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The MICEX stock indices
The MICEX is developing a family of stock indexes which enable, on the basis of reliable source data, to give market participants comprehensive information on the state of different segments of the securities market.
This work is being done in the framework of the MICEX organized securities market, which has demonstrated considerable technological superiority over similar markets of other Russian organizers of trading (in 2000, the MICEX's share in the corporate securities market exceeded 70% of the total turnover of secondary trading in these instruments in Russia). However, despite the close interconnection of markets on different exchange floors and the over-the-counter market, there exists certain discrepancy in the current prices for one and the same stock in different markets. Broker operations imply the fulfillment of clients' orders at best prices on any trading floor. Considering this feature of the market and the need in the integral evaluation of portfolios, the MICEX is going to adopt an approach which goes beyond the scope of the MICEX market and enables to generalize the dynamics of prices on several independent trading floors in one index. At present, the MICEX calculates indexes which characterize the state of the MICEX securities market. These include the MICEX Index, the MICEX 10 and the MICEX Summary Technical Index. The MICEX Index The MICEX Index (calculated since 22 September 1997; on 28 November 2002, the name "The MICEX Summary Stock Index" was changed for "The MICEX Index") is an effective capitalization-weighted index of the market of most liquid stocks of Russian issuers admitted to circulation on the MICEX. The Methodology of calculation of the MICEX Index is based on a modern system of index management, which includes the formation of the Index Committee and determines the principles of including securities into the index calculation base based on expert evaluations. The MICEX Index is re-calculated real-time when a new transaction in stocks, comprising the index calculation base, is carried out in the main trading mode. The MICEX 10 Index The MICEX 10 Index (published since 19 March 2001, the initial value of the index, calculated on 30 December, 1997, at 18:00, Moscow time, is 100 index points) is a price non-weighted index, calculated as the arithmetic mean of the change of prices of 10 most liquid stocks admitted to circulation in the Stock Market Section (independently of whether they are listed on the MICEX). The Index reflects in the real-time mode (from 10:59 till 18:00) the increment of the value of the portfolio of 10 stocks, whose weights within the portfolio are the same at the initial moment. This indicator is oriented primarily at day-traders and enables to monitor the slightest fluctuations of prices of the main financial instruments. The MICEX 10 is the first Russian exchange index whose methodology does not imply the temporal averaging of prices. The index value is re-calculated after each transaction carried out in any of 10 selected stocks in the main trading mode. The composition of the index basket is determined once in a quarter on the basis of 4 liquidity indicators. The MICEX Summary Technical Index The MICEX Summary Technical Index was launched in compliance with the RF Federal Securities Commission's requirements to organizers of trading in the securities market, contained in the FSC's Rules #1-ps adopted 4 January, 2002. The MICEX Directorate uses this index when making a decision about suspending trading if the maximum allowable limits of fluctuations of this index, set by the RF FSC, are exceeded. The Index is the ratio of the current capitalization of stocks, admitted to circulation on the MICEX, to the value of their capitalization on the initial date. The Index is calculated every 30 minutes from 12:00 till 18:00. The hourly averaging of the price of stocks is used to calculate the capitalization.
The MICEX bond indices
The MICEX CBI
MICEX Group has developed a series of bond indices calculated for different ruble denominated bond market segments - corporate bonds and government bonds - aiming to meet the information requirements of different debt market participants. The MICEX CBI methodology is based on market capitalization, liquidity of the bonds and investment grade of the bond issuers. MICEX CBI is calculated in a real time as a performance index (which comprises price changes and accrued interest), as a clean price index and as a gross price index (which comprises price changes and accrued interest without coupon reinvestment). The bond prices used in the index calculation are consolidated from the main and the negotiation deals trading modes at the MICEX Stock Exchange. MICEX CBI is based on world-standard calculation methods and recalculated after each transaction in one of its constituent bonds (trading time from 10:00 a.m. to 18:00 p.m. (Moscow time).
A rigid selection procedure ensures the quality and liquidity of the Index. The MICEX CBI base is revised every three months (by the end of January, April, July and October). The number of bonds in the index is variable, and depends on the eligible bonds availability.
Eligible bonds are selected from among the bonds traded at MICEX Stock Exchange. There are four main criteria for selection:
- the bond issuer minimum credit rating is to be equal to B+ by "Standard&Poor's" and "Fitch Ratings", or B1 by "Moody's Investors Service",
- the remaining maturity of the bond issue is to be of at last 1 year at the next index revision date,
- the minimum bond amount outstanding is not less than 3 bln rubles (about ┬ 80 mln),
- the bond daily turnover is not less than 10 mln rubles (about ┬ 0.3 million).
The weight of all bonds of one issuer in MICEX CBI may not exceed 30% at the index revision date, which prevents an issuer from dominating the Index.
MICEX CBI was conceived as the successor to the RCBI √ Russian Corporate Bond Index. The Index data goes back to December 31, 2002 (base value of MICEX CBI is 100).
 | Brochure "MICEX Corporate Bond Index" (eng)
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MICEX Stock Exchange
