OREANDA-NEWS. November 7, 2012. For the week of October 22 - 26, 2012 the MICEX Index was down 1.82% to 1,433.52 (1,460.06 points as of October 19, 2012).

The RTS Index calculated based on prices in US dollar fell by 3.55% to 1,441.38 (1,494.44 points as of October 19, 2012). The US dollar appreciated by 1.73% against the ruble.

The stock market volatility increased last week with the Russian Volatility Index rising by 3.76% to 25.93 points (24.99 points as of October 19, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the electric utilities with the relevant sector index falling by 5.95%. A significant decrease was also shown by the telecommunications and the metallurgy

with the relevant sector indices down 3.83% and 2.57% respectively.

The MICEX Innovation Index lost 3.16%.

The largest downturn was shown by the mid cap companies. The MICEX Mid Cap Index lost 4.41%. The MICEX Large Cap Index and the MICEX Small Cap Index were down 1.25% and 2.87% respectively.

For the week of October 22 - 26, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 1.82% to 1,433.52 (1,460.06 as of October 19, 2012).

At the end of the week the MICEX Index was 0.82% lower than a month ago (1,445.38 points as of September 26, 2012) and 4.42% lower than a year ago (1,499.79 as of October 26, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB157.64 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,432.95 billion.

24 constituents of the MICEX Index list were pushing the Index down (minus 2.61%) and 6 constituents behaved positively (plus 0.79%).

On the sector level the major negative contributors were the oil & gas (minus 0.88%) and the electric utilities (minus 0.40%). The most negative impact was mainly due to the falling prices for ordinary shares of LUKOIL (minus 0.63%) followed by NOVATEK (minus 0.30%) and Gazprom (minus 0.28%).

The oil & gas sector accounted for 52.88% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.64%) and metallurgy (9.59%).

For the week of October 22 - 26, 2012 the RTS Index fell by 3.55% to 1,441.38 (1,494.44 as of October 19, 2012). At the end of the week the RTS Index was 1.07% lower than a month ago (1,456.99 as of September 26, 2012) and 5.80% lower than a year ago (1,530.11 as of October 26, 2011).

Last week’s decrease of the RTS Index was accompanied by the increase of volatility levels, when the Russian Volatility Index RTSVX was up 3.76%.

The US dollar appreciated by 1.73%.

43 constituents of the RTS Index list were pulling the Index down (minus 4.02%), 7

constituents behaved positively (plus 0.47%).

On the sector level the negative impact was caused by the oil & gas (minus 1.94%) and financial (minus 0.42%) sectors.

The negative impact was mainly related to the falling prices of ordinary shares of LUKOIL (minus 0.96%), Gazprom (minus 0.52%) and Sberbank (minus 0.39%).

Debt Market

The Russian Government Bond Index (RGBI) was down 0.12% to 134.28 points last week (134.44 points as of October 19, 2012).

RGBI total return value grew by 0.03% to 300.66 points. The weighted average return of the securities being the part of the calculation formula grew by 4 basis points to 7.13%.

The Municipal Bond Index (MICEX MBI TR, weighted average return) showed the positive trend and reached 163.77 basis points growing by 0.10% (163.60 as of October 19, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.10% to 219.69 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.11% per week.

The aggressive investment strategy based on the pension index could have brought a loss of 1.44% per week.

The bond overnight repo rate was up 32 basis points (from 6.06% to 6.38%).The equity overnight repo rate grew 33 basis points to 6.19%.

Index Derivatives

For the week of October 22 - 26, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB729.31 billion ’ representing 7.99 million contracts.

Last week’s trading volume for the most liquid 0 contract on FORTS, futures contract on the RTS Index, amounted to RUB670.18 billion representing .5 7.35 million contracts.

The RTS Index futures contract traded in >o backwardation last week. By the end of the week the RTS Index lost 3.55%, while the March and December futures contracts were down 3.33% and 3.40% respectively.

The total investor’s open interest measured in RTS Index futures decreased by 0.89%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB3.14 billion representing 21.49 thousand contracts. Open interest in the contract on the MICEX Index increased by 0.67% for the week.

Trading volume in options on RTS Index futures totaled RUB54.63 billion representing 603.74 thousand contracts. Open interest of RUB101.44 billion or 1.13 million contracts was fixed. Call options made up 50.43% 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 24.38%.