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02.09.2013 17:00

Updated pension contribution index methodology from 17 September

Moscow Exchange's management has confirmed that the updated methodology for calculating the pension contribution index is to be introduced from 17 September. The new methodology adds use of a new subindex which includes OFZs in calculating pension fund indices.

OFZs were previously included in a single composite bond index comprising corporate, regional, and municipal issues, as well as those from international banks. The OFZ subindex will be used to calculate Conservative and Moderate indices.

The introduction of the subindex of OFZs as a separate asset class is intended to increase transparency on the Russian collective-investment market and the accuracy of valuations of various investment strategies used in managing pension funds.

Pension fund indices are calculated jointly by Moscow Exchange and the National League of Managers self-regulatory organisation, and is a composite index of shares and bonds reflecting three investment strategies depending on the asset class — Conservative (80% corporate and regional bonds, 20% OFZs), balanced (70 corporate and regional bonds, 20% shares, 10% OFZs), and aggressive (55% corporate and regional bonds, 45% shares).

The indices are calculated using the value of a bond subindex that is calculated based on: deals in Russian corporate, regional, and municipal bonds and international banks; a share subindex that is calculated based on deals in Russian stocks; and an OFZ subindex that is based on prices of deals with OFZs. The subindex components are reviewed quarterly.

The indices' starting values were 1,000 (on 28 December 2007), and their values are calculated daily.

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

Indices