OREANDA-NEWS. November 26, 2012. For the week of November 06 - 09, 2012 the MICEX Index was down 2.70% to 1,401.32 (1,440.25 points as of November 02, 2012).

The RTS Index fell by 3.21% to 1,397.86 (1,444.19 points as of November 02, 2012). The US dollar appreciated by 0.47% against the ruble last week.

The stock market volatility increased last week with the Russian Volatility Index rising by 6.61% to 26.78 points (25.12 points as of November 02, 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 financials with the relevant sector index falling by 4.01%. A significant decrease was also shown by the telecommunications and the electric utilities with the relevant sector indices down 2.80% and 3.47% respectively.

The MICEX Innovation Index lost 0.83%.

The largest downturn was shown by the large cap companies. The MICEX Large Cap Index lost 2.97%. The MICEX Mid Cap Index and the MICEX Small Cap Index were down 2.71% and 1.42% respectively.

For the week of November 06 - 09, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 2.70% to 1,401.32 (1,440.25 as of November 02, 2012).

At the end of the week the MICEX Index was 4.86% lower than a month ago (1,472.94 points as of October 09, 2012) and 4.72% lower than a year ago (1,470.80 as of November 26, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB116.45 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,067.70 billion.

26 constituents of the MICEX Index list were pushing the Index down (minus 2.78%) and 4 constituents behaved positively (plus 0.08%).

On the sector level the major negative contributors were the financials (minus 0.95%) and the oil & gas (minus 0.71%). The most negative impact was mainly due to the falling prices for ordinary shares of Sberbank (minus 0.80%) followed by Uralkali (minus 0.41%) and Rosneft (minus 0.27%).

The oil & gas sector accounted for 53.61% of the MICEX Index total capitalization. The other large weight sectors were the financials (15.93%) and the metallurgy (9.86%).

For the week of November 06 - 09, 2012 the RTS Index fell by 3.21% to 1,397. 86 (1,444.19 as of November 02, 2012). At the end of the week the RTS Index was 6.45% lower than a month ago (1,494.16 as of October 09, 2012) and 7.60% lower than a year ago (1,512.85 as of November 09,

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 6.61%.

The US dollar appreciated by 0.47%.

47 constituents of the RTS Index list were pulling the Index down (minus 3.27%), 3 constituents behaved positively (plus 0.06%).

On the sector level the negative impact was caused by the financials (minus 1.12%) and the oil & gas (minus 1.01%).

The negative impact was mainly related to the falling prices of ordinary shares of Sberbank (minus 0.95%), Uralkali (minus 0.43%) and LUKOIL (minus 0.29%).

Debt Market

The Russian Government Bond Index (RGBI) was up 0.06% to 134.60 points last week (134.52 points as of November 02, 2012).

RGBI total return value grew by 0.19% to 302.17 points. The weighted average return of the securities being the part of the calculation formula grew by 3 basis points to 7.20%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 164.11 basis points growing by 0.13% (163.9 as of November 02, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.08% to 220.47 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.08% per week (220.47 basis points).

The aggressive investment strategy based on the pension index could have brought a loss of 1.14% per week.

The bond overnight repo rate was down 39 basis points (from 6.31% to 5.92%).The equity overnight repo rate lost 26 basis points to 5.80%.

Index Derivatives

For the week of November 06 - 09, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB551.46 billion representing 6.17 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB485.28 billion representing 5.44 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 3.21%, while the March and December futures contracts were down 2.95% and 2.99% respectively. The total investor’s open interest measured in RTS Index futures increased by 10.69%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB1.86 billion representing 13.02 thousand contracts. Open interest in the contract on the MICEX Index decreased by 5.77% for the week.

Trading volume in options on RTS Index futures totaled RUB63.70 billion representing 708.48 thousand contracts. Open interest of RUB136.25 billion or 1.51 million contracts was fixed. Call options made up 46.06% 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 17.60%.