RUSSIAN EQUITY AND BOND INDICES (14-18 January, 2013)

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1 Composite Indices Value Return over the period. % Week Month Quarter Year MICEX % 3.98% 4.42% 3.14% RTS % 6.9% 6.5% 7.74% RTS Standard % 3.61% 3.65% 2.35% RTS % 6.82% 5.66% 6.13% Sectoral Indices (in RUB) Oil & Gas % 1.73% 3.76% 5.77% Electric Utilities % 5.78% 1.18% % Consumer goods & Retail % 4.87% 11.8% 25.47% Telecommunication % 4.72% 4.23% 1.52% Industrials % 7.64% 4.56% 13.66% Financials % 8.8% 1.81% -5.21% Chemicals % -.41% -1.1% 11.7% Metals & Mining % 5.29% 7.61% -12.% Thematic indices MICEX % 3.7% 5.41% 3.19% Russian Volatility % -1.17% % -45.7% MICEX Innovation % -3.8% % -36.2% RTS Siberia % 4.55% 3.35% -7.6% Currency (CBR) USD / RUB % -1.39% -1.47% -3.81% Over the week of January 14-18, 13 the Moscow Exchange Indices reflected the positive trend on the Russian stock market. The MICEX was up 1.97% to 1,54.55 (1,51.84 as of January 11, 13) and the dollar-denominated RTS grew by 2.2% to 1,63.5 (1, as of January 11, 13). The US dollar depreciated by.7% against the ruble last week. The stock market volatility decreased last week with the Russian Volatility falling by 4.85% to. (21.23 as of January 11, 13). Last week most of the key economic sectors represented on the Russian stock market behaved positively. The largest upturn was reported by the electric utilities with the relevant sector index rising by 4.87%. A significant increase was also shown by the industrials and the consumer and retail sectors with the relevant sector indices being up 3.55% and 3.% respectively. The MICEX Innovation added.85% to 5.92 ( as of January 11, 13). The RTS Standard, the blue chip index, increased by 1.1% to 1,473.5 (1, as of January 11, 13). Second-tier stocks Indices experienced the positive trend. The ruble-denominated MICEX SC grew by 4.32% to 3, (3, as of January 11, 13). The dollar-denominated RTS-2 gained 1.92% reaching 1, (1,68.7 as of January 11, 13). 15% Key Sectors 14,5% Composite Indices 14% 13,5% 13% 12% 12,5% 11% 11,5% 1% 1,5% 99% 98% MICEX RTS Oil & Gas Consumer & Retail Metals & Mining Industrials Chemicals Electric Utilities Financials Telecommunication MICEX Innovation 99,5% 98,5% RTS MICEX "Blue chips" Second-tier Stocks Small cap 1

2 C onsumer goods & retail Electric Utilities C hemicals Transportatation Telecommunication Metals & Mining F inance O il & Gas MICEX & RTS Indices, the main indices of the Moscow Exchange MICEX RTS ,5 RTSVX 22, 21,5 21,,5, 3,35 3,32 3,29 3,26 3,23 USD/RUB Trading volume*, bln. RUB ,7 19,9 16,3 21,2 19,5 SBER Stocks prices impact on indices, % Over the week of January 14-18, 13 the Moscow Exchange Indices reflected the positive trend on the Russian stock market. The MICEX was up 1.97% to 1,54.55 (1,51.84 as of January 11, 13) and the dollar-denominated RTS grew by 2.2% to 1,63.5 (1, as of January 11, 13). At the end of the week the MICEX was 3.98% higher than a month ago 1, as of December 18, 12) and 3.14% higher than a year ago (1,493.7 as of January 18, 12). The RTS was 6.9% higher than a month ago (1, as of December 18, 12) and 7.74% higher than a year ago (1, as of January 18, 12). Last week s increase of the RTS was accompanied by the decrease of volatility levels, when the Russian Volatility RTSVX was down 4.85%. The most positive impact on the MICEX was mainly due to the rising prices for ordinary shares of Sberbank (+.57%), Magnit (+.32%) and preferred shares of Norilsk Nickel (+.11%). Trading volume of securities included into the Moscow Exchange Indices list of constituents amounted to RUB 1.55 billion, and the market capitalization of the Indices constituents amounted to RUB 21, billion. At the end of the week, 42 constituents of the MICEX list were pushing the up (+2.14%), while 8 securities behaved negatively (-.17%). On the sector level, the major positive impact was made by the financial sector (+.68%) and the consumer & retail sector (+.36%). The oil & gas sector accounted for 49.97% of the MICEX total capitalization. The other large-weight sectors were the finance (19.22%) and the metals & mining (1.4%). MGNT TRNFP GMKN Impact,%,8% MICEX : Sector impact and weight Weight SNGS SNGSP,6% 19,22% 49,97% FEES HYDR LKOH NVTK RTS MICEX,4%,2%,% 5,% 3,4% 1,% 5,43%,7% 5,% ROSN -,2% -,1%,%,1%,2%,3%,4%,5%,6% Weekly impact on indices Up Down Total influence. % MICEX +2.14% -.17% +1.97% RTS +2.18% -.16% +2.2% 2

3 Electric Utilities Telecommunication C hemicals Metals & Mining Finance O il & Gas ,5 2,5 1 RTS Standard Trading volume*, bln. RUB. 1,5 1,3 1,7 1,8 1,7 Stocks prices impact on RTS Standard, % SBERS SNGSS FEESS GMKNS HYDRS LKOHS GAZPS SBERPS VTBRS CHMFS RTKMS URKAS TRNFPS ROSNS NVTKS Weekly price change -,2%,%,2%,4%,6%,8% Number of constituents Up Down Unchanged Blue Сhip Total influence, % Influence, % +1.45% -.35% % 1.1% Impact,% 1,2%,9%,6%,3%,% -,3% RTS Standard : Sector impact and weight 3,% 3,96% 6,% 23,67% 8,73% 54,44% Weight For the week of January 14-18, 13 the rubledenominated RTS Standard, the blue-chip, showed a positive trend. The RTS Standard was up 1.1% to 1,473.5 (1, as of January 11, 13). At the end of the week the RTS Standard was 3.61% higher than a month ago (1,18.54 as of December 18, 12) and 2.35% higher than a year ago (1, as of January 18, 12). At the end of the week, 1 out of 15 securities included into the index were pushing the RTS Standard up (+1.45%), while 5 shares behaved negatively (-.35%). The most positive impact on the RTS Standard was mainly due to the rising prices for ordinary shares of Sberbank (+.7%) and preferred shares of Surgutneftegas (+.13%). The most negative impact was due to the falling prices for ordinary shares of NOVATEK (-.19%) and Rosneft (-.8%). The oil & gas sector accounted for 54.44% of the blue chips index total capitalization. The other largeweight sectors were the finance (23.67%) and the metals & mining (8.73%). Code Security name Weight in RTS Standard Weight in MICEX CHMFS Severstal, Ordinary 1.76% 1.39% FEESS "FGC UES", JSC, Ordinary 1.46% 1.15% GAZPS GAZPROM, Ordinary 18.68% 14.73% GMKNS "OJSC "MMC "NORILSK NICKEL", Ordinary 6.97% 5.5% HYDRS JSC "RusHydro", Ordinary 1.74% 1.37% LKOHS ОАО "LUKOIL", Ordinary 16.93% 13.35% NVTKS JSC "NOVATEK", Ordinary 4.58% 3.68% ROSNS Rosneft, Ordinary 7.22% 5.7% RTKMS Rostelecom, Ordinary 3.96% 3.16% SBERS Sberbank, Ordinary 18.53% 14.64% SBERP Sberbank, Pref 1.29% 1.2% SNGSS Surgutneftegas, Ordinary 4.44% 1.66% TRNFPS Transneft, Pref 2.59% 2.16% URKAS Uralkali, Ordinary 6.% 4.74% VTBRS JSC VTB Bank, Ordinary 3.85% 3.4% Total 1.% 77.28% 3

4 Oil & Gas Transportation Metals & Mining Finance Cosumer goods & retail Chemicals Industrials Electric Utilities RTS Trading volume*, mln. RUB. 147, 123,5 111,5 Second-Tier Stocks Indices 77,5 99,2 Stocks prices impact on RTS-2, % TGKD MRKP TGKA MRKU KMAZ MRKC VRAO GRAZ OGKE NKNC VRPH PRTK MICEX SC -,2% -,1%,%,1%,2%,3%,4%,5%,6%,7% For the week of January 14-18, 13 second-tier indices experienced the positive trend. The rubledenominated MICEX SC grew by 4.32% to 3, (3, as of January 11, 13). The dollardenominated RTS-2 gained 1.92% reaching 1, (1,68.7 as of January 11, 13). At the end of the week the MICEX SC was 8.25% higher than a month ago (3,355. as of December 18, 12) and 1.17% higher than a year ago (3, as of January 18, 12). The RTS-2 was 6.82% higher than a month ago (1, as December 18, 12) and 6.13% higher than a year ago (1, as of January 18, 12). At the end of the week, 37 out of 5 securities included into the RTS-2 constituent list were pushing the up (+2.33%), while 9 securities behaved negatively (-.41%). The prices of 4 constituent stocks remained unchanged. The most positive impact on the RTS-2 was mainly due to the rising prices for ordinary shares of Kvadra (+.6%) and IDGC of Centre and Volga Region (+.33%). The most negative impact was due to the falling prices of PROTEK (-.14%) and Veropharm (-.9%). The most positive impact on the second-tier indices was mainly due to the rising prices for securities of the electric utilities (+1.65%) and the industrials (+.21%). The electric utilities sector accounted for 42.62% of the RTS-2 total capitalization. The other largeweight sectors were the industrials (12.63%) and the chemicals (1.91%). Impact, % 2,5% 2,% 1,5% 1,%,5%,% -,5%,86% 7,5% 6,74% RTS-2 : Sector impact and weight 7,64% 9,67% 1,91% 42,62% Weight 12,63% Weekly price change Number of constituents Up Down Unchanged Total influence, % Influence, % +2.33% -.41% % +1.92% 5 4

5 MICEX-1 Trading volume*, bln. RUB ,9 16,3 12, 15,7 15, MICEX Innovation Trading volume*, mln. RUB,1 8,9 27,6 MICEX-1 Stock prices change in MICEX-1, % FEES SBERP SBER SNGS GMKN VTBR LKOH GAZP URKA ROSN MICEX Innovation 13,5 3,7 ISKJ ARMD RNAV LIFE PLSM UTII NSVZ DIOD -2% % 2% 4% 6% 8% Stocks prices impact on MICEX Innovation, % ODVA -,3% -,1%,1%,3%,5%,7% RTS Siberia RTS Siberia Stocks prices impact on RTS Sideria, % HYDR RASP GMKN TGKN KOGK Trading volume*, bln. RUB 1,7 2,7 2,9 1,9,4 BLNG IRGZ -,2%,%,2%,4%,6%,8% 5

6 Value Debt market Return over the period Week Month Quarter Year Russian Government Bond Indices RGBI %.68% 3.58% 7.27% RGBI-tr % 1.26% 5.38% 15.5% Yield to maturity 6.41% 3 b.p. -15 b.p. -69 b.p. -98 b.p. Corporate Bond Indices MICEXCBICP %.67%.88%.97% MICEXCBITR % 1.3% 2.94% 8.99% Yield to maturity 8.47% -1 b.p. -3 b.p. -1 b.p. -19 b.p. Municipal Bond Indices MICEXMBICP %.41%.37%.38% MICEXMBITR % 1.18% 2.34% 7.77% Yield to maturity 8.4% -9 b.p. -28 b.p. -14 b.p. -9 b.p. Pension Indices Conservative %.83% 2.1% 7.61% Moderate % 1.38% 1.67% 6.68% Aggressive % 2.8% 1.47% 5.72% Equity Repo Rate indicators Overnight 5.74% 26 b.p. -44 b.p. -22 b.p. 66 b.p. 1 week 4.81% -74 b.p b.p b.p b.p. 2 weeks 6.92% -58 b.p. -83 b.p. 22 b.p. 8 b.p. Bonds Repo Rate indicators Overnight 5.76% 33 b.p. -59 b.p. -36 b.p. 64 b.p. 1 week 7.4% 29 b.p. 52 b.p. 81 b.p. 15 b.p. 2 weeks 6.4% b.p. -67 b.p. 36 b.p. 1 b.p. The Russian Government Bond (RGBI, total return) was down.24% to last week ( points as of January 11, 13). The yield to maturity of the securities being the part of the calculation formula was up 3 basis point to 6.41%. The Municipal Bond (MICEX MBI TR, total return) showed the positive trend and reached growing by.32% ( as of January 11, 13). The total return value of the MICEX Corporate Bond (MICEX CBI TR) was up.39% to points. The conservative investment strategy tracking the last week s pension index could have resulted in a gain of.3% per week. The aggressive investment strategy based on the pension index could have brought a profit of 1.43% per week. The bond overnight repo rate was up 33 basis point (from 5.43% to 5.76%).The equity overnight repo rate was up 26 basis points and equaled 5.74%. 6

7 Derivatives RTS Futures Volume, bln. RUB Open interest, bln. RUB MICEX Futures 1,2,9,6,3, Volume, bln. RUB Open interest, bln. RUB , 4, 3, 2, 1,, For the week of January 14-18, 13 the total trading volume in index futures and options on the Moscow Exchange Derivatives Market equaled RUB billion or 4.16 million contracts. Last week s trading volume for the most liquid contract on FORTS, futures contract on the RTS, amounted to RUB billion or 3.57 million contracts. The RTS futures contract traded in backwardation last week. By the end of the week the RTS gained 2.2%, while the March and December futures contracts up 2.1% and 1.88% respectively. The total investor s open interest measured in RTS futures increased by 7.84%. During the week the trading volume in futures contract on the MICEX was RUB1.38 billion or 8.98 thousand contracts. Open interest in the MICEX futures decreased by 2.64%. Trading volume in options on RTS futures totaled RUB billion or thousand contracts last week. Open interest of RUB billion or thousand contracts was fixed. Put options made up 47.4% of the total open interest for these contracts. The 155. strike calls and 15. strike puts had the highest open interest. The total investors open interest measured in options on the RTS index futures decreased by.42%. Volume, bln. RUB 1 8 Options on RTSI futures contract OI, bln. RUB Open interest in quarterly options call put Call option volume Call option OI Put option volume Put option OI

8 The Moscow Exchange Indices are key indicators of the Russian organized market of securities and derivatives. The Indices refer to the type of the capitalization-weighted equity indices. The Indices calculation formula is based on the ratio of the total market capitalization of stocks included into the to the same indicator as of the inception date. The MICEX and the RTS Indices are Russian stock market composite indices that include 5 most liquid stocks of the largest and most dynamically developing Russian issuers. The MICEX is calculated based on the stock prices denominated in RUB. The RTS is calculated based on the stock prices denominated in USD. Sectoral Indices reflect the movements of prices in a given sector of the economy represented in the Russian stock market. They usually include 1 to liquid shares of the most highly capitalized Russian issuers belonging to this sector. MICEX O&G (RTSog) comprises stocks of oil & gas companies. MICEX PWR (RTSeu) comprises stocks of power companies. MICEX TLC (RTStl) comprises stocks of telecommunication companies. MICEX M&M (RTSmm) comprises stocks of companies of metals and mining industry. MICEX MNF (RTSin) comprises stocks of companies of mechanical engineering industry. MICEX FNL (RTSfn) comprises stocks of banks and financial companies. MICEX CGS (RTScr) comprises stocks of companies of consumer & retail sector. MICEX CHM comprises stocks of companies of chemical and petrochemical industry. Values of the sectoral indices are presented in rubles and in US dollars. Historical values of the MICEX sectoral indices are served as a history for ruble-denominated indices, whereas historical values of the RTS indices are used as a history for dollar-denominated indices. The Blue Chips (RTS Standard ) is an indicator that tracks performance of the blue chips. It is calculated from rubledenominated prices and bids for 15 top liquid stocks of the Russian cash equity market. The Blue Chips MICEX1 is a price non-weighted index calculated as the average of price fluctuations of 1 most liquid stocks admitted to trading on the Exchange. The tracks the increase in the value of portfolio comprising 1 stocks with the same initial weights. The second-tier (RTS-2) is an indicator that tracks the performance of stocks issued by small cap and mid cap companies. The constituent list includes 5 securities ranked below the stocks with the largest capitalization (taking into account free-float) included into the MICEX and the RTS unified list of constituents. The is calculated based on the dollar-denominated stock prices. The MICEX Innovation is a capital-weighted price index comprised stocks of Russian companies traded on the Innovations and Investments Market. Regional Indices are equity indices designed to include stocks admitted to trading in Moscow Exchange, selected on the basis of liquidity and capitalization with issuers operating primarily in the specific federal district of the Russian Federation. At the moment, the information on the RTS Siberia, with constituent stocks of companies from the Siberian Federal district, is available. The Russian Volatility is an aggregated indicator which reflects the average value of implied volatility of the options on RTS futures contract. To calculate values of the the Black-Scholes option pricing formula is applied. The Bond Indices are the family of MICEX Bond Indices consists of the Russian Government Bond (RGBI), MICEX Corporate Bond (MICEX CBI) and MICEX Municipal Bond (MICEX MBI). The Indices were designed to measure the performance of the various segments of the Russian bond market. The Bond Indices are calculated by three methods concurrently: "total return", "clean price" and "gross price" method. In addition, duration and yield to maturity are calculated based on the Indices constituent lists. The repo rate indicators are calculated to evaluate Russian organized repo market condition. The Indicators are computed separately for the stock repo market and bond repo market. Trades in shares included in the MICEX constituent list and trades in bonds included in the Bank of Russia s Lombard list are used to calculate the Indicators. There are overnight, one-week and two-week repo rate indicators that are determined based on settlement periods of relevant repo transactions. OJSC «Moscow Exchange MICEX-RTS» Indices and Market Data Department Bolshoy Kislovskiy per., , Moscow, Russia Phones: +7(495) (ext. 243) Faxes: +7(495) (ext ) indices@micex.com 8

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