OREANDA-NEWS. December 1, 2011. For the week of November 21-25, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,413.18 points (5.53%) from 1,495.87 points as of November 18, 2011. At the end of the week the RTS Index was 5.79% lower than a month ago (1,500.05 points as of October 25, 2011) and 12.69% lower than a year ago (1,618.55 points as of November 25, 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 12.03%.

The US dollar appreciated by 2.29% against the ruble.

Out of 49 RTSI constituents 37 were pulling the Index down (down 87.45 points overall), whereas 9 securities had a positive impact (plus 4.75 points in total). The price for three securities remained unchanged.

The negative effect leaders were ordinary shares of Gazprom (down 12.28 points), OAO "LUKOIL" (down 12.74 points) and Sberbank (down 7.44 points).

The positive impact was mainly related to the growing prices for preferred shares of JSC "Transneft" (plus 1.27 points).

Over 51.06% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (17.68%) and metallurgy (10.68%).

On the sector level the major negative contributors were the oil & gas (down 50.62 points) and finance sectors (down 14.28 points).

RTSI Futures Contracts

For the week of November 21-25, 2011 the trading volume in the RTSI derivatives amounted to 867.26 billion rubles or 9.82 million contracts. The turnover of futures contracts on the RTS Index made up 71.47% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 5.53%, December and March contracts shed 5.64% and 5.83% 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 6.58 points in backwardation. For March contracts backwardation stood at 22.18 points.

For the week investor's open interest measured in contracts increased by 13.81%.

The RTS Standard Index

Ticker

Stock

Weight in the RTS Standard Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

19.23%

15.58%

LKOHS

LUKOIL, ordinary

16.41%

13.30%

SBERS

Sberbank, ordinary

15.94%

12.92%

SBERPS

Sberbank, preferred

1.41 %

1.15%

GMKNS

NORILSK NICKEL, ordinary

8.05%

6.53%

ROSNS

Rosneft, Ѓ  ordinary

7.72%

6.26%

URKAS

Uralkali, ordinary

7.65%

6.20%

SNGSS

Surgutneftegas, ordinary

5.64%

4.57%

SNGSPS

Surgutneftegas, preferred

2.01 %

1.63%

RTKMS

Rostelecom, ordinary

4.36%

3.54%

VTBRS

VTB Bank, ordinary

3.82%

3.09%

HYDRS

RusHydro, ordinary

2.32%

1.88%

FEESS

FGS UES, ordinary

1.97%

1.59%

TRNFPS

Transneft, preferred

1.83%

1.48%

CHMFS

Severstal, ordinary

1.63%

1.32%

Total

 

100.00%

81.04%

For the week of November 21-25, 2011 the RTS Standard Index experienced a negative movement of prices.

The RTS Standard Index went down by 4.07% to 9,581.55 points (9,987.51 points as of November 18, 2011). At the end of the week the RTS Standard Index was 3.25% higher than a month ago (9,903.39 points as of October 25, 2011) and 10.69% lower than a year ago (10,728.08 points as of November 25, 2010).

Out of 15 constituents 12 had a negative impact on the RTS Standard Index (down 430.69 points overall). Three securities moved positively (up 24.72 points). The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 150.71 points), followed by OAO "LUKOIL" (down 70.22 points) and OJSC Uralkali (down 37.09 points).

The positive effect leaders were preferred shares of JSC "Transneft" (plus 14.19 points). Out of the blue chips the top fallers were ordinary shares of JSC VTB Bank that lost 8.65%, Gazprom that went down by 7.56% and OAO Severstal that shed 5.37%.

The oil & gas sector accounted for 55.25% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (22.14%) and metallurgy (10.12%).

Second-tier stocks

For the week of November 21-25, 2011 the second tier stocks market demonstrated negative dynamics.

Over the reviewed period the RTS-2 Index lost 4.18% to reach 1,645.28 points (1,717.04 points as of November 18, 2011). At the end of the week the RTS-2 Index was 2.08% lower than a month ago (1,680.26 points as of October 25, 2011), and 18.88% lower than a year ago (2,028.24 points as of November 25, 2010).

29 constituents out of 57 stocks on the basis of which the RTS-2 Index is calculated had a negative impact on the RTS-2 Index (down 84.56 points overall), four instruments pulled the Index upwards (up 12.80 points). The price for 24 securities remained unchanged.

Most of the negative effect was related to the falling prices for ordinary shares of JSC "INTER RAO UES" (down 16.38 points), followed by ordinary and preferred shares of JSOC Bashneft (down 11.23 and 9.51 points respectively).

The positive effect leaders were ordinary shares of "VSMPO-AVISMA Corporation" (plus 5.34 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (43.37%), followed by the oil & gas sector (15.93%) and consumer & retail sector (9.88%).

Most of the RTS-2 Index drop was due to the negative contribution by the securities of the following sectors: power (down 29.91 points) and oil & gas (down 21.39 points).

RTS Siberia Index

For the week of November 21-25, 2011 stocks constituting the RTS Siberia Index experienced a negative trend.

The RTS Siberia Index lost 4.60% to close at 678.15 points (710.83 points as of November 18, 2011). At the end of the week the RTS Siberia Index was 1.11% lower than a month ago (685.73 points as of October 25, 2011) and 27.80% lower than a year ago (939.23 points as of November 25, 2010).

Out of the 10 component stocks six were moving the RTS Siberia Index down (down 32.97 points), while one security moved positively (up 0.29 points). The price for three securities remained unchanged.

The negative effect leaders were ordinary shares of JSC "Irkutskenergo" (down 9.87 points), JSC "WGC-3" (down 9.65 points) and OAO Raspadskaya (down 8.79 points)

The positive effect leaders were ordinary shares of JSC "TGK-11" (plus 0.29 points).

The power sector accounted for 45.02% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (34.55%) and oil & gas (20.44%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,413.18

-5.53%

-5.79%

-10.78%

-12.69%

RTS Standard Index

9,581.55

-4.07%

-3.25%

-2.03%

-10.69%

RTS-2 Index

1,645.28

-4.18%

-2.08%

-11.65%

-18.88%

RTS Metals & Mining Index

219.61

-5.41%

-15.06%

-24.31%

-28.69%

RTS Oil & Gas Index

181.61

-6.15%

-2.34%

-3.64%

0.09%

RTS Consumer & Retail Index

303.72

-4.52%

-5.44%

-10.19%

-19.82%

RTS Industrial Index

136.69

-3.88%

-7.12%

-24.47%

-29.14%

RTS Finances Index

276.07

-7.33%

-10.70%

-22.01%

-33.59%

RTS Electric Utilities Index

182.11

-3.63%

1.21%

-8.20%

-31.59%

RTS Siberia Index

678.15

-4.60%

-1.11%

-16.80%

-27.80%

Russian Volatility Index

53.75

12.03%

9.49%

5.60%

120.58%

The RTS Index went down by 5.53% to reach 1,413.18 points (1,495.87 points as of November 18, 2011). The RTS Standard Index, the blue chips index, lost 4.07% to reach 9,581.55 points (9,987.51 points as of November 18, 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 12.03% to reach 53.75 points (47.98 points as of November 18, 2011).

Last week all 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 falling by 7.33%. A significant decrease was also shown by the oil & gas and metals & mining sectors, with the RTS Oil & Gas Index and RTS Metals & Mining Index going down by 6.15% and 5.41% respectively.

The regional index, RTS Siberia Index, lost 4.60%.

The US dollar appreciated by 2.29% against the ruble to reach 31.44 rubles per US dollar (30.73 rubles as of November 18, 2011).