OREANDA-NEWS. September 27, 2011. For the week of September 19 - 23, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,315.95 points (16.44%) from 1,574.94 points as of September 16, 2011. At the end of the week the RTS Index was 16.66% lower than a month ago (1,578.91 points as of August 23, 2011) and 10.91% lower than a year ago (1,477.13 points as of September 23, 2010).

The securities market drop down was accompanied by a higher volatility. The Russian Volatility Index (RTSVX) went up by 34.82%.

Over the week the US dollar gained 4.61% against the Russian ruble.

Out of 50 RTSI constituents 49 were pulling the Index down (down 258.99 points overall). The price for 1 security remained unchanged.

The negative effect leaders were ordinary shares of Sberbank (down 34.88 points), OAO "LUKOIL" (down 30.56 points) and Gazprom (down 27.61 points).

In the oil and gas sector 47.93% of the RTSI total capitalization was concentrated. The other large-weight sectors were finance (17.23%) and metallurgy (14.47%).

On the sector level the major negative contributors were the oil & gas sector (down 107.29 points in total) followed by the banks and finance sector (down 48.68 points overall).

RTSI Futures Contracts

The weekly trading volume in the RTSI derivatives amounted to 905.59 billion rubles or 10.01 million contracts. Futures contracts on the RTS Index remained the most liquid instrument on the Russian derivatives market, making up 64.74% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 16.44%, December contracts (RTS-12.11) and March contracts (03.12) shed 16.03% and 16.47% respectively.

During the reviewed period RTSI linked futures were mainly trading below the spot. By the end of the week December contracts were 23.80 points in backwardation, while for March contracts backwardation stood at 32.40 points.

For the week investor's open interest measured in contracts increased by 1.15%.

The RTS Standard Index

For the week of September 19 - 23, 2011 the ruble RTS Standard Index demonstrated a negative trend.

The RTS Standard Index went down by 11.98% to 9,015.98 points (10,243.03 points as of September 16, 2011). At the end of the week the RTS Standard Index was 7.26% lower than a month ago (9,721.72 points as of August 23, 2011) and 7.49% lower than a year ago (9,745.78 points as of September 23, 2010).

All the 15constituent stocks had a negative impact on the RTS Standard Index (down 1,227.05 points overall).

The negative effect leaders were ordinary shares of Sberbank (down 221.06 points), OAO "LUKOIL" (down 180.19 points) and OJSC Uralkali (down 164.58).

Out of the blue chips the top fallers were ordinary shares of OAO Severstal that lost 19.79%, OJSC Uralkali that shed 18.20% and preferred shares of JSC "Transneft" that went down by 17.60%.

The oil & gas sector accounted for 53.07% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (21.80%) and metallurgy (12.55%).

Ticker

Stock

Weight in the RTS Standard Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

18.58%

14.79%

LKOHS

LUKOIL, ordinary

16.37%

13.03%

SBERS

Sberbank, ordinary

15.11%

12.02%

SBERPS

Sberbank, preferred

1.41%

1.12%

GMKNS

NORILSK NICKEL, ordinary

10.52%

8.38%

URKAS

Uralkali, ordinary

8.20%

6.53%

ROSNS

Rosneft, ordinary

7.29%

5.80%

SNGSS

Surgutneftegas, ordinary

5.39%

4.29%

SNGSPS

Surgutneftegas, preferred

1.93%

1.53%

RTKMS

Rostelecom, ordinary

4.37%

3.47%

VTBRS

VTB Bank, ordinary

4.33%

3.45%

HYDRS

RusHydro, ordinary

2.31%

1.84%

FEESS

FGS UES, ordinary

1.51 %

1.21 %

CHMFS

Severstal, ordinary

1.48%

1.18%

TRNFPS

Transneft, preferred

1.20%

0.95%

Total

 

100.00%

79.59%

Second-tier stocks

For the week of September 19 - 23, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 14.38% to reach 1,612.93 points (1,883.72 points as of September 16, 2011). At the end of the week the RTS-2 Index was 14.31% lower than a month ago (1,882.31 points as of August 23, 2011), and 14.61% lower than a year ago (1,888.89 points as of September 23, 2010).

45 stocks out of 58 constituents on the basis of which the RTS-2 Index is calculated had a negative impact on the RTS-2 Index (down 271.67 points overall), whereas 1 instrument was pushing the index up (plus 0.88 points). The price for 12 securities remained unchanged.

The negative impact was mainly due to the falling prices for ordinary shares of JSC "Polymetal" (down 41.94 points), JSC "INTER RAO UES" (down 30.15 points), and JSC "IDGC Holding" (down 18.04 points).

The positive effect was limited to the growth of ordinary shares of OJSC "Volga TGC" (plus 0.88 points),

In terms of weight in the RTS-2 Index, the power sector was the largest (38.25%), followed by the metals & mining sector (18.95%) and the oil & gas sector (12.91%).

Most of the RTS-2 Index decline was due to the negative contributions by the securities of the following sectors: power (down 94.20 points in total) and metals & mining (down 71.73 points overall).

RTS Siberia Index

For the week of September 19 - 23, 2011 stocks constituting the RTS Siberia Index went down.

The RTS Siberia Index fell 11.93% to close at 751.16 points (825.93 points as of September 16, 2011). At the end of the week the RTS Siberia Index was 8.93% lower than a month ago (824.79 points as of August 23, 2011) and 11.06% lower than a year ago (844.61 points as of September 23, 2010).

Out of the 10 component stocks 6 were pulling the RTS Siberia Index down (down 101.97 points). One security was offsetting this negative impact (plus 0.20 points). The price for 3 securities remained unchanged.

Most of the decline of the RTS Siberia Index was caused by ordinary shares of OAO Raspadskaya (down 31.59 points), JSC "RusHydro" (down 20.59 points) and OJSC "MMC "NORILSK NICKEL (down 15.78 points).

The positive effect was coming from ordinary shares of OJSC "Kuzbasskaya Toplivnaya Company" (plus 0.20 points).

The power sector accounted for 46.97% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metals & mining (35.03%) and oil & gas (18.00%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,315.95

-16.44%

-16.66%

-28.09%

-10.91%

RTS Standard Index

9,015.98

-11.98%

-7.26%

-17.61%

-7.49%

RTS-2 Index

1,612.93

-14.38%

-14.31%

-27.46%

-14.61%

RTS Metals & Mining Index

243.59

-18.24%

-16.34%

-30.85%

-8.57%

RTS Oil & Gas Index

160.19

-14.65%

-15.10%

-24.57%

-8.61%

RTS Consumer & Retail Index

294.39

-13.52%

-14.26%

-30.17%

-10.92%

RTS Industrial Index

149.00

-15.05%

-17.67%

-27.89%

-14.83%

RTS Finances Index

289.70

-14.43%

-18.37%

-31.40%

-22.12%

RTS Electric Utilities Index

164.14

-17.11%

-17.93%

-33.29%

-35.42%

RTS Siberia Index

751.16

-11.93%

-8.93%

-16.11%

-11.06%

Russian Volatility Index

63.66

34.82%

21.65%

153.52%

152.01%

For the week the RTS Index lost 16.44% to reach 1,315.95 points (1,574.94 points as of September 16, 2011), the RTS Standard Index (blue chips index) shed 11.98% to end up at 9,015.98 points (10,243.03 points as of September 16, 2011).

The securities market drop down was accompanied by a higher volatility. The Russian Volatility Index (RTSVX) went up by 34.82% to close at 63.66 points (47.22 points as of September 16, 2011).

Last week all the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest decline was shown by the metallurgy sector. The RTS Metals & Mining Index fell 18.24%. A significant decrease was demonstrated by the power and industrial sectors, with the RTS Electric Utilities Index and RTS Industrial Index going down by 17.11and 15.05% respectively.

The regional RTS Siberia Index lost 11.93%.

The US dollar appreciated by 4.61% against the Russian ruble to reach 31.91 rubles per US dollar (30.50 rubles as of September 16, 2011).