MSCI Index Calculation Methodologies

Index Calculation Methodology for the MSCI Equity Indices

January 2011

MSCI Index Calculation Methodologies
January 2011

Table of Contents
Introduction ............................................................................................................................................ 4
MSCI Equity Indices .............................................................................................................................. 5
Section 1: MSCI Price Index Methodology ............................................................................................ 6
1.2
1.3

1.4
1.5
1.6
1.7
1.8

PRICE INDEX LEVEL ........................................................................................................................................... 6
1.2.1
Index Market Capitalization ........................................................................................................................... 6
1.2.2
Example of calculation ................................................................................................................................... 9
PRICE INDEX LEVEL (ALTERNATIVE CALCULATION FORMULA – CONTRIBUTION METHOD) ......................... 10
1.3.1
Security Contribution to the Index ................................................................................................................ 10
1.3.2
Today’s Initial Security Weight ..................................................................................................................... 11
1.3.3
Security Daily Price Return ........................................................................................................................... 12
1.3.4
Example of calculation using contribution ................................................................................................... 14
NEXT DAY INITIAL SECURITY WEIGHT ............................................................................................................ 15
CLOSING INDEX MARKET CAPITALIZATION TODAY USD (UNADJUSTED MARKET CAP TODAY USD) .............. 16
SECURITY INDEX OF PRICE IN LOCAL............................................................................................................... 17
NOTE ON INDEX CALCULATION IN LOCAL CURRENCY .................................................................................... 19
CONVERSION OF INDICES INTO ANOTHER CURRENCY ..................................................................................... 19

Section 2: MSCI Daily Total Return (DTR) Index Methodology ........................................................ 21
2.1

CALCULATION METHODOLOGY ........................................................................................................................ 21
2.1.1
Dividend Impact ...........................................................................................................................................22
2.1.2
DTR Index Level from Security Information (Security DTR) ......................................................................22
2.1.3
Security Contribution to the Index ................................................................................................................22
2.1.4
Security Daily Total Return ...........................................................................................................................23
2.1.4.1
2.1.4.2

Security Daily Gross Return...................................................................................................................................................................... 23
Security Daily Net Return .......................................................................................................................................................................... 24

2.1.5
Initial Security Weight ...................................................................................................................................26
2.1.6
Currency ........................................................................................................................................................28
2.1.7
Number of Shares and Index Weighting Factor ...........................................................................................28
2.2
REINVESTMENT METHODOLOGY ..................................................................................................................... 28
2.2.1
Timing of re-investment ................................................................................................................................29
2.2.2
Re-Investment Rules .....................................................................................................................................29
2.2.3
Dividends Resulting in a Reinvestment Only ...............................................................................................29
2.2.4
Dividends Resulting in a Reinvestment or in a Price Adjustment ................................................................30
2.2.5
Dividends Resulting in a Price Adjustment Only .......................................................................................... 31
2.3
PROCESSING RULES .......................................................................................................................................... 32
2.3.1
Dividend Data ...............................................................................................................................................32
2.3.2
Corporate Actions ..........................................................................................................................................32
2.3.3
Corrections ....................................................................................................................................................32
2.3.4
Payment Default ............................................................................................................................................33
2.3.5
Late Dividends ..............................................................................................................................................33
2.3.6
Country Exceptions .......................................................................................................................................33
2.3.7
Taxes on Dividends .......................................................................................................................................34
2.3.7.1 Tax Credit ..................................................................................................................................................................................................... 35
2.3.7.2 Withholding Tax .......................................................................................................................................................................................... 35
2.3.7.2.1 Country Exception: Australian Dividends ........................................................................................................................................ 36

2.3.8

Definitions .....................................................................................................................................................37

Section 3: Gross Domestic Products (GDP) Weighted Indices ........................................................... 38
3.1
3.2

ANNUAL INDEX REVIEW AND COUNTRY WEIGHTS .......................................................................................... 38
SECURITY LEVEL WEIGHTS ............................................................................................................................... 39

Appendix I: Sunday Index Calculation ................................................................................................. 41
Appendix II: Annualized Traded Value Ratio (ATVR) and Annual Traded Value ............................ 44
Appendix III: Exchange Rates............................................................................................................. 47
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MSCI Index Calculation Methodologies
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Appendix IV: Singapore & Malaysia – A History of Inclusion in the Emerging and Developed
Markets Indices .................................................................................................................................... 48
Appendix V: Singapore and Singapore Free ........................................................................................ 52
Appendix VI: Withholding Tax Rates .................................................................................................. 53
Appendix VII: Closing Prices Policy.................................................................................................... 55
Appendix VIII: Country Composition of MSCI Selected Regional Indices ....................................... 66
Appendix IX: MSCI Real Time Indices ............................................................................................... 77
Appendix X: Index Calculation Methodology Using Index Divisors.................................................. 80
MSCI Index Calculation Methodology Book Tracked Changes ......................................................... 95

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MSCI Index Calculation Methodologies
January 2011
Introduction
This methodology book describes MSCI‘s general Index calculation methodology for the MSCI Equity
Indices.
MSCI provides two ways of calculating MSCI Equity Indices, either by using the Price Adjustment Factor(PAF) or the Index Divisors (Index Divisors methodology available as an appendix).
These policies and guidelines affect all securities across the MSCI Equity Indices and products. Unlessotherwise stated the policies and guidelines apply therefore to all securities in the MSCI Equity universe.
Please note that the index construction methodology and other guiding principles for the MSCI Standard
Indices can be found in MSCI Global Investable Market Indices Methodology Indices document, availableat www.msci.com.

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MSCI Index Calculation Methodologies
January 2011MSCI Equity Indices
The MSCI Equity Indices measure the performance of a set of equity securities over time. The MSCI
Equity Indices are calculated using the Laspeyres‘ concept of a weighted arithmetic average together withthe concept of chain-linking.
MSCI country and regional equity Indices are calculated in ―local currency‖ as well as in USD, with price,gross and net returns.
Index levels are also available in several other currencies such as AUD, BRL, CAD, CHF, CNY, EUR,
GBP, HKD, INR, JPY, KRW (starting December 1, 2010), RUB and SGD.
While the local currency series of regional indices cannot be replicated in the real world, it represents thetheoretical performance of an index without any impact from foreign exchange fluctuations — acontinuously hedged portfolio.
Indices are calculated 5 days a week, from Monday to Friday with the exception of a selection of indicesthat have a Sunday calculation available.
In certain cases, where there are no qualifying securities, it is possible for MSCI Indices to be empty
following a security deletion or GICS change. If an index becomes empty it would be dynamicallydiscontinued or ‗ruptured‘. It is then possible for the index to be re-started once a new security qualifies
for the index, and this index level would be rebased to an appropriate level at that time.

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MSCI Index Calculation Methodologies
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Section 1: MSCI Price Index Methodology
Price indices measure the market prices performance for a selection of securities. They are calculated daily
and, for some of them, on a real time basis. Each index captures the market capitalization weighted returnof all constituents included in the index.

1.2

Price Index Level

As a general principle, today‘s index level is obtained by applying the change in the market performance tothe previous period index level.

PriceIndex LevelUSDt  PriceIndex LevelUSDt 1 *IndexAdjus tedMarketCapUSDt
IndexIniti alMarketCapUSDt

PriceIndex LevelLocalt  PriceIndex LevelLocalt 1 *IndexAdjus tedMarketCapForLocalt
IndexIniti alMarketCapUSDt

Where:
 PriceIndex LevelUSDt 1 is the Price Index level in USD at time t-1IndexAdjus tedMarketCapUSDt is the Adjusted Market Capitalization of the index in USD attime tIndexIniti alMarketCapUSDt is the Initial Market Capitalization of the index in USD at time t
PriceIndex LevelLocalt 1 is the Price Index level in local currency at time t-1
IndexAdjus tedMarketCapForLocalt is the Adjusted Market Capitalization of the index in USD
converted using FX rate as of t-1 and used for local currency index at time t

Note: IndexIniti alMarketCapUSD was previously called IndexUnadjustedMarketCapPreviousUSD
1.2.1

Index Market Capitalization

IndexAdjus tedMarketCapUSDt 
EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt
FXrate tsI ,t

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MSCI Index Calculation Methodologies
January 2011
IndexAdjus tedMarketCapForLocal t 
EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt ICI t*)
FXrate t 1
ICI t 1sI ,t(

IndexIniti alMarketCapUSDt 
EndOfDayNumberOfShares t 1 * PricePerSh aret 1 * InclusionF actort
FXrate t 1sI ,tWhere:
 EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1.











PricePerSh aret is the price per share of the security s at time t.
PricePerSh aret 1 is the price per share of security s at time t-1.
InclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beone or the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion
Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
PAFt is the Price Adjustment Factor of the security s at time t.
FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.
ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira –ICI = 1,000,000).
ICI t 1 is the Internal Currency Index of price currency at time t-1.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
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MSCI Index Calculation Methodologies
January 2011Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
Note:
The only difference in the formulas between USD and local currency indices calculation is that the same
exchange rate is used in the numerator and denominator for local currency, which means that there is no
impact of currency change in the performance. Time variant exchange rates are used for the USD
calculation.

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MSCI Index Calculation Methodologies
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1.2.2

Example of calculation

Day 1
IndexAdjusted
IndexAdjustedM IndexInitialMar MarketCapFor
FXrate FXrate arketCapUSD t ketCapUSD t
Local t (see
PAF t
t
t-1
(see 1.1.1)(see 1.1.1)
1.1.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000152.60154.00

0.75

1

1.50

1.49

11,445,000

11,627,517

11,521,812

Security B

26000

98.40

105.00

1.00

1

1.15

1.14

2,224,696

2,394,737

2,244,211

Security C

2900001592.60

1603.50

0.60

1 125.00 125.50

2,216,899

2,223,179

2,208,067

Security D

360000268.00265.300.85

154,672,000

54,121,200

54,672,000

70,558,595

70,366,633

70,646,090

tt-1

daily perf

PriceIndexLevelUSD (see 1.1)

100.273

100.000

0.27%

PriceIndexLevelLocal (see 1.1)

100.397

100.000

0.40%

1.50

1.50

Total Index

Day 2
Security C is ex Right issue 1 : 1 @ 1300
IndexAdjusted
IndexAdjustedM IndexInitialMar MarketCapFor
FXrate FXrate arketCapUSD t ketCapUSD t
Local t (see
PAF t
t
t-1
(see 1.1.1)(see 1.1.1)
1.1.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000160.00152.60

0.75

1

1.51

1.50

11,920,530

11,445,000

12,000,000

Security B

26000

95.00

98.40

1.00

1

1.16

1.15

2,129,310

2,224,696

2,147,826

Security C

2900001450.00

1592.60

0.60 1.1012 124.50 125.00

2,231,497

2,216,899

2,222,571

Security D

360000265.00268.000.85

53,701,987

54,672,000

54,060,000

69,983,323

70,558,595

70,430,397

tt-1

daily perf

PriceIndexLevelUSD (see 1.1)

99.455100.273-0.82%

PriceIndexLevelLocal (see 1.1)

100.215

100.397-0.18%

1

1.51

1.50

Total Index

Day 3
Security C has an increase of number of shares following the right issue ex on Day 2
IndexAdjusted
IndexAdjustedM IndexInitialMar MarketCapFor
FXrate FXrate arketCapUSD t ketCapUSD t
Local t (see
PAF t
t
t-1
(see 1.1.1)(see 1.1.1)
1.1.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000165.00160.00

0.75

1

1.50

1.51

12,375,000

11,920,530

12,293,046

Security B

26000

102.00

95.00

1.00

1

1.17

1.16

2,266,667

2,129,310

2,286,207

Security C

5800001545.00

1450.00

0.60

1 124.45 124.50

4,320,289

4,053,012

4,318,554

Security D

360000266.00265.000.85

154,264,000

53,701,987

53,904,636

73,225,956

71,804,839

72,802,443

tt-1

daily perf

Total Index
PriceIndexLevelUSD (see 1.1)

101.42499.455

1.98%

PriceIndexLevelLocal (see 1.1)

101.607100.215

1.39%

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1.50

1.51

MSCI Index Calculation Methodologies
January 2011
1.3

Price Index Level (Alternative Calculation Formula – Contribution Method)

Another way to calculate the index level would be to use the initial weight and price return of theindividual securities included in the index:

PriceIndex LevelUSDt  PriceIndex LevelUSDt -1 * (1   SecurityPr iceContrib utionToIndexUSDt )sI ,tPriceIndex LevelLocalt  PriceIndex LevelLocalt 1 * (1   SecurityPr iceContrib utionToIndexLocal t )sI ,t1.3.1

Security Contribution to the Index

SecurityPr iceContrib utionToIndexUSDt  InitialSec urityWeigh t t * SecurityDa ilyPriceRe turnUSDt
SecurityPr iceContrib utionToIndexLocal t  InitialSec urityWeigh t t * SecurityDa ilyPriceRe turnLocalt

Where:
 SecurityDa ilyPriceRe turnUSDt is the price return in USD of security s at time t.
SecurityDa ilyPriceRe turnLocalt is the price return of security s at time t converted using FX
rate as of t-1 and used for local currency calculation at time t.

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MSCI Index Calculation Methodologies
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1.3.2

Today’s Initial Security Weight

InitialSec urityWeigh t t 
EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actort
FXrate t 1
* 100 EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actort )(FXrate t 1sI,tSecurityIn itialFullM arketCapUSDt * InclusionF actort

 (SecurityI nitialFull MarketCapUSD * InclusionFactor )
t

sI,t

* 100 t

SecurityIn itialMarketCapUSDt* 100
IndexIniti alMarketCapUSDt
Where:
 EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1.


PricePerSh aret 1 is the price per share of security s at time t-1.
InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be one or
the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor,
Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.

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MSCI Index Calculation Methodologies
January 2011
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
Note: The SecurityIn itialFullM arketCapInSecurityPr iceCurrencyt is also available in the security
files and corresponds to the SecurityIn itialFullM arketCapUSDt multiplied by the FXrate t 1
The EndOfDayNumberOfShares t 1 used to calculate today‘s initial weight, available in the MSCI
products dated day t , is shown as ―Number of Shares (Today Index)‖.
1.3.3

Security Daily Price Return

 SecurityAd justedMarketCapUSDt
SecurityDa ilyPriceRe turnUSDt   1 *100
 SecurityIn itialMarketCapUSDt
 SecurityAd justedMarketCapForLocal tSecurityDa ilyPriceRe turnLocal t   1 *100
SecurityIn itialMarketCapUSDt

SecurityAd justedMarketCapForLocal t 
EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt ICI t*
FXrate t 1
ICI t 1
SecurityAd justedMarketCapUSDt 
EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt
FXrate t

SecurityIn itialMarketCapUSDt 
EndOfDayNumberOfShares t 1 * PricePerSh aret 1 * InclusionF actort
FXrate t 1

Where:
 SecurityAd justedMarketCapForLocal t is the Adjusted Market Capitalization of security s in
USD converted using FX rate as of t-1
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MSCI Index Calculation Methodologies
January 2011














SecurityAd justedMarketCapUSDt is the Adjusted Market Capitalization of security s in USD
converted using FX rate as of t
SecurityIn itialMarketCapUSDt is the Initial Market Capitalization of security s in USD at timet
EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1.
PricePerSh aret is the price per share of security s at time t.

PricePerSh aret 1 is the price per share of security s at time t-1.
InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be one or
the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor,
Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
PAFt is the Price Adjustment Factor of security s at time t.
FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.
ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira –ICI = 1,000,000).
ICI t 1 is the Internal Currency Index of price currency at time t-1.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.

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MSCI Index Calculation Methodologies
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1.3.4

Example of calculation using contribution

Day 1
SecurityDaily SecurityPricec SecurityDaily SecurityPricec
InitialSecurit Price_Return ontributionToIn Price_Return ontributionToIn
FXrate FXrate
yWeight t
USD t (see dexUSD (see Local t (see dexLocal (seePAF ttt-1 (see 1.2.2)
1.2.3)
1.2.1)
1.2.3)
1.2.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000152.60154.00

0.75

1

1.50

1.49

16.52%-1.57%-0.26%-0.91%-0.15%

Security B

26000

98.40

105.00

1.00

1

1.15

1.14

3.40%

-7.10%-0.24%-6.29%-0.21%

Security C

2900001592.60

1603.50

0.60

1 125.00 125.50

3.16%-0.28%-0.01%-0.68%-0.02%

Security D

360000268.00265.300.85

176.91%

1.02%

0.78%

1.02%

0.78%

t

t-1

daily perf

PriceIndexLevelUSD (see 1.2)

100.273

100.000

0.27%

PriceIndexLevelLocal (see 1.2)

100.397

100.000

0.40%

1.50

1.50

Total Index

100.00%

0.27%

0.40%

Day 2
Security C is ex Right issue 1 : 1 @ 1300
SecurityDaily SecurityPricec SecurityDaily SecurityPricec
InitialSecurit Price_Return ontributionToIn Price_Return ontributionToIn
FXrate FXrate
yWeight t
USD t (see dexUSD (see Local t (see dexLocal (seePAF ttt-1 (see 1.2.2)
1.2.3)
1.2.1)
1.2.3)
1.2.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000160.00152.60

0.75

1

1.51

1.50

16.22%

4.15%

0.67%

4.85%

0.79%

Security B

26000

95.00

98.40

1.00

1

1.16

1.15

3.15%

-4.29%-0.14%-3.46%-0.11%

Security C

2900001450.00

1592.60

0.60 1.1012 124.50 125.00

3.14%

0.66%

0.02%

0.26%

0.01%

Security D

360000265.00268.000.85

77.48%-1.77%-1.37%-1.12%-0.87%

tt-1

daily perf

PriceIndexLevelUSD (see 1.2)

99.455100.273-0.82%

PriceIndexLevelLocal (see 1.2)

100.215

100.397-0.18%

1

1.51

1.50

Total Index

100.00%-0.82%-0.18%

Day 3
Security C has an increase of number of shares following the right issue ex on Day 2
SecurityDaily SecurityPricec SecurityDaily SecurityPricec
InitialSecurit Price_Return ontributionToIn Price_Return ontributionToIn
FXrate FXrate
yWeight t
USD t (see dexUSD (see Local t (see dexLocal (seePAF ttt-1 (see 1.2.2)
1.2.3)
1.2.1)
1.2.3)
1.2.1)

NumberOf
Shares t-1

PricePer
Share tPricePer
Share t-1

Inclusion
Factor t

Security A

150000165.00160.00

0.75

1

1.50

1.51

16.60%

3.81%

0.63%

3.13%

0.52%

Security B

26000

102.00

95.00

1.00

1

1.17

1.16

2.97%

6.45%

0.19%

7.37%

0.22%

Security C

5800001545.00

1450.00

0.60

1 124.45 124.50

5.64%

6.59%

0.37%

6.55%

0.37%

Security D

360000266.00265.000.85

174.79%

1.05%

0.78%

0.38%

0.28%

t

t-1

daily perf

1.50

Total Index

1.51

100.00%PriceIndexLevelUSD (see 1.2)

101.42499.455

1.98%

PriceIndexLevelLocal (see 1.2)

101.607100.215

1.39%

MSCI Data Operations & Technology
January 2011
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14

1.98%

1.39%

MSCI Index Calculation Methodologies
January 2011
1.4

Next Day Initial Security Weight

InitialSec urityWeigh t t 1 
EndOfDayNumberOfShares t * PricePerSh aret
* InclusionF actort 1
FXrate t* 100 EndOfDayNumberOfShares t * PricePerSh aret
* InclusionF actort 1 )
(FXrate tsI,t  1
SecurityIn itialFullM arketCapUSDt 1 * InclusionF actort 1

 (SecurityI nitialFull MarketCapUSD

sI,t  1t 1

* 100 * InclusionF actort 1 )SecurityIn itialMarketCapUSDt 1* 100
IndexIniti alMarketCapUSDt 1
Where:
 EndOfDayNumberOfShares t is the number of shares of security s at the end of day t.
PricePerSh aret is the price per share of the security s at time t.
InclusionFactort 1 is the inclusion factor of the security s at time t+1. The inclusion factor canbe one or the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion
Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

15

MSCI Index Calculation Methodologies
January 2011Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
The list of index constituents as of time t+1 is considered in the calculation.
Notes:The SecurityIn itialFullM arketCapInSecurityPr iceCurrencyt 1 is also available in the security files
and corresponds to the SecurityIn itialFullM arketCapUSDt 1 multiplied by the FXrate t
The EndOfDayNumberOfShares t used to calculate next day‘s initial weight, available in the MSCI
products dated day t , is shown as ―Number of Shares (Next Day Index)‖.

1.5

Closing Index Market Capitalization today USD (Unadjusted Market Cap
today USD)

The value of the index market capitalization as of the close of a day is calculated as follows:

ClosingNumberOfSharest * PricePerSh aret * InclusionF actort
FXrate tsI ,tIndexClosi ngMarketCapUSDt  
Where







ClosingNumberOfSharest is the number of shares of security s at the close of t.
PricePerSh aret is the security price per share of security s at time t.

InclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beone or the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion
Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
MSCI Data Operations & Technology
January 2011
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16

MSCI Index Calculation Methodologies
January 2011
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
The list of index constituents as of time t should be considered in the calculation.
Effectively this figure represents the shares at the close on t, and does not include any of the effects ofcorporate actions due at the open of the market the next day.
The closing market capitalization uses today‘s price, t, as it represents the market capitalization at the closeof the calculation day t.

1.6

Security Index of Price in Local

The security Index of Price is distributed in MSCI daily and monthly security products [It represents theprice return from period to period by utilizing the concept of an index of performance with an arbitrarybase value. The index of price is fully adjusted for capital changes and is expressed in local currency.

SecurityPr iceIndexLe velt  SecurityPr iceIndexLe velt 1 *SecurityAd justedMarketCapForLocal t
SecurityIn itialMarketCapUSDt

SecurityAd justedMarketCapForLocal t 
EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt ICI t*
FXrate t 1
ICI t 1

MSCI Data Operations & Technology
January 2011
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17

MSCI Index Calculation Methodologies
January 2011
SecurityIn itialMarketCapUSDt 
EndOfDayNumberOfShares t 1 * PricePerSh aret 1 * InclusionF actort
FXrate t 1

Where:
 SecurityPr iceIndexLe velt 1 is Security Price Index level at time t-1













SecurityAd justedMarketCapForLocal t is the Adjusted Market Capitalization of security s in
USD converted using FX rate as of t-1
SecurityIn itialMarketCapUSDt is the Initial Market Capitalization of security s in USD at timet
EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1.
PricePerSh aret is the price per share of security s at time t.
PricePerSh aret 1 is the price per share of security s at time t-1.
InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be one or
the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor
Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
PAFt is the Price Adjustment Factor of security s at time t.
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.
ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira –ICI = 1,000,000).
ICI t 1 is the Internal Currency Index of price currency at time t-1.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market

MSCI Data Operations & Technology
January 2011
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18

MSCI Index Calculation Methodologies
January 2011
Indices methodology and were not subject to the transition methodology.

1.7Note on Index Calculation in Local Currency
The MSCI Country and Regional Indices are calculated in local currency as well as in USD. The
concept of a ―local currency‖ calculation excludes the impact of currency fluctuations.
Note that for a country index, the local currency index will not be the same as an index calculated withthe official currency of that country, if there is more than one currency of listing.
All currencies of listing are considered in the index calculation in local currency where current pricest
and previous day pricest-1 are converted into USD using the same exchange rate (exchange ratet-1) in
the numerator and denominator. As a consequence, the FX factor drops out of the equation.
The USD calculation includes exchange rates at t and t-1. Therefore, the local currency calculation
only represents the price appreciation or depreciation of the securities, whereas the USD calculation
also accounts for the performance of the currency (or currencies) relative to the USD.

1.8

Conversion of indices into another currency
An index can be calculated into any currency by converting the index in USD into the selectedcurrency using the formula below.


If the base date of the index is prior to the start date of the currency, the indices should be
rebased and converted using the following formula:

IndexLevelinCurrency t  100 *IndexLevelinUSDt
FXrate t*
IndexLevelinUSDcurrency_ base_ date FXrate currency_ base_ date

Note that 100 in the formula is the base value. This base value can be different than 100 (e.g. 1000
depending on the indices).

If the base date of the index is equal or posterior to the start date of the currency, the indicesshould be converted only, using the following formula:

IndexLevelinCurrency t  IndexLevelinUSDt *MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

FXrate t
FXrate index _ base_ date

19

MSCI Index Calculation Methodologies
January 2011

Example:Calculation of the The World Index
Note that the start date of EUR is 31-Dec-1998





EUR

as

of

October

The World Index in USD as of 31-Dec-98 = 1,149.951577
The World Index as of 20- Oct- 99 = 1,224.048387
FxRate EUR vs USD as of 31-Dec- 98 = 0.8516074
FxRate EUR vs USD as of 20-Oct-99 = 0.9279451

WorldIndexinEUR10/20/99  100 *

100 *

in

WorldIndexinUSD10/20/99 EURvsUSDRate10/20/99*
WorldIndexinUSD31/12/98 EURvsUSDRate12/31/98

1224.048387 0.9279451*
 115.985
1149.951577 0.8516074

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

20

20,

1999:

MSCI Index Calculation Methodologies
January 2011
Section 2: MSCI Daily Total Return (DTR) Index Methodology
Total return indices measure the market performance, including price performance and income from
dividend payments. A dividend is a distribution of cash (or securities) made by a company to its
shareholders.
The funds are taken from annual operating profits (regular dividend), from capital and/or reserves, orfrom extraordinary earnings. This income is reinvested in the index and thus makes up part of the total
index performance.
MSCI‘s Daily Total Return (DTR) methodology reinvests cash dividends in indices the day the security isquoted ex-dividend (ex-date). It applies to all index families. Cash dividends are not considered in priceindices, except for special dividends in certain circumstances described below.
The standard Daily Total Return (DTR) Indices are calculated and distributed on a daily basis. The indices
are available in USD and local currency (no currency impact), with gross and net total return

2.1

Calculation Methodology

DTRIndexLevelUSDt 
DTRIndexLevelUSDt 1 *(IndexAdju stedMarketCapUSDt  IndexDividendImpactUSDt )IndexIniti alMarketCapUSDt

DTRIndexLevelLocalt DTRIndexLevelLocalt 1 *(IndexAdju stedMarketCapForLocalt  IndexDividendImpactForLocalt )IndexIniti alMarketCapUSDt

Where: DTRIndexLevelUSDt 1 is the Daily Total Return index level in USD at time t-1
IndexDividendImpactUSDt is the gross or net amount of dividends in USD to be reinvested in theindex in USD at time t IndexDividendImpactForLocalt is the gross or net amount of dividend in USD converted using
FX rate as of t-1 to be reinvested in the local currency index at time t
DTRIndexLevelLocalt 1 the Daily Total Return index level in local currency at time t-1

MSCI Data Operations & Technology
January 2011
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21

MSCI Index Calculation Methodologies
January 2011
2.1.1

Dividend Impact

IndexDividendImpactUSDt 
EndOfDayNumberOfShares ex  date1 * DividendPerSharet * InclusionF actort
FXrate tsI,t

IndexDividendImpactForLocalt 
EndOfDayNumberOfShares ex  date1 * DividendPerSharet * InclusionF actort ICI t*)
Fxrate t 1
ICI t 1sI,t(

Where:
 EndOfDayNumberOfShares ex date1 is the number of shares of the security s at the end of thedividend ex-date-1.
 DividendPerSharet is the gross or net dividend per share expressed in the same currency unit as
the price per share of the security s to be reinvested at time t.
2.1.2

DTR Index Level from Security Information (Security DTR)

Another way to calculate a DTR index would be to use the security initial weight and security total return:

DTRIndexLevelUSDt  DTRIndexLevelUSDt 1 * (1   SecurityTo talReturnC ontributio nToIndexUSDt )sI,tDTRIndexLevelLocalt  DTRIndexLevelLocalt 1 * (1   SecurityTo talReturnC ontributio nToIndexLocal t )
sI,t

2.1.3

Security Contribution to the Index

Calculation Formulas:

SecurityTo talReturnC ontributio nToIndexUSDt 
InitialSec urityWeigh t t * SecurityDa ilyTotalRe turnUSDt

MSCI Data Operations & Technology
January 2011
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22

MSCI Index Calculation Methodologies
January 2011
SecurityTo talReturnC ontributio nToIndexLocal t 
InitialSec urityWeigh t t * SecurityDa ilyTotalRe turnLocal t
Where:
 SecurityDa ilyTotalRe turnUSDt is the gross or net return in USD of security s at time t.
SecurityDa ilyTotalRe turnLocalt is the gross or net return of security s at time t converted
using the FX rate as of t-1 and used for local currency calculation at time t.
2.1.4

Security Daily Total Return2.1.4.1 Security Daily Gross Return

SecurityDa ilyGrossReturnUSDt  (SecurityA djustedMar ketCapUSDt  SecurityGr ossDividendImpactUSDt )  1 * 100SecurityIn itialMarketCapUSDt

SecurityDa ilyGrossReturnLocalt  (SecurityA djustedMar ketCapForLocal t  SecurityGr ossDividendImpactFor Localt )  1 * 100SecurityIn itialMarketCapUSDt


Where
SecurityGr ossDividendImpactUSDt 
EndOfDayNumberOfShares ex  date1 * GrossDividendPerSharet * InclusionF actort
FXrate t
SecurityGr ossDividendImpactForLocal t 
EndOfDayNumberOfShares ex  date1 * GrossDividendPerShar et * InclusionFactort
ICI t*
FXrate t 1
ICI t 1

Where
 SecurityAd justedMarketCapForLocal t is the Adjusted Market Capitalization of security s in
USD converted using FX rate as of t-1
 SecurityAd justedMarketCapUSDt is the Adjusted Market Capitalization of security s in USD
converted using FX rate as of t

MSCI Data Operations & Technology
January 2011
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23

MSCI Index Calculation Methodologies
January 2011











SecurityIn itialMarketCapUSDt is the Initial Market Capitalization of security s in USD attime tInclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beone or the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion
Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.
EndOfDayNumberOfShares ex date1 is the number of shares of security s at the end of thedividend ex-date-1.
GrossDividendPerSharet is the gross dividend per share expressed in the same currency unit
as the price per share of the security s to be reinvested at time t.
ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira –ICI = 1,000,000).
ICI t 1 is the Internal Currency Index of price currency at time t-1.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.

2.1.4.2 Security Daily Net Return

MSCI Data Operations & Technology
January 2011
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24

MSCI Index Calculation Methodologies
January 2011
SecurityDa ilyNetRetu rnUSDt  (SecurityA djustedMar ketCapUSDt  SecurityNe tDividendImpactUSDt )  1 * 100SecurityIn itialMarketCapUSDt
SecurityDa ilyNetRetu rnLocalt  (SecurityA djustedMar ketCapForLocal t  SecurityNe tDividendImpactForLocal t )  1 * 100SecurityIn itialMarketCapUSDt



Where
SecurityNe tDividendImpactUSDt 
EndOfDayNumberOfShares ex  date1 * NetDividen dPerSharet * InclusionF actort
FXrate t
SecurityNe tDividendImpactForLocal t 
EndOfDayNumberOfShares ex  date1 * NetDividen dPerSharet * InclusionF actort ICI t*
FXrate t 1
ICI t 1

Where
 SecurityAd justedMarketCapForLocal t is the Adjusted Market Capitalization of security s in
USD converted using FX rate as of t-1
 SecurityAd justedMarketCapUSDt is the Adjusted Market Capitalization of security s in USD
converted using FX rate as of t
 SecurityIn itialMarketCapUSDt is the Initial Market Capitalization of security s in USD at timet
 InclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beone or the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion
Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
 FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1
USD in foreign currency.
 FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.
 EndOfDayNumberOfShares ex date1 is the number of shares of the security s at the end of
dividend ex-date-1.

MSCI Data Operations & Technology
January 2011
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25

MSCI Index Calculation Methodologies
January 2011




NetDividen dPerSharet is the net dividend per share expressed in the same currency unit as theprice per share of the security s to be reinvested at time t.
ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira –ICI = 1,000,000).
ICI t 1 is the Internal Currency Index of price currency at time t-1.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM Countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
2.1.5

Initial Security Weight

MSCI Data Operations & Technology
January 2011
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26

MSCI Index Calculation Methodologies
January 2011
InitialSec urityWeigh t t 
EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actort
FXrate t 1
* 100 EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actort )(FXrate t 1sI,tSecurityIn itialFullM arketCapUSDt * InclusionF actort

 (SecurityI nitialFull MarketCapUSD * InclusionFactor )
t

sI,t

* 100 t

SecurityIn itialMarketCapUSDt* 100
IndexIniti alMarketCapUSDt
Where:
 EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1.


PricePerSh aret 1 is the price per share of security s at time t-1.
InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be one or
the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor,
Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*).
FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1
USD in foreign currency.

(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market
capitalization (except for FM countries and China A), the security market cap should be multiplied by
the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related indices markets
capitalization, the China A securities market cap should be multiplied by the Standard Index Inclusion
Factor.
The ‗Standard Index Inclusion Factor‘ is solely used for the computation of the MSCI Standard
Indices, and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using
the Global Investable Market Indices methodology and were not subject to the transition
methodology.
The ‗Small Cap Index Inclusion Factor‘ is not used for the computation of the MSCI Emerging
Markets and AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap

MSCI Data Operations & Technology
January 2011
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27

MSCI Index Calculation Methodologies
January 2011
and MSCI Small Cap Sectors Indices, as these are all constructed using the Global Investable Market
Indices methodology and were not subject to the transition methodology.
2.1.6

Currency

For index calculations, all dividends are converted into USD at the spot rate of the ex date.
2.1.7

Number of Shares and Index Weighting Factor

A dividend amount is expressed per share entitled to the dividend. Since the day before the ex-date is thelast day on which the share is entitled to the dividend, the total dividend per security reinvested into anindex is equal to the number of shares at the end of the ex-date-1 multiplied by the dividend per share.
In addition, the weighting factor of the security in the index is applied to the total dividend amount to be
reinvested. This may be the Domestic Inclusion Factor (DIF), the Foreign Inclusion Factor (FIF), theValue Inclusion Factor (VIF), the Growth Inclusion Factor (GIF) or any inclusion factor considered in theprice index calculation.

2.2

Reinvestment Methodology

Gross Daily Total Return
This series approximates the maximum possible dividend reinvestment. The amount reinvested is thedividend distributed to individuals resident in the country of the company, but does not include tax
credits.
Net Daily Total Return
This series approximates the minimum possible dividend reinvestment. Effective December 1, 2009, thedividend is reinvested after deduction of withholding tax by applying the maximum rate of the company‘s
country of incorporation applicable to institutional investors. MSCI uses different withholding tax
depending if the indices are international or domestic:International indices: the maximum rate applicable to non-resident institutional investors who do
not benefit from double taxation treaties.
Domestic indices: the maximum rate applicable to resident institutional investors

MSCI Data Operations & Technology
January 2011
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28

MSCI Index Calculation Methodologies
January 2011

For more information on how taxes are applicable to dividends, please refer to the Appendix for details
about the withholding tax rates for the various countries.
2.2.1

Timing of re-investment

The amount of an announced dividend is re-invested on the day the security is quoted ex-dividend on its
principal exchange. For securities trading on more than one exchange, MSCI uses the ex-date at theexchange from which MSCI sources the security‘s price.
If a security does not trade on the day it is quoted ex-dividend, the re-investment is postponed to the day
when the security resumes trading.
2.2.2

Re-Investment Rules

There are two principal guidelines in accounting for dividends in MSCI‘s DTR Indices: A recurring standard dividend paid out of current earnings will be reinvested among all theconstituents in an index. It is not considered in price indices A dividend that is unusually large, i.e. at least 5% of the security cum price, or otherwise unlikely torecur on a regular basis or any dividend that is paid for with extraordinary profits is handled byapplying a price adjustment factor and is hence taken into account in price indices as well as DTR
Indices.
These guidelines are discussed in greater detail below.
2.2.3

Dividends Resulting in a Reinvestment Only

The following dividends are reinvested in the DTR Index:
Regular Cash Dividend
A regular cash dividend is paid out from operating profits: the company distributes a part of the current
year‘s operating profits to its shareholders.
Optional Dividend
In the case of an optional dividend, the company offers shareholders the choice of receiving the dividend
either in cash or in shares. However, shareholders electing the cash option may receive the dividend
consideration in cash or shares, or some combination of cash and shares. These dividends are a common
practice in the U.S. For dividend reinvestment purposes, MSCI assumes that investors elect the cash
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MSCI Index Calculation Methodologies
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option, therefore the dividend is reinvested in the MSCI DTR Indices and price adjustment is notnecessary (if the dividend is less than 5% of the cum market price of the underlying security). In the eventthat shareholders electing the cash option receive the dividend distribution in shares, or a combination of
cash and shares, MSCI will increase the number of shares accordingly after results have been officiallycommunicated, with two full business days notice.
In other countries, companies may extend shareholders the choice to participate in certain programs(including, but not limited to Dividend Reinvestment Plans and Bonus Buyback programs). In these cases,
MSCI will assume investors choose the default distribution. If no default distribution is available, MSCI
will assume investors elect the cash option. If some shareholders choose to take the stock option, when it
is confirmed, the number of shares will be increased accordingly at the next regularly scheduled Index
Review.
Interest on CapitalThe ‗interest on capital‘ dividend is a cash payment to shareholders accounted for as a pre-tax interest
expense by the company. The balance sheet and the book value do not change. Interests on capital arecommon in Brazil.
2.2.4

Dividends Resulting in a Reinvestment or in a Price Adjustment

The dividends below are reinvested in the DTR index if, a day prior to the ex-date, the dividend impact on
the price is less than 5%.
However, if the impact is at least 5%, the dividend will be reflected in the index through a priceadjustment.
Special/Extra Dividend
The company declares the dividend as special or extraordinary. It is usually funded by a special event orfrom extraordinary profits. MSCI may consider irregular and unusually large dividends as special even if
they are not declared as such by the company.
Commemorative Dividend (memorial)
A company declares a dividend as commemorative/memorial. The funds come from extraordinary profit
or cash generated by a special event.

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Retroactive/Arrears Dividend
Retroactive dividends are paid in Italy when a company has to pay a dividend to revenue-guaranteed(RISP) shares to make up for previous years‘ non-payments.
Special Dividend to Non-Domestic Shareholders
A company pays its non-domestic shareholders a bonus dividend to compensate for the tax credit
distributed to domestic shareholders. This is a common practice in New Zealand.
Note that a special dividend is considered a regular cash dividend (‗regular special‘) after being distributed
for three consecutive years, and if it is proven to have been taken out of recurring operating profits.

2.2.5

Dividends Resulting in a Price Adjustment Only

A specific price adjustment is always applied to the security in the following cases:
Stock Dividend (stock bonus/gratis issue)
The company issues shares at no direct cost to the shareholders. The funds are taken out from the current
year‘s earnings. In the case of a stock bonus/gratis issue, the company distributes a part of the reserves(retained earnings from previous years) to its shareholders.
Capital Repayment (return of capital)
The company reduces its capital by paying shareholders a cash return, which is a portion of their original
investment. It is neither a dividend nor a capital gain, and the shareholders may not have to pay income orcapital gains tax. The balance sheet and the book value will decrease.
Dividend Paid in Shares of another Company
The company distributes stock of another company as a dividend. The number of shares held remains thesame, but the price will decrease by the value of the distributed security.
MSCI considers other cash payments related to Corporate Events, such as mergers, acquisitions,liquidations, etc. on a case-by-case basis.

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2.3

Processing Rules
2.3.1

Dividend Data

Raw dividend data is provided by multiple electronic data feeds and is checked for completeness andcorrectness. MSCI‘s Daily Total Return process requires that dividends be confirmed by at least two
distinct data sources. Most dividends are received and validated through electronic feeds, but some events
may require confirmation from other sources, such as stock exchanges or the company. In addition, MSCI
monitors securities for which a dividend is expected based on previous dividend announcement frequency,
but which has not yet been received through the regular data sources.
2.3.2

Corporate Actions

A corporate action, which changes the number of shares outstanding for a company, may take place
between the dividend‘s announcement date and its ex-date. As the number of shares on the day preceding
the ex-date is used to calculate the dividend amount to be reinvested, MSCI will adjust the dividend toreflect the number of shares on that day.
Following certain corporate events, the number of shares used in MSCI Index calculations on the dayprior to the ex-date may include shares that are not issued yet or that are not entitled to the dividend. In
those cases, MSCI reinvests the dividend on the ex-date as if all shares included in MSCI Index
calculations were entitled to the dividend.
2.3.3

Corrections

A dividend that has been reinvested may need to be amended, due to an error in its ex-date, in thedividend amount, or in the dividend currency. MSCI will give advance notification for dividend
corrections that are received after their ex-date. Consequently, the correction in the index will be
postponed to the next business day following MSCI‘s receipt and announcement of the information.
The following rules apply: Action is taken only if the error is discovered within 12 months of the ex date.
 In the case of a correction, MSCI will use the number of shares effective on the day prior to the exdate. The day‘s spot rate is used for currency conversion.

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

A historical correction will be applied to all indices impacted by more than 50 basis points1 if the
impact on a country or World / EM industry group index is over 50 basis points. Starting December
1, 2010, for the MSCI Frontier Markets Indices (including MSCI GCC Countries Indices), there will bea historical correction only if the impact on the MSCI Frontier Markets region is over 50 basis points.
The security that needs a dividend correction may have changed its status for index inclusion between
the ex-date and the correction date. For example, this may be due to the security‘s subsequentexclusion from the index, or a change in its industry or country classification. Applying the correction
with the current status may reinvest dividends into the wrong index. If there is a change in the security
status between the ex-date and the correction date, no correction amount will be reinvested.

2.3.4

Payment Default

A correction will be applied when a dividend is declared unpaid (payment default). This may result in anegative reinvestment. Past index values (history) are not corrected.
The following rules apply: Action is taken only if the payment default is discovered within 12 months of the ex-date and is in linewith the price index correction policy, where MSCI applies a 12 month correction period.
 MSCI uses the number of shares effective on the day prior to the original ex-date.
 The default amount is reinvested on the day it is announced. The day‘s spot rate is used for currency
conversion.
2.3.5

Late Dividends

A late dividend is a dividend that is only known after its ex-date. It is processed under the correction
policy as described in sub-section 2.3.3 above.
2.3.6

Country Exceptions

Korea and Russia: Late Dividend
Korean and Russian companies declare or may declare their dividends after their ex-date. As no estimateddividends are available before the ex-date and no fluctuation in the price (due to the dividend) is visible on
the ex-date, the dividends are reinvested on the next business day following the reception date from the1

The 50 basis point limit is linked to the price index correction policy and will be revised accordingly to reflect any

changes in this policy.

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MSCI Index Calculation Methodologies
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data sources without any correction. MSCI will use the number of shares effective on the day prior to the
ex-date.
In the case of Korean and Russian companies declaring their dividends prior to their ex-date, MSCI will
reinvest dividends into the MSCI DTR Indices on the day the security is quoted ex-dividend on its
principal exchange (in accordance with the section 2.2.1).
Should the dividend amount for Korean and Russian companies change following approval by theshareholders at the general meeting, there will be no correction of the past index levels.
For the depositary receipts (DR) of Russian companies, MSCI will wait until the DR depositary bankannounces the dividend amount before reinvesting the dividend on the next business day following thereception date of such dividend amount from MSCI‘s data sources.
Japan: Late Dividend
Many Japanese companies declare their dividends after the ex-date. As estimated dividends are available
before the ex-date and are broadly used, an estimation of the dividend is reinvested on the ex-date. Whena company does not declare an estimated dividend, MSCI will use the previous year amount as theestimation. Should the difference between the estimated and ratified dividend amount warrant correction,
it will be processed as a payment default (reinvestment without correcting past index levels) on the next
business day following the reception date from the data sources.
USA: Redemption Right
When a company redeems shares distributed to shareholders due to a poison pill rights issue (applies
mainly in USA), there may be a change in the company‘s capital structure. In this case MSCI will apply aprice adjustment.

2.3.7

Taxes on Dividends

Shareholders may be taxed on dividend payments. Tax rates vary depending on the company‘s andshareholder‘s country of domicile. Tax data is monitored on a regular basis and is updated whennecessary.

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2.3.7.1 Tax Credit
A tax credit related to a dividend can be considered as a reimbursement of tax already received by thefiscal administration. In countries operating under an imputation tax system, a company‘s annual earnings
are taxed before distribution to the shareholders, and then the shareholders pay taxes on the dividend.
Some countries operating under an imputation tax system provide shareholders with a tax credit to offset
the amount of the tax they would otherwise owe in respect of the dividend.1 MSCI does not take into
account the amount of a tax credit in calculating either gross or net dividends.
2.3.7.2 Withholding Tax
A withholding tax related to a dividend is a tax on the income of the shareholder withheld by the company
when the dividend is paid to a shareholder. The withholding tax rate depends on the tax status of theshareholder. MSCI uses the maximum withholding tax rate applicable to institutional investors incalculating MSCI net dividends. A non-resident shareholder must also pay taxes on dividends in his/her
domestic country as part of his/her income taxes. Countries may eliminate this double taxation by signing‗bi-lateral‘ double taxation treaties.
MSCI uses companies‘ country of incorporation to determine the relevant dividend withholding tax rates
in calculating the net dividends and the MSCI net DTR Indices. In cases where the withholding tax rate in
the company‘s country of incorporation is higher than the MSCI company‘s country of classification as
determined in accordance to Appendix III of the MSCI Global Investable Markets Indices Methodology,
MSCI will make a specific analysis to determine the actual withholding tax rate applied to non-resident
institutional investors.
Companies‘ country of incorporations are reviewed on a semi-annual basis and changes to companies‘
withholding tax rates, if any, are made with the May and November Semi-Annual Index Reviews.
In the calculation of the MSCI Net DTR International Indices, MSCI uses the withholding tax rate
1

Singapore completely migrated to a one-tier tax system from imputation system effective January 1, 2008. Under a one-tier or single-tier tax system, a company pays a tax on its taxable income and shareholders are not charged with a tax on
dividends paid to them by the company. Malaysia has been transitioning from the imputation system to a single-tier tax
system beginning on January 1, 2008. All Malaysian companies must move to a single-tier tax system by no later thanJanuary 1, 2014.
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applicable to non-resident institutional investors that do not benefit from double taxation treaties.
In the calculation of the MSCI Net DTR Domestic Indices, MSCI uses the withholding tax rate applicable
to domestic institutional investors.

2.3.7.2.1

Country Exception: Australian Dividends

Some Australian companies pay their dividends with franking credits attached in order to pass on toinvestors the value of any tax that the company has already paid on its profits. Dividends can be fully
franked, partially franked or unfranked. Foreign non-resident investors are subject to the Australian
dividend withholding tax on the unfranked portion of a dividend. However, foreign non-resident investors
are not subject to the Australian dividend withholding tax on the unfranked portion of the dividend to theextent that it is declared as conduit foreign income1 by Australian companies, or on the franked portion of
the dividend.
In the calculation of the MSCI Net DTR International Indices for Australian dividends, MSCI uses thewithholding tax rate2 applicable to foreign non-resident institutional investors on the unfranked portion of
the dividend that is not designated as conduit foreign income. MSCI does not apply withholding tax rateon the franked portion of the dividend or the unfranked portion of the dividend declared to be conduit
foreign income.
In the case that the franking percentage and/or the conduit foreign income not publicly available prior to
the ex-date, the franking percentage and/or the conduit foreign income will be assumed zerocorrespondingly.
The effective withholding tax rate being applied to the Australian dividends in the MSCI Net DTR
International Indices is as follows.

1

Conduit foreign income is foreign income received by a foreign resident via an Australian corporate tax entity, and is that

income which would ordinarily not be taxed under the relevant Australian tax laws (source: Australian Government, The
Treasury).
2

Please refer to the Appendix for the latest withholding tax rate for Australia.

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Effective withholding tax rate = Australia default withholding tax rate x (100% - franking % - conduit
foreign income %)Examples of Calculation

Security A
Security B
Security C
Security D

2.3.8
•
•
•
•

Franking Percentage

Conduit Foreign
Income Percentage

100%
75%
50%
0%

0%
25%
0%
50%

Default
Withholding Tax
Rate
30%
30%
30%
30%

Effective
Withholding Tax
Rate
0%
0%
15%
15%

Gross Amount

Net AmountAUD 2.56
AUD 1.47
AUD 1.00
AUD 2.00

AUD 2.56
AUD 1.47
AUD 0.85
AUD 1.70

Definitions

Announcement date - the date on which the company announces its next dividend payment.
Reception date - the date on which the information about the dividend is received by MSCI from its
data sources.
Record date - the date on which an individual must own shares (be the holder of record) in order toreceive a declared dividend or capital gains distribution.
Ex-date - the first day on which, if an investor buys the security, the security no longer carries theright to the declared dividend.

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Section 3: Gross Domestic Products (GDP) Weighted Indices
The MSCI GDP Indices offer an alternative to market capitalization-weighted indices for global andregional asset allocation purposes. In the MSCI GDP Indices, country weights are based on the size of thecountry‘s economy rather than the size of its equity market. While equity markets can have performancerelated peaks and troughs, GDP figures are more stable over time. The MSCI GDP Indices include the
MSCI GDP ACWI, World, EAFE, Europe, EMU and EM Indices.

3.1

Annual Index Review and Country Weights

The MSCI GDP Indices are rebalanced annually in May. The rebalancing date has been changed in 2002
to May from June to coincide with the annual full index review of the MSCI Standard Indices.
The country weights of the MSCI GDP Indices are reset every year on the basis of the previous year‘s
GDP figures. Afterwards, the country weights fluctuate with changes in performance and market
capitalization in the MSCI Standard Country Indices until the next rebalancing.
The primary sources for GDP data are the Organization for Economic Cooperation and Development(OECD), the International Monetary Fund (IMF) and other various government organizations. In somecases, GDP estimates may be used if final figures are not available at the time of the rebalancing.
GDP figures provided by the OECD are in USD at current prices and current exchanges rates. IMF GDP
figures are provided in local currency and converted in USD at the period average market rate. For GDP
figures in local currency provided by other sources, MSCI applies an average of the previous year‘s daily
exchange rates to calculate the USD-equivalent GDP figures.
For the Emerging Markets (EM) GDP Index as well as All Country World Index (ACWI) GDP Index,
MSCI provides historical index levels back to June 30, 2000. Prior historical index levels for these indices
are only available on a custom basis. Changes in country indices within EM and ACWI or migrations from
Emerging to Developed Market indices are implemented to coincide with the Annual GDP Index Review.
As such, as of the close of June 29, 2001, MSCI Egypt and Morocco were added to the EM and ACWIGDP Indices whilst MSCI Sri Lanka was removed. Simultaneously, MSCI Greece migrated from theEmerging to the Developed Markets GDP Indices.

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As a reminder, Developed Markets (DM) GDP Indices, such as The World Index, EAFE and Europe
have a price index level history available since December 31, 1969 on a monthly basis, and since
December 31, 1987 on a daily basis, whereas EMU‘s entire index level history goes back to June 30, 1998.
In addition to the country migrations mentioned above, the most recent country level changes include theinclusion of MSCI Portugal into the Developed Markets GDP Indices as of the close of June 30, 1998,
and the removal of MSCI Malaysia as of the close of September 30, 1998.

3.2

Security level Weights

The weight of a security in the GDP Indices is determined by multiplying the weight of the security in the
MSCI Standard Country Index by the current weight of the country in the regional MSCI GDP Index.
SW GDP = SW STD * CW GDP_CUR
Where:SW GDP
SW STDCW GDP_CUR

security weight in the regional MSCI GDP Index
security weight in the MSCI Standard Country Index
current country weight in the regional MSCI GDP Index

Current country weight:

CW GDP_CUR =(CountryGDPINI * McapCountry CUR/McapCountry INI)SUM (CountryGDPINI * McapCountry CUR/McapCountry INI)

Where:CW GDP_INI
McapCountry CUR
McapCountry INI

initial country weight in the regional MSCI GDP Index at the last
rebalancing
current country market capitalization in the MSCI Standard Index
initial country market capitalization at the last rebalancing in the MSCIStandard Index

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Appendices

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Appendix I: Sunday Index Calculation
Calculation Methodology
A selected list of MSCI Indices is calculated on Sunday to reflect the performance of the markets open on
this day1.
In order to preserve compatibility with the other MSCI International Indices, which are calculated from
Monday to Friday, MSCI uses the concept of a Monday pre-opening (intermediate) calculation for the
Sunday calculation. The Sunday index performance captures the price changes and reflects corporate
events effective on this day.
In case of corporate events occurring on Sundays and where a PAF is needed, the PAF is applied to thesecurity on Sunday and Monday. If the security does not trade on Monday, the Sunday closing market
price is carried forward to Monday, including the PAF.
Changes in the security‘s number of shares, FIFs and/or DIFs due to corporate events occurring on
Sunday are implemented as of the close of Monday, regardless of whether the corporate event requires theapplication of a PAF on Sunday or not.
The index constituent list is the same as the one to be used for the Monday calculation.
WM/Reuters spot FX rates as of the previous Friday is carried forward to Sunday in order to perform theindex calculation in USD.
No dividends are reinvested on Sundays. Consequently, the Daily Total Return (DTR) index performances
for Sunday will equal to the ones of the price index.
The chain-linking for these indices can be summarized as follows:1Sunday‘s daily index performance is computed by comparing Sunday‘s adjusted prices and theprevious Friday‘s unadjusted prices
Monday‘s daily index performance is computed, as currently, by comparing Monday‘s adjusted
prices and the previous Friday‘s unadjusted prices

Effective October 16, 2010, MSCI has discontinued the calculations and distribution of the Saturday files.

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ThursdayInitial Weights
FridaySaturday

SundayConstituentsMondayFriday calculation

Sunday calculation

Monday calculation

Index Calculation Formulas
IndexLevel Local Saturday/Sunday 
IndexLevel Local Friday * SecurityAdjustedFullMarketCapForLocal * InclusionFactor  SecurityInitialFullMarketCapUSD * InclusionFactor 
SundaysI, Monday

SundaysI, Monday

IndexLevel USD Saturday/Sunday 
IndexLevel USD Friday * SecurityAdjustedFullMarketCapUSD
 SecurityInitialFullMarketCapUSD

sI, Monday

SundaySundaysI, Monday

MondayMonday* InclusionFactorMonday * InclusionFactorMonday 

Where:
 InclusionFactorMonday is the inclusion factor of the security as of the following Monday. The
inclusion factor can be one or the combination of the following factors: Foreign Inclusion Factor,
Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion
Factor (*).

The Security Full Market Caps are calculated as follows:

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SecurityAdjustedFullM arketCapForLocal Sunday 
EndOfDayNumberOfShar es Friday * PricePerSh are Sunday * PAFSunday *ICI Monday
ICI Friday

FXrateFriday

SecurityAdjustedFullM arketCapUSD Sunday 
EndOfDayNumberOfShar es Friday * PricePerSh are Sunday * PAFSunday
FXrateSunday

SecurityInitialFullM arketCapUSD Sunday 
EndOfDayNumberOfShar es Friday * PricePerSh are Friday
FXrateFriday

Where:
 EndOfDayNumberOfShares Friday is the number of shares of security s as of the end of theprevious Friday.
 PricePerSh are Sunday is the price per share of the security s as of Sunday.
PricePerSh areFriday is the price per share of security s as of the previous Friday.



PAFSunday is the Price Adjustment Factor of the security s as of Sunday.



FXrateSunday is the FX rate of the price currency of security s vs USD as of Sunday. It is the valueof 1 USD in foreign currency.
FXrate Friday is the FX rate of the price currency of security s vs USD as of the previous Friday. It
is the value of 1 USD in foreign currency.
ICI Monday is the Internal Currency Index of price currency as of Monday. The ICI is different than
1 when a country changes the internal value of its currency (e.g. from Turkish Lira to New Turkish
Lira – ICI = 1,000,000).
ICI Friday is the Internal Currency Index of price currency as of previous Friday.



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Appendix II: Annualized Traded Value Ratio (ATVR) and Annual Traded Value
Calculation Methodology
The Annualized Traded Value Ratio (ATVR) is used to measure liquidity. MSCI uses ATVR as aninvestability criterion to determine the inclusion of securities into the MSCI Indices.
MSCI distributes ATVR fields on a monthly basis. Below the fields that are distributed are defined. Notethat the data used by MSCI during the index reviews may differ from the data distributed.

ATVR Calculation Formulas
1. Monthly Median Traded Value
Taking the median screens out extreme daily trading volumes:

MonthlyMed ianTradedValue MonthN 
MedianTradedValueUSD MonthN * NbOfSecurityTradingDays MonthN
Where:MedianTradedValueUSD MonthN  MedianDailySecur ityTradedValueUSDMonthN 

DailySecur ityTradedValueUSDt  DailySecur ityTradedVolumet * PricePerSh aret /FXrate t

NbOfSecurityTradingDays MonthN is the number of days in the month where the security
has been traded
DailySecur ityTradedVolumet represents the number of securities traded during the day t
PricePerSh aret is the price per share of the security s at time t.
FXrate t is the FX rate of the price currency of security s vs. USD at time t. It is the value of 1
USD in foreign currency.

2. Monthly Traded Value Ratio (MTVR)
Dividing the monthly median traded value of a security by its free float-adjusted security market
capitalization at the end of the month gives the monthly median traded value ratio
MTVR_FIFAd j MonthN  MonthlyMed ianTradedValue MonthN /SecurityF IFAdjusted MarketCapUSDMonthN_endday

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MTVR_DIFAdj MonthN  MonthlyMed ianTradedValue MonthN /SecurityD IFAdjusted MarketCapUSDMonthN_endday

Where:
 SecurityFI FAdjustedM arketCapUSDMonthN_endday is the security market capitalization at the end of
the month, SecurityAd justedMarketCapUSDMonthN_endday , adjusted with FIF
SecurityDI FAdjustedM arketCapUSDMonthN_endday is the security market capitalization at the end of

the month, SecurityAd justedMarketCapUSDMonthN_endday , adjusted with DIF

3. Annualized Traded Value Ratio (ATVR)
ATVR_FIFAd j MonthN  MTVR_FIFAd jMonth_iiN,N 1...N11

ATVR_DIFAd j MonthN  MTVR_DIFAdj

iN,N 1...N11

Month_i

The ATVR is not calculated when less than 12 months of monthly traded value ratios are available.

4. Annual Traded Value
The annual traded value is the sum of the monthly median traded values.
AnnualTradedValue MonthN  MonthlyMed ianTradedValueiN,N 1...N11

Month_i

The Annual Traded Value is not calculated when less than 12 months of monthly median traded values areavailable.

5. Aggregated information
In the calculation of the aggregated information, the trading volumes in depository receipts associated withthat security, such as ADRs or GDRs, are also considered. It is obtained by summing up the ATVR ofeach listing.
Aggregated FIF/DIF adjusted ATVR is the sum of FIF/DIF adjusted ATVR of K securities that arelinked by the same issuer, share class and share type:

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Aggregated ATVR_FIFAd j MonthN 

AggregatedATVR_DIFAdj MonthN  ATVR_FIFAd ji1,2...KMonthN,linkedSec_i ATVR_DIFAd ji1,2...KMonthN,linkedSec_i

Aggregated ATVR is calculated even if less than 12 months of monthly median traded values are available
for one, several or all listings. When less than 12 months are available for a given listing, MSCI will use the
ATVR based on the monthly median traded values for the last 6 months, 3 months or 1 month for thatlisting (depending on data availability).
The Aggregated Annual Traded Value includes trading volumes in depositary receipts or other alternate
listings associated with that security. It is obtained by summing up the Annual Traded Values of eachlisting:
Aggregated AnnualTradedValue MonthN   AnnualTradedValue MonthN,linkedSec_ii1,2...KMSCI Data Operations & Technology
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Appendix III: Exchange Rates
Closing Spot Rates
Until December 30, 1993, MSCI used the exchange rates taken from the Reuters multi contributor pages
at 4.00PM CET.
Since December 31st, 1993, MSCI has been using the WM/Reuters Closing Spot Rates, taken at 4PM
London time, for all the countries for which it provides indices, except for the Latin American countries.
At the time, MSCI established a special foreign exchange policy for Latin American countries in view of
the risks of important movement of currencies in some of these markets between the 4PM London
closing and the close of the respective Latin American markets.
Starting July 26, 2000, MSCI began to use the WM/Reuters Closing Spot Rates for all the countries it
provides indices including Latin American countries.
In case WM/Reuters does not provide rates for specific markets on given days (for example Christmas
Day and New Year Day), the previous business day‘s rates are normally used.
MSCI independently monitors the exchange rates on all its indices. MSCI may under exceptional
circumstances elect to use alternative sources of exchange rates if the WM/Reuters rates are not available,
or if MSCI determines that the WM/Reuters rates are not reflective of market circumstances for a given
currency on a particular day. In such circumstances, an announcement would be sent to clients with therelated information. If appropriate, MSCI may conduct a consultation with the investment community togather feedback on the most relevant exchange rate.
Forward Rates
MSCI uses the spot and 1-month premium/discount as provided by WM/Reuters to compute the 1month Forward exchange rates. These values are taken at 4PM London time

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Appendix IV: Singapore & Malaysia – A History of Inclusion in the Emerging andDeveloped Markets Indices
Stock Markets
Stock trading has a long history in Singapore dating back to the 1930‘s. In 1960 the Malayan Stock
Exchange started trading shares publicly. There were trading floors in both Singapore and Kuala Lumpur
linked as a single market. When Singapore split from Malaysia the stock exchange continued to operate as
one under the name Stock Exchange of Malaysia and Singapore (SEMS). In 1973 the accord that allowed
for the convertibility at par between the Singapore Dollar and Malaysian Ringgit was terminated. This led
to the separation of SEMS into the Kuala Lumpur Stock Exchange (KLSE) and the Stock Exchange ofSingapore (SES). Malaysian companies continued to trade heavily in Singapore.

MSCI Indices
On December 1st 1972, the MSCI Singapore/Malaysia Index was added to the World Index. The index
was developed in cooperation with the Overseas-Chinese Banking Corporation, which published the sameindex under the name O.C.B.C. Index. As is the case with other MSCI Indices the purpose was to track
those securities representative of Singapore. However as approximately half the market capitalization andliquidity of the SES was due to Malaysian shares the index was designed to incorporate both Singaporean
companies as well as those Malaysian shares that traded in Singapore. This aspect was different fromother MSCI Indices, as the norm is to only include domestically listed shares. In light of the longintegrated history of the Malay Peninsula and Singapore, and the continued dual listing of shares, it wasdeemed to be more representative to include these Malaysian companies as representative of theopportunity set of the SES.
MSCI launched its emerging market series on January 1, 1988. Among other country indices was an index
of Malaysia with 59 securities. As MSCI was now covering emerging markets the MSCI Mexico Index was
pulled out of MSCI World. The World Index was to be considered a developed market index.
In 1989 the Malaysian government announced that Malaysian companies would be asked to delist theirshares from the SES. Previously the government had prohibited newly listed shares of Malaysiancompanies from listing on the SES. In November 1989, reacting to the Malaysian government
announcement, MSCI initially announced its intention to remove Malaysian securities from the
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MSCI Index Calculation Methodologies
January 2011
Singapore/Malaysia index. The following month MSCI announced that the terms and timing of the
Malaysian delisting were too ambiguous. As a result MSCI would take a wait and see approach prior to
removing any Malaysian securities from the Singapore/Malaysia index. As a result the Malaysian shares in
the MSCI Singapore/Malaysia Index were effectively frozen or grandfathered. Over time, some of theseshares were no longer listed on Singapore but continued to be included in the index using the Ringgit priceat which they were traded in Kuala Lumpur.
In January 1992 MSCI announced a change. The Singapore/Malaysia index was now composed of arepresentative sampling of Singaporean companies coupled with grandfathered Malaysian securities thatused to trade in Singapore but were no longer trading there as a result of the delisting requirement.
Malaysia was clearly an emerging market, for example its GDP per capita was $2,340 considerably belowthat of Spain ($10,920), the lowest country that was currently in the MSCI World Index. Nonethelessmany developed market investors had historically purchased Malaysian companies as a result of some
Malaysian companies being included in the MSCI World and EAFE Indices. Deleting all Malaysiancompanies from the developed market indices could have been very disruptive to the markets. As a resultof this dilemma MSCI decided to add Malaysia as a country to the World and related developed market
indices while continuing to include Malaysia in the emerging market series. One could not have a credible
emerging market series without the continued inclusion of Malaysia in that series.
Thus Malaysia was to be represented in both the developed and emerging market series. At the time
MSCI acknowledged that the existence of Malaysia in both the developed and emerging market series wasless than ideal. As of April 30th 1993 Malaysia was fully added to the developed market series, resulting in
the addition of approximately 40 securities. This was because the MSCI Malaysia Index was designed torepresent the profile of the entire Malaysian market whereas the current Malaysian stocks in the World and
EAFE Indices were selected to reflect the composition of those Malaysian stocks trading in Singapore.
ACWI clients would not have to worry about double counting as Malaysia was represented at its
appropriate market cap weight. The index of Singapore represented the continuation of theSingapore/Malaysia index and therefore retains its base date of December 31, 1969. Developed andemerging market indices excluding Malaysia were calculated for those clients who preferred a different
classification.
The Asian Crisis
The ―Asian Crisis‖, starting in 1997 with the devaluation of the Thai Baht eventually spread to Malaysia.
On September 1st 1998 Malaysia imposed a series of restrictions on the convertibility of the Ringgit.
These controls effectively prohibited the repatriation of funds. On Sept 4th, 1998 MSCI announced thatMSCI Data Operations & Technology
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MSCI Index Calculation Methodologies
January 2011
effective Sept 30th Malaysia would be removed from the EAFE and World Indices and that its status in
EMF was under review. In the MSCI announcement of the change it was stated ―…the limitations inrepatriating investment proceeds would seriously challenge the objective and integrity of the MSCI
Developed Markets Indices, were the Malaysian securities to remain in these indices.‖ These restrictions
imposed by the government of Malaysia thus ended the legacy issue of Malaysian securities appearing inboth the developed and emerging market series.
On Sept 28th, 1998 MSCI announced that Malaysia would be removed from the MSCI EMF and ACWIFree series as of the close of November 30th, 1998. As part of the capital controls imposed, foreign
investors became obligated to hold Malaysian securities for a period of one-year commencing Sept 1st,
1998, before any possible capital repatriation. The authorities also imposed a fixed exchange rate of 3.8
Ringgit to the US dollar. The measures taken by the government along with the lack of transparency
meant that Malaysia‘s inclusion in the Free series of indices was no longer justified. A discount of 30%
was applied to the valuation of the MSCI Malaysia Index in US dollars, effective Sept 30th, 1998. The
discount was applied because market forces no longer determined the official exchange rate.
On February 5th, 1999 MSCI announced that effective February 26th, 1999 the discount would be
reduced to 15%. This followed the Malaysian Government announcement on the previous day that it wasalleviating the restrictions on the repatriation of investments.
As a result of the removal of the restrictions on the repatriation of capital, MSCI announced on August
12, 1999, the removal of the 15% discount effective August 30, 1999. On November 23, 1999, MSCI
announced that Malaysia would be re-included fully at 100% in the EMF and AC Free indices as of May
31, 2000.
MSCI Malaysia Indices will be removed from the MSCI Emerging Markets Free (EMF) series and the
MSCI All Country (AC) Free Indices effective as of the close of 30th November, 1998 Of course Malaysia
was not readmitted to the developed market series, as its inclusion there was a result of the previously
explained anomaly.
Quick Facts
Malaysia was part of the Developed Market indices: From December 1, 1972 to May 2, 1993, MSCI calculated a combined index, the Singapore/Malaysia
index - due to the history of Malaysian securities trading in Singapore.
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MSCI Index Calculation Methodologies
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From May 3, 1993 up to the close of Sep 30, 1998, Malaysia was part of DM as an individual country(separated from Singapore).

Malaysia has been part of the Emerging Market indices from 1987 to present:
 With a discount of 30% from Sep 30, 1998 to Feb 25, 1999
 With a discount of 15% from Feb 26, 1999 to Aug 29, 1999
 With no discount since Aug 30, 1999
Malaysia has been part of the EMF index:
 From 1987 to Nov 30, 1998
 And since June 1, 2000

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MSCI Index Calculation Methodologies
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Appendix V: Singapore and Singapore Free
What is the difference between the MSCI Singapore Index and the MSCI Singapore Free Index;
the MSCI EAFE Index and the MSCI EAFE Free Index; the MSCI World Index and the MSCIWorld Free Index?
In the 1990s, Singapore enacted a system to prevent companies in strategic industries (mainly banks,
airlines and the media) from being controlled by foreigners. Certain shares had limits on the percent that
could be purchased by foreigners. Once the limit was reached, these shares traded at a premium price. The
MSCI Singapore Free Index used the prices at which foreigners could trade.
MSCI also started calculating the regional indices, MSCI World Free Index, MSCI EAFE Free Index and
MSCI Pacific Free Index to include the MSCI Singapore Free Index as well as to reflect investment
restrictions in some of the Nordic countries and Switzerland. The MSCI Singapore Index (non-freeversion) reflected the investment opportunities applicable to domestic investors.
In May of 1999, the foreign ownership restrictions in Singapore were lifted and as of that date, the MSCISingapore Index and MSCI Singapore Free Index and the corresponding regional developed market Freeand non-Free indices have had the same constituent market caps and performance. Only the absoluteindex levels continue to differ. MSCI will continue both the Free and Non-Free versions of MSCISingapore Index, MSCI EAFE Index and MSCI World Index to reflect the differing history.

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Appendix VI: Withholding Tax Rates
Country Of Incorporation
Code
Name

Withholding Tax Rates (%)(1)
Foreign
Domestic

AE

United Arab Emirates

0AN

Netherlands Antilles

AR

Country Of Incorporation
Code
Name
KR

Korea

22

0

KW

Kuwait15

Argentina

0

KY

Cayman Islands

0AT

Austria25

KZ

Kazakhstan0AU

Australia (2)30

LB

Lebanon10

BA

Bosnia & Herzegovina

0LI

Liechtenstein

4

BD

Bangladesh

20

LK

Sri Lanka

10BE

Belgium

25

LR

Liberia15

BG

Bulgaria

5

LT

Lithuania

15

BH

Bahrain0

LU

Luxembourg

15

BM

Bermuda0

MA

Morocco100MHMarshall Islands

0

(3)

0

Withholding Tax Rates (%)(1)
Foreign
Domestic

0

BR

BrazilBS

Bahamas0

MK

Macedonia

10

BW

Botswana

15

MU

Mauritius

0

CA

Canada25

MX

Mexico0CH

Switzerland

35

MY

Malaysia

0

CL

Chile

21.69

NG

Nigeria

10

CN

China (4)0 or 10NL

Netherlands

15

CO

Colombia

0NO

Norway25

CY

Cyprus0

NZ

New Zealand

15

CZ

Czech Republic

15

OM

Oman

0

DE

Germany

26.375PA

Panama10

DK

Denmark

28

PE

Peru

4.1

EE

Estonia0PH

Philippines

30

EG

Egypt

0

PK

Pakistan

10

ES

Spain

19

PL

Poland19FI

Finland28

PR

Puerto Rico

10

FRFrance25

PT

Portugal

21.5

GB

United Kingdom

0

QA

Qatar

0

GG

Guernsey0

RO

Romania16

MSCI Data Operations & Technology
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10

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0

0

0

MSCI Index Calculation Methodologies
January 2011

Country Of Incorporation
Code
Name

Withholding Tax Rates (%)(1)
Foreign
Domestic

Country Of Incorporation
Code
Name

Withholding Tax Rates (%)(1)
Foreign
Domestic

GH

Ghana

8

RS

Serbia20

GI

Gibraltar

0

RU

Russia15

GR

Greece10

SA

Saudi Arabia

5

HK

Hong Kong

0SE

Sweden30

HR

Croatia

0

SG

Singapore (6)0HU

Hungary0

SI

Slovenia

20

ID

Indonesia

20

TH

Thailand10

IE

Ireland20

TN

Tunisia0IL

Israel20

TR

Turkey15

IMIsle Of Man

0

TT

Trinidad And Tobago

15

IN

India

0

TW

Taiwan

20

IT

Italy

(5)

27

UA

Ukraine15

JE

Jersey

0

US

USA

30

JM

Jamaica

33.333

VG

British Virgin Islands

0JO

Jordan0

VN

Vietnam

0

JP

Japan

7

ZA

South Africa

0

KE

Kenya

10

0

30

Note:
1.

Used in the calculation of the MSCI Net Daily Total Return (DTR) Indices. Withholding tax rates used are the maximum rates of thecompany’s country of incorporation applicable to institutional investors who do not benefit from double taxation treaties. Foreign rates
are used in the MSCI Net DTR International Indices and Domestic rates are used in the MSCI Net DTR Domestic Indices.

2.

For Australian dividends, franking percentage and conduit foreign income are taken into consideration on calculation of the MSCI NetDTR Indices. The actual withholding tax rate for an Australian dividend ranges from 0% to 30%. For details, please refer to the section
2.3.7.2.1.

3.

Interest on capital is subject to a 15% withholding tax.

4.

For the MSCI China Index, the withholding tax rates are exceptionally based on Chinese securities’ share types, regardless of thecompany’s country of incorporation. B-share and H-share are subject to a 10% withholding tax. P-Chip is subject to a 0% withholding
tax. Red Chip withholding tax rate is reviewed on a case-by-case basis and is generally subject to 0%, unless a specific withholding
tax rate of 10% is announced by the companies.

5.

Dividends on Saving shares are subject to a 12.5% withholding tax.

6.

Dividends on Real Estate Investment Trusts (REITS) are subject to a 10% withholding tax.

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Appendix VII: Closing Prices Policy
Prices used in MSCI End of Day Index Calculations, as of November 2010
Unless otherwise indicated, the prices used to calculate the MSCI Indices are the official exchange closing prices or those figures accepted as such.
Please note that MSCI reserves the right to use an alternative pricing source on any given day.
The sources listed below are the "standard" MSCI pricing sources.

Country

Exchange

Reuters
Code

Bloomberg
CodeMarketIdentifier
Code
(MIC)

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

.BA

AF

XBUE

Last traded price

Last round lot trade with a 72 hour settlement basis. Round lots in Argentina-Bolsa deComercio de Buenos Aires vary for each stock and are established on a daily basis.

5:00PM

see USA (NASDAQ Global Select Market)

see USA(NASDAQ
GlobalSelectMarket)see USA (NYSE)

see USA(NYSE)

Argentina

Bolsa de Comercio de
Buenos Aires

Argentina(US listed
Depository
Receipts)

NASDAQ Global SelectMarket

.OQ

UW

XNGS

see USA (NASDAQ
Global Select Market)

Argentina(US listed
Depository
Receipts)

NYSE

.N

UN

XNYS

see USA (NYSE)

Australia

Australian Stock
Exchange (ASX)

.AX

AU

XASX

Auction close

Austria

Vienna Stock Exchange

.VI

AV

WBAH

Auction close

Bahrain

Bahrain Stock Exchange

.BH

BI

XBAH

Last traded price

Bangladesh

Dhaka Stock Exchange

.DH

BD

XDHA

Official close

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55

The closing price is determined in a single price auction which takes place at the end of
normal trading.
The chosen price is the price for which the highest number of orders can be executed.
The auction begins at 5:30PM.
Last traded price
The closing price for a security shall be determined as per the weighted average price of
all the trades in the last 30 (thirty) minutes of trading. If there is no trade during the above
specified time, the weighted average price of maximum 20 (twenty) number of trades
preceding the above 30 (thirty) minutes shall be taken for determination of closing price. If
there has been no trade in the security during the continuous trading session, the opening
price of the security shall be treated as the closing price.

4:12PM
5:35PM
12:30PM

3:30PM

MSCI Index Calculation Methodologies
January 2011
Reuters
Code

Bloomberg
CodeMarketIdentifier
Code
(MIC)

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

Brussels Stock Exchange

.BR

BB

XBRU

Auction close

The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
possible to trade at the auction price between 5:30PM and 5:40PM.

5:35PM

Bosnia andHerzegovina

Sarajevo Stock Exchange

.SJ

BT

XSSE

Last traded price

Last traded price

1:30PM

Botswana

Botswana Stock
Exchange

.BT

BG

XBOT

Last traded price

Last traded price

3:00PM

BrazilBovespa (Sao Paulo SE)

.SA

BS

XBSP

Auction close

For all listed companies on the electronic trading system, there is a „closing call‟ between
5.55PM and 6.00PM (4:55PM and 5:00PM*).

6:00PM(5:00PM*)

Bulgaria

Bulgarian Stock Exchange(Sofia)

.BB

BU

XBUL

Last Traded Price

Last Traded Price

2:00PM

CanadaToronto Stock Exchange

.TO

CT

XTSE

Market on Close /Last traded price

4:10PM /4:00PM

Chile

Bolsa de Comercio deSantiago

.SN

CC

XSGO

VWAP

Market on Close (MOC) auction for MOC eligible stocks. Last traded price for stocks not
eligible for the MOC auction.
The Official Close is calculated using a volume weighted average price of the trades in
the last ten minutes of the trading day. For a trade that occurs within the last ten minutesof trading to be included in the VWAP calculation, the volume of each trade must meet a
set volume determined by the exchange at the open of each month

China

Hong Kong Stock
Exchange

.HK

HK

XHKG

See Hong Kong

China

Shanghai Stock Exchange

.SS

CG

XSHG

VWAP

China

Shenzhen Stock
Exchange

.SZ

CS

XSHE

VWAP

China

NYSE

.N

UN

XNYS

See USA (NYSE)

See USA (NYSE)

Colombia

Bolsa de Valores deColombia

.CN

CX

XBOG

Last traded price

The closing price is the price of the last transaction which meets a number of shares
threshold between 9:30AM and 12:00PM (11:30AM at the end of the month). The
exchange defines the threshold based on price ranges.

Colombia(US listed
Depository
Receipts)

NYSE

.N

UN

XNYS

see USA (NYSE)

see USA (NYSE)Country

Exchange

Belgium

MSCI Data Operations & Technology
January 2011
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See Hong Kong
Volume Weighted Average Price of all trades conducted in the last minute of trading prior
to the close (including the last trade). If there is no concluded transaction on that day, theprevious closing price is used as the day‟s closing price.
Volume Weighted Average Price of all trades conducted in the last minute of trading prior
to the close (including the last trade). If there is no concluded transaction on that day, theprevious closing price is used as the day‟s closing price.

5:30PM(4:30PM*)See Hong
Kong
3:05PM

3:05PM
See USA(NYSE)
1:00PM(12:00PM*)/ 12:30AM(11.30PM*)
see USA(NYSE)MSCI Index Calculation Methodologies
January 2011
Reuters
Code

Bloomberg
CodeMarketIdentifier
Code
(MIC)

Zagreb Stock Exchange

.ZA

ZA

XZAG

VWAP

Croatia

Zagreb – Vrazdin
Segment

.ZA

VA

XZAG

VWAP

Czech
Republic

Prague Stock Exchange(SPAD)

.PR

CD

XPRA

Official Close

The official closing price is taken from the closing auction in the continuous trading
market, which runs from 16:00 – 16:07PM local time. If no price is set during the closing
auction, the official closing price will be the last price on the SPAD regime consistent with
the Prague Stock Exchange official closing price rules.

6:10PM

Denmark

Copenhagen Stock
Exchange

Auction close

The closing call auction will begin when the trading session ends at 4:50PM. It will run
until 5:00PM. The closing price will be generated in the closing call auction. If no trades
are executed during the closing call auction, the closing price will correspond to the lasttransaction.

5:00PM

The closing price of a security traded on CASE (Cairo Stock Exchange) is the Volume
Weighted Average Price which is equal to the total value traded of the security divided by
the total volume traded of the same security, provided that the security trades at least 100
shares in the daily trading session. In case the security trades less than 100 shares, theprevious day‟s closing price is considered to be the official closing price.

2:30PM

Country

Exchange

Croatia

.CO

DC

XCSE

Price used

Egypt

Cairo Stock Exchange

.CA

EC

XCAI

VWAP

Estonia

Tallinn Stock Exchange

.TL

ET

XTAL

Auction Close

FinlandHelsinki Stock Exchange

.HE

FH

XHEL

Auction close

FranceParis Stock Exchange

.PA

FP

XPAR

Auction close

Germany(XETRA)Ghana

XETRA Exchange

.DE

GY

XETR

Auction close

Ghana Stock Exchange

.GH

GN

XGHA

Last traded price

GreeceAthens Stock Exchange

.AT

GA

XATH

Auction close

MSCI Data Operations & Technology
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57

Description (For more detailed information, please contact the relevant exchange)
The official closing price is the Volume Weighted Average Price of trades throughout theentire trading day.
The official closing price is the Volume Weighted Average Price of trades throughout theentire trading day.

In the course of the closing auction, transaction orders are matched in the order bookaccording to the equilibrium price. The equilibrium price is achieved only if the prices ofbuy and sell orders entered in the order book are crossing or equal. An auction is not held
unless there are transaction orders with crossing prices.
As of Sep 27 2004, the official closing price is the result of the closing call which occurs
during the last 10 minutes of trading. If no trades are matched in the closing call then thelast trade prior to the auction will be defined as the closing price.
The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
possible to trade at the auction price between 5:30PM and 5:40PM.
The Auction price is defined during the auction that closes the trading session. The
chosen price is the price for which the highest number of orders can be executed.
Last traded price
The closing price is determined through a call auction at the conclusion of the continuous
trading session, whereby the price at which the greatest trading volume is attained is theauction close price.

Closing
Pricesavailability(local time)
4:00PM
4:00PM

2:00PM

6:30PM
5:35PM
5:35PM
17:30PM
5:20PM

MSCI Index Calculation Methodologies
January 2011

Country

Exchange

Reuters
Code

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

4:15PM

Hong Kong

Hong Kong Stock
Exchange

.HK

HK

XHKG

Auction Close /Median Price

If there is closing auction session for the security, final Indicative Equilibrium Price (IEP)
would be taken as auction close price. Otherwise, median price would be applied. The
median price is determined by taking the median of five nominal prices in the last minuteof the trading hours to avoid the closing price being biased by one single trade. HKSE
takes up to 5 snapshots of the nominal prices at interval of every 15 seconds startingfrom 3:59PM, local time.

Hungary

Budapest Stock Exchange

.BU

HB

XBUD

Last traded price

Last traded price

5:10PMWAP

The Weighted Average Price is defined as the volume weighted average of all orders
executed within the last 15 minutes of the continuous trading session. If there are no
trades during the last 15 minutes, then the last traded price in continuous trading is taken
as the official close. Bombay Stock Exchange prices are only used for securities nottraded on the NSE.

3:30PM

4:00PM

India

The Bombay Stock
Exchange

India

National Stock Exchange
of India

.NS

IS

XNSE

VWAP

The closing price of a security is the volume weighted average price of the last half hour
(3:00PM-3:30PM). If there are no trades during the last 30 minutes, then the last tradedprice is taken as the official close. However, in cases where such prices are not available
due to the delisting from the National Stock Exchange (NSE), official closing prices fromthe Bombay Stock Exchange will be used.

Indonesia

Jakarta Stock Exchange

.JK

IJ

XIDX

Last traded price

Last traded price

4:00PM

Auction close

The session ends with a 2 minute auction (between 4:28PM and 4:30PM). If a security is
traded during the closing auction, the auction price will be the official closing price. If there
are trades during the opening auction or during the continuous trading period, but notrades during the closing auction, the last traded price will be the official closing price. If
there are no trades on a particular day, the previous day‟s official closing price will be theofficial closing price.

5.05PM

Auction Close

The closing price will be the one set during the closing call alone, where the volume of theshare at the closing call auction will be at least: NIS 400,000 in the TA-25 NIS 200,000 in
the TA-75 NIS 100,000 in the “Mid Cap” index If the closing volume is less thanmentioned above, the price will be set at the weighted average of the latest transaction
prices, including those executed in the closing call.

4:30PM

IrelandIsraelIrish Stock Exchange

Tel Aviv Stock Exchange

.BO

.I

.TA

MSCI Data Operations & Technology
January 2011
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IB

XBOM

ID

XDUB

IT

XTAE

58

MSCI Index Calculation Methodologies
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Country

Exchange

Reuters
Code

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

The closing auction, including a pre-auction phase that can end at any time within the lastminutes of that actual pre-auction phase. Closing auction, comprising the closing phases
and validation, will end at 5.40PM local time. Where no auction price is available, thereference price, defined by the exchange as the Volume Weighted average of the last
10% of the day‟s trading volume, will be used.

5:40PM

Italy

Italian Stock Exchange

.MI

IM

MTAA

Auction close

Jamaica

Jamaica Stock Exchange

.JM

JA

XJAM

Average priceJapan

Nagoya Stock Exchange

.NG

JN

XNGO

Auction close

Japan

Osaka Securitites
Exchange

.OS

JO

XOSE

Auction close

Japan

Tokyo Stock Exchange.T

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

JT

XTKS

59

Auction close

The Average Price calculation is the volumes of a stock purchased at different prices,
divided by the cumulative volumes of the stock unit that traded throughout the day.
The closing price is determined during a price auction which takes place at the end of thenormal trading day. During this auction, all orders entered in the individual order book areaggregated before the execution, and treated as simultaneous orders. In accordance withthe principle of price priority, each buy order is compared with sell orders until its volume
and price are matched. By this method, a single price is determined and this price makes
up the closing price. In the event of a closing auction not happening for a particular day,the last price (Itayose or special quote method) will be used instead.
The closing price is determined during a price auction which takes place at the end of thenormal trading day. During this auction, all orders entered in the individual order book areaggregated before the execution, and treated as simultaneous orders. In accordance withthe principle of price priority, each buy order is compared with sell orders until its volume
and price are matched. By this method, a single price is determined and this price makes
up the closing price. In the event of a closing auction not happening for a particular day,the last price (Itayose or special quote method) will be used instead.
The closing price is determined during a price auction which takes place at the end of thenormal trading day. During this auction, all orders entered in the individual order book areaggregated before the execution, and treated as simultaneous orders. In accordance withthe principle of price priority, each buy order is compared with sell orders until its volume
and price are matched. By this method, a single price is determined and this price makes
up the closing price. In the event of a closing auction not happening for a particular day,the last price (Itayose or special quote method) will be used instead.

1:30PM

3:30PM

3:10PM

3:00PM

MSCI Index Calculation Methodologies
January 2011

Country

Reuters
Code

Exchange

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

3:00PM

Japan

JASDAQ

.Q

JQ

XJAS

Auction close

The closing price is determined during a price auction which takes place at the end of thenormal trading day. During this auction, all orders entered in the individual order book areaggregated before the execution, and treated as simultaneous orders. In accordance withthe principle of price priority, each buy order is compared with sell orders until its volume
and price are matched. By this method, a single price is determined and this price makes
up the closing price. In the event of a closing auction not happening for a particular day,the last price (Itayose or special quote method) will be used instead.

JordanAmman Stock Exchange

.AM

JR

XAMM

Last traded price

Last traded price

12:00PM

Kazakhstan

Kazakhstan Stock
Exchange

.KZ

KZ

XKAZ

Last traded price

Last traded price

6:00PM

Kazakhstan(UK listed
Depository
Receipts)

London Stock Exchange

.L

LI

XLON

see UK (SETS)

see UK (SETS)

see UK(SETS)

Kenya

Nairobi Stock Exchange

.NR

KN

XNAI

VWAP

The closing price of a security shall be the Volume Weighted Average Price (VWAP) or
transactions executed during the last hour of trading of the specific security. If the
security does not trade within the last hour the closing price will be the average pricecalculated for the session.

3:00PM

Korea

KSE

.KS

KP

XKRX

Auction close

The closing price is the price for which the highest number of orders can be executedduring the auction. The auction starts 10 minutes before the official close at 3:00PM.

3:00PM

Korea

KOSDAQ

.KQ

KQ

XKOS

Auction close

The closing price is the price for which the highest number of orders can be executedduring the auction. The auction starts 10 minutes before the official close at 3:00PM.

3:00PM

KuwaitKuwait Stock Exchange

.KW

KK

XKUW

Last traded price

Last traded price

12:30PM

LebanonBeirut Stock Exchange

.BY

LB

XBEY

Last traded price

12:30PM

Lithuania

Vilnius Stock Exchange

.VL

LH

XLIT

Closing Call Auction

Last traded priceIn the course of the closing auction, transaction orders are matched in the order bookaccording to the equilibrium price. The equilibrium price is calculated to be the pricewhere in a particular Order Book the highest buy price is higher than or equal to thelowest sell price.

Malaysia

The Bursa Malaysia
Berhad

.KL

MK

XKLS

Last traded price

Last traded price

5:00PMMSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document60

2:30PM

MSCI Index Calculation Methodologies
January 2011

Country

Exchange

Reuters
Code

Bloomberg
CodeMarketIdentifier
Code
(MIC)

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

.MZ

MP

XMAU

Last traded price

Last traded price

12:30PM

Weighted Average Price of the last 20 minutes of trading

3:00PM

Last traded price
The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
possible to trade at the auction price between 5:30PM and 5:40PM.

3:30PM

Last traded price

5:00PM

MoroccoThe Stock Exchange ofMauritius
Bolsa Mexicana deValores
Bourse De Casablanca

Netherlands

EuroNext Amsterdam

.AS

NA

XAMS

Auction priceNew
Zealand

New Zealand Exchange
Limited

.NZ

NZ

XNZE

Last traded priceNigeria

Nigeria Stock Exchange

.LG

NL

XNSA

Official Close

NorwayOslo Stock Exchange

.OL

NO

XOSL

Auction close

Oman

Oman Muscat Exchange

.OM

OM

XMUS

VWAP

Mauritius
Mexico

.MX

MM

XMEX

.CS

MC

XCAS

Weighted average
price
Last traded price

The official closing price is defined as the last trade with volume greater than 50,000
shares. If there are no trades over 50,000 shares during the current trading day, theprevious close is carried over
The official closing prices is determined during a closing auction which takes place at theend of the continuous trading between 16:20 and 16:30. When the closing auction for aparticular security cannot be completed, the last traded price before the start of theauction will be used.
The closing price is considered to be the volume weighted average price. The closing
price will not change unless a minimum number of securities are traded. This minimum is
500 Shares for securities listed in the Regular & Parallel markets and 2000 for securities
listed in the Third market. In case traded securities do not exceed the specified thresholdfor their market, the closing price will equal the previous close.

Pakistan

Karachi Stock Exchange

.KA

PK

XKAR

Official Close

The closing price is determined by the volume weighted average price of the last 30
minutes trades of that security for the day. In case of no trading in a particular security
during the last 30 minutes of the day, the closing price is the volume weighted average
price for the last traded 30 minutes of that security.

Peru

5:35PM

1:30PM

5:30PM

1:00PM

2:15PM(Mon-Thu),
4:00PM
(Fri)

Bolsa De Valores de Lima

.LM

PE

XLIM

Last traded price

Last round lot regular trade

4:00PM

Peru (USlistedDepository
Receipts)

NYSE

.N

UN

XNYS

see USA (NYSE)

see USA (NYSE)

see USA(NYSE)

Philippines

Philippine Stock Exchange

.PS

PM

XPHS

Last traded price

Last traded price

12:10PM

Auction Close

The closing price is determined in an auction procedure in which the closing price will bebased on orders submitted during the closing phase. If no orders are placed during the

5:15PM

PolandWarsaw Stock Exchange.WA

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

PW

XWAR

61

MSCI Index Calculation Methodologies
January 2011

Country

Exchange

Reuters
Code

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

closing phase then the closing price will be that of the last transaction.
Portugal

EuroNext Lisbon

.LS

PL

XLIS

Auction close

The closing price is an auction price calculated between 4:30PM and 4:35PM. It is still
possible to trade at the auction price between 4:30PM and 4:40PM.

4:35PM

Qatar

Doha Securities Market
Bucharest Stock
Exchange
Moscow Interbank
Currency Exchange(MICEX)

.QA

QD

DSMD

Last traded price

Last traded price

12:30PM

.BX

RO

XBSE

Last traded price

Last Traded Price

4:30PM

.MM

RX

XMIC

Last traded price

Last traded price

6:45PM

New York Stock Exchange

.N

UN

XNYS

see USA (NYSE)

see USA (NYSE)

see USA(NYSE)

London Stock Exchange

.L

LI

XLON

see UK (SETS)

see UK (SETS)

see UK(SETS)

Belgrade SE

.BEL

SG

XBEL

VWAP

The closing price is considered to be the volume weighted average price.

2:00PM

Romania
RussiaRussia (USlistedDepository
Receipts)
Russia (UKlistedDepository
Receipts)
SerbiaSingapore

Singapore Exchange
Securities Trading

.SI

SP

XSES

Auction close

Slovenia

Ljubljana Stock Exchange

.LJ

SV

XLJU

Official Close

Johannesburg Stock
Exchange

.J

SJ

XJSE

Last traded price /VWAP

South Africa

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document62

At 5:00PM, all unmatched orders are carried forward to Pre-Close Routine, which runs for
6 minutes and consists of a Pre-Close Period and a Non-Cancel Period. Similarly, orders
can be entered, amended or cancelled during the Pre-Close Period (5:00PM - 5:05PM).
During the Non-Cancel Period (5:05PM - 5:06PM), orders are matched and executed at a
Closing price computed for the day, while unmatched orders will become void.
The Official Closing Price is defined as the Auction Price formed during the Closing
Auction. If there are no trades executed for a given security during the Closing Auction,
the Closing Price will be the last trade of the day. If there are no trades executed in agiven security on a given day, the closing price for the day will be the closing price of theprevious trading day.
The closing prices on securities traded on the South Africa Exchange will be calculated
based on the price at which trades occurred in a closing execution. In this closing
execution, the last traded price will be the official closing price, unless there is a higher
bid price or a lower ask offer, which will then be used as the closing price. In the eventthat there is no closing execution, then a Volume Weighted Average Price (VWAP) taken

5:06PM

1:00PM

5:05PM

MSCI Index Calculation Methodologies
January 2011

Country

Exchange

Reuters
Code

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)over the last 10 minutes of trading leading up to the "closing auction" is used.

Spain

Mercado Continuo CATS

.MC

SQ

XMCE

Auction price

The session ends with a 5 minute auction (between 5:30PM and 5:35PM) and a random
closing of 30 seconds. The resulting auction price will be the session's Closing price. Incase an Auction price does not exist, the closing price will be the price of the last 500
traded units closest to their weighted average. If two prices have the same difference withrespect to this weighted price, the price will be the last one executed. If 500 units havenot been traded, the closing price will be the price of the previous session.

Sri Lanka

Colombo Stock Exchange

.CM

SL

XCOL

VWAP

Closing price is defined as the Volume Weighted Average Price (VWAP) of trades
executed during the last one hour of trading of the specific security. If the security does
not trade during such one hour the closing price will be the VWAP calculated for theperiod of time it has traded.

SwedenStockholm Stock
Exchange

.ST

SS

XSTO

Auction priceThe Swiss Exchange
(SWX)

.S

SE

XSWX

Virt-X

.VX

VX

XVTX

TaiwanTaiwan Stock Exchange

.TW

TT

XTAI

Auction priceThailandThe Stock Exchange Of
Thailand

.BK

TB

XBKK

Auction priceTrinidad andTobagoTrinidad and Tobago
Stock Exchange

.JM

TP

XTRN

Official Close

Tunisia

Tunis Stock Exchange

.TN

TU

XTUN

Last Trade

Switzerland

Auction price

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

63

The official closing price is the result of the closing call which occurs during the last 10
minutes of trading. If no trades are matched in the closing call then the last trade prior to
the auction will be defined as the closing price.
Closing price is the result of the closing auction (the auction pre-opening starting at
5:20PM, and the auction being run at 5:30PM). If no price update occurs during that
auction, the last paid price on the exchange will represent the reference price. If there isno paid price for the given security that day, the reference price will be calculated byeither taking the bid-price, if the bid is higher than the reference price, or it will take theask-price if the ask is lower than the reference price.
The closing price is determined by a closing call auction. The Exchange will accumulateorders for 5 minutes (from 1:25 p.m. to 1:30 p.m.) before the closing call auction. If there
is no closing auction for a security, the last traded price will be used.
The closing price is defined by using the random call auction method. The closing auction
can take place anytime between 4:35PM and 4:40PM local time. This method apply tosecurities trade on both main board and foreign board of stock exchange of Thailand.
The closing price of a security listed on the Exchange is determined by using the price ofthe last transaction executed in the primary market for the security, subject to the Board
Lot structure below. By way of example, for a share priced between $0 - $4.00, the lasttransaction executed with a volume of 5,000 shares or more, would be the closing priceused. If a security does not trade in any designated trading session, the closing price ofthat security will be the same as the closing price of the previous day.
Last traded price

5:35PM

2:30PM

5:30PM

5:30PM

1:30PM

4:40PM

12:00PM

11:30AMMSCI Index Calculation Methodologies
January 2011
Reuters
Code

Bloomberg
CodeMarketIdentifier
Code
(MIC)

Istanbul Stock Exchange
PFTS
Abu Dhabi Securities
Market

.IS
.PFT

TI
UZ

.AD

Dubai Stock Exchange
Dubai International
Financial ExchangeCountry

Exchange

TurkeyUkraineUnited ArabEmirates
United ArabEmirates
United ArabEmirates

Closing
Pricesavailability(local time)

Price used

Description (For more detailed information, please contact the relevant exchange)

XIST
PFTS

Last traded price
Last traded price

5:30PM
5:00PM

DH

XADS

VWAP

Last traded price
Last traded price
The closing price is the value weighted average of the stock price for the day. There iscurrently no minimum volume restriction.

.DU

DB

XDFM

Last traded price

Last traded price

2:00PM

.DI

DU

DIFX

Last traded price

Last traded price

5:00PM

4:35PM

4:35PM

UnitedKingdomLondon Stock Exchange

.L

LN

XLON

Auction priceFor SETS, the closing trade price is the uncrossing trade price at which orders execute
during an auction, or a Volume Weighted Average Price (VWAP), or the last automatic
trade price. If a closing auction fails to take place, then the VWAP of the last 10 minutesof trading will be used to set the closing price. If however, no trading has occurred during
the VWAP period, then the last automatic trade price will be used as the official closing
price.

UnitedKingdomLondon Stock Exchange

.L

LN

XLON

Mid price

For SEAQ, SEATS and AIM securities the closing price is the mid price of the best bid
and best offer calculated from market maker quotes at the end of the mandatory quoteperiod.

USA

NASDAQ Capital Market

.OQ

UR

XNCM

NOCP

USA

NASDAQ Global Market

.OQ

UQ

XNAS

NOCP

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

64

The NOCP is either determined using the normalized price of the last trade reported to
NASDAQ's proprietary trade reporting system or, for selected securities, using the newly
introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing Price(NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving up" tothe bid whenever the last sale is below the bid or "moving down" to the ask whenever thelast sale is above the ask.
The NOCP is either determined using the normalized price of the last trade reported to
NASDAQ's proprietary trade reporting system or, for selected securities, using the newly
introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing Price(NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving up" tothe bid whenever the last sale is below the bid or "moving down" to the ask whenever thelast sale is above the ask.

2:00PM

4:02PM

4:02PM

MSCI Index Calculation Methodologies
January 2011

Country

Exchange

Reuters
Code

MarketIdentifier
Code
(MIC)

Bloomberg
Code

Price used

Description (For more detailed information, please contact the relevant exchange)

Closing
Pricesavailability(local time)

4:02PM

NASDAQ Global SelectMarket

.OQ

UW

XNGS

NOCP

The NOCP is either determined using the normalized price of the last trade reported to
NASDAQ's proprietary trade reporting system or, for selected securities, using the newly
introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing Price(NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving up" tothe bid whenever the last sale is below the bid or "moving down" to the ask whenever thelast sale is above the ask.

USA

NYSE

.N

UN

XNYS

Last traded price

Last traded price

4:00PMUSA

AMEX
Ho Chi Minh Securities
Trading Center
Hanoi Securities Trading
Center

.A

UA

XASE

Last traded price

Last traded price

4:00PM

.HN

VM

XSTC

Last traded price

Last traded price

11:00AM

.HM

VH

HSTC

Last traded price

Last traded price

11:00AM

USA

VietnamVietnam* Refers to price availability times during DST period in the US.
Prices availability shown in this table refers to the time prices are normally available. It considers changes due to DST periods but no other factors such as
Ramadan period, changes in opening hours on a day prior a holiday, etc.
Special note for countries open on Saturday and/or Sunday:
In the event that a security does not trade on a Monday but was traded on the previous Saturday and/or Sunday, the latest price available during the weekend
will be used for the Monday index calculation.
In addition, a security that does not trade on Monday but traded ex corporate event during the previous weekend will have the event reflected in the Monday
index calculation.

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

65

MSCI Index Calculation Methodologies
January 2011

903200

ARGENTINA

-

-

-

-

-

-

1-Jan-1988

1-Jan-1988

to 29-May-

to 29-May-

to 29-May-

2009

2009

2009

136614133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

1-Jan-1988

FM (FRONTIER MARKETS)

INDEX NAMEARABIAN MARKETS ex SA

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)

Appendix VIII: Country Composition of MSCI Selected Regional Indices--

1-Jun-2009

903600

AUSTRALIA

1-Jan-1988-

1-Jan-1970

1-Jan-1970

-

-

-

1-Jan-1988

-

-

-

-

904000

AUSTRIA

1-Jan-1988-

1-Jan-1970

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

133712

BAHRAIN

-

-

-

-

-

-

-

-

1-Jun-

1-Jun-2005

3-Jun-2002-

2005
700396BANGLADESH

905600BELGIUM

700589BOSNIA AND--

1-Jan-1988

-

-

-

1-Jan-1988

-

-

-

-

-

-

-

-

-

27-May-2010

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

1-Jan-1988

-

-

-

-

-

-

1-Jan-1988

-

-

-

1-Jan-1970

HERZEGOVINA
700074

BOTSWANA

907600BRAZILMSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document66

FM (FRONTIER MARKETS)

136614

ARABIAN MARKETS ex SA

133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

CODE

INDEX NAME

106576BRAZIL FORMER

-

-

-

-

-

-

-

-

-

-

-

-

136634BULGARIA

-

-

-

-

-

-

-

-

-

-

-

1-Jun-2005

912400CANADA (3)1-Jan-1988

-

-

-

-

-

-

1-Jan-1988

-

-

-

915200CHILE

1-Jan-1988

1-Jan-1988

-

-

-

-

-

-

1-Jan-1988

-

-

-

302400CHINA

3-Sep-1996

3-Sep-1996

-

-

-

-

-

3-Sep-1996

-

-

-

-

917000COLOMBIA

2-Feb-1994

2-Feb-1994

-

-

-

-

-

-

2-Feb-1994

-

-

-

136635

CROATIA

-

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

920000CZECH REPUBLIC

3-Sep-1996

3-Sep-1996

-

-

-

-

3-Sep-1996

-

-

-

-

-

920800

DENMARK

1-Jan-1988-

1-Jan-1970

1-Jan-1970-

1-Jan-1988

-

-

-

-

-

105766

EGYPT

1-Jun-2001

1-Jun-2001

-

-

-

-

-

-

-

-

1-Jun-2005-136636ESTONIA

-

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

924600FINLAND

18-Jan-1993-

1-Jan-1988

1-Jan-1988

1-Jan-1988

1-Jan-1988

-

-

-

-

-

824600FINLAND FREE

1-Jan-1988

-

-

-

-

-

-

-

-

-

-

1-Jan-1970

1-Jan-1970

1-Jan-1988-

to 17-Jan1993

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document67

928000

GERMANY

1-Jan-1988-

1-Jan-1970

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

700073

GHANA

-

-

-

-

-

-

-

-

-

-

-

930000GREECE

1-Jan-1988

1-Jan-1988

1-Jun-2001

1-Jan-1988

-

-

-

-

-

1-Jun-2001

1-Jun-2001

9905001-Jun-

to 31-May-136614-133708
-

2001

2001
934400HONG KONG

1-Jan-1988-

1-Dec-1972

1-Dec-1972

-

-

-

1-Jan-1988

-

-

-

-

934800HUNGARY

3-Sep-1996

3-Sep-1996

-

-

-

-

3-Sep-1996

-

-

-

-

-

935600INDIA

2-Feb-1994

2-Feb-1994

-

-

-

-

-

2-Feb-1994

-

-

-

-

936000INDONESIA FORMER

1-Sep-1989

1-Sep-1989

-

-

-

-

-

1-Sep-1989

-

-

-

-

to 1-Jun-

to 1-Jun-

to 1-Jun-

1997

1997

1997

105767INDONESIA

2-Jun-1997

2-Jun-1997--

937200IRELAND (2)1-Jan-1988-

3-May-1993

3-May-1993

3-May1993MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

68

-

-

2-Jun-1997

-

-

-

-

3-May-1993

1-Jan-1988

-

-

-

-

-

FM (FRONTIER MARKETS)

ARABIAN MARKETS ex SA

GCC COUNTRIES ex SA-

133710-AC AMERICAS-

899902302000AC ASIA PACIFIC

EAST

1-Jan-1988

3022001-Jan-1988

EMU

1-Jan-1970

1064001-Jan-1970

EUROPE

1-Jan-1970

EAFE

-

9903001-Jan-1988

INDEX (3)

FRANCETHE WORLD

925000990100INDEX NAME

MSCI

(former EMF)

891800 EM

CODE

892400 ACWI

(former ACWIF)AC EUROPE & MIDDLEMSCI Index Calculation Methodologies
January 2011

2-Feb-1994

27-May-2010

to 26-May-GCC COUNTRIES ex SA

AC AMERICAS--

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

-

-

-

-

-

-

-

-

-

1-Jan-1970

-

-

-

1-Jan-1988

-

-

-

-

-

-

-

1-Jan-1988 to

-

-

-

1-Jun-2005

26-Nov-2008

136614-133708-133710899902

AC ASIA PACIFIC-

EMU

2-Mar-1995

106400302200EUROPE-

27-May-990500-EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

2-Mar-1995

FM (FRONTIER MARKETS)

ISRAEL

ARABIAN MARKETS ex SA

300400302000INDEX NAME

EAST

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

2010

2010
938000ITALY

1-Jan-1988-

1-Jan-1970

700071JAMAICA--

939200JAPAN

1-Jan-1988-

940000JORDAN

1-Jan-1988

1-Jan-1988

to 25-Nov-

to 25-Nov-

2008

2008

1-Jan-1970-

25-Nov-2008136637KAZAKHSTAN

-

-

-

-

-

-

-

-

-

-

-

1-Dec-2005136643

KENYA

-

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

941000KOREA

1-Sep-1998

1-Sep-1998

-

-

-

-

-

1-Sep-1998

-

-

-

-

841000KOREA (FORMER) (7)7-Jan-1992

7-Jan-1992

-

-

-

-

-

7-Jan-1992--

to 31-Aug-

to 31-Aug-

to 31-Aug-

1998

1998

1998

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document69

133713KUWAIT

-

-

-

-

-

-

-

-

1-Jun-

136614133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)-

FM (FRONTIER MARKETS)

INDEX NAMEARABIAN MARKETS ex SA

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

1-Jun-2005

3-Jun-2002

2005
136642LEBANON

-

-

-

-

-

-

-

-

-

-

2-Jun-2008

3-Jun-2002

136638LITHUANIA

-

-

-

-

-

-

-

-

-

-

-

26-Nov-2008

944200LUXEMBOURG (2)1-Jan-1988

-

-

-

-

-

1-Jan-1988 to

-

-

-

-

-

2-Jun-1997

-

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

to 30-Sep-

30-Sep-1996

1996
105768945800136644

MALAYSIA

MALAYSIA FORMER

MAURITIUS

2-Jun-1997

2-Jun-1997

to 30-Nov-

to 30-Nov-

to 30-Nov-

1998 & 1-

1998 & 1-

1998 & 1-

Jun-2000

Jun-2000

Jun-2000

1-Jan-1988

1-Jan-1988

3-May-1993 to

3-May-1993

to 1-Jun-

to 1-Jun-

30-Sep-98

to 30-Sep-

to 1-Jun-

1997

1997

98

1997

-

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

-

-

-

70

-

-

-

-

-

-

-

-

-

-

-

1-Jan-1988-

848400

MEXICO

948400MEXICO FORMER

136614133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

1-Jan-1988

1-Jan-1988

-

-

-

-

-

-

1-Jan-1988

-

-

-

-

-

5-Nov-1981 to

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

1-Jun-2005-

FM (FRONTIER MARKETS)

INDEX NAMEARABIAN MARKETS ex SA

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

31-Dec-1987
105765

MOROCCO

1-Jun-2001

1-Jun-2001-

952800NETHERLANDS

1-Jan-1988-

1-Jan-1970

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

955400NEW ZEALAND

1-Jan-1988-

1-Jan-1988

1-Jan-1988

-

-

-

1-Jan-1988

-

-

-

-

136645NIGERIA

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

957800NORWAY

1-Feb-1995-

1-Jan-1970

1-Jan-1970-

1-Jan-1988

-

-

-

-

-

857800NORWAY FREE (5)1-Jan-1988

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

1-Jun-

1-Jun-2005

3-Jun-2002-

1-Jun-2009

1-Jan-1970

to 31-Jan1995
133714

OMAN

-

2005
958600PAKISTAN

2-Feb-1994

2-Feb-1994

to 31-Dec-

to 31-Dec-

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

-

-

-

-

-

2-Feb-1994
to 31-Dec-

71

-

-

2008

2008

FM (FRONTIER MARKETS)

136614133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)INDEX NAMEARABIAN MARKETS ex SA

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 20112008

960400PERU

2-Feb-1994

2-Feb-1994

-

-

-

-

-

-

2-Feb-1994

-

-

-

860800PHILIPPINES

1-Jan-1988

1-Jan-1988

-

-

-

-

-

1-Jan-1988

-

-

-

-

960800PHILIPPINES FORMER

-

-

-

-

-

-

-

-

-

-

-

-

961600

POLAND

2-Mar-1995

2-Mar-1995

-

-

-

-

2-Mar-1995

-

-

-

-

-

962000PORTUGAL

1-Jan-1988

1-Jan-1988

01-Dec-1997

1-Jan-1988

-

-

-

-

-

-

-

-

1-Jun-

1-Jun-2005

3-Jun-2002

01-Dec-01-Dec-01-Dec-

1997

1997

1997

to 30-Nov1997
133715

QATAR

-

-

-

-

-

-

2005
136639ROMANIA

-

-

-

-

-

-

-

-

-

-

-

1-Dec-2005

105653

RUSSIA

01-Dec-01-Dec-

-

-

-

-

01-Dec-1997

-

-

-

-

-

1997

1997
-

-

-

-

-

-

-

-

-

26-Nov-2008

141415SERBIA-MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document-72

01-Dec-(SINGAPORE/MALAYSIA)
970200870200SINGAPORE (FORMER)SINGAPORE FREE (4) (6)136640SLOVENIA

9710009980001-Jan-1988

-

-

-

-

-

-

-

-

136614-133708-1972
1-Jan-1988

-

-

-

to 30-Apr-

to 30-Apr-

1993

1993

3-May-1993

-

-

-

-

-

-

3-May-1993

to 30-Nov-

to 30-Nov-

1999

1999

-

-

-

-

-

-

-

-

-

-

-

3-Jun-2002

SOUTH AFRICA

2-Mar-1995

2-Mar-1995

-

-

-

-

-

-

-

-

-

-

SOUTH AFRICAN GOLD

1-Jan-1988-

2-Dec-1974 to

-

-

-

-

-

-

-

-

-

MINES (1)to 1-Mar-

1-Jan-1970

1-Jan-1970

1-Jan-1988

1-Jan-1988

-

-

-

-

-

1-Mar-1995

1995
972400FM (FRONTIER MARKETS)

GCC COUNTRIES ex SA-

133710-AC AMERICAS-

302000-EAST-3022001-Dec-1999

EMU-

106400-EUROPE-

990500EAFE

990300INDEX (3)

THE WORLD

01-Dec-1972

ARABIAN MARKETS ex SA

SINGAPORE

899902998100AC ASIA PACIFICINDEX NAME

AC EUROPE & MIDDLE

CODE

990100-MSCI(former EMF)

891800 EM

1-Dec-1999

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

SPAIN

1-Jan-1988

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document-

1-Jan-1970

73

2001

2001

2001

875200

SWEDEN FREE

1-Jan-1988-

1-Jan-1970-

136614133708GCC COUNTRIES ex SA

133710AC AMERICAS

302000EAST302200

to 31-May-

-

-

EMU

106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

to 31-May-

18-Jan-1993--

to 31-May-

SWEDEN--

2-Feb-1994

975200-2-Feb-1994

2-Feb-1994

1-Dec-2003

1-Jan-1970

1-Jan-1970-

1-Jan-1988

-

-

-

-

-

-

-

-

-

-

-

-

-

-

1-Jan-1970

1-Jan-1970-

1-Jan-1988

-

-

-

-

-

to 17-Jan1993
1-Jan-1970

975600SWITZERLAND

16-Jul-1992-

875600SWITZERLAND FREE

1-Jan-1988

-

-

-

-

-

-

-

-

-

-

-

to 15-Jul1992
915800TAIWAN

3-Jun-2002

3-Jun-2002

-

-

-

-

-

3-Jun-2002

-

-

-

-

815800TAIWAN FORMER (8)3-Sep-1996

3-Sep-1996

-

-

-

-

-

3-Sep-1996

-

-

-

-

to 2-Jun-

to 2-Jun-

to 2-Jun-

2002

2002

2002

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

74

FM (FRONTIER MARKETS)

SRI LANKA

ARABIAN MARKETS ex SA

914400899902INDEX NAME

AC ASIA PACIFIC

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

-

-

-

-

GCC COUNTRIES ex SA

2-Jun-1997

-

-

-

-

to 1-Jun-

to 1-Jun-

to 1-Jun-

1997

1997

1997

2-Jun-1997

2-Jun-1997

-

-

-

-

-

136614-133708-133710-1-Jan-1988

AC AMERICAS-

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD(former EMF)

990100-1-Jan-1988

1-Jan-1988

FM (FRONTIER MARKETS)

THAILAND FORMER

ARABIAN MARKETS ex SA

976400899902INDEX NAME

AC ASIA PACIFIC

CODE

AC EUROPE & MIDDLE

MSCI

891800 EM

892400 ACWI

(former ACWIF)MSCI Index Calculation Methodologies
January 2011

105769THAILAND

700072

TRINIDAD AND TOBAGO

-

-

-

-

-

-

-

-

-

-

-

1-Jun-2009136646TUNISIA

-

-

-

-

-

-

-

-

-

-

2-Jun-2008

1-Jun-2004

979200

TURKEY

1-Sep-1989

1-Sep-1989

-

-

-

-

1-Oct-1996

-

-

-

-

-

136641UKRAINE

-

-

-

-

-

-

-

-

-

-

-

1-Jun-2006

133717

UNITED ARAB EMIRATES

-

-

-

-

-

-

-

-

-

1-Jun-

1-Jun-2005

3-Jun-2002

2005
982600

UNITED KINGDOM

1-Jan-1988-

1-Jan-1970

1-Jan-1970

1-Jan-1970-

1-Jan-1988

-

-

-

-

-

984000USA (3)

1-Jan-1988-

1-Jan-1970

-

-

-

-

-

1-Jan-1988

-

-

-

886200VENEZUELA

2-Feb-1994

2-Feb-1994

-

-

-

-

-

2-Feb-1994

-

-

-

to 31-May-

to 31-May-

to 31-May-

2006

2006

2006

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document-75

FM (FRONTIER MARKETS)

136614

ARABIAN MARKETS ex SA

133708GCC COUNTRIES ex SA

133710AC AMERICAS

899902

AC ASIA PACIFIC

302000EAST302200EMU106400EUROPE

990500EAFE

990300INDEX (3)

THE WORLD

990100(former EMF)

891800 EM

AC EUROPE & MIDDLE

MSCI(former ACWIF)

892400 ACWIMSCI Index Calculation Methodologies
January 2011

CODE

INDEX NAME

986200VENEZUELA (FORMER)

-

-

-

-

-

-

-

-

-

-

-

-

136647VIETNAM

-

-

-

-

-

-

-

-

-

-

-

1-Dec-2006

(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)

Excluded from all dividends reinvested indices.
Luxembourg has been excluded from dividend reinvested indices since 01-Jan-1993 and Ireland prior to 03-May-1993.
Until 29-Nov-1974, the World Index was a weighted arithmetic average of the MSCI EAFE, of the NYSE and the TSE indices.
Included in Far East Free, Pacific Free and Pacific Free ex Japan since 1-Jan-1988
Those indices were back-calculated until 1-Jan-1988 in 2003 when Singapore Free was launched
Restrictions appeared since 1-Dec-1989.
No more foreign quotation since 1-Dec-1999.
Prices taken from the foreign board between 4-May-1988 and 30-Nov-1999.
Korea was included in the free indices at 20% of its market cap between 7-Jan-92 and 2-Sep-96 and at 50% between 3-Sep-96 and 31-Aug-98.
Taiwan was included in the free indices at 50% of its market cap between 3-Sep-96 and 31-May-00, at 65% between 1-Jun-00 and 30-Nov-00 and at 80% between 1-Dec-00
and 2-Dec-01.

MSCI Data Operations & Technology
January 2011
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76

MSCI Index Calculation Methodologies
January 2011
Appendix IX: MSCI Real Time Indices
MSCI currently calculates price, net and gross variants for approximately 9,000 equity based indices in realtime as well as the FX Hedge, Currency, Short/Leveraged and Daily Hedged indices. All MSCI Real Time
Indices are calculated based on the corresponding end-of-day index calculation methodologies.
MSCI disseminates real time indices every 60 seconds or 15 seconds depending on the index type and its
use in the marketplace. On a daily basis for each real time index, MSCI will provide an Index Open value(IO) which will occur when the first security belonging to that index trades, an Index Update value (IU)
which will occur throughout the day after the Index Open has been sent and an Index Close value (IC)which will be sent out as the last real time level and indicate the real time closing value.1
Real Time Intraday Foreign Exchange Rates vs. Real Time Close Foreign Exchange Rates
MSCI Real Time Indices use the Reuters Multi Contributor FX Rates for all Index Open and Index
Updates and MSCI applies the WM 4PM London time Closing Mid Rates for the Index Close.
Mono-currency indices which are indices that have exposure to a single currency will have their Index
Close value sent shortly after the underlying stock exchange(s) close and do not require the WM 4PM
London closing rate to calculate the Index Close.
Multi-currency indices (which have exposure to multiple currencies) require the WM 4PM London closing
rate to calculate the Index Close. Multi-currency indices whose underlying stock exchanges close before
the WM 4PM London rates are received will have their last Index Update sent shortly after the lastunderlying stock exchange closes and then will have their Index Close sent when the WM 4PM London
Close is received. Multi-currency indices whose underlying stock exchanges close after the WM 4PM
London rates are received will continue to use the Reuters Multi Contributor FX rates for all Index
Updates until the last underlying stock exchange closes and the Index Close is sent using the WM 4PM
London Close.

Real Time Intraday Security Pricing vs. Real Time Close Security Pricing
1

The real time Index Close could be different from the index value for the same index delivered in MSCI’s end-of-day

product files due to manual data updates implemented during the end-of-day calculation process. The official closing levelof any MSCI index is the level distributed in MSCI’s end-of-day product files.
MSCI Barra Benchmark Research
January 2010
Please refer to the disclaimer at the end of this document

77

MSCI Index Calculation Methodologies
January 2011

Index Open and Index Update calculations use the last traded price available and the Index Close uses theofficial closing price or last trade as described in the MSCI Closing Prices Policy found in Appendix VII ofthis document.
Price filtering
MSCI has various price filters set in place to ensure that high quality prices are used in MSCI‘s Real Time
index calculations. MSCI‘s price market filters exclude trades such as block sales and odd lots among
others and MSCI‘s price threshold filters ensure that price fluctuations above or below a certain threshold
are checked prior to being included in the calculation of the MSCI Real Time Indices.
Real Time Cash Dividend Reinvestment
Consistent with the Daily Total Return (DTR) end-of-day index calculation methodology, MSCI‘s realtime DTR calculation will reinvest a dividend only if the security paying the dividend trades on the ex-date.
The dividend will be reflected in real time index calculations as soon as the security paying the dividend
trades in real time. All dividends for which the security does not trade on the ex-date will be postponed to
the next day. Late and correction dividends will be treated in real time calculations consistent with theend-of-day DTR index calculation methodology. For more details on MSCI‘s DTR methodology please
see the discussion beginning on page 21 of this document.
General Announcement Policy for Dividends
Upcoming dividends to be reinvested in the MSCI DTR Indices are announced prior to their reinvestmentin the MSCI Security Advanced Dividend File.
Late dividends and dividend corrections that are received after their ex-date are reinvested or corrected in
the MSCI DTR Indices on the next business day following the reception date from the data sources.
Therefore, there is at least one day‘s notice through the MSCI Security Advanced Dividend File prior totheir reinvestment and / or correction.
In exceptional cases, MSCI will announce the treatment of dividends that are not pre-announced in the
MSCI Security Advanced Dividend File and are received by MSCI during market hours on their ex-datethrough an intraday option email announcement.
MSCI Data Operations & Technology
January 2011
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78

MSCI Index Calculation Methodologies
January 2011

Intraday Price Adjustment Factor (PAF) Announcements
MSCI sends an Opening and Closing PAF announcement for all Real Time constituents that have a
corporate event effective involving the calculation of a theo-cum PAF such as a special cash dividend,
capital repayment or in general when a shareholder receives something other than the underlying asset.
The opening PAF announcement uses the opening price of the security and is used for Index Update
calculations throughout the day. The opening PAF value is sent shortly after the first trade of the security
having the corporate event and does not change throughout the day based on intraday market prices.
The closing PAF announcement uses the closing price of the security having the corporate event and isused in the Index Close calculation. The closing PAF value is sent shortly after the closing price of the
security having the corporate event is received. For more information on corporate events, please see the
MSCI Corporate Event Methodology document.

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

79

MSCI Index Calculation Methodologies
January 2011
Appendix X: Index Calculation Methodology Using Index Divisors
Introduction
An index level is typically calculated by multiplying the weighted average performance of the index
constituents by the previous index level. This section presents an alternative way of calculating an index
level (which is similar to the traditional way of valuing a portfolio), by simply multiplying asset constituent
quantities by current prices, and adding up the results. The index divisor concept, introduced below, iscentral to this alternative index calculation.
When calculating a security‘s performance on days with certain corporate events, a price adjustment factor(PAF) is needed to ensure historical price comparability. This factor often accounts for assets that
contribute to the index performance for a day, such as rights offerings, spun-off companies or cash. In thealternative index calculation methodology described herein, the PAF is replaced by the interim
constituents, which explicitly capture the impact of corporate events.

Definitions
Index Divisor (t)The index divisor for a day t is defined as the ratio of the initial market capitalization and the previous
index level.
IndexIniti alMarketCapt
IndexDivisort 
IndexLevelt 1
The index divisor does not change unless the index composition changes, e.g., in cases of corporate eventsand index additions / deletions where a change in index market capitalization is not due to performanceand does not correspond to a change in the index level.
The index divisor for day t is known after the close of day t-1 (the initial index market capitalization is
calculated using prices and exchange rates as of day t-1 but constituents as of t).
The index divisor can be calculated in any currency: both the index initial market capitalization and theprevious index level need to be expressed in that currency.
Index Unit
The index unit describes the set of index constituents and corresponding quantities of total value equal tothe index level. It can be derived by dividing the total index quantities by the index divisor.

MSCI Data Operations & Technology
January 2011
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80

MSCI Index Calculation Methodologies
January 2011
Intraday Index Number of Shares (t)The intraday index number of shares is the number of shares of a security taken into account for the index
calculation and valid both intraday and at the close of day t (before any changes due to corporate events orindex reviews). Note that it is adjusted by the various index inclusion factors, such as the Foreign
Inclusion Factor (FIF)1, for day t. Also, note that it can be different from the number of shares used forthe index calculation described in Section 1.1 (which is an end of day number of shares) in cases ofcorporate events.
Intraday Index Unit Number of Shares (t)The intraday index unit number of shares is the intraday index number of shares expressed for one index
unit. It is defined as the ratio of the intraday index number of shares and the index divisor.
IntradayIndexUnitNum berOfShares t 

IntradayIndexNumberOfShares t
IndexDivisort

End of Day Index Number of Shares (t)The end of day index number of shares is the number of shares of a security taken into account for theindex calculation for the next day (t+1) but expressed on a pre t+1 events basis (for example, if a company
has a stock split on t+1, the end of day index number of shares for day t will be on a pre-split basis). This
number of shares, however, takes into account changes due to corporate events effective as of the close oft and is adjusted by the various index inclusion factors such as the Foreign Inclusion Factor (FIF) for day
t+1. Note that it is based on the same number of shares as the one used for the index calculation on t+1(EndOfDayIndexNumberOfSharest) and described in Section 1.1.
End of Day Index Unit Number of Shares (t)The end of day index unit number of shares is the end of day index number of shares expressed for one
index unit. It is defined as the ratio of the end of day index number of shares and the index divisor for
t+1.

EndOfDayIndexUnitNum berOfShares t 

EndOfDayIndexNumberOfShares t
IndexDivisort 1

The index unit composition changes from the intraday index unit number of shares to the end of day
1 Index inclusion factors encompass any inclusion factors specific to a given index, for example, the Value Inclusion Factor(VIF) for a Value index.
MSCI Data Operations & Technology
January 2011
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81

MSCI Index Calculation Methodologies
January 2011index unit number of shares as of the close of day t, i.e., the index unit number of shares change iscalculated as
IndexUnitN umberOfSharesChanget 
EndOfDayIndexUnitNum berOfShares t  IntradayIndexUnitNum berOfShares t

Index Dividend Points
Index dividend points express dividends paid in an index unit for a given day. They represent dividends asa fraction of the index level itself. To provide advance notice, MSCI calculates both the preliminary index
dividend points on t-1 for t that use exchange rates as of t-1 and the final index dividend points on t using t
exchange rates and capturing the effect of the intraday dividend changes on t, if any.
Both gross and net index dividend points can be calculated for a price index variant: they express theamount of dividends paid by a price index unit.
Net (gross) index dividend points can be calculated for a net (gross) index variant: they express theamount of dividends reinvested in the net (gross) index unit.
DTRIndexNumberOfShares * DividendPerSharet / FXrate t 1
IndexDivisort
DTRIndexNumberOfShares * DividendPerSharet / FXrate t
FinalDivid endPoints t 
IndexDivisort
PrelimDividendPoints t 

Dividend points can be aggregated at index level.

IndexPreli mDividendPoints t   PrelimDivdendPoints t

IndexFinal DividendPoints t   FinalDivdendPoints t

Pre-open Price
The pre-open price of a security on day t is its closing price of day t-1 theoretically adjusted for the effectsof corporate events affecting the security ex on day t.

Calculating the Index
Index Calculation Formula
The index unit value serves to calculate the index level. The equation below is valid both intraday and as of
the close.
MSCI Data Operations & Technology
January 2011
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82

MSCI Index Calculation Methodologies
January 2011

IndexLevelt   IntradayIndexUnitNum berOfSharesi ,t * Price i ,t / FXrate i ,tiI

where Pricei,t is replaced by the pre-open price for the constituents that have not yet traded on t and I is theindex unit constituent set. The previous index level can also be recalculated by using pre-open prices andexchange rates of the previous day.
IndexLevelt 1   IntradayIndexUnitNum berOfSharesi ,t * PreOpenPricei ,t / FXrate i ,t 1iI

Index Calculation Example
Consider the MSCI Austria index unit on October 27, 2009 described below. Its composition is fully
known after the close of October 26, 2009 and is described by the constituent list and the intraday index
unit number of shares (column F) calculated as the ratio of the intraday index number of shares and theindex divisor.
To calculate the index level on October 27, 2009 (intraday or close), current prices and exchange rates(columns I and J respectively) are used for each constituent, and the market capitalization of theconstituent in the index unit (column K) is obtained by multiplying the intraday index unit NOS by theprices and dividing by the exchange rate. The sum of the column K gives the value of the index unit,
which is equal to the index level.
Divisor (As of Date)A

21,413,261

B

Calculation
As of Date
Date

C
Security NameD
Idx Incl
Flag (asof date)E
IntradayIndex NOSMMF
IntradayIdx Unit
NOS

I

J

K
Mcap inPrice (As FX (As of
Idx Unitof Date)Date)
D*F*I/J

10/26/2009

10/27/2009

ERSTE GROUP BANK

1

174.36

8.14

28.50

0.67

344

10/26/2009

10/27/2009

OMV AG1

150.00

7.01

29.03

0.67

301

10/26/2009

10/27/2009

TELEKOM AUSTRIA

1

322.00

15.04

11.88

0.67

265

10/26/2009

10/27/2009

VOESTALPINE

1

117.53

5.49

23.83

0.67

194

10/26/2009

10/27/2009

VERBUND OESTERR ELEK A

1

77.05

3.60

31.80

0.67

170

10/26/2009

10/27/2009

RAIFFEISEN INT'L BANK

1

54.13

2.53

42.50

0.67

159

10/26/2009

10/27/2009 VIENNA INSURANCE GROUP

1

38.40

1.79

41.10

0.67

109

* Columns A-F come from the MSCI Market Open Index File
The file will be distributed after the close of October 26 for use on October 27

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

83

Index (USD) 1,541.96

MSCI Index Calculation Methodologies
January 2011
Calculating Index Unit Changes Due to Corporate Events and Index Rebalancings
As corporate events and rebalancings occur, the index unit composition can change. All adjustments are
based on closing prices. To get the index unit adjustment, the new index divisor needs to be calculated.
Dividing the end of day index number of shares by the new index divisor results in the end of day index
unit number of shares. Given the equations

IndexDivisort 1 
IndexDivisort 

IndexIniti alMarketCapt 1
IndexLevelt(coming from the divisor definition), andIndexAdjus tedMarketCapt
IndexLevelt(coming from the divisor definition and the fact the index

level is proportional to the index market capitalization on any given day), a practical way of calculating the
new divisor isIndexDivisort 1  IndexDivisort *IndexIniti alMarketCapt 1
IndexAdjus tedMarketCapt .

As an example, consider the MSCI Brazil index unit on October 21, 2009 described below. Effective
October 22, 2009, a new security, BC SANTANDER BRASIL UNIT will be added to the index. Hence,
the index divisor and the index unit composition will change as of the close of October 21, 2009.
A new index divisor (for October 22, 2009) is calculated by multiplying the current divisor (for October
21, 2009) by the sum of the next day constituents‘ initial market capitalizations (column M) and dividing
by the current index market capitalization (sum of column L). The new end of day index unit number ofshares (column N) are calculated by dividing the end of day index number of shares (column H) by the
new divisor. The index unit composition is adjusted by the difference between the end of day index unit
number of shares and intraday index unit number of shares (column O): in this case, 0.16 shares of BC
SANTANDER BRASIL UNIT are added to the index unit by decreasing the index unit number of sharesof all the other index constituents.

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

84

MSCI Index Calculation Methodologies
January 2011
Divisor (As of Date)

142,324,185

Divisor (As of Date + 1) 144,319,620
A

B

Calculation
As of Date
Date

C

D
Idx Incl
Flag (asof date)Security NameE
IntradayIndex NOSMMF
IntradayIdx Unit
NOS

G
Idx Incl
Flag (as ofdate + 1)0

H
End of Day
Index NOS
MM

I
J
L
M
N
O
Mcap
Initial Mcap End of Day Idx Unit NOS
Price (As FX (As of(As of Date) (As of Date + 1) Idx Unit
Changeof Date)Date)
D*E*I/J
G*H*I/J
NOS(N-F)

10/20/2009

10/21/2009 BC SANTANDER BRASIL UNIT

1

525

23.19

1.74

0

7,017

0.16

0.16

10/20/2009

10/21/2009

PETROBRAS PN

1

3,146

22.10

1

3,146

36.70

1.74

66,53866,538

21.80

-0.31

10/20/2009

10/21/2009

PETROBRAS ON

1

2,283

16.04

1

2,283

43.00

1.74

56,58256,582

15.82

-0.22

10/20/2009

10/21/2009

VALE PNA

1

2,109

14.82

1

2,109

40.77

1.74

49,54949,549

14.61

-0.20

10/20/2009

10/21/2009

ITAU UNIBANCO PN

1

2,053

14.43

1

2,053

36.00

1.74

42,60842,608

14.23

-0.20

10/20/2009

10/21/2009

VALE ON

1

1,440

10.12

1

1,440

46.11

1.74

38,272

38,272

9.98

-0.14

10/20/2009

10/21/2009

BANCO BRADESCO PN

1

1,535

10.78

1

1,535

36.00

1.74

31,84931,849

10.64

-0.15

10/20/2009

10/21/2009 CSN SIDERURGICA NAC'L ON

1

397

2.79

1

397

63.50

1.74

14,51914,519

2.75

-0.04

* Subset of the MSCI Brazil Index Unit

Interim Constituents1
On days with certain corporate events, the index can hold constituents that influence the performance fora day. When calculating the index performance using price adjustment factors (as described in section 1.1),
these do not appear explicitly in the calculation formula but are accounted for implicitly by applying a
price adjustment factor (PAF) on the capitalization of the security affected by the corporate event. The
index, however, is exposed to all the constituents and when valuing an index unit, these need to be
explicitly taken into account. For example, the following corporate events result in a creation of interim
constituents:

Capital Repayments: the index calculation assumes that cash is received in the index and held until
the close when it is finally reinvested in the index so cash effectively brings performance to theindex on the ex-date and is part of the index unit
Spin-off with the spun-off company not eligible for the index: the calculation assumes that the
spun-off company is received in the index on the ex-date and is held until the close when it isfinally sold and the proceeds reinvested back in the index. In this case, the spun-off company iseffectively part of the index on the ex-date

Note that the interim constituents play a similar role in the index calculation as the price adjustment factor(PAF) and the resulting index levels are exactly the same whether using interim constituents or PAFs.
To explain how interim constituents are created, several examples of common corporate events aredescribed below. Some corporate events can result in the creation of more than one interim constituent,
but these can also be broken up in several simple consecutive corporate events.
Examples
1 Interim constituents will be

added to the product files in the second phase of the MSCI Market Open Index product(expected delivery at the end of 2010)MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

85

MSCI Index Calculation Methodologies
January 2011
Capital Repayment
As an example, consider the repayment of EUR 0.4 per share by ELISA A effective October 26, 2009.
According to the calculation methodology, this cash is reinvested back in the index as of the close of theex date, October 26, 2009. Hence, intraday, the MSCI Finland index unit holds both ELISA A and the
cash. An interim constituent is therefore added to the index unit, as shown below, with the following
characteristics:
Intraday index unit number of shares equal to the stock that repaid capital (given that each share of
ELISA A in the index unit is entitled to the cash payment)
Fixed price equal to the repayment amount, EUR 0.40.

Cash will leave the index unit as of the close of October 26 (as indicated by column G) and the proceeds
reinvested back in the index. Repeating the calculations described in the previous section gives the index
unit number of shares change (column O) that represents the theoretical trade adjustment to the index
unit: cash is ―sold‖ (negative change) while the index unit holdings in all the other constituents increase(positive change)
Divisor (As of Date)

249,175,772

Divisor (As of Date + 1) 249,001,078
A

B

Calculation
As of Date
Date

C
Security Name

10/25/2009

10/26/2009

ELISA A

10/25/2009

10/26/2009

ELISA A (INTERIM 1)*

10/25/2009

10/26/2009

10/25/2009

10/26/2009

10/25/2009

10/26/2009

10/25/2009

Interimconstituent type

DInterim const. Idx Incl
trading
Flag (asstatusof date)E
IntradayIndex NOSMMFGIntraday Idx Incl
Idx Unit Flag (as of
NOS
date + 1)

1

133

0.53

1

1

133

0.53

0

NOKIA CORP

1

3,745

15.03

1

FORTUM CORP

1

444

1.78

1

SAMPO A

1

420

1.69

10/26/2009

UPM-KYMMENE

1520

10/25/2009

10/26/2009

KONE B1

10/25/2009

10/26/2009

STORA ENSO R

10/25/2009

10/26/2009

10/25/2009

10/26/2009

H
End of Day
Index NOS
MM

13.90

0.67

2,763

2,763

0.53

0.0004

0.40

0.67

80

0

0.00

-0.5339

3,745

8.78

0.67

49,12949,12915.04

0.0105

444

16.65

0.67

11,05011,0501.78

0.0013

1

420

16.76

0.67

10,521

10,5211.69

0.0012

2.09

1

520

8.11

0.67

6,301

6,301

2.09

0.0015

154

0.62

1

154

26.30

0.67

6,040

6,040

0.62

0.0004

1

582

2.33

1

582

5.29

0.67

4,598

4,598

2.34

0.0016

METSO CORP

1

128

0.51

1

128

18.74

0.67

3,572

3,572

0.51

0.0004

WARTSILA B

1

84

0.34

1

84

25.83

0.67

3,235

3,235

0.34

0.0002

CASH

FIXED

133

I
J
L
M
N
O
Mcap
Initial Mcap End of Day Idx Unit NOS
Price (As FX (As of(As of Date) (As of Date + 1) Idx Unit
Changeof Date)Date)
D*E*I/J
G*H*I/J
NOS(N-F)

Subset of the MSCI Finland* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected d elivery at the end of 2010)

Spin-off with the Spun-off Company Traded on the Ex date
As an example, consider the spin-off of GAM HOLDING by JULIUS BAER HOLDING with 1:1 terms
effective October 1, 2009 for the MSCI Switzerland Large Cap index (displayed below). The spun-off
company is not eligible to stay in the index.
On the ex date (October 1, 2009), the spun-off company still brings performance to the index and is hence
part of the index unit. It is therefore part of the index with the following characteristics:

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

86

MSCI Index Calculation Methodologies
January 2011Intraday index unit number of shares calculated according to the terms (intraday index unit
number of shares of the parent stock * 1/1)
Market price given that the spun-off company is traded on the ex-date.

It is ―sold‖ from the MSCI Switzerland Large Cap index unit at the close of the ex-date and the proceeds
are reinvested back in the index. To determine the index unit number of shares (column O), thecalculations described in the previous section should be repeated.
Divisor (As of Date)

861,052,729

Divisor (As of Date + 1) 857,954,025
A

B

Calculation
As of Date
Date

C
Security Name

Underlying
Asset
Description

OTHER ASSET
DISTRIBUTEDGAM HOLDINGDInterim const. Idx Incl
trading
Flag (asstatusof date)E
IntradayIndex NOSMMFGIntraday Idx Incl
Idx Unit Flag (as of
NOS
date + 1)

1

211

0.25

1

1

211

0.25

0

NESTLE

1

3,639

4.23

1

ROCHE HOLDING GENUSS

1

703

0.82

1

NOVARTIS

1

2,115

2.46

10/1/2009

UBS NAMEN

1

3,558

9/30/2009

10/1/2009

CREDIT SUISSE

1

9/30/2009

10/1/2009

ABB LTD

9/30/2009

10/1/2009

9/30/2009

10/1/2009H
End of Day
Index NOS
MM

1.04

7,765

7,765

0.25

0.0009

12.00

1.04

2,433

0

0.00

-0.2451

3,639

43.96

1.04

153,656

153,656

4.24

0.0153703

166.301.04

112,240

112,2400.82

0.0029

1

2,115

51.65

1.04

104,937

104,9372.47

0.0089

4.13

1

3,558

18.39

1.04

62,85962,8594.15

0.0149

1,125

1.31

1

1,125

57.45

1.04

62,111

62,1111.31

0.0047

1

2,207

2.56

1

2,207

20.46

1.04

43,372

43,3722.57

0.0093

ZURICH FINL SERVICES

1

147

0.17

1

147

244.801.04

34,552

34,5520.17

0.0006SYNGENTA

1

97

0.11

1

97

229.901.04

21,404

21,4040.11

0.0004

HOLCIM
1
245
0.28
1
245
68.50
1.04
Subset of the MSCI Switzerland Large Cap Index Unit
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)

16,143

16,1430.29

0.001010/1/2009

9/30/2009

10/1/2009

9/30/2009

10/1/2009

9/30/2009

10/1/2009

9/30/2009

10/1/2009

9/30/2009

9/30/2009

TRADED

10/1/2009

211

I
J
L
M
N
O
Mcap
Initial Mcap End of Day Idx Unit NOS
Price (As FX (As of(As of Date) (As of Date + 1) Idx Unit
Changeof Date)Date)
D*E*I/J
G*H*I/J
NOS
(N-F)
38.30

9/30/2009JULIUS BAER HOLDINGJULIUS BAER HOLDING(INTERIM 1)*

Interimconstituent typeSpin-off with Spun-off Not Traded on the Ex date
As an example, consider the spinoff of SONAE CAPITAL by SONAE SGPS effective January 4, 2008.
Given that the spun-off company is not trading on the ex-date but the market capitalization of the parent
stock drops nevertheless to account for the value of the spun-off company, MSCI creates a ―dummy‖
security called ―detached‖ to represent it. Its price is calculated as the difference between the cum and ex
prices of the parent security on the ex-date from the ex-date + 1 onwards. It will be carried in the index at
this calculated fixed price until the day it starts trading where it is either added to the index or deleted at
the end of the first trading day. On the ex-date, however, it is represented by an interim constituent withthe following characteristics:
Intraday index unit number of shares equal to the parent company (terms are not considered as
this is a ―dummy‖ security
Calculated price in real time equal to the difference between the cum price (closing price of theprevious day) of the parent company and the ex (current) priceAt the close of the ex-date, the interim constituent is replaced by the detached security. Note that there isno divisor change and hence no index unit number of shares change.

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

87

MSCI Index Calculation Methodologies
January 2011
Divisor (As of Date)

216,755,858

Divisor (As of Date + 1) 216,755,858
A

B

C

Calculation
As of Date
Date

Security Name

Interimconstituent
type

Underlying
Asset
Description

Interim const.
trading
statusPricing
FormulaD
Idx Incl
Flag (asof date)E
IntradayIndex NOSMMFGIntraday Idx Incl
Idx Unit Flag (as of
NOS
date + 1)

1

800

3.69

1

1

800

3.69

0

H
End of Day
Index NOS
MM

1/3/2008

1/4/2008

SONAE SGPS

1/3/2008

1/4/2008

SONAE SGPS (INTERIM 1)*

1/3/2008

1/4/2008

SONAE SGPS (DETACHED)

01

1/3/2008

1/4/2008

EDP ENERGIAS DE PORTUGAL

1

2,011

9.28

1

1/3/2008

1/4/2008

PORTUGAL TELECOM SGPS

1

790

3.65

1

790

1/3/2008

1/4/2008

BCP BANCO COMERCIAL

1

1,806

8.33

1

1/3/2008

1/4/2008

BANCO ESPIRITO SANTO

1

225

1.04

1/3/2008

1/4/2008

BRISA

1

300

1/3/2008

1/4/2008

PT MULTIMEDIA SERVIC COM

1

1/3/2008

1/4/2008

CIMPOR CIMENTOS DE PORT

1

1/3/2008

1/4/2008

BANCO BPI

1/3/2008

1/4/2008

1/3/2008

1/4/2008

I
J
L
M
N
O
Mcap
Initial Mcap End of Day Idx Unit NOS
Price (As FX (As of(As of Date) (As of Date + 1) Idx Unit
Changeof Date)Date)
D*E*I/J
G*H*I/J
NOS
(N-F)
1.65

0.68

1,950

1,950

3.69

0.0000

0.26

0.68

307

0

0.00

-3.6908

800

0.26

0.68

0

307

3.69

3.6908

2,011

4.54

0.68

13,49013,4909.28

0.00008.70

0.68

10,157

10,1573.65

0.0000

1,806

2.72

0.68

7,256

7,256

8.33

0.0000

1

225

14.45

0.68

4,804

4,804

1.04

0.0000

1.38

1

300

10.00

0.68

4,432

4,432

1.38

0.0000

235

1.09

1

235

9.25

0.68

3,216

3,216

1.09

0.0000

202

0.93

1

202

6.03

0.68

1,796

1,796

0.93

0.0000

1

228

1.05

1

228

4.97

0.68

1,674

1,674

1.05

0.0000JERONIMO MARTINS SGPS

1

189

0.87

1

189

5.59

0.68

1,559

1,559

0.87

0.0000SONAE INDUSTRIA SGPS

1

63

0.29

1

63

6.11

0.68

569

569

0.29

0.0000OTHER ASSETSONAE CAPITAL Calculated
DISTRIBUTED

1.91 - SONAESGPS P(t)800

Subset of the MSCI Portugal Index Unit
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)

Rights Issue
As an example, consider the rights issue for BALFOUR BEATTY effective October 8, 2009 in the MSCIUK Index1 and described below. 3 rights were offered for every 7 shares held at 1.8 GBP.
The performance of the index on the ex-date reflects an exposure to the rights and the BALFOUR
BEATTY weight increases only as of the close of the ex-date. Note that the adjustment for a rights issue isalways theoretical (the intrinsic value of the right is the difference between the underlying stock price andthe subscription price), even if the rights will list on an exchange. An interim constituent with thefollowing characteristics is created:Intraday index unit number of shares calculated according to the terms (intraday index unit
number of shares of BALFOUR BEATTY times 3/7)
A calculated price defined as the price of BALFOUR BEATTY minus the subscription price of
1.8

At the end of the day, the interim constituent is deleted from the index (the rights are subscribed to) andthe exposure to BALFOUR BEATTY increases (its intraday index number of shares and the divisor
increase). The index unit adjustment (column O) is given by the calculations described in the previous
sections.

1

Note that this example is based on the current adjustment methodology for rights issue. The methodology being different

before November 2009, the published index level was calculated in a different way in practice
MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

88

MSCI Index Calculation Methodologies
January 2011
Divisor (As of Date)

2,020,072,842

Divisor (As of Date + 1) 2,020,659,252
A

B

Calculation
As of Date
Date

C
Security Name

Interim constituent
typeInterim const.
trading
Pricing Formula
status

THEO RIGHT - NEW
UNDERLYING SHRAESCALCULATEDD
Idx Incl
Flag (asof date)E
IntradayIndex NOSMMFGIntraday Idx Incl
Idx Unit Flag (as of
NOS
date + 1)

H
End of Day
Index NOS
MM

I
J
K
L
M
N
O
Mcap in
Mcap
Initial Mcap End of Day Idx Unit NOS
Price (As FX (As of
Idx Unit (As of Date) (As of Date + 1) Idx Unit
Changeof Date)Date)
D*F*I/J
D*E*I/J
G*H*I/J
NOS
(N-F)

1

478

0.24

1

683

2.80

0.62

1

2,152

3,074

0.34

0.1013

1

205

0.10

0

0

1.00

0.62

0

329

0

0.00

-0.1014

10/7/2009

10/8/2009

BALFOUR BEATTY

10/7/2009

10/8/2009

BALFOUR BEATTY (INTERIM 1)*

10/7/2009

10/8/2009HSBC HOLDINGS (GB)1

17,3158.57

117,315

7.12

0.62

98

198,497

198,497

8.57-0.002

10/7/2009

10/8/2009BP

1

18,7389.28

118,738

5.46

0.62

81

164,556

164,556

9.27-0.003

10/7/2009

10/8/2009

VODAFONE GROUP

1

52,48725.98

152,487

1.35

0.62

56

113,736

113,736

25.98-0.008

10/7/2009

10/8/2009

GLAXOSMITHKLINE

1

5,188

2.57

1

5,188

12.35

0.62

51

103,157

103,157

2.57-0.001

10/7/2009

10/8/2009

ROYAL DUTCH SHELL A

1

3,546

1.76

1

3,546

17.68

0.62

50

100,892

100,892

1.75-0.001

10/7/2009

10/8/2009

ROYAL DUTCH SHELL B

1

2,696

1.33

1

2,696

17.18

0.62

37

74,561

74,561

1.33

0.000

BALFOUR
BEATTY P(t) - 1.8

Subset of the MSCI UK Index Unit
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

89

MSCI Index Calculation Methodologies
January 2011
Interim Constituent Creation Rules

Buyback

Description of event

Parent Security
Intraday NOS*

Parent Security
Pre-open Price

InterimConstituent Type

Trading
StatusAgainst Cash-

EndOfDayNOS(t-1)
adjusted to takeonly into accountthe shares thathave not beenbought backTheo-ex price taking into
account the terms of the
event

CASH

Fixed

Theo-ex price taking into
account the terms of the
event

OTHER ASSETACQUIRED

TradedInterim Constituent
Intraday NOS
EndOfDayNOS(t-1) ofparent security
adjusted to take into
account the sharesthat have been boughtback
EndOfDayNOS(t-1) ofparent security
adjusted to take into
account the sharesthat have been boughtback and the amountof other asset acquired

InterimConstituent
Pre-open Price

Interim Constituent
Intraday/Closing Price

Buyback price

Buyback price

Other asset
acquired price

Other asset acquired
price

Buyback

Exchange ofShares-EndOfDayNOS(t-1)
adjusted to takeonly into accountthe shares thathave not beenbought back

CapitalRepayment--

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

CASH

Fixed

EndOfDayNOS(t-1) ofparent security

Cash amount

Cash amount

Installment
Receipt--

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

CASH

Fixed

EndOfDayNOS(t-1) ofparent security- [minus] Cashamount- [minus] Cash amount-

EndOfDayNOS(t-1)
adjusted to takeonly into accountthe shares thathave not beenbought back

TradedEndOfDayNOS(t-1) ofparent security
adjusted to take into
account the sharesthat have been boughtback and the amountof other asset acquired

Other asset
acquired price

Other asset acquired
pricePartialTenderOffer

Exchange ofSharesMSCI Barra Benchmark Research
January 2010
Please refer to the disclaimer at the end of this document

90

Theo-ex price taking into
account the terms of the
event

OTHER ASSETACQUIREDMSCI Index Calculation Methodologies
January 2011
Parent Security
Intraday NOS*

Description of event

PartialTenderOffer

Against Cash-

RedemptionAgainst Cash-

Rights Issue

Right of New
Underlying
SharesRights Issue

Right of New
Underlying
Shares Not
Entitled toForthcoming
Dividend--

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

EndOfDayNOS(t-1)
adjusted to takeonly into accountthe shares thathave not beenbought backEndOfDayNOS(t-1)
adjusted to takeonly into accountthe shares thathave not beenbought backParent Security
Pre-open Price

InterimConstituent Type

Trading
StatusInterim Constituent
Intraday NOS
EndOfDayNOS(t-1) ofparent security
adjusted to take into
account the sharesthat have been boughtback
EndOfDayNOS(t-1) ofparent security
adjusted to take into
account the sharesthat have been bought
backInterimConstituent
Pre-open Price

Interim Constituent
Intraday/Closing Price

Tender offer priceTender offer price

Redemption price

Redemption price

Theo-ex price taking into
account the terms of the
event

CASH

Fixed

Theo-ex price taking into
account the terms of the
event

CASH

Fixed

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

THEORETICALRIGHT - NEW
UNDERLYINGSHARES

Calculated

EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the right

Theo-ex price ofparent constituent subscription price

Ex price of parent
constituent subscription price

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

THEORETICALRIGHT - NEW
UNDERLYINGSHARES

Calculated

EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the right

Theo-ex price ofparent constituent subscription price gross dividend per
share

Ex price of parent
constituent subscription price gross dividend per
share

91

MSCI Index Calculation Methodologies
January 2011
Description of event

If market rightis traded

Rights Issue

Right of New
Underlying
Shares withAnother Asset(bond, warrant,
preferred, etc.)
attached

If market rightis not tradedbut otherasset attachedis traded

Parent Security
Intraday NOS*

EndOfDayNOS(t-1)

EndOfDayNOS(t-1)

Parent Security
Pre-open Price

Theo-ex price taking into
account the terms of the
event

Theo-ex price taking into
account the terms of the
event

InterimConstituent Type

MARKET RIGHTTHEORETICALRIGHT - NEW
UNDERLYINGSHARES
andOTHER ASSETATTACHED

If market rightand otherasset attachedprice are nottradedMSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document

EndOfDayNOS(t-1)

92

Theo-ex price taking into
account the terms of the
event

THEORETICALRIGHT - NEW
UNDERLYINGSHARES

Trading
StatusTradedCalculatedandtradedCalculatedInterim Constituent
Intraday NOS

InterimConstituent
Pre-open Price

If market right istraded for one "old"share:
EndOfDayNOS(t-1) ofparent security

If market right istraded for one"old" share:
Market right or
Theo-ex price ofparent constituent subscription priceadjusted for theterms of the rightIf market right istraded for one "new"share:
EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the right"Theoretical rightconstituent":
EndOfDayNOS(t-1) ofparent security
adjusted for the termsof the right"OtherAssetAttachedconstituent":
EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the right
EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the rightInterim Constituent
Intraday/Closing PriceMarket rightIf market right istraded for one"new" share:
Market right or
Theo-ex price ofparent constituent subscription price"Theo rightconstituent":
Theo-ex price ofparent security subscription price"Theo rightconstituent":
Ex price of parent
security - subscription
price"OtherAssetAttach
ed constituent":
Other Asset
Attached price"OtherAssetAttachedconstituent":
Other Asset Attached
price

Theo-ex price ofparent constituent subscription price

Ex price of parent
constituent subscription priceMSCI Index Calculation Methodologies
January 2011
Description of event

If Other Asset
Acquired is
tradedRights Issue

Right of
Another Typeof Asset (bond,warrant,
preferred, etc.)

Parent Security
Intraday NOS*

Parent Security
Pre-open Price

InterimConstituent Type

Trading
StatusInterim Constituent
Intraday NOS

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

THEORETICALRIGHT - OTHERASSET ACQUIRED

Calculated

EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the rightIf market right istraded for one "old"share:
EndOfDayNOS(t-1) ofparent security

If market rightis traded

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of theevent

MARKET RIGHTTHEORETICALRIGHT - OTHERASSET ACQUIRED

CASH

Rights Issue

Right of Sharesin Another
Listed Security-

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of theevent

SpecialDividend

An adjustment
is made for
specialdividends when
the impact ofdividend on theprice of the dayprior the exdate is greaterthan or equal
to 5%.

-

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of theevent

MSCI Data Operations & Technology
January 2011
Please refer to the disclaimer at the end of this document93

TradedInterimConstituent
Pre-open Price
Other asset
acquired price subscription priceor
NULL

Interim Constituent
Intraday/Closing Price
Other asset acquired
price - subscription
price

If market right istraded for one"old" share:
Market right or
NULL

If market right istraded for one "new"share:
EndOfDayNOS(t-1) ofparent security
adjusted for the termsof the rightIf market right istraded for one"new" share:
Market right or
NULL

Market rightCalculated

EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the right

Other asset
acquired price subscription price

Other asset acquired
price - subscription
price

Fixed

EndOfDayNOS(t-1) ofparent security

Cash amount

Cash amountMSCI Index Calculation Methodologies
January 2011
Parent Security
Intraday NOS*

Parent Security
Pre-open Price

InterimConstituent Type

Trading
StatusInterim Constituent
Intraday NOS

InterimConstituent
Pre-open Price

Interim Constituent
Intraday/Closing Price

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

OTHER ASSET
DISTRIBUTED

TradedEndOfDayNOS(t-1) ofparent security
adjusted by the termsof the spin-off

Other AssetDistributed price

Other AssetDistributed price-

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

OTHER ASSET
DISTRIBUTED

Calculated

EndOfDayNOS(t-1) ofparent security

Other AssetDistributed priceadjusted by theterms of the event

Cum price - Ex price ofparent security-

EndOfDayNOS(t-1)
adjusted to take
into account the
Stock

Theo-ex price taking into
account the terms of the
event

CASH

Fixed

EndOfDayNOS(t-1) ofparent security
adjusted by the termsof the stock- [minus]
Forthcoming Gross
Dividend- [minus] Forthcoming
Gross Dividend-

EndOfDayNOS(t-1)

Theo-ex price taking into
account the terms of the
event

OTHER ASSET
DISTRIBUTED

TradedEndOfDayNOS(t-1) ofparent security
adjusted by the termsof the stock

Other AssetDistributed or
NULL

Other AssetDistributed-

EndOfDayNOS(t-1)
adjusted to take
into account the
Stock

Theo-ex price taking into
account the terms of the
event

OTHER ASSETATTACHED

TradedEndOfDayNOS(t-1) ofparent security
adjusted by the termsof the stock

Other Asset
Attached or
NULL

Other Asset Attached

Description of event

Spin-offSpin-off

Stock

Stock

Stock

Spun-off tradedon the ex-dateSpun-off NOT
traded on the
ex-date(creation of a'detached'security)
Stock with New
Shares Not
Entitled toForthcoming
Dividend
Distribution ofAnother Typeof Asset (bond,warrant,
preferred, etc.)
Distribution ofNew
Underlying
Shares with
Warrants
attached-

Multiple corporate events happening on the same day use a combination of the above rules and can potentially result in several interim constituents being created*In case of multiple corporate events, the field "EndOfDayNOS(t-1)" should be replaced by the "IntradayNOS" calculated during the previous event

MSCI Data Operations & Technology
January 2011
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94

MSCI Index Calculation Methodologies
January 2011MSCI Index Calculation Methodology Book Tracked Changes
The following sections and appendix have been updated since January 2008.

2008
February:-

Daily Hedged Indices- Change in the wording to clarify the hedged indices calculation methodology (3.2.1 and3.2.2)- Update of the Daily Hedged Index example (3.2.5)
Appendix VI: Withholding Tax Rates- Addition of Frontier Markets- Removal of Venezuela
Appendix VII: Closing Prices Policy- Addition of Frontier Markets- Removal of Venezuela
Appendix VIII: Country Composition of MSCI Regional Indices- Addition of Frontier Markets countries- Addition of 3 regions (GCC countries, Arabian Markets, Frontier Markets)-

March:-

Appendix VII: Closing Prices Policy- Change in the closing price description for Croatia- Addition of Dubai International Financial Exchange for United Arab Emirates

April:
-

May:
-

July:
-

Appendix VII: Closing Prices Policy- Change in the closing price description for Croatia- Addition of Dubai International Financial Exchange for United Arab Emirates

Appendix VII: Closing Prices Policy- Change in the closing price description for Israel (Domestic).
- Change in the Closing price available time (local) of Bahrain market- Change in the Closing price used, price description and available time for HK.

Appendix II: Security level information: Annualized Traded Value Ratio (ATVR) andAnnual Traded Value- New section

MSCI Barra Benchmark Research
January 2010
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95

MSCI Index Calculation Methodologies
January 2011

September:-

Appendix VII: Closing Prices Policy
Closing prices available at 5:30pm local time for Norway (Oslo Stock Exchange).
Include Serbia and Belgrade Stock Exchange trading information.

November:- Appendix VI: Withholding Taxes Rates
Addition of Lithuania and Serbia- Appendix VII: Closing Prices Policy
Closing price availability for Greece updated to be 5:20pm local time.
Closing price used for Serbia market updated to be VWAP.
Closing price used for Chile market updated to be Official Closing Price.
- Appendix VIII: Country Composition of MSCI Regional Indices
Addition of Lithuania and Serbia.
Updates for Jordan

December:- Appendix VII: Closing Prices Policy
Closing price description of Thailand includes explanation of applying random auction
call method to both main board and foreign board of stock exchange of Thailand.
Price used for The Bombay Stock Exchange update to be WAP, description is also
updated accordingly.
Closing price description of The National Stock Exchange of India has been
confirmed to be Volume Weighted Average Price.
Closing price used and description for Pakistan will take last available ASK price forthose securities that do not report one or more trades on the Karachi Stock Exchange
for the calculation date.
Include coverage of Botswana, Ghana, Jamaica and Trinidad and Tobago.
Closing price availability time change of Israel market- Appendix VIII: Country Composition of MSCI Regional IndicesUpdates for Pakistan

2009
February:-

Section 2: MSCI Daily Total Return (DTR) Index Methodology- Country Exceptions
 Update on Russian dividends treatment (2.3.6)- Taxes on Dividends

MSCI Data Operations & Technology
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MSCI Index Calculation Methodologies
January 2011-

 Change in the wording to clarify the dividend taxes (2.3.7)
 Addition of Australian Dividends as an exception (2.3.7.2.1)
Appendix VI: Withholding Tax Rates- Addition of Botswana, Ghana, Jamaica and Trinidad and Tobago- Updates for China on B shares and H shares, Estonia, Germany, Greece, Korea, andPhilippines

March:-

Appendix VI: Withholding Tax Rates- Updates for Kazakhstan and Lithuania

April:-

Appendix VII: Closing Prices Policy- Update close price definition and description of Trinidad and Tobago

May:
-

-

-

-

Section 1: MSCI Price Index Methodology- Reordering of chapters- Addition of example of index calculation using contribution method- Addition of chapter ‗Note on Index Calculation in Local Currency‘- Addition of chapter ‗Conversion of indices into Another Currency‘
Section 2: MSCI Daily Total Return (DTR) Index Methodology- 2.2.3 dividends resulting in a reinvestment only
 Change in paragraph related to optional dividend
Appendix V: Singapore and Singapore Free Indices- Section added. Information was previously part of Frequently Asked Questions Appendix
Appendix VI: Withholding Tax Rates- Updates for China Red Chip and Kuwait
Appendix VII: Closing Prices Policy- Closing price used for Jamaica updated to be Average Price- Closing price used for Pakistan updated to be Official Close- Additional closing price used for Kazakhstan updated to be closing price of Kazakhstan(UK listed Depository Receipts) and following UK closing price policy.
Appendix VIII: Country composition of MSCI Regional Indices- Update for Argentina- Update for Pakistan- Update for Trinidad and Tobago
Frequently Asked Questions- Section removed: Removal of information related to Israel Domestic and Israel NonDomestic- Information related to Singapore and Singapore Free Indices moved to Appendix V.

MSCI Data Operations & Technology
January 2011
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97

MSCI Index Calculation Methodologies
January 2011

July:
-

Appendix VII: Closing Prices Policy- Closing price used for UAE, International Financial Exchange, updated to be Official Close
Price- Closing price used for Czech Republic updated to be Official Close Price.
- Update closing prices availability for the Belgium, Netherlands, France and Portugal.
- Update close price definition and description of USA (NASDAQ Global Market,
NASDAQ Global Select Market)- Additional column of market identifier code (MIC) is added.
- Closing price description update of ADR from Argentina, Colombia, Israel and Peru.
- Bloomberg country codes for the following countries have been updated. (Argentina, Brazil,
Canada, Chile, Columbia, Czech Republic, Egypt, Kazakhstan (UK listed Depository
Receipts), Korea, Pakistan, Russia (UK listed Depository Receipts), Spain, UAE, USA,
Vietnam)

September:-

Appendix VII: Closing Prices Policy- MIC update for Oslo Stock Exchange and Taiwan Stock Exchange.

November:--

MSCI Equity Indices- Addition of CNY as a currency indices are provided in.
Section I and section II- Addition of note for China A indices related to the use of the Index Inclusion Factor
Section II- Net Daily Today Return
 Updates for Net Daily Total Return (2.2)- Withholding Tax
 Country of incorporation is used to determine the relevant dividend withholding tax
rate (2.3.7.2)
Section III: Alternative Index Calculation- Section renamed Gross Domestic Product (GDP) Weighted Indices- Removal of Daily Hedged Indices chapter
Appendix I: MSCI GCC Country Indices: Saturday/Sunday Index Calculation- Removal of the note related to the use of Index Inclusion Factor which is not relevant for
GCC Countries.
Appendix III: Exchange Rates- Details added related to treatment in special circumstances and if WM/Reuters does notprovide rates.
Appendix VI: Withholding Tax Rates- Updates for withholding tax rates based upon country of incorporation

MSCI Data Operations & Technology
January 2011
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98

MSCI Index Calculation Methodologies
January 2011

2010
January:-

Appendix VI: Withholding Tax Rates- Updates for Lithuania and Spain

February:-

MSCI Equity Indices- Addition of BRL, HKD, INR, RUB and SGD as currencies indices are provided in- Addition of a note related to the treatment of index ruptures
Appendix VII: Closing Prices Policy- Update for the change of closing price for Saudi Arabia
Appendix VIII: Country Composition of MSCI Selected Regional Indices- Addition of Bangladesh- Changes for Israel to reflect its move from EM to DM coverage

May:
-

-

Section 2: MSCI Daily Total Return (DTR) Index Methodology- 2.3.3 Correction Addition of precision in correction implementation timing- 2.3.6 Country Exceptions
 Addition of precision on timing for implementation of late dividends (2.3.6)
 Addition of precision on Korean and Russian late dividends (2.3.6)
Appendix I: Saturday/Sunday Index Calculation- Addition of precision on corporate Events treatment
Appendix VII: Closing Prices Policy- Removal of pricing information for Israel non Domestic- Closing price used for Pakistan updated to be Official Close
Appendix VIII: Country Composition of MSCI Selected Regional Indices- Changes for Bangladesh to reflect its inclusion into the FM regional index.
Appendix IX: Real Time Indices

June:
-

Appendix VII: Closing Prices Policy- Closing price used for Greece updated to be Auction Close
Appendix X: Index Calculation Methodology Using Index Divisors

August:-Appendix VI: Withholding Tax Rates- Addition of Bosnia and Herzegovina- Update for Slovenia
Appendix VII: Closing Prices Policy- Addition of Bangladesh

MSCI Data Operations & Technology
January 2011
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99

MSCI Index Calculation Methodologies
January 2011-

- Addition of Bosnia and Herzegovina- Closing price used for Greece updated- Closing price used for Czech Republic updated
Appendix VIII: Country Composition of MSCI Selected Regional Indices- Addition of Bosnia and Herzegovina

September:--

Section 2: MSCI Daily Total Return (DTR) Index Methodology- 2.3.3 Correction Addition of correction policy for MSCI Frontier Markets Indices
Appendix VII: Closing Prices Policy- Closing price used for Nigeria updated to Official Close- Removal of Saudi Arabia
Appendix VIII: Country Composition of MSCI Selected Regional Indices- Replaced index GCC COUNTRIES by index GCC COUNTRIES ex SA- Replaced index ARABIAN MARKETS by index ARABIAN MARKETS ex SA- Removal of Saudi Arabia

October:- Appendix I: Sunday Index Calculation-

Discontinuation of Saturday products
Appendix VII: Closing Prices Policy- Closing price used for Qatar updated to Last traded priceNovember:-

MSCI Equity Indices- Addition of KRW as a currency indices are provided in.
Appendix VII: Closing Prices Policy- Removal of closing price information for Russian Trading System (RTS)2011
January:-

Appendix VI: Withholding Tax Rates- Update for Portugal
Appendix VII: Closing Prices Policy- Closing price used for Slovenia updated to Official CloseMSCI Data Operations & Technology
January 2011
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100

MSCI Index Calculation Methodologies
January 2011

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Information may not be reproduced or redisseminated in whole or in part without prior written permission fromthe applicable MSCI Party.



The Information may not be used to verify or correct other data, to create indices, risk models or analytics, or inconnection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products
or other investment vehicles based on, linked to, tracking or otherwise derived from any MSCI products or data.



Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis,
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None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), or a promotion or
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The user of the Information assumes the entire risk of any use it may make or permit to be made of theInformation.



NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR
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

Without limiting any of the foregoing and to the maximum extent permitted by law, in no event shall any of the
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including without limitation (as applicable), any liability for death or personal injury to the extent that such injury
results from the negligence or wilful default of itself, its servants, agents or sub-contractors.

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MSCI Index Calculation Methodologies
January 2011

Any use of or access to products, services or information of MSCI requires a license from MSCI. MSCI, Barra,
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© 2011 MSCI. All rights reserved.

About MSCI Inc.
MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks,
hedge funds and pension funds. MSCI products and services include indices, portfolio risk and performance analytics, andgovernance tools.
The company‘s flagship product offerings are: the MSCI indices which include over 120,000 daily indices covering more than
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For further information on MSCI, please visit our web site at www.msci.com

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MSCI Index Calculation Methodologies
January 2011
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MSCI Index Calculation Methodologies
January 2011MSCI Data Operations & Technology
January 2011
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