Index Composite Indices Value 28.04.12 Return over the period, % Week Month Quarter Year MICEX Index 1,473.50-2.10% -3.08% -2.29% -15.78% RTS Index 1,593.97-1.58% -3.25% 1.80% -21.44% RTS Standard Index 10,086.75-1.87% -2.98% -2.37% -15.74% Sectoral Indices (in RUB)* Oil & Gas 3,128.97-2.62% -2.56% -1.19% -4.71% Electric Utilities 2,066.66-6.19% -11.43% -6.29% -28.11% Consumer & Retail 4,928.31 1.04% 1.13% 14.19% -10.51% Telecommunication 2,173.57-3.82% -5.67% -1.92% -13.19% Industrials 2,156.37 0.60% 2.03% 16.96% -15.73% Financials 5,108.04-3.01% -4.33% -6.90% -20.68% Chemicals 7,530.68-3.23% 5.29% 4.57% 13.02% Metals & Mining 3,139.70-2.48% -3.85% -13.03% -41.53% Cap Indices Large Cap 2,355.18-1.77% -2.71% -2.81% -16.60% Mid Cap 2,502.64-3.19% -5.05% -0.53% -18.91% Small Cap 3,714.15-1.90% -4.57% 1.06% -26.92% Thematic indices Russian Volatility Index 29.07-1.79% -14.32% -11.43% 15.64% RTS Siberia Index 742.40-1.69% -4.69% 0.32% -22.94% MICEX Innovation Index 744.93-0.25% 2.19% -2.45% -29.46% Currency (CBR) USD / RUB 29.42-0.30% 1.62% -3.10% 6.17% * Sector indices based on prices in US dollars are also available KEY SECTORS For the week of April 23-28, 2012 the MICEX Index dropped by 2.10% to 1,473.50 points from 1,505.10 points as of April 20, 2012. The RTS Index calculated based on prices in US dollar lost 1.58% to reach 1,593.97 points (1,619.53 points as of April 20, 2012). The US dollar depreciated by 0.30% against the ruble. The stock market volatility fall last week, with the Russian Volatility Index decreasing by 1.79% to 29.07 points (29.60 points as of April 20, 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 power sectors, with the relevant sector index falling by 6.19%. A significant decrease was also shown by the telecommunication and chemical and petrochemical sectors, with the MICEX TLC\RTStl Index and MICEX MICEX CHM Index shedding 3.82% and 3.23% respectively. The largest growth was reported by the consumer & retail sector with the MICEX CGS\RTScr Index rising 1.04%. The MICEX Innovation Index lost 0.25%. Mid cap companies were most affected by the last week s market decline, with the MICEX Mid Cap Index being down by 3.19%. The MICEX Small Cap Index and MICEX Large Cap Index lost 1.90% and 1.77% respectively. CAP INDICES 1
MICEX Index For the week of April 23-28, 2012 the Russian stock market showed a decline of prices. The MICEX Index was down to 1,473.50 points (2.10%) from 1,505.10 points as of April 20, 2012. At the end of the week the MICEX Index was 3.08% lower than a month ago (1,520.37 points as of March 28, 2012) and 15.78% lower than a year ago (1,749.65 points as of April 28, 2011). Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB180.66 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB19,429.61 billion. Out of 31 constituents of the MICEX Index 30 were pulling the Index down (down 2.11%), whereas one security had a positive impact (plus 0.004%). On the sector level the major negative contributors were the oil & gas (down 1.04%) and financial sectors (down 0.41%). The most negative impact was mainly due to the falling prices for preferred shares of Transneft (down 0.20%), followed by ordinary shares Rosneft (down 0.19%) and Sberbank (down 0.19%). The positive effect leaders were ordinary shares of Mechel ОАО (plus 0.004%). The oil & gas sector accounted for 55.30% of the MICEX Index total capitalization. The other largeweight sectors were financial (18.30%) and metallurgy (8.46%). Weekly price change Up Down Unchanged Total influence, % Number of constituents 1 30 0 31 Influence, % +0.004% -2.11% 0% -2.10% 2
RTS Index * Standard & Classica, including OTC trades For the week of April 23-28, 2012 the RTS Index was down 1.58% to 1,593.97 points from 1,619.53 points as of April 20, 2012. At the end of the week the RTS Index was 3.25% lower than a month ago (1,647.44 points as of March 28, 2012) and 21.44% lower than a year ago (2,028.94 points as of April 28, 2011). Last week s decrease of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX was down by 1.79%. The US dollar depreciated by 0.30% against the ruble. Out of 50 Index constituents 27 were pulling the Index down (down 1.69%), whereas nine securities had a positive impact (plus 0.13%). The price for 14 securities remained unchanged. On the sector level the major negative contributors were the oil & gas (down 0.84%) and financial sectors (down 0.32%). The negative impact was mainly related to the lowering prices for ordinary shares of Rosneft (down 0.16%) followed by JSC "NOVATEK" (down 0.14%) and Sberbank (down 0.13%). The positive effect leaders were ordinary shares of Bashneft (plus 0.04%). Weekly price change Up Down Unchanged Total influence, % Number of constituents 9 27 14 50 Influence, % +0.13% -1.69% 0% -1.58% 3
RTS Standard Index * for the consistuent stocks RTS Siberia Index * for the consistuent stocks MICEX Innovation Index * for the consistuent stocks 4
1 620 1 610 1 600 1 590 1 580 1 570 1 560 RTSI RTS Index & futures basis RUSSIAN EQUITY INDICES Index Derivatives Basis 23.04 24.04 25.04 26.04 27.04 28.04 RTSI Basis RIM2 & RTSI, points Basis RIU2 & RTSI, points -30,0-40,0-50,0-60,0-70,0 For the week of April 23-28, 2012 the total trading volume on the derivatives market FORTS equaled RUB673.38 billion rubles representing 7.46 million contracts. Last week s trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB629.81 billion representing 6.98 million contracts. The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index lost 1.58%, while the June and September futures contracts shed 1.95% and 1.86% respectively. The total investor s open interest measured in RTS Index futures decreased by 13.67%. During the week, trading volume in futures contract on the MICEX Index was RUB1.92 billion representing 13.35 thousand contracts. Open interest in the contract decreased by 8.94%. Trading volume in options on RTS Index futures totaled RUB39.87 billion representing 437.56 thousand contracts. By the end of the week, open interest of RUB75.20 billion or 805.32 thousand contracts was fixed. Call options made up 61.99% of the total open interest for these contracts. 170,000 strike calls had the highest open interest, while 155,000 strike calls had the lowest. The total investor s open interest measured in options on the RTS index futures decreased by 20.10%. 5
RTS-MICEX Indices are the leading benchmarks of the Russian organized securities and derivatives markets. The equity indices are capitalization-weighted indices. They are calculated based on the total market capitalization of constituent stocks divided by the total market capitalization of these stocks at the initial date. MICEX Index is a composite index of the 30 most liquid stocks of the largest and dynamically developing Russian companies from the major sectors of the Russian economy. The Index is calculated using ruble-denominated prices for the constituent stocks. RTS Index is a broad-based index calculated on the basis of prices of 50 liquid shares of the most highly capitalized Russian companies. This allows it to reflect precisely the entire Russian cash equity market. The Index is computed from the US dollardenominated prices. Cap Indices are market-capitalization weighted indices comprised of the most liquid stocks of Russian issuers: MICEX LC (MICEX Large Cap Index) contains the top companies as measured by market capitalization. MICEX MC (MICEX Mid Cap Index) contains companies with market capitalization ranked lower than for the top companies. MICEX SC (MICEX Start Cap Index) contains companies with small capitalization. Sectoral Indices reflect the movements of prices in a given sector of the economy represented in the Russian stock market. They usually include 10 to 20 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. Regional Indices are equity indices designed to include stocks admitted to trading in MICEX-RTS, 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 Index, with constituent stocks of companies from the Siberian Federal district, is available. RTS Standard Index is an indicator that tracks performance of the so called blue chips. It is calculated from ruble-denominated prices and bids for 15 top liquid stocks of the Russian cash equity market. MICEX Innovation Index is a capital-weighted price index comprised stocks of Russian companies traded on the Innovations and Investments Market. The Russian Volatility Index is an aggregated indicator which reflects the average value of implied volatility of the options on RTS Index futures contract. To calculate values of the Index the Black-Scholes option pricing formula is applied. OJSC «MICEX-RTS» Indices and Market Data Department Bolshoy Kislovskiy per., 13 125009, Moscow, Russia Phones: +7(495) 363-3232 (extension 26031) Faxes: +7(495) 363-3232 (extension 22222) E-mail: pr@micex.com 6