MSCI Fixed Income
Benchmark Family– Benchmark
Statement
Document Author
July 2023

July 2023

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

Contents

Benchmark Statement: MSCI Fixed Income Indexes

3

1

Objective of the Indexes in the Family

32Methodology and Index Design Guidelines and Reviews

5

3

Index Content Governance6

4

Index Calculation and Discretion7

5

Corrections

9

6

Consultations

10

7

Index Terminations

12

8

Index Usage

13

9

ESG Disclosures

14

10

Additional Information

Appendix I – Key Terms© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

15
16

MSCI.COM | Page 2 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

Benchmark Statement: MSCI Fixed Income Indexes
1

Objective of the Indexes in the Family

1.1

The MSCI fixed income index family is comprised of indexes whose aim is toaccurately and objectively measure performance of a market or economic reality as
represented by an investment opportunity set accessible to institutional investors
based on a market universe, segment, theme, or investment strategy. MSCI’s
standard fixed income index methodologies are:•MSCI Corporate Bond Index Methodology•

MSCI Government Bond Index Methodology

Other fixed income indexes within the family, including custom indexes, are in
general derived and maintained based on the universe of securities defined by the
MSCI's standard issuance-weighted fixed income index methodologies. Any
exception to this rule would be highlighted in the respective fixed income index
methodology books.
1.2

The fixed income universe from which MSCI constructs all of its fixed income
indexes is defined in the MSCI Fixed Income Data Methodology1. A fixed income
index representing a particular market universe, segment, theme or investment
strategy will reflect the relevant proportion of this universe.

1.3

The categorization of a particular market as developed or emerging is based on the
MSCI Fixed Income Market Classification Framework.

1.4

MSCI fixed income indexes based on standard fixed income index methodologies
serve as the parent index for other MSCI fixed income indexes that address specificinvestment themes such as MSCI ESG Indexes (including, MSCI Climate Indexes).
MSCI ESG Indexes methodology may include screens, exclusion criteria or alternative
weightings based on ESG factors.

1.5

A particular fixed income index will be governed by a number of methodology
documents ("Methodology Set”), including the specific fixed income index
methodology (or a parameter sheet if required), the MSCI Corporate Bond Index
Methodology (or any other standard fixed income index methodologies), the MSCI
Fixed Income Index Calculation Methodology, the MSCI Fixed Income Data
Methodology and the MSCI Fixed Income Index Policies. In addition, Methodology
Set for MSCI ESG Indexes includes a document ‘ESG Factors in Methodology’ that
contains the list of environmental, social and governance factors considered, andhow they are applied in the methodology (e.g., selection, weighting or exclusion).

1 MSCI Fixed Income Data Methodology is available at https://www.msci.com/index-methodology© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 3 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

1.6

The MSCI fixed income index family also includes custom indexes that may include
specific screens, exclusion lists, or alternative weightings on parent indexes
described above.

1.7

The MSCI fixed income index family contains only Non-Significant indexes as definedby Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8June 2016 on indexes used as benchmarks.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 4 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

2

Methodology and Index Design Guidelines andReviews

2.1

MSCI indexes, regardless of index family, aim to accurately and objectively measureperformance of a market or economic reality as represented by an investment
opportunity set accessible to institutional investors based on a market universe,
segment, theme, or investment strategy. MSCI indexes, regardless of index family,
are constructed and maintained with the following prime objectives in mind:•

Representativeness•

Replicability•

Efficiency

2.2

The index design objectives of MSCI Fixed Income Indexes, including MSCI ESG
Indexes, are achieved through the use of a transparent rules-based methodologicalapproach to index construction and maintenance.

2.3

MSCI indexes are rebalanced on a regular schedule ranging from daily to annually. A
rebalancing may also be triggered by conditions specified in the relevant
methodology.

2.4

As part of the regular index rebalancing process, MSCI indexes are reviewed relative
to the market or strategy they are designed to reflect. This assists in the evaluationof methodologies for both consistency and effectiveness and may highlightsituations where changes in the methodology are warranted to reflect changes in theunderlying market opportunity.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 5 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

3

Index Content Governance

3.1

MSCI’s Index Policy Committee (“IPC”) and Fixed Income Index Committee (“FIIC”)
preside over content matters relating to its indexes, such as the development andinterpretation of MSCI Fixed Income Index methodologies.

3.2

The FIIC is primarily responsible for supervising the design, development, approvaland interpretation of index methodologies. The FIIC’s role is to ensure that the designof a given index aligns with the design objectives set forth in section 2 of thisdocument that final decisions are consistent with the relevant index methodology,
and that, in complex cases where different interpretations are possible, the rightfocus is applied. FIIC discussions may be informed by feedback from the investmentcommunity. Nonetheless, all decisions taken by the committees are the sole
responsibility of its members.

3.3

Additionally, for the standard fixed income index methodologies and certain otherdesignated methodologies, all results and analysis related to index reviews arereviewed, discussed, and approved by the FIIC.

3.4

The IPC serves as an escalation point for the FIIC. Relevant topics deemed to havematerial importance, as determined by the FIIC, are discussed and decided by the
IPC.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 6 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

4

Index Calculation and Discretion

4.1

MSCI indexes in the MSCI fixed income index family are calculated using fixedincome security prices provided by internationally recognized data vendors.

4.2

The return of the indexes is determined in a number of currencies including USD,
EUR, GBP etc.

4.3

The MSCI fixed income indexes rely on the continued availability of prices from data
vendors and permission for MSCI to use such data for determining the MSCI fixedincome indexes. To the extent that such data is temporarily or permanently
unavailable, MSCI fixed income indexes apply the fallback measures as described in
the MSCI Fixed Income Index Calculation Methodology.

4.4

The rules for MSCI index construction, maintenance and calculation are contained inpublicly available methodology books and complemented with internal guidelines
and operating procedures. Each process is conducted by well-trained personnel
according to the documented rules and operating procedures.

4.5

MSCI’s rules-based index methodologies provide that discretion is not used in the
production of the indexes except in unusual cases not effectively addressed by themethodology. These include, but may not be limited to:•

Corporate events not previously encountered or unusually complex in nature,•

Structural changes to the underlying markets,•

Geo-political events,•

Operational issues at data vendors•

Events beyond human control

4.6

Where there may be a need to take an action that is not prescribed in themethodology, senior members across the MSCI Index Research and DataManagement departments will develop a proposed approach with the goal ofremaining consistent with the goals of the methodology and ensuring timely
calculation and distribution. These proposals are reviewed by the FIIC. In cases
when time permits, and the cases are deemed material, MSCI may consult withclients on the proposed approach. MSCI will then announce the decided action to allmarket participants at the same time.

4.7

Typically, MSCI does not perform explicit ex-post analysis of decisions other than
through its regular reviews of indexes and methodologies but always welcomes
feedback from market participants on decisions made.

4.8

The framework described above eliminates the exercise of discretion by an individualand ensures any required exercise of discretion is managed through escalation tocommittees of experts. All committees are governed by terms of reference and all© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 7 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

decisions are appropriately documented and archived. The IPC and FIIC currently
each have at least 6 members respectively and decisions are reached by consensus.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 8 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

5

Corrections

5.1

In the case of errors that occur in the determination or calculation of an index,
regardless of the index family, if the impact of the error is below a documented
threshold as defined in MSCI Fixed Income Index Policy document, no historicalindex restatement is made.

5.2

If the impact of the error on performance is above the threshold2 as defined in MSCI
Fixed Income Index Policy document, then indexes are restated historically.

5.3

In certain circumstances, such as errors in the list of index constituents (e.g., asecurity is unintentionally omitted), or the error that affects a large number of
securities (e.g., a third of the prices in a particular market are in error), then MSCI
may also correct and restate history, even if the aggregate performance impact issmall.

5.4

MSCI applies a 12-month correction period for index errors. Errors discovered thatare older than 12 months are generally not corrected.

5.5Corrections related to regular index rebalancings or corporate events are assessedon a case-by-case basis. MSCI typically considers the following factors indetermining the most appropriate corrective action: index investability andreplicability as well as potential reverse turnover.

5.6

All corrections are announced simultaneously to all market participants.

2 Current threshold is 50 basis points© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 9 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

6

Consultations

6.1

MSCI indexes, regardless of the index family, are regularly reviewed and evaluated by
the Index Research team. MSCI conducts consultations before making any materialchanges to a methodology.

6.2

A consultation typically begins with an announcement giving the highlights of the
MSCI proposal(s) and indicating the location of the consultation document on
MSCI’s website. The announcement is widely distributed through multiple channels,
including the MSCI website, Bloomberg and Reuters, and directly to MSCI’s clients.
MSCI collects feedback from market participants in a variety of formats including but
not limited to in person meetings, calls, mails, surveys, etc. as deemed appropriate.
These consultations provide relevant market participants the time and opportunity tocomment on any potential changes to the concerned index methodology.

6.3

Once a consultation is closed and MSCI has gathered all required feedback, the FIIC
and, if appropriate, the IPC, reviews the feedback and makes a decision. Any decision
to implement changes is announced publicly prior to implementation.

6.4

The final decision, including the rationale that has led to it and high-level participation
statistics are communicated publicly to all market participants at once. Most
consultation participants request that their feedback remain confidential. MSCI may
nevertheless publicly disclose feedback if specifically requested by respective
market participants. In that case, the relevant feedback would be published together
with the final results of the consultation.

6.5

If the final decision is to change the methodology, it will be part of theannouncement, including the timeframe for the implementation of the change.
Subsequently, MSCI will update the relevant methodology books.

6.6

The length of a consultation and lead time provided for implementation varies
depending on the complexity of the topic, breadth of client impact as well as impact
on the index composition and is clearly communicated as part of the consultation
process. The length of a consultation needs to be sufficient for market participants
to meaningfully review what is proposed and respond.

6.7

For custom indexes, changes to any client specifications are discussed directly withthe relevant client.

6.8

In case of methodology changes that are not deemed as material3, MSCI may makesuch changes without launching a public consultation. In such cases, once themethodology changes are approved by the FIIC, they are announced by MSCI to all
3 The FIIC determines if a methodology change is material. This determination is made based on the analysis of

the currently estimated or potential future impact of the methodology change on the index composition,measured by the changes in the selection and/or weights of the index constituents. Fundamental changes in
the index construction principles would be generally considered as material© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 10 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

the market participants at the same time. MSCI takes into account prior feedback
that may have been received on such topics, as part of its ongoing engagement withmarket participants. MSCI may also solicit views from its clients or other specificstakeholders on the consultation topic prior to making the changes.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 11 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

7

Index Terminations

7.1

While terminations of MSCI indexes, regardless of index family, are rare, MSCI has
clear written policies to address them. There may be certain circumstances where
the methodology cannot be adapted in which case terminating the index may berequired. These circumstances are generally not within MSCI’s control and may
include significant changes to the structure of underlying market, drastic changes tothe market infrastructure, lack of access to necessary data, geo‐political events, andregulatory changes. Additionally, factors such as methodology convergence or low
usage may result in MSCI’s proposal to terminate an index.

7.2

In all of these cases if an index termination is proposed or required, MSCI would
proceed as follows:•

The FIIC would review the appropriateness and impact of a potential termination.

•

MSCI may perform a consultation including a discussion of possible alternatives,
if any.

•MSCI would announce the termination of the index in advance.

•

If practicable, MSCI would continue to calculate the index for an announced
period of time to give users the opportunity to transition to another index orotherwise prepare for the termination of the MSCI index.

•

In the event that an appropriate alternative MSCI index is established, the detailsof the methodology governing this index as well as the timing of the transition
would be publicly announced in advance of the implementation.

7.3

Indexes may also be discontinued if fewer than the required minimum number of
securities are eligible for inclusion when applying a given methodology to a market.
In these cases, the index can no longer be calculated in compliance with theapplicable methodology, and it will simply stop. MSCI may resume calculation ofsuch indexes if, over time, enough securities become eligible.

7.4

The termination of a custom index is handled in consultation with the relevant client.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 12 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

8

Index Usage

8.1

MSCI indexes, regardless of index family, may be used for a variety of purposes,
including for research or use as the basis for index-linked investment products. They
may be used by a variety of market participants including but not limited to asset
owners, portfolio managers, broker-dealers, and researchers. Not all uses areappropriate for all users. Market participants should use their judgment whenselecting an index for a particular purpose.

8.2

MSCI indexes, and the effectiveness of index methodologies can be affected by anumber of factors, most of which are beyond MSCI’s control. These may include, but
are not limited to, structural changes to the underlying market including decreases inthe size and liquidity of the relevant market segment, infrastructure changes, geo‐
political events, and regulatory changes. These circumstances may result in amaterial change to the index methodology as a result. In rare cases, thesecircumstances may result in the termination of an index.

8.3

If financial product issuers or investment managers choose to use an MSCI index,
regardless of index family, as the basis of an index-linked financial product or aninvestment fund, they should consider this possibility, including the potential need toterminate or modify the terms of a financial product resulting from the termination of
the calculation of the index.

8.4

MSCI assumes no responsibility for potential use of its indexes, regardless of index
family, for particular purpose by clients, whether that use is for research,
benchmarking, the basis for an index-linked financial product or investment fund, orsome other use. The effective representation of a market or strategy is the primary
aim for MSCI.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 13 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

9

ESG Disclosures

9.1

ESG disclosures are provided as per the following regulations that were published in
the EU Official Journal on December 3, 2020:•

Commission Delegated Regulation (EU) 2020/1816 of 17 July 2020
supplementing Regulation (EU) 2016/1011 of the European Parliament and of theCouncil as regards the explanation in the benchmark statement of how
environmental, social and governance factors are reflected in each benchmark
provided and published.

•

Commission Delegated Regulation (EU) 2020/1817 of 17 July 2020
supplementing Regulation (EU) 2016/1011 of the European Parliament and of theCouncil as regards the minimum content of the explanation on how
environmental, social and governance factors are reflected in the benchmark
methodology.

9.2

The ESG disclosures pertaining to Commission Delegated Regulation (EU)2020/1816 for indexes in the MSCI fixed income benchmark family are published by
MSCI at: https://www.msci.com/index-profile.

9.3

The ESG disclosures pertaining to Commission Delegated Regulation (EU)2020/1817 of 17 July 2020 are provided together with the methodology documents
governing a specific MSCI index in the MSCI fixed income benchmark family and canbe accessed from MSCI’s webpage www.msci.com/index-methodology/ in thesection ‘Search Methodology by Index Name or Index Code’. Methodology
documents pertaining to MSCI ESG Indexes include ‘ESG Factors in Methodology’
that contains the list of ESG factors considered, and how they are applied in the ESG
index methodology (e.g., selection, weighting or exclusion).

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 14 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

10

Additional Information

10.1

Detailed methodology and policy documents, a search function to find themethodology documents governing a specific MSCI index, regardless of index family,
and vendor reference codes, if available, can be found on www.msci.com/indexmethodology/.

DATE OF PUBLICATION: DECEMBER 18, 2020
DATE OF LAST UPDATE: JULY 19, 2023

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 15 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

Appendix I – Key Terms
Key term

Definition

Fixed Income
Index Committee(FIIC)The Fixed Income Index Committee (FIIC) is primarily
responsible for the supervision of the design, development,
approval and interpretation of index methodologies. Decisions
taken by the FIIC are the sole responsibility of its members.
The committee is staffed strictly by MSCI employees.

ESG Indexes

Indexes that are designed to accurately and objectively
measure the performance by an investment opportunity set
that represents an investment strategy focused on
environmental, social and governance (ESG) themes.

ESG Factors

Data pertaining to environmental, social and governancecharacteristics. ESG Indexes may use ESG factors forscreening, defining exclusion criteria, and for alternative
weighting of the constituents. Methodology Set of ESG
indexes includes a document ‘ESG Factors in Methodology’
that contains the list of ESG factors considered, and how they
are applied in the methodology (e.g., selection, weighting or
exclusion)

Index Policy
Committee (IPC)

The Index Policy Committee (IPC) is responsible for final
decisions with respect to market classifications and may beconsulted on selected index terminations and is an escalation
point for the FIIC. Relevant topics deemed to have material
importance, as determined by the FIIC, are discussed anddecided by the IPC.

Methodology Set

Indexes are governed by a set of methodology and policy
documents. The Methodology Set for the Indexes can beaccessed from MSCI’s webpage www.msci.com/indexmethodology in the section ‘Search Methodology by Name orIndex Code’.

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 16 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

Contact us
clientservice@msci.com

AMERICASABOUT MSCI

Americas1 888 588 4567 *Atlanta+ 1 404 551 3212
Boston+ 1 617 532 0920
Chicago+ 1 312 675 0545
Monterrey+ 52 81 1253 4020
New York+ 1 212 804 3901
San Francisco + 1 415 836 8800
São Paulo+ 55 11 3706 1360
Toronto+ 1 416 628 1007

EUROPE, MIDDLE EAST & AFRICA
Cape Town
Frankfurt
GenevaLondonMilan
Paris+ 27 21 673 0100
+ 49 69 133 859 00+ 41 22 817 9777
+ 44 20 7618 2222
+ 39 02 5849 0415
0800 91 59 17 *ASIA PACIFIC
China North
China SouthHong Kong
Mumbai
Seoul
Singapore
SydneyTaipeiThailandTokyo

10800 852 1032 *
10800 152 1032 *+ 852 2844 9333
+ 91 22 6784 9160
00798 8521 3392 *800 852 3749 *+ 61 2 9033 9333
008 0112 7513 *0018 0015 6207 7181 *+ 81 3 5290 1555

MSCI is a leading provider of criticaldecision support tools and services forthe global investment community. With
over 50 years of expertise in research,data and technology, we power better
investment decisions by enabling clientsto understand and analyze key drivers ofrisk and return and confidently build
more effective portfolios. We create
industry-leading research-enhanced
solutions that clients use to gain insight
into and improve transparency acrossthe investment process.
To learn more, please visit
http://www.msci.com.
The process for submitting a formal
index complaint can be found on theindex regulation page of MSCI’s website
at: https://www.msci.com/indexregulation.

* = toll free

© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 17 of 18

MSCI FIXED INCOME BENCHMARK FAMILY – BENCHMARK STATEMENT | JULY 2023

Notice and disclaimer
This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the “Information”) is the property of MSCI Inc. or its subsidiaries(collectively, “MSCI”), or MSCI’s licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (collectively, with MSCI, the “Information Providers”)
and is provided for informational purposes only. The Information may not be modified, reverse-engineered, reproduced or redisseminated in whole or in part without prior written permission
from MSCI. All rights in the Information are reserved by MSCI and/or its Information Providers.
The Information may not be used to create derivative works or to verify or correct other data or information. For example (but without limitation), the Information may not be used to create
indexes, databases, risk models, analytics, software, or in connection with the issuing, offering, sponsoring, managing or marketing of any securities, portfolios, financial products or otherinvestment vehicles utilizing or based on, linked to, tracking or otherwise derived from the Information or any other MSCI data, information, products or services.
The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF THE INFORMATION PROVIDERS MAKES ANY EXPRESS OR
IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENTPERMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIESOF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE
INFORMATION.
Without limiting any of the foregoing and to the maximum extent permitted by applicable law, in no event shall any Information Provider have any liability regarding any of the Information
for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or
limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury resultsfrom the negligence or willful default of itself, its servants, agents or sub-contractors.
Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past
performance does not guarantee future results.
The Information should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment
and other business decisions. All Information is impersonal and not tailored to the needs of any person, entity or group of persons.
None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), any security, financial product or other investment vehicle or any trading strategy.
It is not possible to invest directly in an index. Exposure to an asset class or trading strategy or other category represented by an index is only available through third party investable
instruments (if any) based on that index. MSCI does not issue, sponsor, endorse, market, offer, review or otherwise express any opinion regarding any fund, ETF, derivative or other security,
investment, financial product or trading strategy that is based on, linked to or seeks to provide an investment return related to the performance of any MSCI index (collectively, “Index Linked
Investments”). MSCI makes no assurance that any Index Linked Investments will accurately track index performance or provide positive investment returns. MSCI Inc. is not an investment
adviser or fiduciary and MSCI makes no representation regarding the advisability of investing in any Index Linked Investments.
Index returns do not represent the results of actual trading of investible assets/securities. MSCI maintains and calculates indexes, but does not manage actual assets. Index returns do notreflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the index or Index Linked Investments. The imposition of these fees and charges
would cause the performance of an Index Linked Investment to be different than the MSCI index performance.
The Information may contain back tested data. Back-tested performance is not actual performance, but is hypothetical. There are frequently material differences between back tested
performance results and actual results subsequently achieved by any investment strategy.
Constituents of MSCI equity indexes are listed companies, which are included in or excluded from the indexes according to the application of the relevant index methodologies. Accordingly,
constituents in MSCI equity indexes may include MSCI Inc., clients of MSCI or suppliers to MSCI. Inclusion of a security within an MSCI index is not a recommendation by MSCI to buy, sell,or hold such security, nor is it considered to be investment advice.
Data and information produced by various affiliates of MSCI Inc., including MSCI ESG Research LLC and Barra LLC, may be used in calculating certain MSCI indexes. More information canbe found in the relevant index methodologies on www.msci.com.
MSCI receives compensation in connection with licensing its indexes to third parties. MSCI Inc.’s revenue includes fees based on assets in Index Linked Investments. Information can befound in MSCI Inc.’s company filings on the Investor Relations section of www.msci.com.
MSCI ESG Research LLC is a Registered Investment Adviser under the Investment Advisers Act of 1940 and a subsidiary of MSCI Inc. Except with respect to any applicable products orservices from MSCI ESG Research, neither MSCI nor any of its products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities,
financial products or instruments or trading strategies and MSCI’s products or services are not intended to constitute investment advice or a recommendation to make (or refrain frommaking) any kind of investment decision and may not be relied on as such. Issuers mentioned or included in any MSCI ESG Research materials may include MSCI Inc., clients of MSCI or
suppliers to MSCI, and may also purchase research or other products or services from MSCI ESG Research. MSCI ESG Research materials, including materials utilized in any MSCI ESG
Indexes or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body.
Any use of or access to products, services or information of MSCI requires a license from MSCI. MSCI, Barra, RiskMetrics, IPD and other MSCI brands and product names are the trademarks,
service marks, or registered trademarks of MSCI or its subsidiaries in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is
the exclusive property of MSCI and Standard & Poor’s. “Global Industry Classification Standard (GICS)” is a service mark of MSCI and Standard & Poor’s.
MIFID2/MIFIR notice: MSCI ESG Research LLC does not distribute or act as an intermediary for financial instruments or structured deposits, nor does it deal on its own account, provide
execution services for others or manage client accounts. No MSCI ESG Research product or service supports, promotes or is intended to support or promote any such activity. MSCI ESG
Research is an independent provider of ESG data, reports and ratings based on published methodologies and available to clients on a subscription basis. We do not provide custom or oneoff ratings or recommendations of securities or other financial instruments upon request.
For information about how MSCI collects and uses personal data, please refer to our Privacy Notice at https://www.msci.com/privacy-pledge.

© 2022 MSCI Inc. All rights reserved.

MSCI.COM | Page 18 of 18