OREANDA-NEWS. In June 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 1.46% to 1,330.46 points (1,350.17 points as of May 31, 2013) and the dollar- denominated RTS Index fell by 4.21% to 1,275.44 points (1,331.43 points as of May 31, 2013).

For the last month, the U.S. Dollar went up by 4.08% against the ruble.

The stock market volatility increased last month with the Russian Volatility Index rising by 15.75% to 29.17 points (25.20 points as of May 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 and mining with the relevant sector index falling by 5.98%. A significant decrease was also shown by the electric utilities and the chemicals with the relevant sector indices down 4.60% and 3.32%. The largest upturn was reported by the oil & gas (+2.63%).

The Blue Chip Index decreased by 1.70% to 8,993.00 points (9,148.54 points as of May 31, 2013).

The Second-Tier Index depreciated by 1.85% to 2,971.11 points (3,027.00 points as of May 31, 2013). The Broad Market Index lost 1.53% reaching 941.75 points (956.34 points as of May 31, 2013).

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

In June 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 1.46% to 1,330.46 points (1,350.17 points as of May 31, 2013) and the dollar-denominated RTS Index fell by 4.21% to 1,275.44 points (1,331.43 points as of May 31, 2013).

At the end of the month, the MICEX Index was 4.11% lower than a year ago (1,387.52 points as of Jun. 29, 2012), the RTS Index was 5.56% lower than a year ago (1,350.51 points as of Jun. 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 15.75%.

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 561.17 billion, and the market capitalization of the Indices' constituents amounted to RUB 18,398.48 billion.

At the end of the month, 28 constituents of the new and the reviewed MICEX Index lists were pushing the Index down (minus 3.87%), and 23 constituents behaved positively (plus 2.41%).

On the sector level, the major negative impact was made by the financials (minus 0.70%) and the oil and gas (minus 0.33%).

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of JSC "GAZPROM" (minus 1.73%), Sberbank (minus 0.78%), and OJSC "Rostelecom" (minus 0.30%). The most positive impact on the MICEX Index was coming from the price increase of the ordinary shares of JSC "NOVATEK (plus 0.42%) and Rosneft (plus 0.34%).

The most negative impact on the RTS Index was mainly due to the falling prices for ordinary shares of JSC "GAZPROM" (minus 2.11%), Sberbank (minus 1.15%), and OJSC "Uralkali" (minus 0.38%). The most positive impact on the RTS Index was coming from the price increase of the ordinary shares of JSC "NOVATEK (plus 0.28%) and Rosneft (plus 0.21%).

The oil and gas sector accounted for 49.01% of the MICEX Index total capitalization. The other large weight sectors were the finance (20.59%) and the consumer goods and retail (7.12%).

Blue -Chip Index

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

The Blue Chip Index was down 1.70% to 8 993.00 points (9,148.54 points as of Jun.29, 2013). At the end of the month the Blue Chip Index was 5.93% higher than a year ago (9, 559.83 points as of Jun.29, 2012).

At the end of the month, 7 out of 19 securities included into the new and the reviewed Blue Chip Index constituent lists were pushing the Index down (minus 4.10%), and 12 constituents behaved positively (plus 2.40%).

The most negative impact on the Blue Chip Index was due to the falling prices for ordinary shares of JSC "GAZPROM" (minus 2.17%) and Sberbank (minus 0.96%).

The positive impact was due to the rising prices for ordinary shares of JSC "NOVATEK (plus 0.50%) and Rosneft (plus 0.40%).

The oil and gas sector accounted for 53.99% of the Blue Chips Index total capitalization. The other large weight sectors were the finance (20.92%) and the telecommunication (7.21%).

Broad Market and Second- Tier Indices

In June 2013, The Second-Tier Index depreciated by 1.85% to 2,971.11 points (3,027.00 points as of May 31, 2013). The Broad Market Index lost 1.53% reaching 941.75 points (956.34 points as of May 31, 2013).

At the end of the month the Second-Tier Index was 7.56% lower than a year ago (3,213.96 points as of Jun. 29, 2012). The Broad Market Index was 4.44% lower than a year ago (985.52 points as of Jun. 29, 2012).

At the end of the month, 36 out of 53 securities included into the old and the reviewed Second-Tier Index constituent lists were pushing the Index down (minus 4.25%), and 16 constituents behaved positively (plus 2.40%). The price of one constituent stock remained unchanged.

The most negative impact on the Second-Tier Index was mainly due to the falling prices for ordinary shares of IDGC of Centre, JSC (minus 0.66%) and JSC "Quadra - Power Generation" (minus 0.58%).

The most negative impact on the Broad Market Index was due to the falling prices of JSC "GAZPROM" (minus 1.73%) and Sberbank (minus 0.78%).

The most negative impact on the Second-Tier Index was mainly due to the falling prices for securities of the electric utilities (minus 1.55%) and the financials (minus 0.33%).

The electric utilities sector accounted for 37.76% of the Second-Tier Index total capitalization. The other large weight sectors were the consumer goods and retail (18.76%) and the industrials (10.53%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was down 1.97% to 133.47 last month (136.15 points as of May 31, 2013). The yield to maturity of the securities being the part of the calculation formula was up 30 basis points to 7.30%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 173.11 growing by 0.05% (173.03 as of May 31, 2013).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.12% to 233.59 points. The yield to maturity of the securities being the part of the calculation formula was up 18 basis points to 8.13%.

The conservative investment strategy tracking the last month pension index could have resulted in a gain of 0.17% per month. The aggressive investment strategy based on the pension index could have brought a loss of 1.64% per month.

The bond overnight repo rate was down 3 basis points (from 6.19% to 6.16%). The equity overnight repo rate was up 8 basis points and equaled 6.32%.

Index Derivatives

In June 2013, the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 2,886.33 billion or 34.86 million contracts.

Last month's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 2,500.94 billion or 30.35 million contracts.

The RTS Index futures contract traded in backwardation last month. By the end of the month the RTS Index decreased 4.21%, while the September and December futures contracts were down 4.85% and 4.95% respectively. On June 17, the RTS Index June futures contracts were settled. The settlement price equaled 132,105 points.

The total investor's open interest measured in RTS Index futures decreased by 0.96%.

During the month the trading volume in futures contract on the MICEX Index was RUB 22.48 billion or 170.28 thousand contracts. Open interest in the contract on the MICEX Index increased by 121.60% for the month.

Trading volume in options on RTS Index futures totaled RUB 360.59 billion or 4.32 million contracts last month. Open interest of RUB 84.11 billion or 978.29 thousand contracts was fixed. Put options made up 36.56% of the total open interest for these contracts. The 150.000 strike calls and 130.000 strike puts had the highest open interest.

The total investor's open interest measured in options on the RTS index futures decreased by 36.42%.