OREANDA-NEWS. October 14, 2011. For the week of October 3-7, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,311.91 points (2.18%) from 1,341.09 points as of September 30, 2011. At the end of the week the RTS Index was 21.43% lower than a month ago (1,669.75 points as of September 7, 2011) and 17.19% lower than a year ago (1,584.29 points as of October 7, 2010).

Last week's drop on the stock market was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX went down 10.13%.

The US dollar appreciated by 1.99% against the ruble.

Out of 50 RTSI constituents 39 were pulling the Index down (down 40.52 points overall), whereas seven securities had a positive impact (plus 11.34 points in total). The price for four securities remained unchanged.

The negative effect leaders were ordinary shares of "OJSC "MMC "NORILSK NICKEL" (down 10.47 points), Gazprom (down 5.04 points) and Sberbank (down 4.33 points).

The positive impact was mainly related to the growing prices for ordinary shares of OJSC Uralkali (plus 6.08 points).

Over 48.91% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (16.78%) and metallurgy (14.12%).

On the sector level the major negative contributors were the oil & gas (down 13.15 points) and metallurgy sectors (down 10.99 points).

RTSI Futures Contracts

For the week of October 3-7, 2011 the trading volume in the RTSI derivatives amounted to 870.56 billion rubles or 10.62 million contracts. The turnover of futures contracts on the RTS Index made up 65.10% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 2.18%, December and March contracts shed 0.14% and 0.67% respectively.

At the end of the reviewed period RTSI linked futures closed above the spot. By the end of the week the December contracts were 4.44 points in contango. For March contracts backwardation stood at 8.91 points.

For the week investor's open interest measured in contracts increased by 21.99%.

The RTS Standard Index

For the week of October 3-7, 2011 the RTS Standard Index experienced a negative movement of prices. The RTS Standard Index went down by 2.04% to 9,114.32 points (9,303.84 points as of September 30, 2011). At the end of the week the RTS Standard Index was13.06% lower than a month ago (10,482.91 points as of September 7, 2011) and 9.21% lower than a year ago (10,038.75 points as of October 7, 2010).

Out of 15 constituents 11 had a negative impact on the RTS Standard Index (down 269.27 points overall). Four securities moved positively (up 79.76 points).

The most negative impact was mainly due to the falling prices for ordinary shares of "OJSC "MMC "NORILSK NICKEL" (down 96.36 points), followed by Gazprom (down 53.71 points) and Sberbank (down 45.49 points).

The positive effect leaders were ordinary shares of OJSC Uralkali (plus 48.10 points).

Out of the blue chips the top fallers were ordinary shares of "OJSC "MMC "NORILSK NICKEL" that lost 9.16%, preferred shares of JSC "Transneft" that went down by 6.72% and Sberbank that shed 6.27%.

The oil & gas sector accounted for 53.70% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (21.00%) and metallurgy (12.63%).

Ticker

Stock

Weight in the RTS Standsrd

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

18.38%

14.84%

LKOHS

LUKOIL, ordinary

16.93%

13.67%

SBERS

Sberbank, ordinary

14.57%

11.76%

SBERPS

Sberbank, preferred

1.26%

1.02%

GMKNS

NORILSK NICKEL, ordinary

10.49%

8.47%

URKAS

Uralkali, ordinary

8.19%

6.61 %

ROSNS

Rosneft, Ѓ  ordinary

7.54%

6.09%

SNGSS

Surgutneftegas, ordinary

5.60%

4.52%

SNGSPS

Surgutneftegas, preferred

1.78%

1.44%

RTKMS

Rostelecom, ordinary

4.26%

3.44%

VTBRS

VTB Bank, ordinary

4.28%

3.44%

HYDRS

RusHydro, ordinary

2.38%

1.92%

CHMFS

Severstal, ordinary

1.60%

1.30%

FEESS

FGS UES, ordinary

1.56%

1.26%

TRNFPS

Transneft, preferred

1.17%

0.94%

Total

 

100.00%

80.74%

Second-tier stocks

For the week of October 3-7, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 4.15% to reach 1,497.35 points (1,562.11 points as of September 30, 2011). At the end of the week the RTS-2 Index was 22.32% lower than a month ago (1,927.52 points as of September 7, 2011), and 25.08% lower than a year ago (1,998.52 points as of October 7, 2010).

29 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 73.58 points overall), six instruments pulled the Index upwards (up 8.82 points). The price for 23 securities remained unchanged.

Most of the negative effect was related to the falling prices for ordinary shares of OAO Raspadskaya (down 9.66 points), followed by JSC "IDGC Holding" (down 6.65 points) and JSC Acron (down 6.41 points).

The positive effect leaders were ordinary of JSOC Bashneft (plus 3.16 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (38.35%), followed by the metallurgy sector (17.82%) and oil & gas sector (13.83%).

Most of the RTS-2 Index drop was due to the negative contributions by the securities of the following sectors: power (down 20.83 points) and metallurgy (down 14.03 points).

RTS Siberia Index

For the week of October 3-7, 2011 stocks constituting the RTS Siberia Index experienced a negative trend.

The RTS Siberia Index lost 10.79% to close at 655.67 points (734.98 points as of September 30, 2011). At the end of the week the RTS Siberia Index was 23.33% lower than a month ago (855.24 points as of September 7, 2011) and 25.90% lower than a year ago (884.87 points as of October 7, 2010).

Out of the 10 component stocks seven were moving the RTS Siberia Index down (down 84.86 points), while one security moved positively (plus 5.55 points). The price for two securities remained unchanged.

The negative effect leaders were ordinary shares of JSC Gazprom Neft (down 20.78 points), OAO Raspadskaya (down 20.03 points) and JSC "WGC-3" (down 13.04 points).

The positive effect leaders were ordinary shares of JSC "RusHydro" (plus 5.55 points).

The power sector accounted for 45.38% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (37.83%) and oil & gas (16.79%).

The RTS family of indices

Index

Last Value

Change over (Period), %

Week

Month

Quarter

Year

RTS Index

1,311.91

-2.18%

-21.43%

-33.64%

-17.19%

RTS Standard Index

9,114.32

-2.04%

-13.06%

-22.70%

-9.21%

RTS-2 Index

1,497.35

-4.15%

-22.32%

-34.02%

-25.08%

RTS Metals & Mining Index

231.03

-2.85%

-25.55%

-36.43%

-21.38%

RTS Oil & Gas Index

162.79

-1.99%

-18.07%

-28.97%

-12.09%

RTS Consumer & Retail Index

280.06

-2.86%

-20.07%

-34.03%

-18.17%

RTS Industrial Index

142.77

-4.18%

-21.17%

-34.21%

-16.76%

RTS Finances Index

271.64

-5.80%

-24.81%

-39.29%

-30.78%

RTS Electric Utilities Index

159.39

-0.99%

-21.97%

-38.73%

-41.11%

RTS Siberia Index

655.67

-10.79%

-23.34%

-28.82%

-25.90%

Russian Volatility Index

51.47

-10.13%

22.52%

148.05%

130.39%

The RTS Index went down by 2.18% to reach 1,311.91 points (1,341.09 points as of September 30, 2011). The RTS Standard Index, the blue chips index, lost 2.04% to reach 9,114.32 points (9,303.84 points as of September 30, 2011).

Last week's drop on the stock market was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX went down by 10.13% to reach 51.47 points (57.27 points as of September 30, 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 5.80%. 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 4.18% and 2.86% respectively.

The regional index, RTS Siberia Index, lost 10.79%.

The US dollar appreciated by 1.99% against the ruble to reach 32.51 rubles per US dollar (31.88 rubles as of September 30, 2011).