Within the framework of the MICEX and RTS integration process, new versions of the Rules on calculation of the sectoral indices and methodologies for calculation the RTS Index and the RTS Standard Index were approved. The Rules are planned to be in effect since December 16, 2011.
The new order of calculation of the sectoral indices implies using prices generated during the main trading mode to obtain the indices values denominated in rubles and US dollars. History of the MICEX and RTS sectoral indices will be employed as the indices historical data in rubles and foreign currency respectively. According to the document, a unified procedure for setting up the lists of securities employed in the indices calculation, their implementation, disclosure, determination of the weighting coefficients and free-float factors has been established. In addition, unscheduled amendments will be introduced in accordance with a single procedure. The new lists of securities employed in the calculation of the indices will be presented each quarter and will come into force on the 16th day of the last month in a quarter.
The calculation of the ruble sectoral indices on the basis of the new constituent lists will be launched on December 16, 2011, while for the sectoral indices based on prices in a foreign currency the effective day is December 19, 2011.
MICEX also approved the Methodologies for calculating the RTS Index and RTS Standard Index.
The Methodologies were considered due to the transfer of the RTS indices to MICEX. As a result of the move the RTS Index and RTS Standard Index will be calculated in accordance with the documents approved by MICEX using prices from the Standard and Classica markets which will operate within the MICEX structure. The methodologies provide a unified approach for determining free-float factors which will be employed for the calculation of all indices of the integrated exchange.
These Methodologies will come into force on December 19, 2011.
