MICEX-RTS and National League of Management Companies launch pension indices
On March 27, 2012 MICEX-RTS starts to calculate new market indicators, the Pension Indices, developed jointly by MICEX-RTS and National League of Management Companies (NLMC).
The market of pension savings has one of the highest potential among other segments of the Russian financial market with over one trillion rubles of insurance contributions made to the funded component of retirement pensions. The new indicators are aimed at a wide range of pension market participants including private asset management companies with portfolios of securities formed using pension savings funds.
The Pension Indices are designed to enhance transparency on the Russian market of pooled investments by providing it with the appropriate yield indicator. Thereby, the methodology for calculating the Indices includes requirements of the legislation to exchange-traded instruments used for investing of pension savings as well as best practices in the field of pension savings management derived from the NLMC's experience.
The new indicators represent composite equity and bond indices. They reflect three possible investment strategies according to asset classes, i.e. conservative (100% of fixed income assets), balanced (80% of fixed income assets and 20% of equities) and aggressive (55% of fixed income assets and 45% of equities).
The Methodology for calculating the Indices was approved by the Directorate of CJSC MICEX Stock Exchange on March 23, 2012. It implies employing fixed income and equity subindices. The fixed income subindex is calculated based on prices of trades in Russian corporate, subfederal and municipal bonds, bonds of international financial organizations, while the equity subindex is calculated using prices of trades in shares of Russian issuers.
Constituent lists of the subindices are reviewed once every three months. New constituent lists take effect on 15 March, 15 June, 15 September and 15 December. Maximum share for securities of one issuer in the subindices constituent list cannot exceed 10%. To be included into the constituent list, a security must have quarterly trading volume of no less than 0.5% from net asset value of pension savings volume managed by private asset management companies and non-government pension funds.
To be included into the constituent list of the fixed income subindex, bonds must meet the following requirements:
- bonds are traded in CJSC MICEX Stock Exchange and included into the Quotation list A Level one and/or the issuer of the bonds (bond issue) was assigned no lower than BB- long-term credit rating by at least one of the foreign rating agencies according to classifications of Standard&Poor's or Fitch Ratings, or it was assigned Ba3 rating according to the classification of Moody`s Investors Service;
- term to maturity as of the first effective day of the constituent list must be no shorter than 3 months and no longer than 5 years;
- the issuer of the bonds fully performed its obligations related to the bonds admitted to trading on the Exchange.
The constituent list of the equity subindex contains liquid shares included into the CJSC MICEX Stock Exchange Quotation list A Level 1. The subindex is calculated on the basis of prices of securities of no less than ten issuers.
Maximum number of securities in the subindices constituent lists is not restricted. The constituent list of the equity subindex effective until June 14, 2012 contains 21 shares of 18 issuers. The fixed income subindex list has 82 bond issues.
Base values of the indices are 1,000 points (as of December 28, 2007). The indices are calculated on a daily basis.
For further information, please contact the Public Relations Department at (495) 363-3232.