OREANDA-NEWS. November 19, 2012. At the new stage of the unified index family development, the Moscow Exchange has elaborated the draft methodology for calculation of its main indices, the MICEX Index and the RTS Index. The methodology is based on the concept of equity index families which has been approved before.

According to the new Methodology:

The MICEX Index and the RTS Index shall be calculated based on the same Index basket consisting of 50 stocks with the largest capitalization estimated with regard to the free-float with the stocks meeting the liquidity requirements to the Index constituents.

Both Indices shall be calculated by a single formula. By this formula Index components are weighted according to their market capitalization. The well-known index divisor approach shall be applied to meet the needs of the users who employ electronic systems for calculation and trading.

The principle of continuity shall be applied to calculation of the MICEX Index and the RTS Index values. That means that when the transfer to the new formulae takes place, the character of the Index dynamics will remain unchanged, because such parameter values shall be taken for calculation of the Indices which will prevent any Index fluctuations during the transfer. The columns of the Indices values will continue running from the points as of the day before the transfer to the new methodology.

The Indices values shall be published every second.

The last trade prices shall be used for calculation of the Indices. This principle will enable the users to independently verify the Indices calculation based on the data available through the terminals of various information agencies disseminating the market data.

To avoid nonmarket prices deviations, the prices of illiquid stocks shall not be taken into account. In addition, a two-level control of price deviations shall be applied. Thus, the prices of only one security issue will be taken into account for Indices calculation (which is by default the primary securities issue). In some cases, however, it will be possible to use the price of the additional issue, e.g. if the primary issue is owned by a strategic shareholder or if it is not liquid.

The draft Methodology of the Moscow Exchange Indices Calculation ought to be approved by the Exchange's executive bodies and submitted to the FFMS of the Russian Federation for registration. It shall take effect within the term set forth by the Russian legislation. For more information please follow the link ("About a unified index family of the Moscow Exchange").