MSCI Blended
Benchmark Family– Benchmark
Statement
Document Author
April 2024

April 2024

MSCI Blended Benchmark Family – Benchmark Statement | April 2024

Contents

Benchmark Statement: MSCI Blended Index Family

31Objective of the Indexes in the Family

32Methodology and Index Design Guidelines and Reviews

5

3

Index Content Governance5

4

Index Calculation and Discretion65

Corrections

7

6

Consultations

8

7

Index Terminations

8

8

Index Usage

99

ESG Disclosures10

10

Additional Information

Appendix I – Key Terms© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

10
12

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

Benchmark Statement: MSCI Blended Index Family
1

Objective of the Indexes in the Family

1.1

The MSCI blended benchmark family is comprised of indexes whose aim is toaccurately and objectively measure performance of a market or economic reality
defined as a combination of 1) MSCI equity indexes with indexes representing otherasset classes or 2) indexes representing only non-equity asset classes.

1.2

Blended indexes contain component indexes that represent a particular market
segment, theme or a variety of investment strategies and objectives. Examples of
MSCI Indexes within this family include the WMA Private Investor Index Series, theLiquid Real Estate Indexes, the FX Hedge and the Global Currency Indexes.

1.3

The geographical boundaries of indexes in this family are global and are represented
by the boundaries that are present in the component indexes that comprise the MSCI
blended index.

1.4

These boundaries are illustrated in the following table:© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

1 The MSCI Standalone Market Indexes are not included in the MSCI Emerging Markets Index or MSCI Frontier Markets Index.
However, these indexes use either the Emerging Markets or the Frontier Markets methodological criteria concerning size andliquidity
2 The West African Economic and Monetary Union (WAEMU) consists of the following countries: Benin, Burkina Faso, Ivory Coast,
Guinea-Bissau, Mali, Niger, Senegal and Togo. Currently the MSCI WAEMU Indexes include securities classified in Benin, Senegal,
Ivory Coast and Burkina Faso.

1.5

MSCI blended indexes are governed by a number of methodology documents,
including the specific blended index methodology; if an MSCI index is a component,
the relevant MSCI index methodology; the MSCI Index Calculation Methodology; andthe MSCI Index Policies.

1.6

The MSCI blended benchmark family also may include custom indexes based on
MSCI methodology with specifications agreed with clients.

1.7

The MSCI blended benchmark family contains only Non-Significant indexes as
defined by Regulation (EU) 2016/1011 of the European Parliament and of the Councilof 8 June 2016 on indexes used as benchmarks.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

2

Methodology and Index Design Guidelines andReviews

2.1

MSCI indexes in the MSCI blended benchmark family aim to accurately andobjectively measure performance of a market or economic reality as represented byan investment opportunity set accessible to institutional investors based on amarket, market segment, theme, or investment strategy. MSCI indexes areconstructed and maintained with the following prime objectives in mind:•

Representativeness•

Replicability•

Efficiency

2.2

The index design objectives are achieved through the use of a transparent rulesbased methodological approach to index construction and maintenance.

2.3

MSCI indexes are rebalanced on a regular schedule ranging from daily to annually.
The vast majority of the indexes are rebalanced on semi-annual or quarterly basis. 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.

3

Index Content Governance

3.1

MSCI’s Index Policy Committee (“IPC”) and Equity Index Committee (“EIC”) presideover content matters relating to its indexes such as the development andinterpretation of MSCI index methodologies in the MSCI blended benchmark family.

3.2

The EIC is primarily responsible for supervising the design, development, approvaland interpretation of index methodologies. EIC discussions may be informed by
feedback from the investment community. Nonetheless, all decisions taken by thecommittees are the sole responsibility of its members.

3.3

The IPC is responsible for final decisions on market classifications may be consulted
on selected index terminations and serves as an escalation point for the EIC.
Relevant topics deemed to have material importance, as determined by the EIC, arediscussed and decided by the IPC.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

4

Index Calculation and Discretion

4.1

MSCI indexes in the blended benchmark family are calculated by combining
published index levels (component indexes) according to methodological rules.
MSCI does not use substitutes for component indexes. MSCI blended indexes do not
use “contributed” input data1.

4.2

The return of the indexes is determined in a number of currencies including USD and
EUR.

4.3

The MSCI blended indexes rely on the continued availability of component index
levels and permission for MSCI to use such data for determining the MSCI blended
indexes. To the extent that such data is temporarily or permanently unavailable(whether as a result of a market disruption event or otherwise), the MSCI index
methodologies apply the fall back measures described below.

4.4

In case of the unavailability of a component index level used in the calculation of an
MSCI blended index level, MSCI carries forward the latest available component index
level to calculate its indexes. If MSCI determines that another level is more
appropriate based on the circumstances, an announcement would be sent to clientswith the related information. All such determinations are made by the EIC.

4.5

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 documented rules and operating procedures.

4.6

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:•

Structural changes to the underlying markets,•

Operational issues experienced by non-MSCI component index providers,•Geo-political events,

1 Notwithstanding this, there are index-level calculations for the blended family that use fixed parameter inputs

to adjust the return in a transparent way as detailed in each specific index methodology, in order to best reflectspecific use cases for those indexes. The list of such indexes includes, but is not limited to, the MSCI
decrement indexes for which the adjustment to the index level return represents the effect of an assumed“synthetic dividend”. As an illustration, the index methodology in this case asserts that the MSCI decrement
indexes therefore have limited uses and, in particular, they are not suitable for use within financial products thatsolely aim to replicate the performance of the underlying reference index as it will systematically underperformthe underlying reference index. In other example methodologies for use within indexed products or as
benchmarks, the fixed parameters may represent fixed fees, average financing costs, the mandated target
performance spread or another relevant metric. Please refer to MSCI Decrement Indexes methodology at
https://www.msci.com/index-methodology for more details.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024•

Events beyond human control

4.7

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 EIC. In cases whentime permits and the cases are deemed material, MSCI may consult with clients on
the proposed approach. MSCI will then announce the decided action to all market
participants at the same time.

4.8

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.

4.9

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
decisions are appropriately documented and archived. The IPC and EIC each have atleast 6 members respectively and decisions are reached by consensus.

5

Corrections

5.1

In the case of data errors that occur in the determination or calculation of an index in
the MSCI blended benchmark family if the impact of the error is below a documented
threshold, no historical index restatement is made.

5.2

If the impact of the error on performance is above this threshold at the index level,
indexes are restated historically.

5.3

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

5.4

Corrections related to regular index rebalancings are assessed on a case by casebasis. MSCI typically considers the following factors in determining the mostappropriate corrective action: index investability and replicability as well as potential
reverse turnover.

5.5

All corrections are announced simultaneously to all market participants.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

6

Consultations

6.1

MSCI indexes in the MSCI blended benchmark family are regularly reviewed andevaluated by the Index Research team. MSCI conducts consultations before making
any material changes to an index methodology.

6.2

A consultation begins in general with an announcement giving the highlights of 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. These
consultations provide market participants the time and opportunity to comment on
any potential changes to the index methodology.

6.3

Once a consultation is closed and MSCI has gathered all required feedback, the EIC
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, is communicated publicly to all market participants at once. Most
consultation participants request that their feedback remains 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.

7

Index Terminations

7.1

While terminations of MSCI indexes in the MSCI blended benchmark 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 be required. These circumstances are generally not within MSCI’s
control and may include significant changes to the structure of underlying market,
drastic changes to the market infrastructure, lack of access to necessary data, geo‐

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

political events, and regulatory 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 EIC 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

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

8

Index Usage

8.1

MSCI indexes in the MSCI blended benchmark 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 notlimited to asset owners, portfolio managers, broker-dealers, and researchers. Not alluses are appropriate for all users. Market participants should use their judgment
when selecting 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 the methodology as a result. In rare cases, these circumstances
may result in the termination of an index.

8.3

If financial product issuers or investment managers choose to use an MSCI index in
the MSCI blended benchmark family as the basis of an index-linked financial productor an investment fund, they should consider this possibility, including the potential
need to terminate or modify the terms of a financial product resulting from thetermination of the calculation of the index.

8.4

MSCI assumes no responsibility for potential use of its indexes in the MSCI blended
benchmark family for particular purpose by clients, whether that use is for research,© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

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.

9

ESG Disclosures

9.1

ESG disclosures are provided as per the following regulations:•

Commission Delegated Regulation (EU) 2020/1816 of 17 July 2020
supplementing Regulation (EU) 2016/1011 of the European Parliament and of theCouncil, as it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, as regards the explanation in the benchmark statement of
how environmental, social and governance factors are reflected in eachbenchmark 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 it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, as regards the minimum content of the explanation on
how environmental, social and governance factors are reflected in thebenchmark methodology.

9.2

The ESG disclosures pertaining to Commission Delegated Regulation (EU)2020/1816, as it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, for indexes in the MSCI equity 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 as it forms part of UK domestic law by virtue of theEuropean Union (Withdrawal) Act 2018, are provided together with the methodology
documents governing a specific MSCI index in the MSCI equity benchmark family
and can be accessed using the search function on www.msci.com/indexmethodology/. Potential limitations of ESG factors data being used in individual
index methodologies are described in the corresponding index methodology books
as appropriate, such as in the section ‘Treatment of Unrated Companies’. In general,
for standard ESG indexes and Climate indexes, securities are deemed ineligible forinclusion in the index if the relevant ESG factor data used for screening isunavailable. MSCI also makes available custom indexes, for which the treatment ofunavailable ESG factors data may differ depending upon the corresponding client
preferences. The specific treatment for each index methodology is governed by the
Methodology Set for the given index methodology.

10Additional Information© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

10.1

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

DATE OF PUBLICATION: May 15, 2024
DATE OF LAST UPDATE: May 15, 2024

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MSCI Blended Benchmark Family – Benchmark Statement | April 2024

Appendix I – Key Terms
Key term

Definition

Equity Index
Committee (EIC)The Equity Index Committee (EIC) is primarily responsible for thesupervision of the design, development, approval and interpretation ofindex methodologies. Decisions taken by the EIC are the sole
responsibility of its members. The committee is staffed strictly by MSCI
employees.

Index Policy
Committee (IPC)

The Index Policy Committee (IPC) is responsible for final decisions withrespect to market classifications and may be consulted on selectedindex terminations and is an escalation point for the EIC. Relevant topics
deemed to have material importance, as determined by the EIC, arediscussed and decided by the IPC.

© 2024 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Contact us
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MSCI is a leading provider of critical decision
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investment community. With over 50 years ofexpertise in research, data and technology, we
power better investment decisions by enablingclients to understand and analyze key drivers of risk
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To learn more, please visit www.msci.com.
The process for submitting a formal index
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at: https://www.msci.com/index-regulation.

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