MSCI Russia - August 2021 Rebalancing Review

MSCI last night announced the results of the August 2021 rebalancing, as scheduled. The rebalancing will come into effect after markets close on Tuesday, August 31. One notable change was announced for Russia, an increase in Ozon's free-float coefficient from 0.20 to 0.25. MSCI used a $4.3 bln market cap threshold for the Russia Standard, in line with the lower end of our expected range.> Ozon's free-float coefficient to be increased from 0.20 to 0.25. The stock's pro forma weight in the MSCI Russia Standard Index increases from 0.7% to 0.9% as a result. This means Ozon will likely see minimum reallocation into the stock of some $20 mln from passive funds, equivalent to 1.9 times the stock's Moscow ADT or 0.7 times the combined ADT of the Russian and US listings. The coefficient change will also move the stock from the bottom place in the index to fifth from the bottom, implying less scrutiny over whether it will fall out of the indexes in future.> More slight changes. MSCI also announced an increase in Polymetal's share count of 0.4% and a decrease in Yandex's share count of 0.2%. The implied weight changes and flows are negligible. Although we do not have full disclosures, we understand MSCI also announced no changes to the MSCI Russia Small-Cap Index.> Russia's weight to remain stable. Overall, the MSCI EM Standard's indexed market cap is to grow some 0.7% pro forma, versus 0.2% for that of the MSCI Russia. Russia's weight in the MSCI EM hence remains almost stable, slipping from 3.50% to 3.48%, an immaterial change in the face of daily volatility. > Other global changes have little effect on Russia. In total, MSCI announced 17 additions and five deletions for the MSCI EM, with most in China and the remainder in South Korea, Taiwan and Thailand. The MSCI World (DM) will see three additions and two deletions, for a net expansion of 0.4%. The implied weight of Russia and all EMs in the MSCI ACWI global index will remain stable. Also, the MSCI FM will see four additions. MSCI continues to pause index changes for departing EM Argentina and FM Nigeria, as previously announced.> Potential changes in future. For more on potential Russia index changes for November and later, country-level changes coming to the EM benchmark and revisions to the index methodology, please see our report released yesterday, "MSCI Russia: Looking Beyond Tonight's Quarterly Rebalancing."