OREANDA-NEWS. August 23, 2011. For the week of August 8-12, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,594.68 points (11.35%) from 1,798.75 points as of August 5, 2011. At the end of the week the RTS Index was 16.81% lower than a month ago (1,916.81 points as of July 12, 2011) and 10.15% higher than a year ago (1,447.68 points as of August 12, 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 61.29%.

The US dollar appreciated by 0.92% against the ruble.

Out of 49 RTSI constituents 47 were pulling the Index down (down 204.40 points overall), whereas one security had a positive impact (plus 0.32 points in total). The price for one security remained unchanged.

The negative effect leaders were ordinary shares of Sberbank (down 34.21 points), Gazprom (down 24.49 points) and JSC  "LUKOIL" (down 19.37 points).

The positive impact was mainly related to the growing prices for ordinary shares of PIK Group (plus 0.32 points).

Over 49.10% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (19.87%) and metallurgy (15.99%).

On the sector level the major negative contributors were the oil and gas (down 86.96 points) and finance sectors (down 46.56 points).

RTSI Futures Contracts

For the week of August 8-12, 2011 the trading volume in the RTSI derivatives amounted to 1,440.35 billion rubles or 15.20 million contracts. The turnover of futures contracts on the RTS Index made up 64.83% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 11.35%, September contracts and December contracts shed 10.93% and 10.94% respectively.

During the reviewed period RTSI linked futures were trading below the spot. By the end of the week September contracts were 10.58 points in backwardation, while for December contracts backwardation stood at 14.68 points.

For the week investor's open interest measured in contracts increased by 17.82%.

The RTS Standard Index

For the week of August 8-12, 2011 the RTS Standard Index experienced negative movement of prices.

The RTS Standard Index went down by 7.63% to 9,928.28 points (10,748.65 points as of August 5, 2011). At the end of the week the RTS Standard Index was 14.00% lower than a month ago (11,543.94points as of July 12, 2011) and 4.74% higher than a year ago (9,478.68 points as of August 12, 2010).

Out of 14 constituents 13 had a negative impact on the RTS Standard Index (down 824.77 points overall). One security moved positively (plus 4.40 points).

The most negative impact was mainly due to the falling prices for ordinary shares of Sberbank (down 211.52 points), Gazprom (down 135.70 points) and JSC  "LUKOIL" (down 97.53 points). Out of the blue chips the top fallers were ordinary shares of "FGC UES ", JSC that lost 15.52% followed by "Surgutneftegas" OJSC and Sberbank that went down by 13.48% and 10.66% respectively.

The oil & gas sector accounted for 52.29% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (24.40%) and metallurgy (13.57%).

Ticker

Stock

Weight in the RTS Standari Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

18.13%

14.18%

SBERS

Sberbank, ordinary

17.86%

13.97%

SBERPS

Sberbank, preferred

1.72%

1.34%

LKOHS

LUKOIL, ordinary

17.65%

13.81%

GMKNS

NORILSK NICKEL, ordinary

11.54%

9.03%

ROSNS

Rosneft, ordinary

8.24%

6.45%

SNGSS

Surgutneftegas, ordinary

5.13%

4.02%

SNGSPS

Surgutneftegas, preferred

1.69%

1.32%

URKAS

Uralkali, ordinary

5.14%

4.02%

VTBRS

VTB Bank, ordinary

4.83%

3.77%

HYDRS

RusHydro, ordinary

2.63%

2.06%

CHMFS

Severstal, ordinary

2.03%

1.59%

FEESS

FGS UES, ordinary

1.96%

1.53%

TRNFPS

Transneft, preferred

1.44%

1.12%

Total

 

100.00%

78.23%

Second-tier stocks

For the week of August 8-12, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 15.62% to reach 1,836.93 points (2,176.96 points as of August 5, 2011). At the end of the week the RTS- 2 Index was 17.50% lower than a month ago (2,226.65 points as of July 12, 2011), and 4.26% higher than a year ago (1,761.89 points as of August 12, 2010).

42 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 343.10 points overall), whereas one security instruments were offsetting this effect (plus 3.07 points). The price for 15 securities remained unchanged.

The negative impact was mainly due to the falling prices for ordinary shares of JSC "Polymetal" (down 32.98 points), JSC "IDGC Holding" (down 28.77 points) and JSC "E.ON Russia" (down 24.79 points).

Most of the positive effect was related to the growing prices for ordinary shares of PIK Group (plus 3.07 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (37.30%), followed by the metallurgy sector (19.12%) and the oil and gas sector (12.93%).

Most of the RTS-2 Index drop was due to the negative contributions by the securities of the following sectors: power (down 146.91 points) followed by metallurgy (down 12.93 points).

RTS Siberia Index

For the week of August 8-12, 2011 stocks constituting the RTS Siberia Index showed a negative movement.

The RTS Siberia Index went down by 6.74% to close at 851.42 points (912.91 points as of August 5, 2011). At the end of the week the RTS Siberia Index was 7.15% lower than a month ago (917.02 points as of July 12, 2011) and 1.58% higher than a year ago (838.14 points as of August 12, 2010).

Out of the nine component stocks four had a negative impact on the Index's dynamics (down 61.49 points). The price for five securities remained unchanged.

The most negative impact on RTS Siberia Index was coming from the price decline of ordinary shares of JSC Gazprom Neft (down 22.48 points), JSC  Raspadskaya (down 19.01 points) and JSC "RusHydro" (down 13.99 points).

The power sector accounted for 46.89% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (37.39%) and oil & gas (15.72%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,594.68

-11.35%

-16.81%

-14.49%

10.15%

RTS Standard Index

9,928.28

-7.63%

-14.00%

-10.66%

4.74%

RTS-2 Index

1,836.93

-15.62%

-17.50%

-16.60%

4.26%

RTS Metals & Mining Index

295.78

-11.22%

-16.85%

-15.71%

15.98%

RTS Oil & Gas Index

186.62

-10.11%

-15.72%

-14.35%

7.97%

RTS Consumer & Retail Index

339.62

-20.45%

-22.31%

-18.47%

6.11%

RTS Industrial Index

181.22

-8.37%

-15.95%

-21.56%

27.23%

RTS Finances Index

369.98

-10.32%

-14.73%

-15.22%

6.33%

RTS Electric Utilities Index

198.44

-16.18%

-21.97%

-20.87%

-20.45%

RTS Siberia Index

851.42

-6.74%

-7.15%

-9.08%

1.58%

Russian Volatility Index

53.63

61.29%

119.08%

85.44%

41.63%

The RTS Index went down by 11.35% to reach 1,594.68 points (1,798.75 points as of August 5, 2011). The RTS Standard Index, the blue chips index, lost 7.63% to reach 9,928.28 points (10,748.65 points as of August 5, 2011). The "second-tier" stock index - RTS-2 experienced a decrease of 15.62% closing at 1,836.93 points (2,176.96 points as of August 5, 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 61.29% to reach 53.63 points (33.25 points as of August 5, 2011).

Last week the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the consumer sector, with the RTS Consumer & Retail Index decreasing by 20.45%. A significant decrease was also shown by the power and metallurgy sectors, with the RTS Electric Utilities Index and RTS Metals & Mining Index going down by 16.18% and 11.22% respectively.

The regional index, RTS Siberia Index, lost 6.74%.

The US dollar appreciated by 5.65% against the ruble to reach 29.42 rubles per US dollar (27.84 rubles as of August 5, 2011).