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Moscow Exchange renames MICEX index

November 27, 2017, 18:47 UTC+3 MOSCOW

The number of component stocks in the MOEX Russia Index will no longer remain fixed and will be reviewed on a quarterly basis

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MOSCOW, November 27. /TASS/. The Moscow Exchange has changed the name of the main indicator of the Russian stock market, the MICEX index, into the MOEX Russia Index from November 27, according to the press release of the Moscow Stock Exchange.

"The new name of the main indicator of the Moscow Stock Exchange is aimed to promote the recognition and value of the brand, the integrity of the perception of the Moscow Exchange and the entire Russian financial market by Russian and international professional investment communities, private investors," the press release said.

Earlier this month, it was reported that the Bank of Russia registered a revised methodology for the calculation of Moscow Exchange’s indices. The new methodology increases liquidity requirements for component stocks and allows for a variable number of stocks to be included in the indices.

The number of component stocks in the MOEX Russia Index will no longer remain fixed and will be reviewed on a quarterly basis based on the each stock’s liquidity factor, defined as the ratio of the annual trading volume to the market capitalization adjusted for free float. The liquidity factor will be the first-level criteria for inclusion in the index. A minimum liquidity factor of 15% will be required for inclusion and stocks whose liquidity factors fall below 10% will be excluded. Stocks included in the index must be traded daily, according to the press release.

The Moscow Exchanges also toughens requirements to the free-float shares of an issuer. According to the Moscow Exchange, for index inclusion the free float, or percentage of shares available for trading, will be increased from 5% to 10%. As at present, stocks whose free float falls below 5% will be excluded.

Also component stocks will now be required to account for a minimum weight in the index. Stocks must have a weight of 0.25% or more to be eligible for inclusion. Stocks with a weight of less than 0.2% will be excluded.

All the aforementioned changes will be applied to both the MOEX Russia Index and the RTS Index, which have identical calculation methodology with the sole distinction being that the MOEX Russia Index is calculated in RUB and the RTS Index is calculated in USD. At present, the number of component stocks for both indices is fixed at 50. Were the new methodology to come into force today, 45 stocks would be included, according to the press release.

The first review under the new methodology will take place on December 22, 2017.

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