OREANDA-NEWS. September 28, 2012. The RTS dollar Index went up by 0.9% to 1 389.72 points (1 377.35 on July 31, 2012). For the last month, the U.S. Dollar went up by 0.33% against the Ruble.

The Russian stock market showed volatility decrease: the Russian volatility index (RTSVX) went down by 9.19% to 31.51 points (34.7 points on July 31, 2012).

All key sectors represented on the Russian stock market showed a positive trend in the last month. Leading the growth was the Consumer & Retail Sector - the sectoral Index went up by 4.44%. A considerable growth was also demonstrated by the Finance and Oil & Gas sectors - the Financials Index went up by 2.58%, and the Oil & Gas Index went up by 2.51%.

The MICEX Innovation Index went down by 1.08%.

The stock market’s growing primarily affected mid-cap companies - MICEX Mid Cap Index went up by 2.97%, while MICEX Large Cap Index and MICEX Small Cap Index went up by 1.16% and 1.80%, respectively.

RUSSIAN EQUITY & BOND INDICES

August 2012

MICEX Index

As a result of the described dynamics, by the end of the month the MICEX Index was 7.96% lower compared to its closing level one year ago (1 546.05 on August 31, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 653.25 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 18 750.21 billion.

At month end, 14 stocks out of MICEX Index’s total 30 constituents, had a positive impact on its dynamics (+2.47%), while 16 securities moved negatively (-1.34%).

In August, the major positive contributors in the MICEX Index growing were the securities of the Oil & Gas (+1.30%) and Finance (+0.64%) Sectors.

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC “Gazprom” (+0.67%), JSC “Sberbank Rossii” (+0,53%) and JSC “Novatek” (+0,30%).

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC “Uralkali” (-0.68%).

55.5% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (18.4%) and Metallurgy (7.9%).

As a result of the described dynamics, in August 2012 the RTS Index was 18.36% lower compared to its closing level one year ago (1 702.28 points on August 31, 2011).

The growth of the RTS Index in the previous month was accompanied by a volatility decrease. The Russian volatility index (RTSVX) went down by 9.19%.

In August 2012, 25 stocks out of RTSI’s total 50 constituents had positive impact on the index’s dynamics (+2.29%), while 24 securities moved negatively (-1.39%). The price of 1 stock remained unchanged.

In the previous month the major positive contributors were the securities of Oil & Gas Sector (+1.14%) and Finance (+0.56%).

The most positive impact on RTSI came from increasing prices of ordinary shares of JSC “Gazprom” (+0.57%), JSC “Sberbank Rossii” (+0.46%) and JSC “Rostelecom” (+0.28%).

The most negative impact on RTSI dynamics came from the decreasing prices of the ordinary shares of JSC “Uralkali” (-0.62%).

For the last month Russian Government Bond price Index (RGBI) went up by 0.45% to 132.00 points (131.41 on July 31, 2012). The Index calculated on the basis of the total returns method went up by 1.05% and reached 292.37 points. While weighted average return on bonds included in the RGBI calculation base went down on 13 points and amounted to 7.51%.

Municipal Bond Index (MICEX MBI TR Index, total returns) went up by 0.73% to 160.87 points (159.70 on July 31, 2012). MICEX MBI CP Index, calculated on the basis of clean prices, remained unchanged for the last month and amounted to 96.1 points.

In the Corporate Bonds Sector, the Index calculated on the basis of the total returns method (MICEX CBI TR) went up by 0.84% and reached 216.81 points; the price index was 92.11 points, showing growth of 0.08%. Weighted average return went down on 20 points and amounted to 8.68%.

Conservative investment strategy in pension indices would provide growth of 0.71% during the month, and aggressive strategy would provide growth of 0.55% during the month.

Overnight bonds REPO rate went down for 72 points, from 6.09% to 5.37% during the last month. Overnight stocks REPO rate amounted to 5.01% (78 points decrease).

Index Derivatives

In August trading in Index-based derivatives on FORTS amounted to RUR 2 830.31 billion or 31.36 million contracts.

Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 527.92 billion or 27.96 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI went up by 0.9%, while the September futures went up by 1.10% and the December futures went up by 1.37%.

The total volume of opened positions in the RTSI-based futures went down by 8.98% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 8.81 billion, or 61.03 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 15.34%.

Trading in RTSI-based options in the previous month amounted to RUR 289.14 billion or 3.29 million contracts. The volume of opened positions as of the end of the month amounted to rUr 94.09 billion or 1092.63 thousand contracts, while the share of call options in the total open interest made up 43.98%. The major open interest on call options was concentrated at the strike of 145 000, while the maximum on put options was observed at the strike of 135 000.

For the last month, the volume of opened positions in the RTSI-based futures went up by 9.97%.