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MSCI semi-annual global indices review takes place after markets close on May 12 (following calculation period in April 20-30). The effective date is June 1, 2020. Major changes are expected in May, which will affect certain stocks and the entire MSCI Russia. The standard data cut off dates for the prices used for calculating minimum requirements including minimum full market cap and minimum free float market capitalization as well as liquidity requirements (that is candidates for inclusion and exclusion) are any one of the last business days of April (April 20 30) for the May Semi‐Annual Index Review (SAIR).
Key takeaway: Unless MSCI makes an exception and lowers the minimum market capitalization required for inclusion into for MSCI Russia from previous $3,300 mln and free float capitalization - from $1,600 mln, candidates for admission, in particular Tinkoff, Rostelecom and Rusal, will not make it to the index. Only Yandex retains chances of joining the index in November as planned.
There is a high probability that Transneft and possibly MMK will leave the index and the total outflow from MSCI Russia could exceed $200 mln including active funds. In addition, numerous exclusions from other indices will trigger additional outflow from MSCI Russia.
Candidates for inclusion in MSCI Russia
Source: ООО ИнтерИнвест, MSCI inc
Candidates for exclusion from MSCI Russia
Source: ООО ИнтерИнвест, MSCI
MSCI Russia constituents
Source: ООО ИнтерИнвест, MSCI
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