Page 114 - Russia OUTLOOK 2023

6.0 Markets Outlook

The Russian equity market had its best year in a decade in 2021 and is
expected to just as well in 2022. The dollar-denominated Russia Trading
System (RTS) returned around 30% on the year in 2021, including a 20%
sell-off in the last two months of the year.

• ECM

In Russia the “fear index” hit a historical high in 2022 and the Russian
stock market was more volatile than during the pandemic years.

The RVI index (an indicator of the volatility of the Russian market, which is also
called the “fear index”) reached a maximum of 169.96 points at the end of
March. This is the highest figure since November 2013 for this indicator.

For comparison: in March 2021, the value of the RVI index was 30-34 points,
and in March 2020, during the pandemic crisis, it reached about 129 points.

By the end of 2022, the RVI value stabilised and dropped to 39 (as of
December 30), which still remained higher than a year ago of 30-32.

Other indicators of the Russian stock market also showed the worst values
since 2008. Thus the ruble index of the Moscow Exchange (which includes
shares of the 42 largest Russian companies) lost almost 45% during the year,
and the dollar RTS lost almost 40%.

In conditions of increased volatility, investors' holdings in Russian shares
turned out to be the least protected – some securities lost more than 50% of
their value.

Foreign markets were also in the red – the S&P 500 lost about 20%.
Simultaneously, infrastructural risks materialised: the foreign assets of
Russians were frozen, first due to communication problems caused by
sanctions against the Russian financial sector, and then due to sanctions
against the National Settlement Depository (NSD) that holds the foreign assets
of Russian investors.

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