Changes To The List Of Securities For Calculating The RTS Indices

The existing methodology of the RTS indices calculation is based on the price information on the shares, included in the A category list of the RTS listed securities. According to the RTS Board of Directors decision starting from 1 January 2000 A and B category classification of the RTS securities will be cancelled. Consequently the RTS Information Committee made changes to the methodology of calculating the RTS Index and the RTS Technical Index defining the rules of composing the lists of securities for the indices calculation. Starting from 5 January 2000 the list of securities involved in the indices calculation will comprise shares included in the Quotation lists of the 1st and the 2nd level and shares picked up by the Information Committee on the basis of an expert estimation. The expert estimate is based on the following characteristics: Capitalization, calculated by the price of the best bid ; Average daily trade volume; Frequency of trades conclusion ; Existence of demand and offer; Value of spread; Other factors affecting share liquidity . The list of securities involved in the RTS indices calculation may not be reconsidered more frequently than once within a three-month period. To make a decision on the list composition the RTS Information Committee analyses shares parameters for the last three months. The list of securities involved in the RTS indices calculation comprises the shares included in the 1st and 2nd level Quotation lists as of the end of the current month and those picked up on the basis of an expert estimate. Changes to the list of securities employed in the RTS indices calculation are made effective one month after the expiration of the period being studied. The list effective since 5 January 2000 was composed on the basis on the data for the period of 1 September to 30 November 1999. Meanwhile capitalization of the securities selected to be included in the indices exceeds 95% of that of all the shares admitted to trading in the RTS. The list of shares employed in the RTS indices calculation, effective since 5 January 2000: (a) the 1st level Quotation list; (b) the 2nd level Quotation list; (c) shares, selected on the basis of an expert estimation .