OREANDA-NEWS. September 15, 2011. For the week of September 5-9, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,625.29 points (1.93%) from 1,657.25 points as of September 2, 2011. At the end of the week the RTS Index was 0.94% lower than a month ago (1,610.22 points as of August 9, 2011) and 8.93% higher than a year ago (1,492.00 points as of September 9, 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 4.53%.

The US dollar appreciated by 2.11% against the ruble.

Out of 49 RTSI constituents 33 were pulling the Index down (down 42.29 points overall), whereas 9 securities had a positive impact (plus 10.32 points in total). The price for seven securities remained unchanged.

The negative effect leaders were ordinary shares of Gazprom (down 9.15 points), Rosneft (down 6.04 points) and JSC  "LUKOIL" (down 4.01 points).

The positive impact was mainly related to the growing prices for ordinary shares of "OJSC "MMC "NORILSK NICKEL" (plus 3.99 points).

Over 49.29% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (18.67%) and metallurgy (16.43%).

On the sector level the major negative contributors were the oil & gas (down 21.06 points) and finance sectors (down 5.75 points).

RTSI Futures Contracts

For the week of September 5-9, 2011 the trading volume in the RTSI derivatives amounted to 812.49 billion rubles or 8.44 million contracts. The turnover of futures contracts on the RTS Index made up 66.37% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 1.93%, September contracts and December contracts shed 2.26% and 2.83% respectively.

During the reviewed period RTSI linked futures were trading below the spot. By the end of the week September contracts were 23.89 points in backwardation, while for December contracts backwardation stood at 40.49 points.

For the week investor's open interest measured in contracts increased by 14.31%.

The RTS Standard Index

For the week of September 5-9, 2011 the RTS Standard Index experienced a positive movement of prices.

The RTS Standard Index went up by 0.30% to 10,289.02 points (10,258.10 points as of September 2, 2011). At the end of the week the RTS Standard Index was 1.57% higher than a month ago (10,130.37 points as of August 9, 2011) and 4.56% higher than a year ago (9,840.41 points as of September 9, 2010). Out of 14 constituents seven had a positive impact on the RTS Standard Index (up 117.72 points overall). Seven securities moved negatively (down 86.79 points).

The positive effect leaders were ordinary shares of "OJSC "MMC "NORILSK NICKEL" (plus 64.87 points), JSC  "LUKOIL" (plus 17.21 points) and Sberbank (plus 15.32 points).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 25.46 points).

Out of the blue chips the top risers were ordinary shares of "OJSC "MMC "NORILSK NICKEL" that added 5.44%, preferred shares of Surgutneftegas that went up by 5.15% and ordinary shares of JSC "RusHydro" that gained 2.47%. The oil & gas sector accounted for 52.84% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (23.16%) and metallurgy (14.14%).

Ticker

Stock

Weight in the RTS Standard Index, %

Weight in the RTS Index, %

LKOHS

LUKOIL, ordinary

18.13%

14.06%

GAZPS

Gazprom, ordinary

17.47%

13.54%

SBERS

Sberbank, ordinary

16.73%

12.97%

SBERPS

Sberbank, preferred

1.62%

1.25%

GMKNS

NORILSK NICKEL, ordinary

12.23%

9.48%

ROSNS

Rosneft, Ѓ  ordinary

8.69%

6.74%

URKAS

Uralkali, ordinary

5.36%

4.15%

SNGSS

Surgutneftegas, ordinary

5.15%

3.99%

SNGSPS

Surgutneftegas, preferred

1.95%

1.51%

VTBRS

VTB Bank, ordinary

4.82%

3.73%

HYDRS

RusHydro, ordinary

2.68%

2.08%

CHMFS

Severstal, ordinary

1.91 %

1.48%

FEESS

FGS UES, ordinary

1.82%

1.41%

TRNFPS

Transneft, preferred

1.44%

1.12%

Total

 

100.00%

77.51%

Second-tier stocks

For the week of September 5-9, 2011 the second tier stocks market demonstrated positive dynamics.

Over the reviewed period the RTS-2 Index added 0.06% to reach 1,942.08 points (1,941.00 points as of September 2, 2011). At the end of the week the RTS- 2 Index was 4.35% higher than a month ago (1,861.07 points as of August 9, 2011), and 6.51% higher than a year ago (1,823.47 points as of September 9, 2010).

11 constituents out of 58 stocks on the basis of which the RTS-2 Index is calculated had a positive impact on the RTS-2 Index (plus 24.46 points overall), 23 instruments pulled the Index downwards (down 23.38 points). The price for 24 securities remained unchanged.

The positive effect leaders were ordinary of PJSC "NCSP" (plus 11.36 points), JSC "OGK-1" (plus 3.84 points) and OJSC "Company "M.video" (plus 3.38 points).

Most of the negative effect was related to the falling prices for ordinary shares of JSC "INTER RAO UES" (down 3.88 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (36.79%), followed by the metallurgy sector (20.48%) and oil & gas sector (12.77%).

Most of the RTS-2 Index growth was due to the positive contributions by the securities of the following sectors: water transport (plus 11.36 points) and consumer & retail (plus 3.72 points).

RTS Siberia Index

For the week of September 5-9, 2011 stocks constituting the RTS Siberia Index experienced a positive trend.

The RTS Siberia Index added 2.76% to close at 857.55 points (834.55 points as of September 2, 2011). At the end of the week the RTS Siberia Index was 2.61% higher than a month ago (835.74 points as of August 9, 2011) and 0.65% higher than a year ago (852.00 points as of September 9, 2010).

Out of the 9 component stocks three were moving the RTS Siberia Index up (plus 26.82 points), while two securities moved negatively (down 3.83 points). The price for four securities remained unchanged.

The positive effect leaders were ordinary shares of Gazprom (plus 16.40 points), followed by "OJSC "MMC "NORILSK NICKEL" (plus 7.42 points) and JSC "RusHydro" (plus 3.00 points).

The negative effect leaders were ordinary shares of JSC "WGC-3" (down 2.98 points) and JSC  Raspadskaya (down 0.85 points).

The power sector accounted for 43.87% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (39.04%) and oil & gas (17.10%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,625.29

-1.93%

0.94%

-16.26%

8.93%

RTS Standard Index

10,289.02

0.30%

1.57%

-10.71%

4.56%

RTS-2 Index

1,942.08

0.06%

4.35%

-11.65%

6.51%

RTS Metals & Mining Index

305.56

-1.06%

5.95%

-14.46%

13.63%

RTS Oil & Gas Index

191.64

-2.47%

2.66%

-16.18%

7.78%

RTS Consumer & Retail Index

349.54

0.47%

-2.23%

-17.35%

9.24%

RTS Industrial Index

181.14

0.70%

1.46%

-12.92%

6.44%

RTS Finances Index

355.28

-1.94%

-3.66%

-20.95%

-3.39%

RTS Electric Utilities Index

202.65

-1.06%

-1.19%

-19.99%

-19.65%

RTS Siberia Index

857.55

2.76%

2.61%

-5.74%

0.65%

Russian Volatility Index

42.19

4.53%

-41.11%

70.12%

40.39%

The RTS Index went down by 1.93% to reach 1,625.29 points (1,657.25 points as of September 2, 2011). The RTS Standard Index, the blue chips index, added 0.30% to reach 10,289.02 points (10,258.10 points as of September 2, 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 4.53% to reach 42.19 points (40.36 points as of September 2, 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 oil & gas sector, with the RTS Oil & Gas Index decreasing by 2.47%. A significant decrease was also shown by the finance and metallurgy sectors, with the RTS Finances Index and RTS Metals & Mining Index going down by 1.94% and 1.06% respectively. The growth was reported only by the industrial and consumer sectors with the RTS Industrial Index and RTS Consumer & Retail Index increasing by 0.70% and 0.47% respectively.

The regional index, RTS Siberia Index, added 2.76%.

The US dollar appreciated by 2.11% against the ruble to reach 29.50 rubles per US dollar (28.89 rubles as of September 2, 2011).