OREANDA-NEWS. September 24, 2011. For the week of September 12-16, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to

I,574.94            points (3.10%) from 1,625.29 points as of September 9, 2011. At the end of the week the RTS Index was 3.52% lower than a month ago (1,632.31 points as of August 9, 2011) and 7.59% higher than a year ago (1,463.88 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 11.92%.

The US dollar appreciated by 3.40% against the ruble.

Out of 49 RTSI constituents 39 were pulling the Index down (down 59.01 points overall), whereas 10 securities had a positive impact (plus 8.67 points in total). The price for one security remained unchanged.

The negative effect leaders were ordinary shares of OJSC "Rostelecom" (down

II.43      points), Gazprom (down 10.00 points) and Sberbank (down 8.51 points).

The positive impact was mainly related to the growing prices for ordinary shares of "Surgutneftegas" OJSC (plus 4.10 points).

Over 46.86% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (17.49%) and metallurgy (14.65%).

On the sector level the major negative contributors were the oil & gas (down 17.66 points) and telecommunication sectors (down 11.98 points).

RTSI Futures Contracts

For the week of September 12-16, 2011 the trading volume in the RTSI derivatives amounted to 1,017.87 billion rubles or 10.68 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 3.10%, December contracts shed 2.90%.

September futures contracts on the RTSI were settled on Friday, 16 September. Settlement price for the contracts was established on 15 September u equaled 161,192 points.

During the reviewed period RTSI linked futures were trading below the spot. By the end of the week December contracts were 36.04 points in backwardation.

For the week investor's open interest measured in contracts decreased by 49.43%.

The RTS Standard Index

For the week of September 12-16, 2011 the RTS Standard Index experienced a negative movement of prices.

The RTS Standard Index went down by 0.45% to 10,243.03 points (10,289.02 points as of September 9, 2011). At the end of the week the RTS Standard Index was 2.31% higher than a month ago (10,011.77 points as of August 16, 2011) and 5.03% higher than a year ago (9,752.40 points as of September 16, 2010).

Out of 14 constituents six had a negative impact on the RTS Standard Index (down 155.51 points overall). Nine securities moved positively (up 109.51 points).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 46.14 points), followed by Sberbank (down 36.51 points) and Rosneft (down 30.06 points). The positive effect leaders were ordinary shares of "Surgutneftegas" OJSC (plus 44.53 points).

Out of the blue chips the top fallers were preferred shares of Sberbank that lost 5.69%, ordinary shares of "FGC UES ", JSC that went down by 4.48% and Rosneft that shed 3.59%.

The oil & gas sector accounted for 51.66% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (22.22%) and metallurgy (12.74%).

Ticker

Stock

Weight in the !TS Standari Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

17.78%

14.11%

LKOHS

LUKOIL, ordinary

16.17%

12.83%

SBERS

Sberbank, ordinary

15.45%

12.26%

SBERPS

Sberbank, preferred

1.44%

1.14%

GMKNS

NORILSK NICKEL, ordinary

10.58%

8.39%

URKAS

Uralkali, ordinary

8.83%

7.00%

ROSNS

Rosneft, Ѓ  ordinary

7.45%

5.91 %

SNGSS

Surgutneftegas, ordinary

4.97%

3.95%

SNGSPS

Surgutneftegas, preferred

1.79%

1.42%

VTBRS

VTB Bank, ordinary

4.38%

3.47%

RTKMS

"Rostelecom, ordinary

4.28%

3.40%

HYDRS

RusHydro, ordinary

2.43%

1.93%

CHMFS

Severstal, ordinary

1.62%

1.29%

FEESS

FGS UES, ordinary

1.54%

1.22%

TRNFPS

Transneft, preferred

1.28%

1.02%

Total

 

100.00%

79.34%

Second-tier stocks

For the week of September 12-16, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 3.01% to reach 1,883.72 points (1,942.08 points as of September 9, 2011). At the end of the week the RTS-2 Index was 0.13% higher than a month ago (1,881.21 points as of August 16, 2011), and 1.35% higher than a year ago (1,858.63 points as of September 16, 2010).

34 constituents out of 59 stocks on the basis of which the RTS-2 Index is calculated had a negative impact on the RTS-2 Index (down 75.29 points overall), five instruments pulled the Index upwards (up 16.93 points). The price for 20 securities remained unchanged.

Most of the negative effect was related to the falling prices for ordinary shares of JSC "IDGC Holding" (down 8.64 points), followed by PJSC "NCSP" (down 5.73 points) and JSC Raspadskaya (down 5.72 points).

The positive effect leaders were ordinary of JSC "INTER RAO UES" (plus 13.40 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (37.75%), followed by the metallurgy sector (20.03%) and oil & gas sector (12.81%).

Most of the RTS-2 Index drop was due to the negative contributions by the securities of the following sectors: metallurgy (down 14.02 points) and finance (down 9.93 points).

RTS Siberia Index

For the week of September 12-16, 2011 stocks constituting the RTS Siberia Index experienced a negative trend.

The RTS Siberia Index lost 0.54% to close at 852.93 points (857.55 points as of September 9, 2011). At the end of the week the RTS Siberia Index was 2.89% higher than a month ago (828.95 points as of August 16, 2011) and 0.99% higher than a year ago (844.59 points as of September 16, 2010).

Out of the 9 component stocks three were moving the RTS Siberia Index down (down 13.60 points), while two securities moved positively (plus 8.99 points). The price for five securities remained unchanged.

The negative effect leaders were ordinary shares of JSC Raspadskaya (down 6.33 points), JSC Gazprom Neft (down 4.23 points) and "OJSC "MMC "NORILSK NICKEL" (down 3.05 points).

The positive effect leaders were ordinary shares of JSC "WGC-3" (plus 6.79 points) and JSC "RusHydro" (plus 2.20 points).

The power sector accounted for 45.40% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (37.91%) and oil & gas (16.69%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,574.94

-3.10%

-3.52%

-16.97%

7.59%

RTS Standard Index

10,243.03

-0.45%

2.31%

-9.76%

5.03%

RTS-2 Index

1,883.72

-3.01%

0.13%

-16.56%

1.35%

RTS Metals & Mining Index

297.93

-2.50%

-0.71%

-16.56%

13.74%

RTS Oil & Gas Index

187.69

-2.06%

-2.40%

-15.32%

7.37%

RTS Consumer & Retail Index

340.41

-2.61%

0.07%

-20.82%

4.05%

RTS Industrial Index

175.39

-3.17%

-3.22%

-15.28%

0.72%

RTS Finances Index

338.56

-4.71%

-10.45%

-23.46%

-7.80%

RTS Electric Utilities Index

198.02

-2.29%

-2.01%

-22.57%

-21.90%

RTS Siberia Index

852.93

-0.54%

2.89%

-5.81%

0.99%

Russian Volatility Index

47.22

11.92%

-3.08%

81.34%

69.28%

The RTS Index went down by 3.10% to reach 1,574.94 points (1,625.29 points as of September 9, 2011). The RTS Standard Index, the blue chips index, lost 0.45% to reach 10,243.03 points (10,289.02 points as of September 9, 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 11.92% to reach 47.22 points (42.19 points as of September 9, 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 finance sector, with the RTS Finances Index decreasing by 4.71%. A significant decrease was also shown by the industrial and consumer sectors, with the RTS Industrial Index and RTS Consumer & Retail Index going down by 3.17% and 2.61% respectively. The regional index, RTS Siberia Index, lost 0.54%.

The US dollar appreciated by 3.40% against the ruble to reach 30.50 rubles per US dollar (29.50 rubles as of September 9, 2011).