OREANDA-NEWS. December 19, 2011. For the week of December 5-9, 2011 the Russian stock market showed a decline of prices.

The RTS Index (RTSI) went down to 1,410.28 points (8.75%) from 1,545.57 points as of December 2, 2011. At the end of the week the RTS Index was 6.78% lower than a month ago (1,512.85 points as of November 9, 2011) and 17.60% lower than a year ago (1,711.56 points as of December 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 25.92%.

The US dollar appreciated by 1.24% against the ruble.

Out of 49 RTSI constituents 37 were pulling the Index down (down 136.16 points overall), whereas five securities had a positive impact (plus 0.88 points in total). The price for seven securities remained unchanged.

The negative effect leaders were ordinary shares of Gazprom (down 22.47 points), Sberbank (down 20.96 points) and OAO "LUKOIL" (down 14.81 points).

The positive impact was mainly related to the growing prices for ordinary shares of NLMK (plus 0.69 points).

Over 51.10% of the RTSI total capitalization was concentrated in the oil and gas sector. The other large-weight sectors were finance (18.42%) and metallurgy (10.78%).

On the sector level the major negative contributors were the oil & gas (down 66.06 points) and finance sectors (down 30.27 points).

RTSI Futures Contracts

For the week of December 5-9, 2011 the trading volume in the RTSI derivatives amounted to 959.26 billion rubles or 10.36 million contracts. The turnover of futures contracts on the RTS Index made up 69.53% of the total FORTS turnover (Futures and Options on RTS) in cash terms.

With the RTSI losing 8.75%, December and March contracts shed 8.88% and 8.94% 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 4.53 points in backwardation. For March contracts backwardation stood at 19.18 points.

For the week investor's open interest measured in contracts increased by 25.32%.

The RTS Standard Index

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

The RTS Standard Index went down by 7.74% to 9,522.85 points (10,321.25 points as of December 2, 2011). At the end of the week the RTS Standard Index was 4.84% lower than a month ago (10,007.22 points as of November 9, 2011) and 15.24% lower than a year ago (11,234.94 points as of December 9, 2010).

All the Index constituents had a negative impact on the RTS Standard Index (down 798.39 points overall).

The most negative impact was mainly due to the falling prices for ordinary shares of Gazprom (down 146.50 points), followed by Sberbank (down 139.79 points) and OAO "LUKOIL" (down 90.69 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 10.51%, Sberbank that went down by 10.39% and JSC "RusHydro" that shed 10.27%.

The oil & gas sector accounted for 55.37% of the RTS Standard Index' total capitalization. The other large-weight sectors were finance (23.08%) and metallurgy (9.91%).

Ticker

Stock

Weight in the RTS Standard Index, %

Weight in the RTS Index, %

GAZPS

Gazprom, ordinary

19.80%

16.01%

SBERS

Sberbank, ordinary

16.82%

13.60%

SBERPS

Sberbank, preferred

1.45%

1.18%

LKOHS

LUKOIL, ordinary

16.18%

13.09%

GMKNS

NORILSK NICKEL, ordinary

7.96%

6.44%

ROSNS

Rosneft, ordinary

7.85%

6.35%

URKAS

Uralkali, ordinary

7.06%

5.71%

SNGSS

Surgutneftegas, ordinary

5.60%

4.53%

SNGSPS

Surgutneftegas, preferred

2.03%

1.64%

RTKMS

Rostelecom, ordinary

3.98%

3.22%

VTBRS

VTB Bank, ordinary

3.89%

3.15%

HYDRS

RusHydro, ordinary

2.21%

1.79%

FEESS

FGS UES, ordinary

1.90%

1.54%

TRNFPS

Transneft, preferred

1.71%

1.38%

CHMFS

Severstal, ordinary

1.56%

1.26%

Total

 

100.00%

80.88%

Second-tier stocks

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

Over the reviewed period the RTS-2 Index lost 4.42% to reach 1,632.02 points (1,707.42 points as of December 2, 2011). At the end of the week the RTS-2 Index was 6.23% lower than a month ago (1,740.44 points as of November 9, 2011), and 23.32% lower than a year ago (2,128.36 points as of December 9, 2010).

22 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 77.73 points overall), five instruments pulled the Index upwards (up 2.32 points). The price for 30 securities remained unchanged.

Most of the negative effect was related to the falling prices for ordinary shares of JSC "INTER RAO UES" (down 12.60 points), followed by JSC "IDGC Holding" (down 11.79 points) and OJSC "Volga TGC" (down 9.83 points).

The positive effect leaders were ordinary shares of OJSC Concern "KALINA" (plus 0.87 points).

In terms of weight in the RTS-2 Index, the power sector was the largest (43.14%), followed by the oil & gas sector (15.22%) and consumer & retail sector (10.08%).

Most of the RTS-2 Index drop was due to the negative contribution by the securities of the following sectors: power (down 39.31 points) and oil & gas (down 15.00 points).

RTS Siberia Index

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

The RTS Siberia Index lost 2.42% to close at 698.66 points (715.95 points as of December 2, 2011). At the end of the week the RTS Siberia Index was 1.17% lower than a month ago (706.93 points as of November 9, 2011) and 27.01% lower than a year ago (957.13 points as of December 9, 2010).

Out of the 10 component stocks four were moving the RTS Siberia Index down (down 20.32 points), while one security moved positively (up 3.03 points). The price for five securities remained unchanged.

The negative effect leaders were ordinary shares of JSC "RusHydro" (down 12.41 points), "OJSC "MMC "NORILSK NICKEL" (down 6.54 points) and JSC "WGC-3" (down 1.13 points)

The positive effect leaders were ordinary shares of OAO Raspadskaya (plus 3.03 points).

The power sector accounted for 42.85% of the RTS Siberia Index' total capitalization. The other large-weight sectors were metallurgy (35.15%) and oil & gas (22.00%).

The RTS family of indices

Index

Last

Change over (Period), %

Value

Week

Month

Quarter

Year

RTS Index

1,410.28

-8.75%

-6.78%

-13.23%

-17.60%

RTS Standard Index

9,522.85

-7.74%

-4.84%

-7.45%

-15.24%

RTS-2 Index

1,632.02

-4.42%

-6.23%

-15.97%

-23.32%

RTS Metals & Mining Index

225.69

-2.70%

-8.36%

-26.14%

-32.25%

RTS Oil & Gas Index

180.98

-8.32%

-6.66%

-5.56%

-5.68%

RTS Consumer & Retail Index

306.64

-2.77%

-5.62%

-12.27%

-27.60%

RTS Industrial Index

137.67

0.00%

-5.54%

-24.00%

-30.93%

RTS Finances Index

275.52

-9.75%

-10.44%

-22.45%

-35.76%

RTS Electric Utilities Index

178.57

-8.22%

-5.70%

-11.88%

-33.80%

RTS Siberia Index

698.66

-2.42%

-1.17%

-18.53%

-27.01%

Russian Volatility Index

54.65

25.92%

10.81%

29.53%

116.59%

Over the week of December 5-9, 2011, the RTS Index went down by 8.75% to reach 1,410.28 points (1,545.57 points as of December 2, 2011). The RTS Standard Index, the blue chips index, lost 7.74% to reach 9,522.85 points (10,321.25 points as of December 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 25.92% to reach 54.65 points (43.40 points as of December 2, 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 9.75%. A significant decrease was also shown by the oil & gas and power sectors, with the RTS Oil & Gas Index and RTS Electric Utilities Index going down by 8.32% and 8.22% respectively. The value of the RTS Industrial Index remained unchanged.

The regional index, RTS Siberia Index, lost 2.42%.

The US dollar appreciated by 1.24% against the ruble to reach 31.23 rubles per US dollar (30.85 rubles as of December 2, 2011).