MSCI Russia - May 2021 Rebalancing Review

MSCI has released the results of the May 2021 rebalancing overnight, as scheduled. For Russia, the key change is the addition of Ozon to the indexes. Float changes for Polymetal, NLMK, Magnit and Moscow Exchange are also relevant. MSCI priced the rebalancing as of April 19 and used a minimum market cap for Russia of $4.7 bln, in the middle of our forecast range. With the indexed capitalization of the Russia and EM indexes both increasing by slightly more than 2%, Russia's pro forma weight in the EM benchmark remains stable around 3.2%.> Ozon joins the indexes. The most significant change for Russia investors is the addition of Ozon's Moscow listing to the MSCI Russia Standard and related indexes, including the MSCI EM Standard. MSCI assigned the stock a 0.20 free-float coefficient - the more conservative option we mentioned in past previews, After the stock's recent weakness, its pro forma weight in the MSCI Russia Standard comes to 0.8%, or 0.03% in the EM benchmark. We expect passive funds will allocate a minimum of $47 mln to the stock, equivalent to 2.6 times the stock's 100d Moscow ADT and 0.7 times the combined US and Russian ADT.> Polymetal's weight increases significantly. Polymetal's float coefficient was increased from 0.50 to 0.75, raising its pro forma MSCI Russia Standard Index weight from 2.0% to 3.0%. We expect minimum passive reallocation of some $54 mln, equivalent to 1.6 times the Moscow line's 100d ADT and 0.9 times the combined London and Moscow ADT.> NLMK, Magnit and Moscow Exchange float adjustments. NLMK and Moscow Exchange each saw their floats increased by 0.05, while Magnit's was cut by 0.05. The pro forma weight adjustments and reallocation estimates are in the table below. Also, Polyus and Yandex saw slight adjustments to their share counts.> For the small-cap and IMI indexes, six Russian additions and one exclusion. MSCI also announced changes to Russian (and global) small-caps, which also affect the IMI index family. Six small-cap additions and one exclusion were announced for Russia. We summarize the weight implications for the MSCI Russia IMI Index and minimum passive reallocations in the table below. > Other global highlights. Overall, MSCI announced 84 additions and 50 deletions for the MSCI EM Standard Index, with the bulk in the APAC subindex (75 additions, 40 deletions), particularly China (60 additions, 21 deletions). The global ACWI index saw a total of 109 additions and 96 deletions. In the frontier index, Iceland formally returns from standalone status, with three stocks to compromise a pro forma 8.3% of the frontier benchmark. MSCI has continued to pause any index changes for Nigeria, Lebanon and Bangladesh due to previously disclosed liquidity issues. The MSCI EM Frontier Index sees seven additions and five exclusions.