OREANDA-NEWS. November 22, 2011. For the week of November 14-18, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,495.87 points (2.28%) from 1,530.70 points as of November 11, 2011. At the end of the week the RTS Index was 4.81% higher than a month ago (1,427.26 points as of October 18, 2011) and 6.43% lower than a year ago (1,598.63 points as of November 18, 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 3.72%.

The US dollar depreciated by 0.36% against the ruble.

Out of 49 RTSI constituents 26 were pulling the Index down (down 41.99 points overall), whereas 15 securities had a positive impact (plus 7.17 points in total). The price for eight securities remained unchanged.

The negative effect leaders were ordinary shares of Gazprom (down 7.78 points), "OJSC "MMC "NORILSK NICKEL" (down 5.24 points) and OAO "LUKOIL" (down 4.81 points).

The positive impact was mainly related to the growing prices for preferred shares of JSC "Transneft" (plus 2.41 points).

Over 51.62% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (17.66%) and metallurgy (10.66%).

On the sector level the major negative contributors were the oil & gas (down 13.57 points) and finance sectors (down 8.94 points).

RTSI Futures Contracts

For the week of November 14-18, 2011 the trading volume in the RTSI derivatives amounted to 1,015.34 billion rubles or 10.96 million contracts. The turnover of futures contracts on the RTS Index made up 72.27% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 2.28%, December and March contracts shed 2.03% and 2.14% respectively.

At the end of the reviewed period RTSI linked futures closed below the spot. By the end of the week the December contracts were 5.22 points in backwardation. For March contracts backwardation stood at 18.72 points.

For the week investor's open interest measured in contracts decreased by 7.54%.

The RTS Standard Index

For the week of November 14-18, 2011 the RTS Standard Index experienced a negative movement of prices.

The RTS Standard Index went down by 1.17% to 9,987.51 points (10,105.53 points as of November 11, 2011). At the end of the week the RTS Standard Index was3.39% higher than a month ago (9,660.09 points as of October 18, 2011) and 5.47% lower than a year ago (10,565.38 points as of November 18, 2010).

Out of 15 constituents 12 had a negative impact on the RTS Standard Index (down 172.19 points overall). Three securities moved positively (up 54.17 points).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 37.76 points), followed by "OJSC "MMC "NORILSK NICKEL" (down 32.33 points) and JSC VTB Bank (down 23.38 points).

The positive effect leaders were preferred shares of JSC "Transneft" (plus 21.44 points).

Out of the blue chips the top fallers were ordinary shares of OAO Severstal that lost 6.74%, JSC VTB Bank that went down by 5.52% and "OJSC "MMC "NORILSK NICKEL" that shed 3.89%.

The oil & gas sector accounted for 55.72% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (21.89%) and metallurgy (10.05%).

Ticker

Stock

Weight in the TS Standard Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

19.96%

16.28%

LKOHS

LUKOIL, ordinary

16.44%

13.41%

SBERS

Sberbank, ordinary

15.57%

12.70%

SBERPS

Sberbank, preferred

1.41%

1.15%

GMKNS

NORILSK NICKEL, ordinary

7.99%

6.52%

ROSNS

Rosneft, ordinary

7.72%

6.30%

URKAS

Uralkali, ordinary

7.71%

6.29%

SNGSS

Surgutneftegas, ordinary

5.71%

4.66%

SNGSPS

Surgutneftegas, preferred

1.99%

1.62%

RTKMS

Rostelecom, ordinary

4.11%

3.35%

VTBRS

VTB Bank, ordinary

4.01%

3.27%

HYDRS

RusHydro, ordinary

2.26%

1.84%

FEESS

FGS UES, ordinary

1.86%

1.52%

CHMFS

Severstal, ordinary

1.65%

1.34%

TRNFPS

Transneft, preferred

1.61%

1.32%

Total

 

100.00%

81.56%

Second-tier stocks

For the week of November 14-18, 2011 the second tier stocks market demonstrated positive dynamics.

Over the reviewed period the RTS-2 Index added 0.54% to reach 1,717.04 points (1,707.82 points as of November 11, 2011). At the end of the week the RTS-2 Index was 6.74% higher than a month ago (1,608.64 points as of October 18, 2011), and 14.06 lower than a year ago (1,997.93 points as of November 18, 2010).

13 constituents out of 57 stocks on the basis of which the RTS-2 Index is calculated had a positive impact on the RTS-2 Index (up 26.95 points overall), 18 instruments pulled the Index downwards (down 17.73 points). The price for 26 securities remained unchanged.

The positive effect leaders were preferred shares JSOC Bashneft (plus 6.04 points) followed by ordinary shares of JSC Acron (plus 4.19 points) and JSC "INTER RAO UES" (plus 3.78 points) .

Most of the negative effect was related to the falling prices for ordinary shares of "IDGC of Centre, JSC" (down 5.48 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (43.30%), followed by the oil & gas sector (16.51%) and consumer & retail sector (9.90%).

Most of the RTS-2 Index growth was due to the positive contributions by the securities of the following sectors: oil & gas (plus 5.29 points) and chemical production (plus 4.19 points).

RTS Siberia Index

For the week of November 14-18, 2011 stocks constituting the RTS Siberia Index experienced a positive trend.

The RTS Siberia Index added 0.58% to close at 710.83 points (706.73 points as of November 11, 2011). At the end of the week the RTS Siberia Index was 3.58% higher than a month ago (686.25 points as of October 18, 2011) and 21.75% lower than a year ago (908.41 points as of November 18, 2010).

Out of the 10 component stocks two were moving the RTS Siberia Index up (up 13.68 points), while four securities moved negatively (down 9.59 points). The price for four securities remained unchanged.

The positive effect leaders were ordinary shares of JSC "WGC-3" (plus 8.08 points) and OAO Raspadskaya (plus 5.60 points).

The negative effect leaders were ordinary shares of "OJSC "MMC "NORILSK NICKEL" (down 3.79 points).

The power sector accounted for 45.89% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (34.63%) and oil & gas (19.47%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,495.87

-2.28%

4.81%

-5.58%

-6.43%

RTS Standard Index

9,987.51

-1.17%

3.39%

2.12%

-5.47%

RTS-2 Index

1,717.04

0.54%

6.74%

-9.81%

-14.06%

RTS Metals & Mining Index

232.16

-5.21%

-5.15%

-21.07%

-22.91%

RTS Oil & Gas Index

193.50

-1.50%

9.50%

3.15%

6.65%

RTS Consumer & Retail Index

318.09

0.84%

7.90%

-9.30%

-13.28%

RTS Industrial Index

142.21

-1.80%

3.14%

-21.42%

-23.79%

RTS Finances Index

297.92

-4.70%

2.04%

-18.12%

-28.10%

RTS Electric Utilities Index

188.97

-1.48%

7.70%

-7.16%

-27.63%

RTS Siberia Index

710.83

0.58%

3.58%

-14.83%

-21.75%

Russian Volatility Index

47.98

3.72%

-6.98%

-11.96%

85.24%

The RTS Index went down by 2.28% to reach 1,495.87 points (1,530.70 points as of November 11, 2011). The RTS Standard Index, the blue chips index, lost 1.17% to reach 9,987.51 points (10,105.53 points as of November 11, 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 3.72% to reach 47.98 points (46.26 points as of November 11, 2011).

Last week all key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the metals and mining sector, with the RTS Metals & Mining Index falling by 5.21%. A significant decrease was also shown by the finance and industry sectors, with the RTS Finances Index and RTS Industrial Index going down by 4.70% and 1.80% respectively. A growth was reported only by the consumer & retail sector, with the RTS Consumer & Retail Index adding 0.84%.

The regional index, RTS Siberia Index, added 0.58%.

The US dollar depreciated by 0.36% against the ruble to reach 30.73 rubles per US dollar (30.85 rubles as of November 11, 2011).