OREANDA-NEWS. August 11, 2011. For the week of August 1-5, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,798.75 points (8.46%) from 1,965.02 points as of July 29, 2011. At the end of the week the RTS Index was 7.90% lower than a month ago (1,953.07 points as of July 5, 2011) and 18.50% higher than a year ago (1,517.87 points as of August 5, 2010).

Last week's drop on the stock market was accompanied by an increase of volatility levels when the Russian Volatility Index RTSVX went up by 44.44%.

The US dollar appreciated by 0.92% against the ruble.

Out of 49 RTSI constituents 44 were pulling the Index down (down 167.39 points overall), whereas 3 securities had a positive impact (plus 1.12 points in total). The price for two securities remained unchanged.

The negative effect leaders were ordinary shares of Gazprom (down30.37 points), JSC  "LUKOIL" (down 25.08 points) and Sberbank (down 21.83 points).

The positive impact was mainly related to the growing prices for ordinary shares of Gazprom (plus 0.83 points).

Over 48.36% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (20.21%) and metallurgy (15.72%).

On the sector level the major negative contributors were the oil and gas (down 88.83 points) and finance sectors (down 29.85 points).

RTSI Futures Contracts

For the week of August 1-5, 2011 the trading volume in the RTSI derivatives amounted to 1,156.30 billion rubles or 10.96 million contracts. The turnover of futures contracts on the RTS Index made up 63.46% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 8.46%, September contracts and December contracts shed 9.06% and 9.21% respectively.

During the reviewed period RTSI linked futures were trading below the spot. By the end of the week September contracts were 20.20 points in backwardation, while for December contracts backwardation stood at 24.75 points.

For the week investor's open interest measured in contracts decreased by 7.36%.

The RTS Standard Index

For the week of August 1-5, 2011 the RTS Standard Index experienced negative movement of prices.

The RTS Standard Index went down by 6.89% to 10,748.65 points (11,544.06 points as of July 29, 2011). At the end of the week the RTS Standard Index was 7.34% lower than a month ago (11,600.35 points as of July 5, 2011) and 10.18% higher than a year ago (9,755.81 points as of August 5, 2010).

Each of the 14 constituents of the RTS Standard Index list had a negative impact on the Index (down 795.41 points overall).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 188.10 points), JSC  "LUKOIL" (down 149.97 points) and Sberbank (down 122.52 points). Out of the blue chips the top fallers were ordinary shares of JSC  Severstal that lost 12.40% followed by preferred shares of JSC "Transneft" and ordinary shares of "FGC UES ", JSC that went down by 9.54% and 9.21% respectively.

The oil & gas sector accounted for 52.14% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (25.13%) and metallurgy (13.16%).

Ticker

Stock

Weight in the RTS Standard Index, %

 

SBERS

SBERPS

Sberbank, ordinary Sberbank, preferred

10.40%

1.70%

14.29% 1.31 %

GAZPS

Gazprom, ordinary

18.01%

13.94%

LKOHS

LUKOIL, ordinary

17.21%

13.32%

GMKNS

NORILSK NICKEL, ordinary

11.15%

8.63%

ROSNS

Rosneft, Ѓ  ordinary

8.24%

6.38%

SNGSS

Surgutneftegas, ordinary

5.48%

4.24%

SNGSPS

Surgutneftegas, preferred

1.73%

1.34%

VTBRS

VTB Bank, ordinary

4.97%

3.85%

URKAS

Uralkali, ordinary

4.71 %

3.65%

HYDRS

RusHydro, ordinary

2.72%

2.11%

FEESS

FGS UES, ordinary

2.14%

1.66%

CHMFS

Severstal, ordinary

2.01 %

1.55%

TRNFPS

Transneft, preferred

1.47%

1.13%

Total

 

100.00%

77.39%

Second-tier stocks

For the week of August 1-5, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 4.76% to reach 2,176.96 points (2,285.87 points as of July 29, 2011). At the end of the week the RTS- 2 Index was 3.30% lower than a month ago (2,251.22 points as of July 5, 2011), and 23.21% higher than a year ago (1,766.85 points as of August 5, 2010).

35 constituents out of 58 stocks on the basis of which the RTS-2 Index is calculated had a negative impact on the RTS-2 Index (down 115.00 points overall), whereas seven instruments were offsetting this effect (plus 6.08 points). The price for 16 securities remained unchanged.

The negative impact was mainly due to the falling prices for ordinary shares of JSOC Bashneft (down 10.11 points), JSC  Raspadskaya (down 9.91 points) and JSC "E ON Russia" (down 9.17 points).

Most of the positive effect was related to the growing prices for ordinary shares of JSC "Polymetal" (plus 2.36 points) and JSC "TGC-1" (plus 1.58 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (38.22%), followed by the metallurgy sector (18.63%) and the oil and gas sector (12.48%).

Most of the RTS-2 Index drop was due to the negative contributions by the securities of the following sectors: power (down 36.61 points) followed by oil & gas (down 17.23 points).

RTS Siberia Index

For the week of August 1-5, 2011 stocks constituting the RTS Siberia Index showed a negative movement.

The RTS Siberia Index went down by 1.52% to close at 912.91 points (926.96 points as of July 29, 2011). At the end of the week the RTS Siberia Index was 0.03% lower than a month ago (913.20 points as of July 5, 2011) and 9.23% higher than a year ago (835.76 points as of August 5, 2010).

Out of the nine component stocks four had a negative impact on the Index's dynamics (down 29.55 points). One security moved positively (plus 15.50 points). The price for four securities remained unchanged.

The most negative impact on RTS Siberia Index was coming from the price decline of ordinary shares of JSC  Raspadskaya (down 13.36 points), "OJSC "MMC "NORILSK NICKEL" (down 6.66 points) and JSC "RusHydro" (down 5.89 points).

The positive effect had ordinary shares of JSC Gazprom Neft (plus 15.50 points).

The power sector accounted for 45.27% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (37.61%) and oil & gas (17.12%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,798.75

-8.46%

-7.90%

-6.14%

18.51%

RTS Standard Index

10,748.65

-6.89%

-7.34%

-4.04%

10.18%

RTS-2 Index

2,176.96

-4.76%

-3.30%

-3.66%

23.21%

RTS Metals & Mining Index

333.15

-9.18%

-7.78%

-6.32%

27.00%

RTS Oil & Gas Index

207.61

-9.03%

-8.12%

-8.45%

13.65%

RTS Consumer & Retail Index

426.92

-5.87%

1.56%

0.68%

30.83%

RTS Industrial Index

197.77

-6.55%

-6.25%

-14.40%

38.63%

RTS Finances Index

412.56

-6.69%

-7.38%

-8.11%

12.64%

RTS Electric Utilities Index

236.73

-7.01%

-8.45%

-8.17%

-6.21%

RTS Siberia Index

912.91

-1.52%

-0.03%

-2.97%

9.23%

Russian Volatility Index

33.25

44.44%

38.43%

20.50%

12.61%

The RTS Index went down by 8.46% to reach 1,798.75 points (1,965.02 points as of July 29, 2011). The RTS Standard Index, the blue chips index, lost 6.89% to reach 10,748.65 points (11,544.06 points as of July 29, 2011). The "second-tier" stock index - RTS-2 experienced a decrease of 4.76% closing at 2,176.96 points (2,285.87 points as of July 29, 2011).

Last week's drop on the stock market was accompanied by an increase of volatility levels when the Russian Volatility Index RTSVX went up by 44.44% to reach 33.25 points (23.02 points as of July 29, 2011).

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 metallurgy sector, with the RTS Metals & Mining Index decreasing by 9.18%. A significant decrease was also shown by the oil & gas and power sectors, with the RTS Oil & Gas Index and RTS Electric Utilities Index going down by 9.03% and 7.01% respectively.

The regional index, RTS Siberia Index, lost 1.52%.

The US dollar appreciated by 0.92% against the ruble to reach 27.84 rubles per US dollar (27.59 rubles as of July 29, 2011).