OREANDA-NEWS. August 1, 2012. For the week of July 16-20, 2012 the MICEX Index was down 0.08% to 1,415.38 points from 1,416.50 points as of July 13, 2012.

The RTS Index calculated based on prices in US dollar was up 1.67% to reach 1,391.55 points (1,368.69 points as of July 13, 2012). The US dollar depreciated by 1.96% against the ruble.

The stock market volatility shed last week, with the Russian Volatility Index decreasing by 4.26% to 30.36 points (31.71 points as of July 13, 2012).

Last week some of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the metal & mining sector, with the relevant sector index falling by 1.76%. A significant decrease was also shown by the industrial and telecommunication sectors, with the MICEX MNF\RTSin Index and MICEX TLC\RTStl Index decreasing 1.51% and 0.28% respectively. The largest growth was reported by the chemical and petrochemical industry with the MICEX CHM Index adding 2.47%.

The MICEX Innovation Index lost 1.62%.

Small cap companies showed the largest upturn last week, with the MICEX Small Cap Index being up 1.35%. The MICEX Mid Cap Index and MICEX Large Cap Index added 0.23% and 0.07% respectively.

Index

Value

Return over the period, %

20.07.12

Week

Month

Quarter

Year

Composite indices

MICEX Index

1,415.38

-0.08%

2.96%

-5.96%

-16.81%

RTS Index

1,391.55

1.67%

4.42%

-14.08%

-28.14%

RTS Standard Index

9,709.44

-0.33%

2.73%

-5.54%

-15.76%

Sectorai Indices (in RUB)*

Oil & Gas

3,006.68

0.33%

3.28%

-6.42%

-5.20%

Electric Utilities

1,794.66

0.68%

8.66%

-18.54%

-35.70%

Consumer & Retail

4,548.29

0.45%

3.64%

-6.75%

-17.27%

Telecommunication

2,054.82

-0.28%

0.99%

-9.07%

-20.21%

Industrials

1,862.28

-1.51%

1.27%

-13.12%

-23.37%

Financials

4,827.94

-0.11%

3.41%

-8.33%

-19.63%

Chemicals

7,814.72

2.47%

8.38%

0.42%

3.13%

Metals & Mining

2,742.61

-1.76%

-4.28%

-14.81%

-46.90%

Cap Indices

Large Cap

2,277.54

0.07%

3.35%

-5.01%

-16.32%

Mid Cap

2,349.14

0.23%

2.47%

-9.13%

-24.16%

Small Cap

3,311.86

1.35%

4.40%

-12.52%

-33.11%

Thematic indices

Russian Volatility Index

30.36

-4.26%

-20.25%

2.57%

30.08%

RTS Siberia Index MICEX Innovation Index

686.57

633.74

-1.92%

-1.62%

5.89%

-3.46%

-9.08%

-15.14%

-24.55%

-34.86%

Currency (CBR)

USD/RUB

32.08

-1.96%

-1.40%

8.69%

13.95%

MICEX Index

For the week of July 16-20, 2012 the Russian stock market showed a decline of prices.

The MICEX Index was down to 1,415.38 points (0.08%) from 1,416.50 points as of July 13, 2012. At the end of the week the MICEX Index was 2.96% higher than a month ago (1,374.69 points as of June 20, 2012) and 16.81% lower than a year ago (1,701.37 points as of July 20, 2011).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB129.70 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,748.33 billion.

Out of 30 constituents of the MICEX Index 20 were pulling the Index down (down 0.87%) while 10 securities behaved positively (plus 0.79%).

On the sector level the major negative contributors were the financial (down 0.24%) and metals & mining sectors (down 0.22%).

The most negative impact was mainly due to the falling prices for ordinary shares of OJSC "MMC "NORILSK NICKEL (down 0.18%), followed by JSC  “LUKOIL” (down 0.14%) and Sberbank (down 0.13%).

The positive effect leaders were ordinary shares of Mechel JSC  (plus 0.004%).

The oil & gas sector accounted for 55.19% of the MICEX Index’ total capitalization. The other large- weight sectors were financial (17.91%) and metallurgy (8.13%).

RTS Index

For the week of July 16-20, 2012 the RTS Index was up 1.67% to 1,391.55 points from 1,368.69 points as of July 13, 2012. At the end of the week the RTS Index was 4.42% higher than a month ago (1,332.64 points as of June 20, 2012) and 28.14% lower than a year ago (1,936.54 points as of July 20, 2011).

Last week’s increase of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX was down 4.26%.

The US dollar depreciated by 0.1.96% against the ruble.

Out of 50 Index constituents 36 were pulling the Index up (plus 1.92%), whereas 14 securities had a negative impact (down 0.25%).

On the sector level the major negative contributors were the oil & gas (plus 0.93%) and chemical sectors (plus 0.47%).

The positive impact was mainly related to the growing prices for ordinary shares of Uralkali (plus 0.46%) followed by Gazprom (plus 0.25%) and NOVATEK (plus 0.21%).

Bond Indices

The Russian Government Bond Index (RGBI) was up 0.50% to 131.58 points last week (130.93 points as of July 13, 2012). The RGBI total return value rose by 0.62% to 289.06 points. Last week’s trading volume of bonds being currently in the Index amounted to RUB23.54 billion.

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.34% to 214.59 points, while the clean price value of the index added 0.21 % to reach 91.2 points.

The Municipal Bond Indices also rose last week with the MICEX MBI total return adding 0.39% to 159.44 points (158.82 points as of July 13, 2012).

The conservative investment strategy tracking the last week’s pension index could have resulted in a weekly gain of 0.34%. Following the aggressive investment strategy based on the pension index could have brought a weekly profit of 1.01%.

The bond overnight repo rate was down 12 basis points to 5.87% in value. The equity overnight repo rate lost 20 basis points to 5.52% in value.

Index Derivatives

For the week of July 16-20, 2012 the total trading volume on the derivatives market FORTS equaled RUB504.99 billion rubles representing 5.65 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB443.93 billion representing 4.96 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index added 1.67%, while the September and December futures contracts rose by 1.71% and 1.60% respectively.

The total investor’s open interest measured in RTS Index futures increased by 0.44%.

During the week, trading volume in futures contract on the MICEX Index was RUB1.75 billion representing 12.13 thousand contracts. Open interest in the contract increased by 0.49%.

Trading volume in options on RTS Index futures totaled RUB58.67 billion representing 670.78 thousand contracts. By the end of the week, open interest of RUB62.59 billion or 741.57 thousand contracts was fixed. Call options made up 58.12% of the total open interest for these contracts. The 130,000 strike calls had the highest open interest, similar to the 135,000 strike puts.

The total investor’s open interest measured in options on the RTS index futures decreased by 19.46%.