Moscow Exchange Index Calculation Methodology registered by the regulator

The Central Bank of Russia (CBR) has registered an updated version of the Methodology of the Moscow Exchange Indices Calculation adopted by the Directorate of MICEX Stock Exchange on 13 July 2016.

The methodology has been amended to include new provisions with regard to a liquidity factor. This factor has been added to the weighting coefficients used to select index constituents and calculate index values.

The weighting coefficients currently serve to limit the presence of a large company in the index. Under the new methodology, they will be also used to decrease the weight of non-liquid stocks with imbalance between market cap and liquidity.

Furthermore, total return values will be calculated for the Moscow Exchange"s main indices, the MICEX Index and the RTS Index, and the Blue-Chip Index. Total return indices measure performance of constituent stocks with dividends reinvested. The Exchange will offer gross total return indices which are before the deduction of withholding taxes, and net total return indices which are after the deduction of withholding taxes at rates for Russian and international corporates.

The Exchange will announce the effective date for the new methodology in due course.

For further information, please contact the Public Relations Department at (495) 363-3232.