OREANDA-NEWS. In August 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 0.81% to 1,364.65 points (1,375.79 points as of Jul. 31, 2013) and the dollar- denominated RTS Index fell by 1.71% to 1,290.96 points (1,313.38 points as of Jul. 31, 2013).

For the last month, the U.S. Dollar went up by 0.88% against the ruble.

The stock market volatility decreased last month with the Russian Volatility Index falling by 9.25% to 22.95 points (25.29 points as of Jul. 31, 2013).

Last month part of the key economy sectors represented on the Russian stock market behaved negatively. The largest downturn was reported by the electric utilities with the relevant sector index falling by 4.92%. A significant decrease was also shown by the consumer goods and retail and the financials with the relevant sector indices down 1.35% and 1.23% respectively. The largest upturn was reported by the oil & gas (plus 1.84%).

The Blue Chip Index decreased by 0.93% to 9,208.07 points (9,294.64 points as of Jul. 31, 2013).

The Second-Tier Index appreciated by 1.09% to 3,011.90 points (2,979.30 points as of Jul. 31, 2013). The Broad Market Index lost 0.82% reaching 966.23 points (974.20 points as of Jul. 31, 2013).

MICEX & RTS Indices, the main indices of the Moscow Exchange

In August 2013, the Russian stock market reflected the negative trend. The MICEX Index was down 0.81% to 1,364.65 points (1,375.79 points as of Jul. 31, 2013) and the dollar-denominated RTS Index fell by 1.71% to 1,290.96 points (1,313.38 points as of Jul. 31, 2013).

At the end of the month, the MICEX Index was 4.09% lower than a year ago (1,422.91 points as of Aug. 31, 2012), the RTS Index was 7.11% lower than a year ago (1,442.60 points as of Aug. 31, 2012).

Last month's decrease of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 9.25%.

Trading volume of securities included into the Moscow Exchange Indices' list of constituents amounted to RUB 482.34 billion, and the market capitalization of the Indices' constituents amounted to RUB 19,001.59 billion.

At the end of the month, 33 constituents of the MICEX Index list were pushing the Index down (minus 2.64%), and 17 constituents behaved positively (plus 1.83%).

On the sector level, the major negative impact was made by the financials (minus 1.13%) and the consumer goods and retail (minus 0.49%).

The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of Sberbank (minus 0.97%), OJSC "Magnit" (minus 0.46%), and OJSC "Rostelecom" (minus 0.21%). The most positive impact on the MICEX Index was coming from the price increase of the ordinary shares of JSC "GAZPROM" (plus 0.40%) and OJSC Uralkali (plus 0.31%).

The most negative impact on the RTS Index was mainly due to the falling prices for ordinary shares of Sberbank (minus 1.08%), OJSC "Magnit" (minus 0.51%), and OAO "LUKOIL" (minus 0.32%). The most positive impact on the RTS Index was coming from the price increase of the ordinary shares of OJSC Uralkali (plus 0.28%) and JSC "GAZPROM" (plus 0.25%).

The oil and gas sector accounted for 52.02% of the MICEX Index total capitalization. The other large weight sectors were the finance (19.30%) and the telecommunication (7.17%).

The oil and gas sector accounted for 50.89% of the MICEX Index total capitalization. The other large weight sectors were the finance (20.27%) and the consumer goods and retail (7.16%).

Blue -Chip Index

In August 2013, the Blue Chip Index showed a negative trend.

The Blue Chip Index was down 0.93% to 9,208.07 points (9,294.64 points as of Jul. 31, 2013). At the end of the month the Blue Chip Index was 5.25% lower than a year ago (9, 718.29 points as of Aug. 31, 2012).

At the end of the month, 10 out of 17 securities included into the Blue Chip Index constituent list were pushing the Index down (minus 2.54%), and 7 constituents behaved positively (plus 1.61%).

The most negative impact on the Blue Chip Index was due to the falling prices for ordinary shares of Sberbank (minus 1.10%) and OJSC "Magnit" (minus 0.52%).

The most positive impact was due to the rising prices for ordinary shares of JSC "GAZPROM" (plus 0.46%) and OJSC Uralkali (plus 0.35%).

The oil and gas sector accounted for 57.27% of the Blue Chips Index total capitalization. The other large weight sectors were the finance (19.33%) and the telecommunication (7.84%).

Broad Market and Second- Tier Indices

In August 2013, The Second-Tier Index appreciated by 1.09% to 3,011.90 points (2,979.30 points as of Jul. 31, 2013). The Broad Market Index lost 0.82% reaching 966.23 points (974.20 points as of Jul. 31, 2013).

At the end of the month the Second-Tier Index was 10.88% lower than a year ago (3, 379.57 points as of Aug. 31, 2012). The Broad Market Index was 4.59% lower than a year ago (1,012.67 points as of Aug. 31, 2012).

At the end of the month, 21 out of 50 securities included into the Second-Tier Index constituent list were pushing the Index up (plus 4.92%), and 28 constituents behaved negatively (minus 3.83%). The price of one constituent stock remained unchanged.

The most positive impact on the Second-Tier Index was mainly due to the rising prices for ordinary shares of OJSC KAMAZ (plus 0.92%) and OAO "VEROPHARM" (plus 0.67%).

The most negative impact on the Broad Market Index was due to the falling prices of Sberbank (minus 0.97%) and OJSC "Magnit" (minus 0.46%).

The most positive impact on the Second-Tier Index was mainly due to the rising prices for securities of the industrials (plus 0.78%) and the consumer goods and retail (plus 0.63%).

The electric utilities sector accounted for 35.99% of the Second-Tier Index total capitalization. The other large weight sectors were the consumer goods and retail (19.08%) and the industrials (11.72%).

Debt Market

The Russian Government Bond Index RGBITR (total return) was down 0.52% to 316.37 points last month (318.01 points as of July 31, 2013). The yield to maturity of the securities being the part of the calculation formula was up 19 basis points to 7.35%.

The Municipal Bond Index MICEXMBITR (total return) showed the positive trend and reached 175.15 growing by 0.45% (174.37 as of July 31, 2013).

The total return value of the MICEX Corporate Bond Index (MICEXCBITR) was up 0.64% to 237.67 points. The yield to maturity of the securities being the part of the calculation formula was down 12 basis points to 7.83%.

The conservative investment strategy tracking the last month pension index could have resulted in a gain of 0.52% per month. The aggressive investment strategy based on the pension index could have brought a loss of 0.38% per month.

The bond overnight repo rate was down 7 basis points (from 6.18% to 6.11%). The equity overnight repo rate was up 8 basis points and equaled 6.19%.

Index Derivatives

In August 2013, the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB 2,004.98 billion or 22.96 million contracts.

Last month's trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB 1,729.52 billion or 19.89 million contracts.

The RTS Index futures contract traded in backwardation last month. By the end of the month the RTS Index decreased 1.71%, while the September and December futures contracts were down 2.18% and 1.86% respectively.

The total investor's open interest measured in RTS Index futures increased by 11.63%.

During the month the trading volume in futures contract on the MICEX Index was RUB 21.74 billion or 156.44 thousand contracts. Open interest in the contract on the MICEX Index increased by 3.68% for the month.

Trading volume in options on RTS Index futures totaled RUB 251.70 billion or 2.90 million contracts last month. Open interest of RUB 128.55 billion or 1.48 million contracts was fixed. Put options made up 55.77% of the total open interest for these contracts. The 135.000 strike calls and 125.000 strike puts had the highest open interest.

The total investor's open interest measured in options on the RTS index futures increased by 10.66%.