AK&M Composite & Sector Indexes Methods

All AK&M Stock Indexes are calculated under the uniform technique which is based on determining the relative changes in the aggregate capitalization of the listed companies. The Depository Receipts Index is the sole exception as it measures only the issuers' securities which are floating on foreign markets.

Capitalization is assessed based on the quoted prices.

An AK&M Stock Index is calculated if at least three listed stocks have quoted prices on the date of calculation. Otherwise the Index value will remain unchanged.

,

where

- means the Index taken on the current day;

- is the previous day's Index;

i - stock No. in the listing;

s - number of stocks listed to calculate the Index;

- equals 1 if an i-stock has the quoted price both on the previous and on the current days; otherwise it is 0

- number of i-stocks released (issue worth);

- quoted price for the i-stocks on the current day;

- quoted price for the i-stocks on the previous day;

- stands for the aggregate market capitalization taken on the current day for all securities entered into the Index listing with the quoted prices available both on the current and on the previous days;

- stands for the aggregate market capitalization taken on the previous day for all securities entered into the Index listing with the quoted prices both on the current and on the previous days;

In the Index calculation, the weight of a listed i-security is determined by the formula:

Such weight reflects how the changes in the market value of a certain security affect the Index.

II. Stock Quoted Price

The quoted price (QP) is calculated based on the prices of the trading systems and on the bid/ask prices on the over-the-counter market.

If the stocks of the company entered into the issuer listing are continuously traded on a certain trading system, the quoted price will be calculated based on the system's best bid/ask prices. A trading system for each listed company is quarterly selected by the AK&M Expert Council. Here opinions of the issuer's experts as well as the established market infrastructure are taken into account.

The prices of over-the-counter market are determined by the quotes available in the AK&M-LIST database.

Only liquid stocks will have quoted prices.

A stock is liquid if it has at least three bid quotes and three ask quotes available in the AK&M-List database on the date of calculation.

The quoted price comprises the prices of the trading system if at least three deals have been made with the given stock in the given trading system on the date of calculation. To avoid distorting effect on the quoted price arisen from any potential non-relevant occasional deals (with the price significantly different from the market price), the trading system's price will equal the arithmetical mean of HighBid and LowAsk quotes at close of the trading.

The trading system's price is comprised in the quoted price calculation with the weight (P). Such weight corresponds to the share of the trading system in the total traded volume on the market and is determined quarterly.

,

where

,

i - ïmeans an ordinal number of the month in the quarter,

P_i - is the trading system weighted in an i-month,

j - number of the issuer with the stocks listed in the trading system and for which the registrar's data on the total deal value made in the previous quarter is available,

- number of stocks sold in the trading system in an i-month for a j-issuer,

- total number of stocks re-registered in an i-month for a j-issuer,

- êcapitalization of a j-issuer at the last business day of an i-month,

k - number of stocks in the trading system for which the registrar's data on aggregate re-registration is available.

In terms of formula, the quoted price will be:

AvgBBid - AvgBBid is an average value of the best bid prices determined under the data of the AK&M-List database as the arithmetical mean of 25% best (max. prices) bid quotes provided on the date of calculation.

AvgBAsk - is an average value of the best ask prices determined under the data of the AK&M-List database as the arithmetical mean of 25% best (min. prices) ask quotes provided on the date of calculation.

III. Principles to Compile, Upgrade Listings of Stocks & Stock Number Taken for AK&M Indexes Calculation.

For the purpose of AK&M Indexes calculation, the issuer listings are compiled with regard to the influence of their stocks on the market. In this case, market capitalization and stock liquidity are the core factors to determine the rate of such influence.

The listings are revised quarterly. Any changes in the listings as well as the effective date of such changes are provided in the AK&M information materials and other mass media.

When calculating AK&M Indexes, the market capitalization of each listed security is measured based on the number of released common stocks. However only the common stocks placed to that moment will be taken into account.

No preferred stocks are comprised to calculate either capitalization or the Indexes.

The number of released stocks is determined by the documents confirming availability of the state registration of the issue and the registered report on the placement results for such issue.

As to the privatized enterprises, the stocks retained in the government's ownership or contributed to stock capital of any holding will be regarded as placed.

The decision to add new stock issues to Index calculation is taken on receipt of the official report on the stock placement results. The date of adding new issues to the Index calculation is announced by the AK&M Expert Council. The date when the holder registers have been revised accordingly is taken into account.

The Secondary Stock Listing Index (AK&M-2) is compiled by removing the most liquid stocks with over 2% of RTS traded volume from the AK&M Composite Index.

The AK&M Expert Council is entitled to decide whether to list or deny listing to a certain stock under the principles that may differ from the above. In this case, the companies with the stock market expanding on the given date will have preference.

A company will be crossed out from the listing used to calculate the Index if at least one of the below conditions has been met: a. common stocks of the company had quoted price on less than 60% of trading days taken for the last half-year to-date of the listing.
b. capitalization of each listed company was over 0.4% of stock market capitalization on the date of the listing.

The AK&M Expert Council is entitled to decide whether to preserve or to remove a company from the secondary stock listing under the principles that may differ from the above. In this case, the companies with the stock market expanding on the given date will have preference.

AK&M Depository Receipts Calculation Method.

1. Depository Receipts Settlement Rate on the Foreign Market.

It is not the stocks of Russian issuers but derivative papers, to be more exact the Depository Receipts, that are generally floating and quoted on foreign markets. This AK&M Index comprises the depository receipts issued for common stocks.
On the foreign markets, the depository receipt-to-stock rate is determined as the close price (USD) on the trading floor assigned to the issuer in the index listing. The rate is calculated in the morning based on the previous day's trading. November 17, 1997 is the base date (index equals 1.0).
In case a trading floor operates any other currency except the USD, the close price will be recalculated under the exchange rate provided by Bloomberg at 6:00 PM, MSK, on the given trading day.

2. AK&M Depository Receipts Index.
This Index is calculated under the stock rates on the foreign market determined under the above method. Issuer listing which is described below is taken into account. Initial index equals 1. The value for each following business day is calculated by the formula.

I – I means the AK&M Depository Receipts Index in t/t-1 days; m is the number of issuers with the stocks' depository receipts entered into the listing; Ki- rate of an i-depository receipt; Ni- number of outstanding depository receipts of an i-issuer; equals 1 if on the t/t-1 days the depository receipts for i-stocks were traded on the floor assigned to the issuer, otherwise it is zero.

3. Listing Compilation & Upgrading Principles for Calculation.
The listing comprises Russian companies with depository receipts for the stocks formally registered with the country where they were released, listed and are most aggressively traded on the trading floors.
The AK&M Expert Council is entitled to decide whether to list or deny listing to a certain company under the principles that may differ from the above.

4. Principles to Select Trading Floors Fixing Depository Receipts Prices.
When calculating a stock rate on the foreign market, the quotes of the stock exchanges or over-the-counter trading systems will be taken into account always provided such trading floors are located outside Russia and are out of its jurisdiction.
A trading floor is individually assigned to the issuer of depository receipts with regard to the wish of the management of the respective issuer and the market opportunities.

5. Principles to Determine Number of Depository Receipts Released by Issuer.
The number of released depository receipts is revised each half year (on the first day of the corresponding month). The data is provided by the issuer's management. If delayed, the AK&M Expert Council may independently determine the number of released depository receipts. In this case the average percentage of the total number of stocks with released depository receipts taken from the number of other listed issuers, will be regarded as basic.
The listings to calculate the Index are upgraded by the AK&M Expert Council once in a half-year, i.e. before the 15th day of the first month of each half year. Any changes in the listings as well as the effective date for such changes are provided in the AK&M information materials and other mass media.