OREANDA-NEWS. January 4, 2013. For the week of December 10 - 14, 2012 the MICEX Index was up 1.71% to 1,466.15 (1,441.47 points as of December 07, 2012).

The RTS Index grew by 2.03% to 1,500.89 points (1,471.09 points as of December 07, 2012). The US dollar depreciated by 0.99% against the ruble last week.

The stock market volatility increased last week with the Russian Volatility Index rising by 6.01% to 23.12 points (21.81 points as of December 07, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a positive trend. The largest upturn was reported by the consumer & retail sector with the relevant sector index rising by 3.55%. A significant increase was also shown by the telecommunications and electric utilities sector with the relevant sector indices up 3.17% and 2.756% respectively. The largest downturn was reported by industrials (plus 0.21%)

The MICEX Innovation Index appreciated 1.77%.

The largest upturn was shown by the mid cap companies. The MICEX Mid Cap Index gained 1.78%. The MICEX Large Cap Index and the MICEX Small Cap Index were up 1.60% and 1.41% respectively.

For the week of December 10- 14, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 1.71% to 1,466.15 points (1,441.47 points as of December 07, 2012).

At the end of the week the MICEX Index was 6.85% higher than a month ago (1,372.19 points as of November 14, 2012) and 6.83% higher than a year ago (1,372.42 as of December 14, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB126.67 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,823.63 billion.

25 constituents of the MICEX Index list were pushing the Index up (plus 1.74%) and 7 constituents behaved negatively (minus 0.03%).

On the sector level the major positive impact was made by oil & gas sector (plus 0.77%) and the chemical production (plus 0.25%).

The most positive impact on the MICEX Index was mainly due to the rising prices for ordinary shares of Rosneft (plus 0.26%) followed by Uralkali (plus 0.25%) and Rostelecom (plus 0.18%).

The oil & gas sector accounted for 52.95% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.35%) and the metallurgy (10.11%).

For the week of December 10 - 14, 2012 the RTS Index grew by 2.03% to 1,500.89 (1,471.09 as of December 07, 2012). At the end of the week the RTS Index was 9.78% higher than a month ago (1,367.15 as of November 14, 2012) and 9.58% higher than a year ago (1,369.65 as of December 14, 2011).

Last week’s increase of the RTS Index was accompanied by the increase of volatility levels, when the Russian Volatility Index RTSVX was up 6.01%.

The US dollar depreciated by 0.99%.

46 constituents of the RTS Index list were pulling the Index up (plus 2.05%), 4 constituents behaved negatively (minus 0.02%).

On the sector level the positive impact was caused by the oil & gas (plus 0.96%) and the chemical production (plus 0.26%).

The positive impact was mainly related to the rising prices of ordinary shares of Uralkali (plus 0.27%), Rosneft (plus 0.27%) and Rostelecom (plus 0.15%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was up 0.60% to 138.33 points last week (137.51 points as of December 07, 2012). The weighted average return of the securities being the part of the calculation formula was down 15 basis points to 6.51%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 165.38 basis points growing by 0.12% (165.19 as of December 07, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.32% to 222.77 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.05% per week. The aggressive investment strategy based on the pension index could have brought a profit of 1.23% per week.

The bond overnight repo rate was up 9 basis points (from 6.26% to 6.35%).The equity overnight repo rate was up 13 basis points and equaled 6.08%.

Index Derivatives

For the week of December 10 - 14, 2012 the total trading volume in index futures and options on the FORTS Derivatives Market equaled RUB586.24 billion representing 6.37 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB512.27 billion representing 5.58 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index gained 2.03%, while the December and March futures contracts were up 1.99% and 1.92% respectively.

The total investor’s open interest measured in RTS Index futures decreased by 15.15%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB5.24 billion representing 36.67 thousand contracts. Open interest in the contract on the MICEX Index increased by 15.88% for the week.

Trading volume in options on RTS Index futures totaled RUB67.84 billion representing 744.20 thousand contracts. Open interest of RUB127.67 billion or 1.45 million contracts was fixed. Call options made up 46.27% of the total open interest for these contracts.

The 160.000 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 5.96%.