ОАО "LUKOIL" (minus 0.92%) and OJSC "Rostelecom (minus 0.66%).

The positive impact was due to the rising prices for ordinary shares of JSC "NOVATEK (plus 0.28%) and preferred shares of JSC "Transneft" (plus 0.21%).

The oil and gas sector accounted for 56.74% of the Blue Chips Index total capitalization. The other large weight sectors were the finance (23.60%) and the metallurgy (6.95%).

Broad Market and Second- Tier Indices

In May 2013, The Second-Tier Index depreciated by 0.43% to 3,027.00 points (3,040.13 points as of Apr. 30, 2013). The Broad Market Index lost 2.62% reaching 956.34 points (982.10 points as of Apr. 30, 2013).

At the end of the month the Second-Tier Index was 4.43% lower than a year ago (3,167.43 points as of May 31, 2012). The Broad Market Index was 2.54% higher than a year ago (932.63 points as of May 31, 2012).

At the end of the month, 35 out of 69 securities included into the old and the reviewed Second-Tier Index constituent list were pushing the Index down (minus 3.77%), and 34 constituents behaved positively (plus 3.34%).

The most negative impact on the Second-Tier Index was mainly due to the falling prices for ordinary shares of OJSC "GAZ" (minus 0.45%) and FESCO (minus 0.40%).

The most negative impact on the Broad Market Index was due to the falling prices of ОАО "LUKOIL" (minus 0.77%) and "OJSC "MMC "NORILSK NICKEL" (minus 0.44%).

The most negative impact on the Second-Tier Index was mainly due to the falling prices for securities of the metals and mining (minus 0.60%) and the transportation (minus 0.47%).

The electric utilities sector accounted for 39.49% of the Second-Tier Index total capitalization. The other large weight sectors were the consumer goods and retail (12.23%) and the chemicals (12.17%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was down 3.67% to 136.15 last month (141.33 points as of April 30, 2013). The yield to maturity of the securities being the part of the calculation formula was up 64 basis point to 7.00%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 173.03 growing by 0.78% (171.69 as of April 30, 2013).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.54% to 233.32 points. The yield to maturity of the securities being the part of the calculation formula was up 2 basis point to 7.95%

The conservative investment strategy tracking the last month pension index could have resulted in a gain of 0.57% per month. The aggressive investment strategy based on the pension index could have brought a loss of 0.04% per month.

The bond overnight repo rate was down 19 basis point (from 6.38% to 6.19%). The equity overnight repo rate was down 6 basis points and equaled 6.24%.

Index Derivatives

In May 2013, the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 2, 537.42 billion or 28.92 million contracts.

Last month's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 2, 171.71 billion or 24.79 million contracts.

The RTS Index futures contract traded in backwardation last month. By the end of the month the RTS Index decreased 5.39%, while the June and September futures contracts were down 3.60% and 3.39% respectively.

The total investor's open interest measured in RTS Index futures increased by 41.77%.

During the month the trading volume in futures contract on the MICEX Index was RUB 15.65 billion or 112.03 thousand contracts. Open interest in the contract on the MICEX Index increased by 51.80% for the month.

Trading volume in options on RTS Index futures totaled RUB 347.76 billion or 4.00 million contracts last month. Open interest of RUB 136.34 billion or 1.54 million contracts was fixed. Put options made up 42.44% 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 investor's open interest measured in options on the RTS index futures increased by 5.80%.