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26.02.2013 15:12

The Methodology for calculating the Moscow Exchange Indices to take effect on March 04, 2013

Please be reminded that as from March 04, 2013 the Methodology of the Moscow Exchange Indices calculation approved by the Directorate of CJSC "MICEX Stock Exchange" on 14.11.2012 and by the Executive Board of Moscow Exchange on 16.11.2012 as well as registered with the FFMS of Russia on 13.12.2012 will take effect. 

Once the new methodology comes into force the current Rules for calculating the MICEX Index and the Methodology of calculating the RTS Index will become invalid.

The new Methodology for the Exchange"s Indices stipulates the following:

  • The MICEX Index and RTS Index are calculated based on the unified securities basket comprising top 50 highly capitalized stocks (by free-float) that meet the Indices liquidity criteria. 
  • The single formula is applied to calculate both Indices. This formula is based on the capitalization weighting model similar to current one. One of the most widely used versions of the formula will be applied, i.e. one with the divisor, as a matter of convenience for customers who automate their analytical and trading strategies.
  • Historical continuity of values of both Indices will be observed. The introduction of the new formulas will not lead to changes in the Indices trends as far as parameters not implying any leaps will be employed to calculate the Indices. The Indices series will continue values taken by the Indices on the day preceding the methodology effective day.      
  • The Indices values are published once a second.
  • The Indices are calculated based on a last trade price. Such principle allows customers to verify independently the indices values using market data available via the terminals of information agencies.
  • Prices of non-liquid securities issues will not be considered in order to avoid the impact of non-market prices.  Furthermore, a two-tier control for price deviations will be applied.  The Indices will include only one issue, the primary issue by default, of a specific security.  A price of the further issue can be taken if the primary issue is owned by a strategic shareholder and is not liquid.

The Methodology of the Moscow Exchange Indices calculation.

For further information, please contact the Public Relations Department at (495) 363-3232.

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