Q&A: Treatment of Intraday, Expected and Unexpected Market Closures in the MSCI Equity Indexes

Q&A: Treatment ofIntraday, Expected
and UnexpectedMarket Closures in
the MSCI Equity
IndexesMarch 2020

March 2020

Q&A: TREATMENT OF INTRADAY, EXPECTED AND UNEXPECTED MARKET CLOSURESIN THE MSCI EQUITY INDEXES | MARCH 2020

Contents

1

Introduction

3

2

General Questions on Market Closures

4

3

MSCI Unexpected Market Closure Indexes Methodology

7

4

Appendix: List of Indexes with Contracts10© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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1

Introduction
Stock exchanges may unexpectedly halt or close for a variety of reasons,
including technical issues, external factors such as weather orsocial/political events, or market conditions. The ongoing market
conditions from the COVID-2019 pandemic resulted in a number of suchclosures, some of which were determined by “circuit breakers”, while othersby unexpected holidays imposed by the relevant authorities. For example,
markets, including in the U.S., Canada, Indonesia, Thailand and Pakistan,
have had several trading halts due to triggered circuit breakers. At the sametime, in both Kuwait and the Philippines, extended market holidays were
implemented, followed by an announcement that the stock exchanges willcommence reduced operations.
The MSCI Equity Index daily performance calculations are impacted bythese closures in three areas: real time index ticks, end of day official index
levels and settlement values for exchange traded future contracts based on
MSCI Indexes. Implementation of index reviews may also be impacted bytrading suspensions and market closures.
The impact of such closures on the index calculation and rebalancing isgoverned by the MSCI Index Calculation1 and the MSCI Unexpected Market
Closure Indexes2 methodologies.
The aim of this Q&A document is to answer key questions regarding
MSCI’s policy on treatment of such trading closures. It describes in detailthe treatment of market closures in the MSCI Equity Indexes and thedifferent scenarios that may occur in the event of prolonged closures.

1 https://www.msci.com/eqb/methodology/meth_docs/MSCI_IndexCalcMethodology_Jan2020.pdf
2

https://www.msci.com/index/methodology/latest/Marketclosure© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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2

General Questions on Market Closures
What is the impact of an intraday market outage on the real time index
ticks?
In case of an intraday outage, MSCI uses the last available tick for the
impacted market while continuing to calculate all indexes throughout theday, at every 15 seconds or 60 seconds depending on the Index. MSCI
does not stop calculating real time indexes.
What is the impact of an intraday market outage on the end of day official
index levels?
For an intraday outage that lasts through the close, MSCI will use the lastavailable real time tick as the close price. MSCI will use the official closing
price if provided by the relevant stock exchange. If the market neveropened, MSCI uses the previous day close price.
What price is used in the MSCI Equity Index calculations if a security (or amarket) does not trade on a specific day or period?
In case of market closure or if a security does not trade on a specific day
or within a specific period, MSCI carries the latest available closing priceto calculate indexes. In case of market outage, MSCI will use the prices
provided up to the point of the outage of that market for calculation of
MSCI indexes on that day if available (see next FAQ).
What price is used for Real time and the End of day calculations in caseof a market outage?
For the Real time calculations MSCI uses the last available traded priceand for the End of day calculations MSCI uses the last official closing
price or last traded price.
Would MSCI postpone corporate event implementation in case of
expected market closure?
Yes. A pre-announced full day exchange trading suspension will lead topostponement of implementation of a corporate event that occurred
during the suspension period to the date when market resumes trading
again.

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Q&A: TREATMENT OF INTRADAY, EXPECTED AND UNEXPECTED MARKET CLOSURESIN THE MSCI EQUITY INDEXES | MARCH 2020

Would MSCI postpone corporate event implementation in case of
unexpected market closure or intraday market outage?
Corporate events would be reviewed independently and the decision to
postpone will depend on several factors, including but not limited toduration of halt, trading volume, timing of the trading halt. If the decision ismade to postpone the implementation, an announcement will be made assoon as practicable.
Would MSCI postpone corporate event implementation in case of pricelimit breach at security level?
For individual securities breaching price limits, MSCI postpones by two fullbusiness days the implementation of selected index changes when the
trading remains impacted by a price limit mechanism at 12PM time3 of thestock exchange where the security is followed.
For more details please refer to section 5.2 of the MSCI Corporate Events
methodology available athttps://www.msci.com/eqb/methodology/meth_docs/MSCI_CEMethodol
ogy_Feb2020.pdf
How would Index Reviews be affected by unexpected and extended
market closures or intraday market outages?
MSCI Index Review/rebalancings are unaffected by outages or closures as
the methodological facets designed to ensure continuity of index
calculation and maintenance pertain to these events as well.
However, if MSCI determines based on exceptional market dynamics orlack of data availability due to an outage or closure that an exception is
warranted to regularly scheduled index reviews, MSCI would communicate
such information publicly, with sufficient lead time, and to all clientssimultaneously.
Would market closures and short selling bans automatically impact
market accessibility ratings of countries covered by MSCI?
MSCI monitors measures such as market closures and short selling ban
implemented by markets. MSCI will assess the impact of such measures
as part of the 2020 Market Accessibility Review, taking into consideration

3

The cutoff is at 11AM for stock exchanges that close before 2PM local time

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Q&A: TREATMENT OF INTRADAY, EXPECTED AND UNEXPECTED MARKET CLOSURESIN THE MSCI EQUITY INDEXES | MARCH 2020

the measures implemented in various markets given the ongoing market
conditions.

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3

MSCI Unexpected Market Closure Indexes
Methodology
What is the objective of the MSCI Unexpected Market Closure Indexes
methodology?
The MSCI Unexpected Market Closure lndexes methodology aims toaccount for unexpected market closure events affecting the trading ofunderlying MSCI Index constituents on the day of a scheduled index
futures expiry. In case of such events, an alternatively calculated index
level will be made available as an Unexpected Market Closure Index level,
upon the resumption of trading within the affected markets.
What is the definition of a market disruption under the MSCI UnexpectedMarket Closure Indexes Methodology?
Trading is considered disrupted if 1) a limitation on trading4 remains ineffect during the half hour period preceding the close of trading for thatexchange and 2) if the interruption in trading affects at least 50% of the
securities (by number) within MSCI All Country World Index (ACWI) IMI
and MSCI Frontier Markets IMI Index constituents listed on that exchange.
What is the impact of an Unexpected Market Closure Event on index levelcalculation?
In the event of an Unexpected Market Closure Event affecting an exchange
within an underlying Index on a respective index futures expiry day, theonly impact will be on the Unexpected Market Closure Index level, which
will be additionally provided on subsequent business days to account for
the interruption in trading.
When will MSCI provide Unexpected Market Closure Index levels when adisruption occurs on futures expiry date?
The Unexpected Market Closure Index level will be updated at the close of
the first reopen day for each of the affected stock exchanges until no suchindex constituents remain affected, or 5 business days have elapsed after
the expiry day.
Unexpected Market Closure Index levels will only be calculated for a fixed
period of 5 business days following scheduled index futures expiry. If any
4 A limitation on trading will be recognized as complete lack of trading for associated index constituent listed

on given exchange© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Q&A: TREATMENT OF INTRADAY, EXPECTED AND UNEXPECTED MARKET CLOSURESIN THE MSCI EQUITY INDEXES | MARCH 2020of the affected exchanges do not reopen at the close of this period, thesecurity prices from expiry day will be carried over for the calculation of
the final Unexpected Market Closure Index level for the period
How is an Unexpected Market Closure Index level calculated when adisruption occurs?
The Unexpected Market Closure Index level is calculated using closing
market prices from the index futures expiry day for stock exchanges that
operate as per regular schedule, while closing market prices from thereopen day for stock exchanges that are affected by Unexpected Market
Closure Events are used. The WM Reuters Spot FX rates from the same
day corresponding to security prices are used for the index levelcalculation. (For more details, please refer to MSCI Unexpected Market
Closure Indexes Methodology book)
Which indexes are covered by the MSCI Unexpected Market Closure
Indexes Methodology?
For the list of indexes covered by the MSCI Unexpected Market Closure
Indexes Methodology, please refer to Section 4 of this Q&A document.
Will an intraday market stoppage be considered as an UnexpectedMarket Closure Event?
An exchange that has reopened for trading within the day on which a
trading stoppage occurred during earlier hours will not be considered an
unexpected market closure if it stays open through the last half hour
preceding the scheduled market close.
If securities in the underlying index are halted by reason of pricemovements exceeding pre-set levels permitted by the relevant exchange(e.g. circuit breakers being triggered) on the futures expiry days, will themarket be considered as disrupted?
Yes, if more than 50% of the securities (by number) within MSCI ACWI IMI
and MSCI Frontier Markets IMI constituents listed on that exchange do nottrade in the half hour preceding the close of the stock exchange, then themarket will be considered disrupted.
When will MSCI announce that an Unexpected Market Closure Event has
occurred?

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MSCI distributes two “Daily Disrupted Markets” emails on settlement
dates, one sent at 12:30 UTC (20:30 SGT), another one sent at 20:30 UTC(16:00 NYT). The email includes the list of exchanges that are
unexpectedly closed according to the MSCI Unexpected Market Closure
Indexes Methodology, and the start and end dates of the unexpectedmarket closure.
Any markets that have been identified as unexpectedly closed by MSCI
systems at the time of generation of the Daily Disrupted Markets email will
be included in the distribution. Additionally, the list of markets with
unexpected closure are included in the end of day distribution of the Daily
Unexpected Market Closure File for Asia Pacific, Europe and World
product distributions, respectively. Please note that the Daily Disrupted
Markets emails are distributed only on settlement dates, and only if one ormore markets has an unexpected closure.
What time will the Unexpected Market Closure Index levels be published?
MSCI distributes index levels on settlement dates (and subsequentbusiness dates up to t+5 for indexes with an unexpected market closure)for the MSCI Unexpected Market Closure Indexes Methodology along withend of day product delivery for the Asia Pacific, Europe and World
production cycles. Please note that the Asia Pacific product delivery is
expected at approximately 13:30 EST (17:30 UTC) with a delivery deadlineof 14:00 EST (18:00 UTC), Europe product delivery is expected at 15:30
EST (19:30 UTC) with a delivery deadline of 16:15 EST (20:15 UTC), while
World product delivery is expected at 17:30 EST (21:30 UTC). Please notethat index levels for indexes covered by the MSCI Unexpected Market
Closure Indexes Methodology are sent only on settlement dates.
Has there been any Unexpected Market Closure Event during a futures
expiry date?
No, there has not been any Unexpected Market Closure Event during afutures expiry date since the launch of the MSCI Unexpected Market
Closure Indexes in November 2018.

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4

Appendix: List of Indexes with Contracts
Please find below the unique list of indexes that are covered by the MSCI
Unexpected Market Closure Indexes Methodology:
MSCI Index
Code105768903600939200891800990300106491899800899903892200907600127300912400990500106646106647106643991700106649106648106645106650106644106651106652925000934400991200991400971000982600984000990100Index Name
MALAYSIA
AUSTRALIAJAPAN
EM (EMERGING MARKETS)
EAFE
ACWI ex EUROPE
AC ASIA ex JAPANAC ASIA PACIFIC ex JAPANAC FAR EAST ex JAPANBRAZILBRIC
CANADAEUROPEEUROPE/CONSUMER DISCREUROPE/CONSUMER STAPLESEUROPE/ENERGYEUROPE ex UK
EUROPE/FINANCIALSEUROPE/HEALTH CAREEUROPE/INDUSTRIALSEUROPE/INFORMATION TECHEUROPE/MATERIALSEUROPE/COMM SVC
EUROPE/UTILITIESFRANCEHONG KONG
KOKUSAI INDEX (WORLD ex JP)
PACIFIC ex JAPANSOUTH AFRICA
UNITED KINGDOM
USA
WORLD

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106799106800106806106802106801106798106803106807106804106805995200106400975600113648132085132981136614915200917000920000105766934800105765960400860800961600105653105769105843105844129612711295701475935600870200123163892000955400998100

WRLD/CONSUMER DISCRWRLD/CONSUMER STAPLESWRLD/ENERGY
WRLD/FINANCIALS
WRLD/HEALTH CARE
WRLD/INDUSTRIALSWRLD/INFORMATION TECH
WRLD/MATERIALSWRLD/COMM SVC
WRLD/UTILITIESEUROPE ex SWITZERLAND
EMUSWITZERLAND
ACWI ex AUSTRALIAWRLD/REAL ESTATEEUROPE/REAL ESTATEFM (FRONTIER MARKETS)CHILECOLOMBIACZECH REPUBLICEGYPTHUNGARY
MOROCCOPERU
PHILIPPINESPOLANDRUSSIATHAILANDEUROPE GROWTHEUROPE VALUEMSCI EM ex KOREAEM ASIA ex CHINA
EM ASIA ex KOREA
INDIA
SINGAPORE FREE
EM EMEAEM LATIN AMERICANEW ZEALANDSINGAPORE© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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990800136647705405106855106850106853106852106847106875903200700719700713938000105767106700106699106696106695106694106725106722106698106701106703106697106849106854106856106851106848145993700715703304700717713021915800105825105826

PACIFICVIETNAMSAUDI ARABIA
EM/COMM SVC
EM/CONSUMER DISCR
EM/FINANCIALS
EM/HEALTH CARE
EM/ENERGY
EM/REAL ESTATEARGENTINA
USA ESG LEADERSWORLD ESG LEADERSITALY
INDONESIAEMU/FINANCIALSEMU/HEALTH CARE
EMU/INDUSTRIALS
EMU/MATERIALSEMU/ENERGY
EMU/TELECOM SVC
EMU/REAL ESTATEEMU/CONSUMER STAPLESEMU/INFORMATION TECHEMU/UTILITIESEMU/CONSUMER DISCR
EM/INDUSTRIALSEM/INFORMATION TECH
EM/UTILITIESEM/CONSUMER STAPLES
EM/MATERIALSEM LATIN AMERICA ex BRAZILEAFE ESG LEADERS
EM (EMERGING MARKETS) ESG
LEADERSEUROPE ESG LEADERS
EM (EMERGING MARKETS) ex CHINATAIWANUSA GROWTH
USA VALUE© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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106229106570899700106569892400899901848400302401133715133717652555302000990200127200301700713321106062145999106063106336106335958600105867
105868USA SMALL CAP
PAN-EURO
EM ASIAEUROACWIACWI ex USA
MEXICOCHINA FREEQATARUNITED ARAB EMIRATESWORLD MID CAP
AC ASIA PACIFICNORTH AMERICAAC ASEAN
AC ASIAEM EMEA ex TURKEY
EM (EMERGING MARKETS) GROWTHEM LATIN AMERICA ex BRAZILVALUE
EM (EMERGING MARKETS) VALUEEMU GROWTHEMU VALUEPAKISTANWORLD GROWTHWORLD VALUE© 2020 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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