OREANDA-NEWS. Moscow Exchange's indices reflected the negative trend on the Russian stock market in the week to 25 October. The MICEX Index was down 1.88% to 1,504.48 (from 1,533.35 on 18 October), while the dollar-denominated RTS Index declined 2.68% to 1,492.20 (from 1,516.62).

The dollar depreciated 1.31% against the rouble.

Volatility decreased, with the Russian Volatility Index falling 3.59% to 20.41 (from 21.17).

Most key sectors made losses. The largest downturn was in Electric Utilities, the sector index of which fell 2.89%. Oil & Gas and Chemicals dropped a respective 2.38% and 2.18%.

The MICEX Innovation Index rised 0.02% to 395.12 (from 395.03).

The Blue Chip Index decreased 1.97% to 10,229.69 (from 10,435.54).

The Second Tier Index appreciated 0.11% to 3,022.84 (from 3,019.42). The Broad Market Index lost 1.86% to 1,063.64 (from 1,083.77).

MICEX & RTS Indices: Moscow Exchange's main indices

Moscow Exchange's indices reflected the negative trend on the Russian stock market in the week to 25 October. The MICEX Index was down 1.88% to 1,504.48 (from 1,533.35 on 18 October), while the dollar-denominated RTS Index declined 2.68% to 1,492.20 (from 1,516.62).

The MICEX Index on 25 October was up 1.68% MoM (from 1,479.59) and up 4.04% YoY (from 1,446.00). The RTS Index was up 2.70% MoM (from 1,452.98) and up 2.42% YoY (from 1,456.91).

The RTS Index's decrease last week was accompanied by a decrease in volatility, with the Russian Volatility Index (RTSVX) down 3.59%.

The MICEX Index's fall was due mainly to price decreases in ordinary shares of GAZPROM (down 0.72%), Sberbank (down 0.30%), and Lukoil (down 0.18%).

The turnover of securities included in Moscow Exchange's indices was RUB 165.84 bln, and their market cap totalled RUB 21,444.94 bln.

Of the MICEX Index constituents, 37 pulled the index down (falling a total 2.27%), while 13 incurred gains (totalling 0.39%).

On the sector level, the major negative impact was from oil and gas (falling 1.34%) and financials (down 0.39%).

Oil & gas accounted for 49.68% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 21.03%) and telecoms (at 8.53%).

Blue Chip Index

The Blue Chip Index fell in the week to 25 October.

It was down 1.97% WoW to 10,229.69 (from 10,435.54), up 1.89% MoM (from 10,039.81), and up 2.90% YoY (from 9,940.91).

Of the 17 securities included in the Index list, 12 were pulling the Blue Chip Index down at the end of the week (falling a total 2.35%), while 5 made gains (totalling 0.38%).

The largest negative impact on the index was from prices falling for ords of GAZPROM (down 0.83%) and Sberbank (off 0.34%).

The largest positive impact was from price gains by ords of Norilsk Nickel (up 0.16%) and Rostelecom (up 0.12%).

The oil & gas sector accounted for 55.49% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (21.65%) and telecoms (7.78%).

Broad Market and Second Tier Indices

The Second Tier Index gained 0.11% during the week to 3,022.84 (from 3,019.42). The Broad Market Index fell 1.86% WoW to 1,063.64 (from

1,083.77).

The Second Tier Index was up 0.34% MoM (from 3,012.47) and down 11.32% YoY (from 3,404.75).

The Broad Market Index was up 4.62% MoM (from 1,035.89) and up 3.49% YoY (from 1,027.80).

Of the 50 securities included in the Second Tier Index, 17 were pulling the index up (with gains totalling 1.44%), while 33 made losses (totalling 1.33%).

The largest positive impact on the Second Tier Index was from gains by Synergy (up 0.50%) and Bank “Saint-Petersburg” (up 0.21%).

The heaviest negative impact on the Broad Market Index was from ords of GAZPROM (up 0.72%) and Sberbank (up 0.30%).

The largest positive impact on the Second Tier Index was from consumer goods and retail (rising 0.51%) and financials (up 0.31%).

Utilities accounted for 30.53% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (16.77%) and oil and gas (11.28%).

Debt market

The Russian Government Bond Index RGBITR (total return) was up 0.18% to 326.11 last week (from 325.53 points on 18 October). The YTM of securities included in the calculation formula was down 2 bps to 7.05%.

The Municipal Bond Index (MICEXMBITR, total return) was up 0.45% WoW to 177.39 points (from 176.59).

The MICEX Corporate Bond Index's MICEXCBITR total return value was up 0.18% to 240.75 points.

A conservative investment strategy tracking last week's pension index could have resulted in a 0.17% WoW gain. An aggressive strategy based on the pension index could have incurred a 0.30% WoW loss.

The bond overnight repo rate was up 5 bps (from 6.13% to 6.18%). The equity overnight repo rate was 6.17%.

Index Derivatives

The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the week to 25 October was RUB 421.58 bln, or 4.42 mln contracts.

Last week's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 365.07 bln, or 3.83mln contracts.

The RTS Index futures contract traded in backwardation last week. The RTS Index lost 1.61% WoW, while the December and March futures were down a respective 1.92% and 1.95%.

Open interest in RTS Index futures decreased 5.85%.

Turnover in MICEX Index futures was RUB 2.70 bln, or 17,680 contracts. Open interest in MICEX Index futures increased 0.58%.

The trading volume in options on RTS Index futures totalled RUB 53.74 bln, or 0.57 mln contracts. Open interest was RUB 169.70 bln, or 1.90 bln contracts. Puts made up 70.66% of the total open interest. The 155,000 strike calls and 135,000 strike puts had the highest open interest.

The open interest in options on RTS index futures fell 13.06%.