On Apr. 17, ICE FEU issued MSCI index futures methodology changes.
ICE FEU issued Circular 24/058MSCI Index Futures: change to the MSCI unexpected market closure indexes methodology, with FAQ containing list of affected contracts.
Cir 18/217 detailed change to exchange delivery settlement price (EDSP) of MSCI index futures process in the case of an unexpected market closure event (UMC event).
As defined by MSCI Inc. contract rules MMMMMM.10 and contract rules OOOOOO.10.
Under latest changes, should MSCI declare UMC event on last trading day (LTD) of an expiring MSCI index futures contract, EDSP for affected expiry month will be calculated in accordance with revised MSCI unexpected market closure indexes methodology.
The LTD for affected expiring MSCI index futures contract will remain unchanged.
However, the final settlement process for the affected contract may be delayed for up to 15 business days, to allow for reopening of markets affected by UMC event.
