Changes To The Methodology Of The RTS Index Calculation

The board of directors of OJSC "Russian Trading System" Stock Exchange has introduced changes to the index calculation methodology of the RTS indices - the RTS Index, the RTS-2 Index, and the RTS Sector Indices.

These modifications to the RTS index calculation methodology are aimed at further enhancement of the quality of index management and even better coverage of the market situation.

As of September, 17th, 2007, the following changes to the methodology of the RTS index calculation will become effective:

1. Changes to the timing of calculation of weight caps of individual issuers

At present, the interval between the date of calculation of weight caps of individual issuers in an index and their effective date is one month. Under the new rules, calculation of weight caps will be done on the results of the trading day preceding the publication date of the new constituent list (the list is published not later than 2 weeks prior to coming into force).

2. Changes to the waiting period for issuers who have held an IPO or an SPO

New rules provide for a possibility for stocks of issuers who have held an IPO or an SPO to be included in the indices without prior inclusion as candidates in the waiting lists.

3. Introduction of a free-float definition for securities that are traded simultaneously on platforms in and outside of Russia

For stocks with conversion restrictions between depositary receipts and local shares only free-float shares of local stocks will be used for index calculation.

List of selected issuers with conversion restrictions:

4. Changes to the frequency of index calculation

As of present, index calculation is tracking the changes in the price information. As of September 17th, 2007, calculation of the RTS indices will be done at 15 second intervals, similar to the calculation of many other global indices .

Definition of action by RTS in case of reorganization of companies whose stocks are included in an index.
The RTS index calculation methodology is expanded to include description of possible actions in different scenarios of joint-stock company reorganizations such as amalgamations, spin-offs or divisions, affiliations and split-offs with simultaneous affiliations.
The RTS Information Committee retains the right to take action depending on concrete cases of individual reorganization.

The corporate events section will also be enhanced with a description of a continuous price revision process reflective of the overall market situation of securities which have been suspended for trading for the duration of corporate events, or whose prices have been fixed at a certain level by ?ommittee decision.

These changes to the RTS index calculation methodology have been developed in consultancy with the analysts of the Standard & Poor’s Index Services, the world’s leading index provider. Under its existing index partnership with RTS, Standard & Poor’s has assumed commercial management for licensing RTS indices to investment managers, and has joined the RTS Index Committee in an advisory capacity.

Constituent lists of the RTS Index and the RTS-2 Index are composed of securities picked by the experts of the RTS Information Committee using such parameters as capitalization and liquidity and expert estimation. The lists are subject the Committee’s review every three months. The RTS Index is calculated on the basis of 50 most liquid and capitalized stocks.The RTS-2 Index is calculated on the basis of second-tier stocks.

The sector indices calculated by RTS include securities of enterprises representing certain sectors of the economy. Each individual issuer’s weight in an index is capped at 25 percent. The number of constituent stocks in the individual indices varies from 10 to 15. The constituent lists of the RTS Index and the RTS-2 Index serve basis for the sector indices’ starting lists.

The RTS Information Committee is made of the experts delegated by the RTS member-companies as well as independent experts, and is responsible for reviewing the index calculation methodology.