OREANDA-NEWS. Moscow Exchange's indices reflected the negative trend on the Russian stock market by the MICEX Index in the week to 27 December. The MICEX Index was down 0.16% to 1,494.83 (from 1,497.23 on 20 December), while the dollar-denominated RTS Index gained 1.08% to 1,445.39 (from 1,429.91).

The dollar depreciated 0.85% against the rouble.

Volatility increased, with the Russian Volatility Index rising 1.85% to 16.56 (from 16.26).

Part of the key sectors made losses. The largest downturn was in Consumer goods & retail, the sector index of which fell 0.39%. Oil and Gas and Chemicals climbed down a respective 0.06% and 0.05%.The largest gain in Transport is 3.88%.

The MICEX Innovation Index rose 5.00% to 377.03 (from 359.06).

The Blue Chip Index decreased 0.39% to 10,118.63 (from 10,158.35).

The Second Tier Index appreciated 0.97% to 3,119.33 (from 3,089.49). The Broad Market Index fell 0.16% to 1,057.01 (from 1,058.73).

MICEX & RTS Indices: Moscow Exchange's mam indices

Moscow Exchange's indices reflected the negative trend on the Russian stock market by the MICEX Index in the week to 27 December. The MICEX Index was down 0.16% to 1,494.83 (from 1,497.23 on 20 December), while the dollar-denominated RTS Index gained 1.08% to 1,445.39 (from 1,429.91).

The MICEX Index on 27 December was up 1.32% MoM (from 1,475.42) and up 1.12% YoY (from 1,478.24). The RTS Index was up 2.93% MoM (from 1,404.31) and off 5.84% YoY (from 1,535.05).

The RTS Index's increase last week was accompanied by an increase in volatility, with the Russian Volatility Index (RTSVX) up 1.85%.

The MICEX Index's fall was due mainly to price decreases in ordinary shares of GAZPROM (down 0.26%), Sberbank (off 0.20%), and LUKOIL (down 0.17%).

The turnover of securities included in Moscow Exchange's indices was RUB 87.70 bln, and their market cap totalled RUB 21,227.91 bln.

Of the 50 MICEX Index constituents, 22 constituents of the Index list pulled the index down (falling a total 0.81%), while 27 incurred gains (totalling 0.65%). The price of one constituent stock remained unchanged.

On the sector level, the major negative impact was from oil and gas (down 0.31%) and financials (off 0.10%).

Oil & gas accounted for 48.17% of the MICEX Index's total capitalization. The other heavily weighted sectors were financials (at 21.43%) and metal and mining (at 8.37%).

Blue Chip Index

The Blue Chip Index fell in the week to 27 December.

It was down 0.39% WoW to 10,118.63 (from 10,158.35), up 0.73% MoM (from 10,045.73), and up 0.10% YoY (from 10,108.74).

Of the 17 securities included in the Index list, 9 were pulling the Blue Chip Index down at the end of the week (falling a total 0.85%), while 8 made gains (totalling 0.46%).

The largest negative impact on the index was from prices falling for ords of GAZPROM (down 0.30%) and Sberbank (off 0.23%).

The largest positive impact was from price gains by ords of Magnit (up 0.14%) and Rosneft (up 0.09%).

The oil & gas sector accounted for 53.76% of the Blue Chip Index's total capitalization. The other large weight sectors were financials (23.71%) and consumer goods & retail (7.26%).

Broad Market and Second Tier Indices

The Second Tier Index gained 0.97% during the week to 3,119.33 (from 3,089.49). The Broad Market Index fell 0.16% WoW to 1,057.01 (from

1,058.73).

The Second Tier Index was up 6.54% MoM (from 2,927.76) and down 6.74% YoY (from 3,344.68).

The Broad Market Index was up 1.35% MoM (from 1,042.94) and up 0.82% YoY (from 1,048.41).

Of the 50 securities included in the new and the reviewed Second-Tier Index constituent lists, 30 were pulling the index up (with gains totalling 1.72%), while 19 made losses (totalling 0.75%). The price of one constituent stock remained unchanged.

The largest positive impact on the Second Tier Index was from gains by Raspadskaya (up 0.27%) and GAZ (up 0.26%).

The heaviest negative impact on the Broad Market Index was from ords of GAZPROM (down 0.26%) and Sberbank (off 0.20%).

The largest positive impact on the Second Tier Index was from electric utilities (rising 0.81%) and industrials (up 0.26%).

Electric utilities accounted for 33.46% of the Second Tier Index's total capitalization. The other heavily weighted sectors were consumer goods & retail (17.21%) and chemicals (16.39%).

Debt Market

The Russian Government Bond Index RGBITR (total return) was up 0.13% to 324.20 last week (from 323.79 points on 20 December). The YTM of securities included in the calculation formula was 7.15%.

The Municipal Bond Index (MICEXMBITR, total return) was up 0.39% WoW to 178.65 points (from 177.96).

The MICEX Corporate Bond Index's MICEXCBITR total return value was up 0.49% to 243.62 points.

A conservative investment strategy tracking last week's pension index could have resulted in a 0.24% WoW gain. An aggressive strategy based on the pension index could have incurred a 0.22% WoW profit.

The bond overnight repo rate was down 2 bps (from 6.44% to 6.42%). The equity overnight repo rate was 6.65%.

Index Derivatives

The total trading volume in index futures and options on Moscow Exchange's Derivatives Market in the week to 27 December was RUB 199.18 bln, or 2.10 mln contracts.

Last week's trading volume in RTS Index futures, which is the most liquid contract on FORTS, was RUB 159.98 bln, or 1.69 mln contracts.

The RTS Index futures contract traded in backwardation last week. The RTS Index gained 1.08% WoW, while the March and June futures were up a respective 0.79% and 1.24%. Open interest in RTS Index futures increased 0.31%.

Turnover in MICEX Index futures was RUB 2.21 bln, or 14,453 contracts. Open interest in MICEX Index futures increased 14.78%.

The trading volume in options on RTS Index futures totalled RUB 36.92 bln, or 394,874 contracts. Open interest was RUB 119.24 bln, or 1.34 mln contracts. Puts made up 73.95% of the total open interest. The 155,000 strike calls and 130,000 strike puts had the highest open interest.

The open interest in options on RTS index futures rose 8.61%.