Index Methodology

MSCI Global
Investable Market
Indexes
Methodology
Index Construction Objectives, Guiding Principles andMethodology for the MSCI Global Investable Market Indexes
Magtibay, Paolo Raphael
February 2021

February 2021

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Contents

Outline of the Methodology Book

11

1

Introduction to the MSCI Global Investable Market Indexes
122Constructing the MSCI Global Investable Market Indexes 14
2.1

Defining the Equity Universe

14

2.1.1

Identifying Eligible Equity Securities

14

2.1.2

Country Classification of Eligible Securities

15

Determining the Market Investable Equity Universes

15

2.2

2.2.1

Identifying Eligible Listings

16

2.2.2

Applying Investability Screens

16

2.2.3

Equity Universe Minimum Size Requirement17

2.2.4 Equity Universe Minimum Float-Adjusted Market
Capitalization Requirement

18

2.2.5

DM and EM Minimum Liquidity Requirement

18

2.2.6

Global Minimum Foreign Inclusion Factor Requirement

22

2.2.7

Minimum Length of Trading Requirement

23

2.2.8

Minimum Foreign Room Requirement

23

2.3

Defining Market Capitalization Size-Segments for Each Market 24

2.3.1 Defining the Market Coverage Target Range for Each SizeSegment26
2.3.2 Determining the Global Minimum Size Range for Each SizeSegment26
2.3.3 Determining the Segment Number of Companies andAssociated Market Size-Segment Cutoffs

28

2.3.4

29

Assigning Companies to the Size-Segments© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2.3.5 Determining Market Size-Segment Cutoffs and Assigning
Companies to the Size-Segments: Example

30

2.3.6

32

2.4

Applying Final Size-Segment Investability Requirements

Index Continuity Rules

33

2.5
Constructing and Calculating the Individual MSCI Global
Investable Markets Indexes

3

35

2.5.1

Market Size-Segment Indexes

35

2.5.2

Composite Indexes

35

2.5.3

GICS-Based Indexes

36

2.5.4

Other Indexes

36

2.5.5

Calculating the MSCI Global Investable Markets Indexes

36

Maintaining the MSCI Global Investable Market Indexes 37
3.1

Semi-Annual Index Reviews in May and November

38

3.1.1

Updating the Equity Universe

38

3.1.2

Updating the Market Investable Equity Universes

38

3.1.3 Recalculating the Global Minimum Size References andGlobal Minimum Size Ranges

42

3.1.4 Reassessing the Segment Number of Companies and theMarket Size-Segment Cutoffs

42

3.1.5

46

Assigning Companies to Appropriate Size-Segments

3.1.6 Assessing Conformity with Final Size-Segment Investability
Requirements
48
3.1.7 Semi-Annual Index Review of Changes in Foreign Inclusion
Factors (FIFs)
51
3.1.8 Semi-Annual Index Review of Changes in Number of Shares(NOS) 52
3.1.9
3.2

Date of Data Used for Semi-Annual Index Review

Quarterly Index Reviews in February and August© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

52
55

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3.2.1

Quarterly Index Review of Size-Segment Migrations

55

3.2.2 Quarterly Index Review of Addition of Companies Currently
not Constituents of the Investable Market Indexes
58
3.2.3 Quarterly Index Review of Deletion of Companies Currently
Constituents of the Investable Market Indexes
59
3.2.4

Quarterly Index Review of Changes in FIFs

60

3.2.5 Quarterly Index Review of Changes in Number of Shares(NOS) 61
3.2.6
3.3

Ongoing Event-Related Changes

63
66

3.3.1 Determining the Interim Market Size-Segment Cutoffs for
Daily Maintenance

66

3.3.2

Updating the Segment Number of Companies

67

3.3.3

Corporate Events Affecting Existing Index Constituents

67

3.3.4

Corporate Events Affecting Non-Index Constituents

74

3.3.5

Corporate Events Affecting the Index Review

75

3.4

4

Date of Data Used for Quarterly Index Reviews

Announcement Policy

76

3.4.1

Semi-Annual Index Review

76

3.4.2

Quarterly Index Review

76

3.4.3

Ongoing Event-Related Changes

76

3.4.4

IPOs and Other Early Inclusions

78

3.4.5

Global Industry Classification Standard (GICS)

79

MSCI All Cap Indexes
4.1

80

Constructing the MSCI All Cap Indexes

80

4.1.1

Micro Cap Maximum Size Requirement

80

4.1.2

Micro Cap Minimum Size Requirement

81

4.1.3

Micro Cap Minimum Liquidity Requirement81© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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4.1.4

Global Minimum Foreign Inclusion Factor Requirement

81

4.1.5

Minimum Length of Trading Requirement

81

4.2

5

Maintaining the MSCI All Cap Indexes

81

4.2.1

Semi-Annual Index Reviews in May and November

82

4.2.2

Quarterly Index Reviews of February and August

83

4.2.3

Ongoing Event-Related Changes

83

MSCI Frontier Markets Indexes
5.1

85

Frontier Markets Definition

5.1.1

85

Updating MSCI Frontier Markets Index Coverage85

5.2
Methodology Used to Construct and Maintain the MSCI FrontierMarkets Indexes
86
5.2.1 Categorization of Frontier Markets into Larger and Smaller
Markets
87

6

5.2.2

FM Minimum Liquidity Requirement

89

5.2.3

Final Size-Segment Investability Requirements

91

5.2.4

Index Continuity Rules

91

5.2.5

Implementation of Corporate Events

92

5.2.6

IPOs and Other Early Inclusions

92

MSCI Standalone Market Indexes

93

6.1
Creation of Standalone Market Indexes for Newly Eligible
Markets

93

6.2

Classification of Other Markets as Standalone

93

6.3

Maintaining Standalone Market Indexes

94

6.4
Inclusion of Standalone Market Indexes in the MSCI Composite
Indexes94
6.4.1

Inclusion of Newly Eligible Markets

94

6.4.2

Re-inclusion of Markets in the MSCI Composite Indexes95© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

APPENDICES

96

Appendix I: Equity Markets and Universe

97

Eligible Markets (Developed Markets)

97

Eligible Markets (Emerging Markets)

98

Eligible Markets (Frontier Markets)

99

Eligible Markets (Standalone Markets)

100

Eligible Classes of Securities for Stock Exchanges in Developed Markets
101
Eligible Classes of Securities for Stock Exchanges in Emerging Markets
102
Eligible Classes of Securities for Stock Exchanges in Frontier Markets
103
REITs

105

Canadian Income Trusts

106

Ineligible Alert Boards

106

Non-Index Constituents

107

Deletion of Existing Index Constituents

107

Appendix II: Market Classification Framework

108

Markets Under Index Continuity

111

Appendix III: Country Classification of Securities

112

General Framework

112

Other Cases

112

Country Specific Cases

113

Change in Country Classification

115

Appendix IV: Foreign Listing Materiality Requirement© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

116

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Appendix V: Treatment of Investment Sanctions Related to U.S.
Executive Order 13959
118
MSCI J-Series Indexes:

118

MSCI China A Onshore Indexes:

118

Appendix VI: Free Float Definition and Estimation Guidelines 119
Defining and Estimating Free Float

119

Classification of Shareholder Types

120

Special Cases

121

Foreign Ownership Limits (FOLs)

123

Calculation of Free Float

124

Assigning a Free Float-Adjustment Factor

125

Calculating the Free Float-Adjusted Market Capitalization

128

Treatment of Hong Kong Listed Securities With High Shareholding
Concentration Issues

129

Treatment of Non-Voting Depositary Receipts in Thailand

131

Appendix VII: Price Source for Securities

133

Appendix VIII: Policy Regarding Trading Suspensions andMarket Closures during Index Reviews

134

Appendix IX: Updating the Global Minimum Size References andRanges
136
General Principles for Updating the Global Minimum Size References
and Ranges
136

Appendix X: Frontier Markets Country Classification

138

Appendix XI: MSCI DR Indexes

139

Constructing the MSCI DR Indexes

139

Maintaining the MSCI DR Indexes139© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Number of Shares (NOS) and Foreign Inclusion Factors (FIF) used for
DRs in the MSCI DR Indexes
139
Quarterly Listing Reviews

139

Quarterly and Semi-Annual Index Review of Changes in NOS and in
FIF
140
Ongoing Event Related Changes

140

Additions and Deletions due to Corporate Events

140

IPOs

141

Dividend Reinvestment for DRs Indexes

141

Withholding tax

141

Dividend Fees Payable by DR Holders

141

Appendix XII: MSCI Domestic Indexes

142

MSCI China A Onshore Indexes

142

Equity Universe:

142

Equity Universe Minimum Size:

143

Assigning a Free Float-Adjustment Factor:

143

Investment Sanctions Related to U.S. Executive Order 13959

143

MSCI K-Series Indexes:

143

Appendix XIII: MSCI China Indexes

144

MSCI China Indexes Offering

144

Appendix XIV: Index Maintenance of the MSCI China Indexes
146
Inclusion of China A Shares in the MSCI China Indexes

146

Index Maintenance of the MSCI China Indexes

146

Integrated MSCI China Equity Universe

147

Calculation of Market Capitalization

147

Impact of the Index Inclusion Factor for the Index Construction148© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Investability Requirements

148

Calculation of the Market Size-Segment Cutoffs and Assigning
Companies to the Size-Segments

148

Foreign Ownership Limits and Foreign Room148

Assessing Conformity with Final Size-Segment Investability
Requirements

149

Quarterly Index Review Additions of China A Shares

150

Stock Connect Daily Limit Breach150

Ongoing Event Related Changes

150

Appendix XV: MSCI China A Inclusion Indexes

153

Index Construction

153

Index Maintenance

153

Index Calculation

153

Appendix XVI: MSCI China A Indexes

154

Index Construction

154

Index Maintenance154

Ongoing Event Related Changes

154

Index Calculation

155

Appendix XVII: Transition to the MSCI GIMI Methodology
Provisional Indexes

156
156

Deriving the Size-Segment Indexes at Initial Construction of theProvisional Indexes

157

Publication of Provisional Indexes

158

Reflecting Constituent Changes in the Standard Indexes at theTransition Points

158

Index Reviews and Treatment of On-Going Market Events during theTransition Period160© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Ongoing Event Related Changes

160

May 2007 Annual Full Country Index Review of the Standard Indexes
and Semi-Annual Index Review of the Small Cap Index
161
August 2007 Quarterly Index Review

161

November 2007 Semi-Annual Index Review

162

February 2008 Quarterly Index Review

162

May 2008 Semi-Annual Index Review

162

Transitioning Other Indexes

163

Global Value and Growth Indexes

163

Euro and Pan-Euro Indexes

163

Indexes Based on the Standard Indexes

163

GCC Countries Indexes

164

Summary Transition Timeline

164

Changes to the Methodology Book

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167

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Outline of the Methodology Book
This methodology book outlines MSCI’s index objectives and details themethodology employed to create and maintain the MSCI Global Investable Market
Indexes.
Section 1 provides an introduction and background to the MSCI Global Investable
Market Indexes including the objectives and design of the indexes.
Section 2 details the principles and the methodology used for index construction.
This includes the investability requirements and the size-segmentation methodology
used in constructing the indexes.
Section 3 describes the maintenance principles employed for reflecting the evolutionof the markets in a timely fashion while providing index stability and controlling
turnover.
Section 4 details the principles and the methodology used for MSCI All Cap Indexes
construction.
Section 5 details the principles and the methodology used for MSCI Frontier Markets
Indexes construction.
Section 6 details the principles and the methodology used for MSCI Standalone
Market Indexes construction.
The Appendices contain details on equity market coverage, country classification of
securities, free float definition and estimation, and other attributes.
For more information on the terms used throughout this methodology document
please refer to the MSCI Index Glossary on MSCI's website:
https://www.msci.com/index-methodology
This book was last updated in February 2021.

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1

Introduction to the MSCI Global Investable Market
Indexes
For over 50 years, MSCI has constructed the most widely used international equity
indexes for institutional investors. The MSCI global equity indexes have maintained
their leading position because they have evolved over time to continue toappropriately reflect the international investable opportunity set of equities while
addressing the changing and expanding investment interests of cross-borderinvestors.
Developments in international equity markets and investment management
processes have led many investors to desire very broad coverage and sizesegmentation of the international equity markets. To address these desires andcontinue to meet our index construction and maintenance objective, after a thoroughconsultation with members of the international investment community, MSCI
enhanced its Standard Index methodology, by moving from a sampled multi-cap
approach to an approach targeting exhaustive coverage with non-overlapping sizeand style segments. The MSCI Standard and MSCI Small Cap Indexes, along with theother MSCI equity indexes based on them, transitioned to the Global Investable
Market Indexes methodology described in this methodology book. The transition wascompleted at the end of May 2008.
The MSCI Standard Indexes are composed of the MSCI Large Cap and Mid Cap
Indexes. The MSCI Global Small Cap Index transitioned to the MSCI Small Cap Index
resulting from the Global Investable Market Indexes methodology, and contains nooverlap with constituents of the transitioned MSCI Standard Indexes. Together, therelevant MSCI Large Cap, Mid Cap and Small Cap Indexes make up the MSCI
Investable Market Index for each country, composite, sector, and style index thatMSCI offers.
Based on transparent and objective rules, the Global Investable Market Indexes areintended to provide:•

Exhaustive coverage of the investable opportunity set with non-overlapping sizeand style segmentation.

•

A strong emphasis on investability and replicability of the indexes through theuse of size and liquidity screens.

•Size segmentation designed to achieve an effective balance between theobjectives of global size integrity and country diversification.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

An innovative maintenance methodology that provides a superior balance
between index stability and reflecting changes in the opportunity set in a timelyway.

•

A complete and consistent set of Size-Segment Indexes, with Standard, Large
Cap, Mid Cap, Small Cap, and Investable Market Indexes.

In addition to the innovations listed above, the Global Investable Market Indexes
methodology retained many of the features of the original methodology, such as:•

The use of a building block approach to permit the creation and calculation of
meaningful composites.

•

The creation of sector and industry indexes using the Global Industry
Classification Standard (GICS®).

•

Minimum free float requirements for eligibility and free float-adjusted
capitalization weighting to appropriately reflect the size of each investment
opportunity and facilitate the replicability of the Indexes.

•

Timely and consistent treatment of corporate events and synchronizedrebalancings, globally.

In November 2010, MSCI also introduced a Micro Cap Size-Segment for developed
markets as well as the MSCI World All Cap Index consisting of the Large, Mid, Smalland Micro Cap Size-Segments in order to further broaden the coverage of theinternational equity markets.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2

Constructing the MSCI Global Investable Market
Indexes
The MSCI Global Investable Markets Indexes are constructed and maintained at anindividual Market1 level.
Constructing the MSCI Global Investable Market Indexes involves the following
steps:•

Defining the Equity Universe for each Market.

•

Determining the Market Investable Equity Universe for each Market.

•

Determining market capitalization size-segments for each Market.

•

Applying Index Continuity Rules for the Standard Index.

•

Classifying securities under the Global Industry Classification Standard (GICS).

•

Using a building block approach, Regional and Composite Indexes can be createdfrom the individual Market Indexes for each size-segment. GICS-based, share
type-based and other more granular indexes may also be derived from theMarket, Regional and Composite Indexes.

Each of these steps is described in detail below.

2.1

Defining the Equity Universe
The Equity Universe is defined by:•

Identifying eligible equity securities, and•Classifying these eligible equity securities into the appropriate country.

2.1.1 Identifying Eligible Equity Securities
All listed equity securities, including Real Estate Investment Trusts (REITs)2 andcertain income trusts listed in Canada3 are eligible for inclusion in the Equity
Universe. Limited partnerships, limited liability companies, and business trusts, which
are listed in the USA and are not structured to be taxed as limited partnerships, are
1 Developed Markets Europe and WAEMU are treated as single markets for the purpose of index construction.
2 Please refer to Appendix I for the list of REITs and REIT equivalent structures across different countries

tracked by MSCI.
3 Please refer to Appendix I for the eligibility criteria of Canada Income Trusts.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

likewise eligible for inclusion in the Equity Universe. Conversely, mutual funds, ETFs,
equity derivatives, and most investment trusts are not eligible for inclusion in the
Equity Universe.4
Preferred shares that exhibit characteristics of equity securities are eligible. As thedefinition of the preferred shares may vary from country to country or even from one
company to another, MSCI analyses this type of security on a case by case basis.
The key criterion for a preferred share to be eligible is that it should not have featuresthat make it resemble – and behave like – a fixed income security, such as theentitlement to a fixed dividend and/or, in case of liquidation, an entitlement to acompany’s net assets which is limited to the par value of the preferred share. On theother hand, preferred shares whose only difference compared to common shares is alimited voting power are eligible for inclusion in the Equity Universe.
Stapled securities are considered eligible if each of the underlying components
exhibit characteristics of equity securities.

2.1.2 Country Classification of Eligible Securities
Each company and its securities (i.e., share classes) is classified in one and only one
country, which allows for a distinctive sorting of each company by its respective
country.
The DM Equity Universe consists of all securities in the Equity Universe classified
into a Developed Market.
Please refer to Appendix I: Equity Markets and Universe and Appendix III: Country
Classification of Securities for further details.

2.2

Determining the Market Investable Equity Universes
A Market Investable Equity Universe for a market is derived by:•

Identifying eligible listings for each security in the Equity Universe, and•Applying investability screens to individual companies and securities in the
Equity Universe that are classified in that market.

A market is equivalent to a single country, except in DM Europe, where all DM
countries in Europe are aggregated into a single market for index construction
purposes. Subsequently, individual DM Europe country indexes within the MSCI

4 In general, GICS may be considered in determining eligibility of mutual funds/ investment trusts in the MSCI

equity universe.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Europe Index are derived from the constituents of the MSCI Europe Index under the
Global Investable Market Indexes methodology.
The Global Investable Equity Universe is the aggregation of all Market Investable
Equity Universes. The DM Investable Equity Universe is the aggregation of all theMarket Investable Equity Universes for Developed Markets.

2.2.1 Identifying Eligible Listings
A security may have a listing in the country where it is classified (i.e. “local listing”)
and/or in a different country (i.e. “foreign listing”).
Securities may be represented by either a local listing or a foreign listing (including a
Depositary Receipt) in the Global Investable Equity Universe. A security may be
represented by a foreign listing only if the following conditions are met:•

The security is classified in a country that meets the Foreign Listing Materiality
Requirement, and•The security’s foreign listing is traded on an eligible stock exchange of:-

A DM country if the security is classified in a DM country, or-

A DM or an EM country if the security is classified in an EM country, or-

A DM or an EM or a FM country if the security is classified in a FM country.

If a country does not meet the Foreign Listing Materiality Requirement, thensecurities in that country may not be represented by a foreign listing in the Global
Investable Equity Universe.
Please refer to Appendix I: Equity Markets and Universe and Appendix IV: Foreign
Listing Materiality Requirement for further details.

2.2.2 Applying Investability ScreensSome of the investability requirements are applied at the individual security level andsome at the overall company level, represented by the aggregation of individual
securities of the company. As such, the inclusion or exclusion of one security does
not imply the automatic inclusion or exclusion of other securities of the same
company.
The investability screens used to determine the Investable Equity Universe in eachmarket are:•

Equity Universe Minimum Size Requirement.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Equity Universe Minimum Free Float-Adjusted Market Capitalization
Requirement.

•

DM and EM Minimum Liquidity Requirement.

•

Global Minimum Foreign Inclusion Factor Requirement.

•

Minimum Length of Trading Requirement.

•

Minimum Foreign Room Requirement.

2.2.3 Equity Universe Minimum Size Requirement
This investability screen is applied at the company level.
In order to be included in a Market Investable Equity Universe, a company must havethe required minimum full market capitalization. This minimum full market
capitalization is referred to as the Equity Universe Minimum Size Requirement. The
Equity Universe Minimum Size Requirement applies to companies in all markets,
Developed and Emerging, and is derived as follows:•First, the companies in the DM Equity Universe are sorted in descending order offull market capitalization and the cumulative coverage of the free float-adjusted
market capitalization5 of the DM Equity Universe is calculated at each company.
Each company’s free float-adjusted market capitalization is represented by theaggregation of the free float-adjusted market capitalization of the securities ofthat company in the Equity Universe.

•

Second, when the cumulative free float-adjusted market capitalization coverageof 99% of the sorted Equity Universe is achieved, the full market capitalization of
the company at that point defines the Equity Universe Minimum Size
Requirement.

•

The rank of this company by descending order of full market capitalization within
the DM Equity Universe is noted, and will be used in determining the Equity
Universe Minimum Size Requirement at the next rebalance.

5 Unless explicitly stated otherwise in this methodology book, the free float-adjusted market capitalization usedby MSCI is post application of any relevant adjustment factors (e.g. adjustment factors applied due to low
foreign room, Liquidity Adjustment Factors).

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Example:Using the steps mentioned above, in this example the full market
capitalization of the 8008th company of USD 150 million will bechosen as the Equity Universe Minimum Size Requirement.

Company Country
A
a
B
a
C
a
AD
a
AE
b
AF
c
GG
a
AH
a
AL
d
…
…
..
WWW
f
XYZ
g
YYY
f
ZZZZ
f
…
Total

Full Market
Capitalization(USD millions)
400,000
360,000
275,000
250,000
240,000
235,000
230,000
225,000
210,000
…
…
..
1,000
150
125
100
…

Free FloatAdjusted Market
Capitalization(USD millions)
400,000
360,000
250,000
250,000
190,000
95,000230,000
225,000
210,000
…
…
..
250
130
125
100
…
31,000,000

Cumulative Free
Float-Adjusted
MarketCapitalization
Coverage
1.29%
2.45%
3.26%
4.06%
4.68%
4.98%
5.73%
6.45%
7.13%
…
…
..
98.99%
99.00%
99.01%
99.01%…
100.00%Rank ofCompany
1
2
3
4
5
6
7
8
9
…
…
..
8,007
8,008
8,009
8,010
…

At the time of the November 2020 SAIR, the Equity Universe Minimum
Size Requirement was USD 260 million. Companies with full market
capitalizations below this level are not included in any Market
Investable Equity Universe. The Equity Universe Minimum Size
Requirement is reviewed and, if necessary revised, at Semi-Annual
Index Reviews.

2.2.4 Equity Universe Minimum Float-Adjusted Market Capitalization
Requirement
This investability screen is applied at the individual security level. To be eligible forinclusion in a Market Investable Equity Universe, a security must have a free floatadjusted market capitalization equal to or higher than 50% of the Equity Universe
Minimum Size Requirement.

2.2.5 DM and EM Minimum Liquidity Requirement
This investability screen is applied at the individual security level. To be eligible forinclusion in a Market Investable Equity Universe, a security must have at least one© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

eligible listing (as defined in section 2.2.1) that meets the Minimum Liquidity
Requirement defined below, measured by:•

Twelve month and 3-month Annual Traded Value Ratio (ATVR);•

Three month Frequency of Trading.

The ATVR mitigates the impact of extreme daily trading volumes and takes into
account the free float-adjusted market capitalization of securities. The aim of the 12month and 3-month ATVR together with 3-month Frequency of Trading is to selectsecurities with a sound long and short-term liquidity.
A minimum liquidity level of 20% of 3-month ATVR and 90% of 3-month Frequency of
Trading over the last 4 consecutive quarters, as well as 20% of 12-month ATVR are
required for the inclusion of a security in a Market Investable Equity Universe of a
Developed Market. This rule is referred to as the DM Minimum Liquidity Requirement.
A minimum liquidity level of 15% of 3-month ATVR and 80% of 3-month Frequency of
Trading over the last 4 consecutive quarters, as well as 15% of 12-month ATVR are
required for the inclusion of a security in a Market Investable Equity Universe of an
Emerging Market. This rule is referred to as the EM Minimum Liquidity Requirement.
In addition to the ATVR and Frequency of Trading requirements, securities in the
MSCI China Equity Universe will not be eligible for inclusion in the Market Investable
Equity Universe if the securities:•

Are suspended on the Price Cutoff Date (as defined in section 3.1.9 and 3.2.6) of
the Index Review•

Have been suspended for 50 consecutive days or more in the past 12 months6

Only one listing per security may be included in the Market Investable Equity
Universe. In instances when a security has two or more eligible listings that meet theabove liquidity requirements, then the following priority rules are used to determine
which listing will be used for potential inclusion of the security in the Market
Investable Equity Universe:•

Local listing7

6 As of each day from the effective date of the Index Review one year prior to the price cutoff date of the current

Index Review (for example: a non-Index constituent suspended for 50 days as of any day from June 1, 2017, theeffective date of the May 207 SAIR, to April 23, 2018, the price cutoff date of the May 2018 SAIR, would not havebeen eligible for the Investable Market Universe of the May 2018 SAIR).
7 If the security has two or more local listings, then the listing with the highest 3-month ATVR would be used.

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Foreign listing in the same geographical region8•

Foreign listing in a different geographical region9.

Concerning the level of a stock price, there may be liquidity issues for securities
trading at a very high stock price. Hence, a limit of USD 10,000 has been set andsecurities with stock prices above USD 10,000 fail the liquidity screening. This rule
applies only for non-constituents of the MSCI Global Investable Market Indexes.
Consequently, current constituents of the MSCI Global Investable Market Indexes
would remain in the index if the stock price passes the USD 10,000 threshold.
The ATVR10 of each security is calculated in a 3-step process:•First, monthly median traded values are computed using the median daily tradedvalue, multiplied by the number of days in the month that the security traded. The
daily traded value of a security is equal to the number of shares traded during theday, multiplied by the closing price of that security. The median daily traded value
is the median of the daily traded values in a given month.

•

Second, the monthly median traded value of a security is divided by its free floatadjusted security market capitalization at the end of the month for each month,
giving the monthly median traded value ratio.

•

Finally, the 12-month ATVR is obtained by taking the average of the monthly
median traded value ratios of the previous 12 months – or the number of months
for which this data is available (previous 6 months, 3 months or 1 month) – andannualizing it by multiplying it by 12. The 3-month ATVR is obtained by taking the
average of the monthly median traded value ratios of the previous 3 months – orMSCI classifies markets into three main geographical regions: EMEA, Asia Pacific and Americas. If the
security has two or more foreign listings in the same geographical region, then the listing with the highest 3month ATVR would be used.
8

9 If the security has two or more foreign listings in a different geographical region, then the listing with thehighest 3-month ATVR would be used.
10

Notes on ATVR calculation:-

MSCI uses consolidated trading values for securities listed in the USA and Canada and single
exchange trading values for listings in all other markets.

-

Days with no trading volume are excluded when taking the median of the daily traded values.

-

Trading volume and price for liquidity computation will only be captured from eligible exchange.

-

In general, MSCI uses free float-adjusted security market capitalization after the application of any
relevant adjustment factors (e.g. adjustment factors applied due to low foreign room, Liquidity
Adjustment Factors).

-

ATVR values used in the regular Index Reviews as well as the relevant thresholds are not rounded.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

1 month if 3 months of data are not available – and annualizing it by multiplying
it by 12.
The 3-month Frequency of Trading is determined by dividing the number of days asecurity traded during a 3-month period by the maximum possible number of trading
days within this period. If 3 months of data are not available, 1 month of data is used
for the calculation of 3-month Frequency of Trading.
In some circumstances, MSCI may apply relevant adjustments to the liquidity values
obtained in the above algorithm. For example,••

At the time of the regular index reviews, in those cases where the ATVR and/or
Frequency of Trading are the decisive elements that cause the non-addition ordeletion of a security from the Market Investable Universe, the ATVR and
Frequency of Trading of securities that have been suspended during the relevant
period are reviewed to adjust for the suspension days:-

In the case of ATVRs, the suspended days are added back to the number ofdays in the month the security traded to derive the monthly median tradedvalue.

-In the case of Frequency of Trading, the suspended days are excluded fromthe maximum possible number of trading days in the period.

-

When a security is suspended for the entire period of the relevant ATVR or
Frequency of Trading calculations, the respective values for the suspended
period are not calculated and are generally not taken into consideration for
the Index Review. However, non-constituents of the Investable Market Index
are not eligible for the Market Investable Equity Universe if the latest 3-month
ATVR is not calculated due to suspensions.

During a month when IPO occurred, in those cases where the ATVR is thedecisive element that causes the non-addition of a security, MSCI may adjust therelevant monthly median value of the IPO month by considering the market
trading days prior to the listing of the security. Generally, in the month of IPO, thefirst three days of trading are not included in calculating the median of the daily
traded value. Furthermore, there must be at least five trading days, exclusive of
the first three days of trading, for the monthly median value to be calculated in
the month when IPO occurred11.

11 In the cases of initial public offering of China A shares, MSCI may use trading volumes after the limit up

period.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

In the cases of large public offerings that significantly increase a security’s free
float-adjusted market capitalization and liquidity, MSCI may use trading volumes
after the public offering.

•

When determining the potential re-addition of a security that was deleted in theprior 12-months, MSCI may adjust ATVR values by excluding the trading volumesof the month during which the deletion of the security was announced andimplemented.

•

In the cases of securities traded on Saturdays and/or Sundays, MSCI may adjust
ATVR values by including the trading volumes on those days12.

•

In case of an increase in a security’s FIF from zero to non-zero effective at anupcoming regular Index Review or during the relevant ATVR calculation period(e.g. due to an increase in FOL or in any adjustment factor), MSCI may adjust
ATVR values by applying the updated FOL or adjustment factor during the ATVR
calculation period where the FIF was zero.

•

In some cases of FIF changes due to significant FIF corrections, regulatorychanges in Foreign Ownership Limits or methodology changes, MSCI may adjust
ATVR values by applying the updated FIF during the relevant ATVR calculation
period.

2.2.6 Global Minimum Foreign Inclusion Factor Requirement
This investability screen is applied at the individual security level.
To be eligible for inclusion in a Market Investable Equity Universe, a security’s
Foreign Inclusion Factor (FIF) must reach a certain threshold. The FIF of a security isdefined as the proportion of shares outstanding that is available for purchase in the
public equity markets by international investors. This proportion accounts for theavailable free float of and/or the foreign ownership limits applicable to a specificsecurity (or company).
In general, a security must have a FIF equal to or larger than 0.15 to be eligible forinclusion in a Market Investable Equity Universe. This rule is referred to as the Global
Minimum Foreign Inclusion Factor Requirement.
Exceptions to this general rule are made only in the limited cases where theexclusion of securities of a very large company would compromise the Standard
Index’s ability to fully and fairly represent the characteristics of the underlying
12 Liquidity values published in the MSCI product files currently does not consider trading volumes on Saturdays

and/or Sundays.

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market. Please refer to Sub-section 2.3.6 Applying Final Size-Segment Investability
Requirements for more details.

2.2.7 Minimum Length of Trading Requirement
This investability screen is applied at the individual security level.
For an IPO to be eligible for inclusion in a Market Investable Equity Universe, the newissue must have started trading at least three months before the implementation of a
Semi-Annual Index Review. This rule is referred to as the Minimum Length of Trading
Requirement. This requirement is applicable to small new issues in all markets.
Large IPOs and large primary / secondary offerings of non index-constituents are notsubject to the Minimum Length of Trading Requirement and may be included in aMarket Investable Equity Universe and the Standard Index outside of a Quarterly or
Semi-Annual Index Review. Please refer to Sub-section 3.3.4.1: IPOs and Other Early
Inclusions for details.

2.2.8 Minimum Foreign Room Requirement13
This investability screen is applied at the individual security level.
For a security that is subject to a Foreign Ownership Limit (FOL) to be eligible forinclusion in a Market Investable Equity Universe, the proportion of shares stillavailable to foreign investors relative to the maximum allowed (referred to as“foreign room”) must be at least 15%.
For more information on the adjustment applied to securities within the Market
Investable Equity Universe that have foreign room less than 25%, please refer to Subsection 2.3.6.2 for details.

13 Indian securities included in the National Securities Depository Limited’s (NSDL) & Central Depository

Services Limited’s (CDSL) official list of securities for which the Red flag or Breach limit has been reachedwould not be considered for the inclusion in Market Investable Equity Universe. More generally, based on
information available from the country regulatory authority, for securities where further purchase are restricted
due to foreign ownership restriction, the securities would not be considered for the inclusion in Market
Investable Equity Universe.

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2.3

Defining Market Capitalization Size-Segments for Each Market
Once a Market Investable Equity Universe is defined, it is segmented into thefollowing size-based indexes:•

Investable Market Index (Large + Mid + Small).

•Standard Index (Large + Mid)•

Large Cap Index•

Mid Cap Index•

Small Cap Index

The structure of the MSCI Global Investable Market Indexes in each market is
depicted below.

The Investable Market Index, the Standard Index and the Large Cap Index are createdfirst, while the Mid Cap Index is derived as the difference between the Standard Index
and the Large Cap Index and the Small Cap Index is derived as the difference
between the Investable Market Index and the Standard Index.
In order to create size-segments that can be meaningfully aggregated into
composites, the individual Market Size-Segments need to balance the following two
objectives:•

Achieving Global Size Integrity by ensuring that, within a given size-segment of acomposite index, only companies of comparable and relevant sizes are included
across all markets. This can be measured by looking at a size-segment cutoff
relative to a free float-adjusted market capitalization coverage target based on
the Global Investable Equity Universe.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Achieving Consistent Market Coverage by ensuring that each market’s sizesegment is represented in its proportional weight in the composite universe. Thiscan be measured by looking at a size-segment cutoff relative to a consistent andcomparable target size-segment coverage within each market.

It is not possible to achieve both of these objectives consistently and simultaneously
across all markets. Therefore, to balance these objectives, the methodology sets aminimum size cutoff for each size-segment in each market using:•A size range for all markets derived from a free float-adjusted target market
capitalization of the Global Investable Equity Universe, together with•

A target free float-adjusted coverage range set within each individual Market
Investable Equity Universe.

The intersection of these ranges specifies a Size and Coverage Target Area as
depicted below. This is done for each of the three size-segment indexes, namely theInvestable Market Index, the Standard Index, and the Large Cap Indexes.
Full Market Capitalization

Size
Range

Size and Coverage
Target Area

Coverage
Range

Cumulative
Free FloatAdjusted
MarketCoverage

Creating the Size-Segment Indexes in each market involves the following steps:•

Defining the Market Coverage Target Range for each size-segment.

•

Determining the Global Minimum Size Range for each size-segment.

•

Determining the Market Size-Segment Cutoffs and associated Segment Numberof Companies•

Assigning companies to the size-segments.

•

Applying final size-segment investability requirements.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2.3.1 Defining the Market Coverage Target Range for Each Size-Segment
To define the Size-Segment Indexes for a market, the following free float-adjusted
market capitalization Market Coverage Target Ranges are applied to the Market
Investable Equity Universe:•

Large Cap Index:

70% ± 5%.

•

Standard Index:

85% ± 5%.

•Investable Market Index:

99%+1% or -0.5%.

The Mid Cap Index market coverage in each market is derived as the difference
between the market coverage of the Standard Index and the Large Cap Index in thatmarket.
The Small Cap Index market coverage in each market is derived as the difference
between the free float-adjusted market capitalization coverage of the Investable
Market Index and the Standard Index in that market.

2.3.2 Determining the Global Minimum Size Range for Each Size-Segment
The Global Minimum Size Range for each size-segment is determined by defining a
Global Minimum Size Reference for Large Cap, Standard, and Investable Market
Indexes, and specifying a range of 0.5 times to 1.15 times those References.
2.3.2.1 DEFINING THE GLOBAL MINIMUM SIZE REFERENCE
The Global Minimum Size Reference for the Large Cap, Standard, and Investable
Market size-segments are derived in a similar manner to the derivation of the Equity
Universe Minimum Size as follows:•First, the companies in the DM Investable Equity Universe are sorted indescending order of full market capitalization and the cumulative free floatadjusted market capitalization coverage of the DM Investable Equity Universe iscalculated at each company.

•

Then, the respective full market capitalizations of the companies that provide thefollowing cumulative free float-adjusted market capitalization coverage of the
DM Investable Equity Universe are chosen:-

DM Large Cap Index:

70% coverage.

-

DM Standard Index:

85% coverage.

-

DM Investable Market Index:

99% coverage.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

For Emerging Markets, the Global Minimum Size Reference is set at one-half thecorresponding level of full market capitalization used for the Developed Markets
for each size-segment.

The Global Minimum Size References for the Large Cap, Standard, and Investable
Market segments, based on October 19, 2020 data, are set forth below.
The full market capitalization of the company that provides an 85%
cumulative free float-adjusted coverage of the DM Investable Equity
Universe is USD 7.32 billion. This level, therefore, defines the Global
Minimum Size Reference for DM Standard Indexes. Applying therange of 0.5 times to 1.15 times to this Global Minimum Size
Reference gives the Global Minimum Size Range of USD 3.66 billion
to USD 8.42 billion for the DM Standard Indexes. The EM range for
the Standard Indexes, therefore, is USD 1.83 billion to USD 4.21
billion.

Percent of Free Float
Adjusted Market Coverage

Global Minimum Size Reference
Developed Markets Investable
Developed Markets
Emerging & Larger Frontier
Equity Universe
Global Minimum Size Markets Global Minimum Size
Reference
Reference (50% of DM)
Nov-20Nov-20

Universe

Large Cap70%

22,425

11,213

7,322

3,661

639

319

Mid Cap85%

Small Cap99%

All market caps are in USD millions. Data as of the close of October 19, 2020

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2.3.3 Determining the Segment Number of Companies and Associated Market
Size-Segment Cutoffs
The Market Size-Segment Cutoffs are derived by identifying a size cutoff which falls
within, or as close as possible to, the Size and Coverage Target Area for that sizesegment. For each size-segment, for each market, this is achieved as follows:•

The companies in the Market Investable Equity Universe are sorted in descendingorder of full market capitalization.

•

The cumulative free float-adjusted capitalization coverage of the Market
Investable Equity Universe is calculated at each company.

•

MSCI notes the respective full market capitalization of the companies thatprovide the following free float-adjusted market capitalization coverage for the
relevant size-segments:

•

•

-

Large Cap Index:

70%-

Standard Index:

85%.

-

Investable Market Index:

99%.*

If the full market capitalization of the relevant company lies within the Global
Minimum Size Range for the size-segment, then:-

The full market capitalization of the relevant company defines the Market
Size-Segment Cutoff for that size-segment at that point in time.

-

The number of companies with full market capitalization greater than orequal to the relevant company provides the Segment Number of Companies,
which will be used to maintain the indexes over time.

If it is not, then:-

The number of companies is decreased until the full market capitalization of
the smallest company in the size-segment is equal or higher than the lower
bound of the Global Minimum Size Range for that size-segment. Or,-

The number of companies is increased to include all companies with a fullmarket capitalization higher than the upper bound of the Global Minimum
Size Range for that size-segment.

-

The full market capitalization of the last company defines the Market SizeSegment Cutoff for that segment and the Segment Number of Companies is
set to this company’s rank.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

This process is designed to give priority to global size integrity over market coveragein situations where both objectives cannot be achieved simultaneously.
* For the Investable Market Index, at initial construction, the above
process is not followed in order to provide as broad a coverage as
possible without sacrificing size integrity. At initial construction theMarket Size-Segment Cutoffs and associated Segment Number ofCompanies of the Investable Market segment are derived byincluding all companies equal to or larger than the Global Minimum
Size Reference for the Investable Market Indexes. As of October 19,
2020, the Developed Markets Global Minimum Size Reference for theInvestable Market indexes was USD 639 million.
Since Size-Segment Indexes are based on company full market capitalization, all
securities of a company are always classified in the same size-segment. As a result,
there may be more securities than companies in a given size-segment.
The Market Size-Segment Cutoffs and Segment Number of Companies aremaintained daily, and updated at Semi-Annual and Quarterly Index Reviews,
additionally taking into account index stability and continuity rules.

2.3.4 Assigning Companies to the Size-Segments
At initial construction, all companies with full market capitalization greater than orequal to that of the full market capitalization of the company that defines the Market
Size-Segment Cutoff are assigned to that size-segment.
At Semi-Annual and Quarterly Index Reviews, the company assignment rules
additionally take into account, new additions, and index continuity and stability rules.
Between Semi-Annual and Quarterly Index Reviews, the assignment of companies
resulting from corporate events (e.g., mergers, IPOs, spin-offs) to the appropriate
size-segments are based on Market Size-Segment Cutoffs that are updated daily.
This process is described in Sub-section 3.3:

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Ongoing Event-Related Changes.

2.3.5 Determining Market Size-Segment Cutoffs and Assigning Companies to
the Size-Segments: Example
Example:For the USA Standard segment, companies are counted indescending order of full market capitalization starting with the largest
company. Companies continue to be counted until the cumulative
free float-adjusted market capitalization of the companies reaches
85% of the free float-adjusted market capitalization of the US Market
Investable Equity Universe. In this example, the full market
capitalization of the last company counted is within the Global
Minimum Size Range. The rank of this company in the US Market
Investable Equity Universe (645) defines the Segment Number ofCompanies for the size-segment and its full market capitalization(USD 4.1 billion) defines the Market Size-Segment Cutoff between
Standard and Small Cap segments in the US.
6,000

USA

and
HigherSmallest Company in theStandard Index

5,000(90%,4.67 B)

Global Minimum Size Range(80%,4.67 B)

Company Full Market Capitalization

4,000

3,000

2,000

Standard Index Size and Coverage
Target Area

(90%,2.03 B)(80%,2.03 B)
cMarket Coverage Target Range

1,000Standard Index

Small Cap Index

0

93.9%

93.0%

92.1%

90.9%

89.6%

87.9%

86.0%

83.8%

80.8%

77.1%

71.6%

63.2%

50.3%

28.6%

Cumulative Free-Float Adjusted Market Capitalization
Coverage© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Example:For the Hungary Standard segment, companies are counted indescending order of full market capitalization starting with the largest
company. Companies continue to be counted until the cumulative
free float-adjusted market capitalization of the companies reaches
85% of the free float-adjusted market capitalization of the Hungary
Market Investable Equity Universe. In this example, the full market
capitalization of the last company counted is significantly above theupper bound of the Global Minimum Size Range. All companies in
Hungary, above the upper bound are added resulting in the
cumulative free float-adjusted market capitalization coverage above
90%, the upper bound of the Market Coverage Target Range. The
rank of the last company counted (4) defines the Segment Number ofCompanies and its full market capitalization (USD 3.8 billion) defines
the Size-Segment Cutoff between the Hungary Standard and Small
Cap Indexes. The next largest company has a full market
capitalization of USD 941 million, below the lower bound of the Global
Minimum Size Range.
5,000

and
HigherSmallest Company in theStandard Index

Hungary

4,500

4,000

3,000

2,500

(80%, 2.33 B)
Global Minimum
Size Range

Company Full Market Capitalization

3,500

2,000

1,500

1,000

(90%, 2.33 B)
Standard
Index SizeandCoverage
Target Area
(90%,1.01 B)(80%,1.01 B) c

MarketCoverage
Target Range

500

Standard Index

Small Cap Index0

100.0%© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

99.6%

99.0%

97.9%

96.3%

86.2%

77.4%

43.9%

Cumulative Free-Float Adjusted Market Capitalization Coverage

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2.3.6 Applying Final Size-Segment Investability Requirements
To enhance the replicability of Size-Segment Indexes, additional size-segment
investability requirements are set for the Investable Market and the Standard
Indexes.
2.3.6.1 MINIMUM FREE FLOAT MARKET CAPITALIZATION REQUIREMENT
If the Market Size-Segment Cutoff is within the Global Minimum Size Range for theInvestable Market Index, a security can be included in the Investable Market Index
only if its free float-adjusted market capitalization is at least 50% of the Market SizeSegment Cutoff for the Investable Market Index. In the case of the Market SizeSegment Cutoff being above the Global Minimum Size Range upper boundary for theInvestable Market Index, the security’s free float-adjusted market capitalization mustbe at least 50% of the upper boundary of the Global Minimum Size Range for theInvestable Market Index. In the case of the Market Size-Segment Cutoff being below
the Global Minimum Size Range lower boundary for the Investable Market Index, thesecurity’s free float-adjusted market capitalization must be at least 50% of the lower
boundary of the Global Minimum Size Range for the Investable Market Index.
If the Market Size-Segment Cutoff is within the Global Minimum Size Range for theStandard Index, a security can be included in the Standard Index only if its free floatadjusted market capitalization is at least 50% of the Market Size-Segment Cutoff for
the Standard Index. In the case of the Market Size-Segment Cutoff being above the
Global Minimum Size Range upper boundary for the Standard Index, the security’s
free float-adjusted market capitalization must be at least 50% of the upper boundaryof the Global Minimum Size Range for the Standard Index. In the case of the Market
Size-Segment Cutoff being below the Global Minimum Size Range lower boundary for
the Standard Index, the security’s free float-adjusted market capitalization must be atleast 50% of the lower boundary of the Global Minimum Size Range for the Standard
Index. Any company excluded from the Standard Index based on this rule is also
excluded from the Investable Market Index.
For a security with a Foreign Inclusion Factor (FIF) lower than 0.15 to be included in
the Standard Market Index, its free float-adjusted market capitalization must be atleast 1.8 times the minimum free float-adjusted market capitalization required for theStandard Index. Please refer to the Sections 3.1.6.2 and 3.2.1.4 for details on
assessing conformity with the Final Size-Segment Investability Requirements forexisting constituents.

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2.3.6.2 MINIMUM FOREIGN ROOM REQUIREMENT
For a security that is subject to a Foreign Ownership Limit (FOL) to be included in theInvestable Market Index at its entire free-float adjusted market capitalization, theproportion of shares still available to foreign investors relative to the maximum
allowed (referred to as “foreign room”) must be at least 25%. If a security's foreign
room is less than 25% and equal to or higher than 15%, MSCI will use an adjustment
factor of 0.5 to reflect the actual level of foreign room to adjust the security's final
foreign inclusion factor (FIF). As described in Sub-Section 2.2.8, securities will not be
eligible for inclusion in a Market Investable Equity Universe if the foreign room is lessthan 15%.
The adjustment factor will be applied to the security actual FIF to arrive at the final
FIF of the security. Conformity with the minimum free float-adjusted market
capitalization requirements for Investable Market Index constituents will beassessed using the free float-adjusted market capitalization before the application of
the adjustment factor.

2.4

Index Continuity Rules
Index continuity is a desirable feature of an index as it avoids the temporary inclusion
or exclusion of market indexes in composite indexes at different times. In order toachieve index continuity, as well as provide some basic level of diversification withina market index, notwithstanding the effect of other index construction rules
contained herein, a minimum number of five constituents will be maintained for a DM
Standard Index and a minimum number of three constituents will be maintained for
an EM Standard Index. The application of this requirement involves the following
steps.
•

If after the application of the index construction methodology, a Standard Index
contains less than five securities in a Developed Market or three securities in an
Emerging Market, then the largest securities by free float-adjusted market
capitalization among the securities included in the Market Investable Equity
Universe are added to the Standard Index in order to reach five constituents inthat Developed Market or three in that Emerging Market.

•

At subsequent Index Reviews, if after the application of the index maintenancemethodology a Standard Index contains less than five securities in a Developed
Market or three securities in an Emerging Market, then the remaining securities
are selected for inclusion in the Standard Index using the following process:-The securities included in the updated Market Investable Equity Universe are
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021-

These securities are ranked by descending free float-adjusted market
capitalization, however in order to increase index stability the free floatadjusted market capitalization of the securities included in the Standard
Index prior to the index review is multiplied by a factor of 1.5-

The securities are added to the Standard Index in order to reach five
constituents for a Developed Market or three for an Emerging Market in the
ranking order determined in the step above

Please note that the index continuity rules are applicable only to the Standard Market
Indexes. Other indexes, such as Large, Mid or Small Market Indexes or indexes basedon the GICS segmentation may have as little as one constituent. Also such indexes
may be discontinued if there are no constituents left in accordance with the MSCIGIMI methodology. Similarly, MSCI may resume calculation of such indexes if overtime some companies become eligible for inclusion.

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2.5

Constructing and Calculating the Individual MSCI Global
Investable Markets Indexes

2.5.1 Market Size-Segment Indexes
After companies are allocated to their respective Size-Segments (section 2.3.4) andsecurities are reviewed for complying with the Final Size-Segment Requirements(section 2.3.6), the final list of constituents for each of the Market Size-Segment
Indexes is determined.
The MSCI Investable Market Indexes are composed of the MSCI Standard Indexes
and the MSCI Small Cap Indexes. The MSCI Standard Indexes are further subdivided
into the MSCI Large Cap and the MSCI Mid Cap Indexes.
For example, the MSCI USA IMI, MSCI USA Index, MSCI USA Large Cap Index, MSCIUSA Mid Cap Index, MSCI USA Small Cap Index.

2.5.2 Composite Indexes14
Two or more Market Indexes can be combined to form Composite Indexes.
Market Indexes can be grouped either on the basis of Market Classification15
definition, geographical regions, economic regions or other criteria. For example, by
combining all Market Indexes from each Market Classification, i.e. Developed,
Emerging and Frontier Markets, we obtain the MSCI World16, the MSCI Emerging
Markets and the MSCI Frontier Markets Indexes respectively for each size-segment.
Examples of regional or other types of indexes grouping multiple markets are the
MSCI Asia Pacific Index, the MSCI BRIC Index or the MSCI GCC Index. Market
Classification grouping can also be overlaid with regional grouping. Some examples
would be the MSCI EM Asia Index or the MSCI All Countries17 Americas Index. Someregional indexes may be formed by excluding specific markets, for instance, MSCIWorld ex USA Index or the MSCI Asia Pacific ex Japan Index. A list of standard
defined Regions can be found in https://www.msci.com/index-country-membershiptool. MSCI may also create custom regions at client’s request.

14 Composite Indexes covered in this section refer to market capitalization weighted indexes created by

combining individual Market Indexes.
15 Please refer to Appendix II for the MSCI Market Classification Framework.
16 The MSCI World Index is made up of all the Markets Indexes classified as Developed Markets.
17 All Countries include both Developed Markets and Emerging Markets Indexes.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2.5.3 GICS-Based Indexes
All securities in the Global Investable Equity Universe are assigned to the industry
that best describes their business activities. To this end, MSCI has designed, in
conjunction with S&P Dow Jones Indices, the Global Industry Classification Standard(GICS). The GICS currently consists of 11 Sectors, 24 Industry Groups, 69
Industries and 158 Sub-Industries. Under the GICS, each company is assigned
uniquely to one Sub-Industry according to its principal business activity.
Narrower Indexes may be derived from each MSCI Market, Regional or Composite
Indexes based on the industry classification of each company as defined by the
Global Industry Classification Standard (GICS). The indexes may contain securities
belonging to specific Sectors, Industry Groups, Industries, Sub-Industries or a
combination of these. For example, MSCI Japan Energy Index, MSCI Japan Media
Index, MSCI Japan Financials Index. Also, indexes can be created by combining thecountry grouping described in Sub-section 2.5.2 above with GICS classification. As
an illustration, the MSCI EM Asia Utilities Index is a GICS-based Index carved out of abroader Composite Regional Index.

2.5.4 Other Indexes
Indexes can also be segregated based on security attributes such as share type or
exchange of listing, among others. Some examples of Share Type-based Indexes
include the MSCI China B, the MSCI China Red-Chip, the MSCI China P-Chip Indexes
as well as the MSCI DR Indexes (see Appendix XI). The China All Shares ex Shenzhen
Listed Shares Index is an example of an index that is based on the exchange oflisting.

2.5.5 Calculating the MSCI Global Investable Markets Indexes
Once the constituents for each MSCI Market, Regional, Composite and/or GICSbased Indexes are determined, the Index Levels may then be calculated. The MSCI
Index Calculation Methodology book describes MSCI’s general Index calculation
methodology for the MSCI Equity Indexes. For more information, please refer to the
MSCI Index Calculation Methodology document, available at:https://www.msci.com/index-methodology.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

3

Maintaining the MSCI Global Investable Market
Indexes
The MSCI Global Investable Market Indexes are maintained with the objective ofreflecting the evolution of the underlying equity markets and segments on a timely
basis, while seeking to achieve:•

Index continuity,•

Continuous investability of constituents and replicability of the indexes, and•Index stability and low index turnover.

In particular, index maintenance involves:•••

Semi-Annual Index Reviews (SAIRs) in May and November of the Size-Segment
and Global Value and Growth Indexes which include:-

Updating the indexes on the basis of a fully refreshed Equity Universe.

-

Taking buffer rules into consideration for migration of securities across sizeand style segments.

-

Updating Foreign Inclusion Factors (FIFs) and Number of Shares (NOS).

Quarterly Index Reviews (QIRs) in February and August of the Size-Segment
Indexes aimed at:-

Including significant new eligible securities (such as IPOs which were noteligible for earlier inclusion) in the index.

-

Allowing for significant moves of companies within the Size-Segment
Indexes, using wider buffers than in the SAIR.

-

Reflecting the impact of significant market events on FIFs and updating NOS.

Ongoing event-related changes. Changes of this type are generally implemented
in the indexes as they occur. Significantly large IPOs are included in the indexes
after the close of the company’s tenth day of trading.

Any index constructed on the basis of the GIMI methodology may be subject topotential concentration and other limitations resulting from changes in theunderlying markets. Any such potential limitations of an existing methodology may
be assessed as part of the SAIR/QIR process.

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3.1

Semi-Annual Index Reviews in May and November
The objective of the SAIRs is to systematically reassess the various dimensions of
the Equity Universe for all markets on a fixed semi-annual timetable. A SAIR involves
a comprehensive review of the Size-Segment and Global Value and Growth Indexes.
During each SAIR, the Equity Universe is updated and the Global Minimum Size
Range is recalculated for each size-segment. Then, the following index maintenanceactivities are undertaken for each market:•

Updating the Market Investable Equity Universe.

•

Recalculating the Global Minimum Size References and Global Minimum Size
Ranges•Reassessing the Segment Number of Companies and the Market Size-Segment
Cutoffs.

•

Assigning companies to the size-segments taking into account buffer zones.

•

Assessing conformity with Final Size-Segment Investability Requirements.

3.1.1 Updating the Equity Universe
During each SAIR, the Equity Universe is updated by identifying new equity securities
that were not part of the Equity Universe at the previous Quarterly Index Review andclassifying them into countries.
Details on the determination of the Equity Universe are in Sub-section 2.1: Defining
the Equity Universe.

3.1.2 Updating the Market Investable Equity Universes
During each SAIR, the Market Investable Equity Universes are updated by:•

Reviewing the list of countries in which securities may be represented by foreign
listings•

Evaluating each security that is not a constituent of the Investable Market
Indexes for investability using the same investability screens described in Subsection 2.2: Determining the Market Investable Equity Universes. Existing
constituents of the Investable Market Indexes, on the other hand, are evaluatedusing buffers around these investability requirements as explained below.

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3.1.2.1 ELIGIBILITY OF FOREIGN LISTINGS
Foreign listings may become eligible to represent securities only from the countries
that met the Foreign Listing Materiality Requirement during the previous Semi-Annual
Index Review. This requirement is applied to the countries that do not yet include
securities represented by foreign listings.
Please refer to Appendix IV: Foreign Listing Materiality Requirement for further
details.
3.1.2.2 UPDATING THE EQUITY UNIVERSE MINIMUM SIZE REQUIREMENTThe Equity Universe Minimum Size Requirement is updated at each SAIR in thefollowing manner:
The cumulative free float-adjusted market capitalization coverage at the company
rank that was used to define the Equity Universe Minimum Size Requirement at theprevious rebalance is calculated.
If the coverage of the updated DM Equity Universe at that rank falls:•

Between 99% and 99.25%, the Equity Universe Minimum Size Requirement is set
to the current full market capitalization of the company at that rank.

•

Below 99%, the Equity Universe Minimum Size Requirement is reset to the fullmarket capitalization of the company at 99% coverage and the rank of thatcompany is noted for the next rebalance.

•

Above 99.25%, Equity Universe Minimum Size Requirement and rank are reset
based on the full market capitalization of the company at 99.25% coverage.

The same Equity Universe Minimum Size Requirement is used for both Developedand Emerging Markets.
Example:Suppose that at the previous SAIR the Equity Universe Minimum Size
Requirement was set at USD 145 million and reflected the full market
capitalization of the company ranked as the 8008th largest company
by full market capitalization in the DM Equity Universe. Say that in thecurrent SAIR, the full market capitalization of the company at the8008th rank is USD 151 million and the cumulative free float-adjusted
market capitalization representation at that company’s rank is 98.9%.
In addition, suppose the top 8201 companies cover 99.0% of the free
float-adjusted market capitalization and the full market capitalization© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021of the company at the 8201st rank is USD 147 million. Then USD 147
million is set as the new Equity Universe Minimum Size Requirement.
The full market capitalization of the company at the 8201st rank willbe the initial reference for the next SAIR.
New companies are evaluated relative to this updated threshold, whereas all existing
constituents will not be evaluated relative to this investability requirement.
3.1.2.3 UPDATING THE EQUITY UNIVERSE MINIMUM FREE FLOAT–ADJUSTED MARKET
CAPITALIZATIONThe Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement
is calculated as 50% of the updated Equity Universe Minimum Size Requirement.
Non constituents of the IMI are evaluated relative to this updated threshold, whereas
all existing constituents will not be evaluated relative to this investability
requirement.
3.1.2.4 MINIMUM LIQUIDITY REQUIREMENT FOR EXISTING CONSTITUENTS
Non constituents of the Investable Market Indexes are evaluated relative to thethresholds described in section 2.2.5.
An existing constituent of the Investable Market Indexes may remain in a Market
Investable Equity Universe if its 12-month ATVR falls below the Minimum Liquidity
Requirement as long as it is above 2/3rd of the minimum level requirement of 20%
for Developed Markets and 15% for Emerging Markets, i.e., 13.3% and 10%,respectively. In addition, in order to remain in the Investable Market Indexes theexisting constituent must have:•

The 3-month ATVR of at least 5%;•

The 3-month Frequency of Trading of at least 80% for Developed Markets and
70% for Emerging Markets.

If the listing used for an existing constituent no longer meets the above liquidity
requirements, other eligible listings that do meet such liquidity requirements will be
used to represent the security in the Market Investable Equity Universe. If the security
has two or more other eligible listings, the following priority rules would be used todetermine which of such listings will be used to represent the security in the Market
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Local listing18•

Foreign listing in the same geographical region19•

Foreign listing in a different geographical region20.

Changes in listing from a foreign listing to a local listing for existing constituents will
be applied even if the foreign listing still meets the liquidity requirements, in cases
where the local listing has a 12-month ATVR above two times the minimum level
requirement of 20% for Developed Markets and 15% for Emerging Markets, i.e., 40%
and 30%, respectively. Such changes from a foreign listing to a local listing forexisting index constituents will only be considered when data from previous twelve
months is available for calculation of the 12-month ATVR.
If an existing constituent of a Standard Index in Emerging Markets fails to meet theliquidity requirements, but has a weight of more than 10% in the respective country
index and its float adjusted market capitalization is above 0.5 times the Global
Minimum Size Reference for Emerging Markets, then such constituent will remain in
the index. However, MSCI would apply a Liquidity Adjustment Factor of 0.5 to theweight of the security, and in the subsequent index review, MSCI:•

Would delete the security from the index if the security does not meet all liquidity
requirements for existing constituents calculated after applying the Liquidity
Adjustment Factor or•

Would maintain the security in the GIMI and remove the Liquidity Adjustment
Factor if the security meets all the liquidity requirements for new constituents,
calculated before applying the Liquidity Adjustment Factor for two consecutive
Semi-Annual Index Reviews or•

Would continue maintaining the security in the GIMI with the Liquidity Adjustment
Factor of 0.5 if none of the above conditions are met

18 If the security has two or more local listings, then the listing with the highest 3-month ATVR would be used.
19 MSCI classifies markets into three main geographical regions: EMEA, Asia Pacific and Americas. If the

security has two or more foreign listings in the same geographical region, then the listing with the highest 3month ATVR would be used.
20 If the security has two or more foreign listings in a different geographical region, then the listing with thehighest 3-month ATVR would be used.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

3.1.2.5 GLOBAL MINIMUM FOREIGN INCLUSION FACTOR REQUIREMENT
New securities with a FIF lower than 0.15 are included in the Market Investable Equity
Universe if their free float-adjusted market capitalization meets 1.8 times half of theStandard Index Interim Market Size-Segment Cutoff. Interim Market Size-Segment
Cutoffs are calculated daily in order to determine eligibility for early inclusion of
securities. They are based on the current Market Investable Equity Universe (pleaserefer to section 3.3.1: Determining the Interim Market Size-Segment Cutoffs for Daily
Maintenance for more details).
All existing constituents will not be evaluated relative to this investability
requirement.
3.1.2.6 MINIMUM FOREIGN ROOM REQUIREMENT
New securities that are subject to a Foreign Ownership Limit (FOL) are eligible forinclusion in the Market Investable Equity Universe if foreign room of the securities is
at least 15%. All existing constituents will not be evaluated relative to thisinvestability requirement.

3.1.3 Recalculating the Global Minimum Size References and Global Minimum
Size Ranges
The Global Minimum Size References and corresponding ranges are reset at the
SAIRs using a process similar to the one used to update the Equity Universe
Minimum Size Requirement. More details may be found in Appendix IX: Updating the
Global Minimum Size References and Ranges.

3.1.4 Reassessing the Segment Number of Companies and the Market SizeSegment Cutoffs
The Segment Number of Companies and the corresponding Market Size-Segment
Cutoffs are updated to account for changes in each Market Investable Equity
Universe.
3.1.4.1 DETERMINING INITIAL SEGMENT NUMBER OF COMPANIES
If the Interim Market Size-Segment Cutoff21 is equal to or above the lower bound of
the Global Minimum Size Range, then the Initial Segment Number of Companies is
21 The Interim Market Size-Segment Cutoff during SAIR is calculated the same way as the Interim Market Size-

Segment Cutoffs, which are reported daily, however the Number of Shares and Foreign Inclusion factor post
SAIR are used in the calculations and the value is not limited by the Global Minimum Size Range. Furthermore,
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

equal to the number of companies in the updated Investable Equity Universe with thefull company market capitalization equal to or above the Interim Market SizeSegment Cutoff. If the Interim Market Size-Segment Cutoff is below the lower boundof the Global Minimum Size Range, then the Initial Segment Number of Companies isequal to the sum of:•

The number of companies in the updated Investable Equity Universe with the fullcompany market capitalization equal or above the lower bound of the Global
Minimum Size Range and;•The number of companies in the updated Equity Investable Universe that werealso part of the corresponding Size-Segments prior to the SAIR with the fullmarket capitalization below the Global Minimum Size Range, but equal to or
above the Interim Market Size-Segment Cutoff.

This Initial Segment Number of Companies takes into account the newly eligible
companies as well as deletions from the updated Equity Investable Universe.
3.1.4.2 CHANGES IN THE SEGMENT NUMBER OF COMPANIESThe full market capitalization of the company ranked in the updated Market
Investable Equity Universe at the Initial Segment Number of Companies and thecumulative free float-adjusted market capitalization coverage at this company rank
are used to verify that the Initial Segment Number of Companies falls either:•

within the Size and Coverage Target Area for the Size-Segment Index or•within the Lower or Upper Size Range Boundary Proximity Areas, which spanfrom 0.5 times to 0.575 times and from one time to 1.15 times the Global
Minimum Size Reference respectively (please refer to the diagram below for
more details).

If it does, the Segment Number of Companies post SAIR becomes equal to this Initial
Segment Number of Companies, and the full market capitalization corresponding to
the smallest company in the Segment Number of Companies becomes the Market
Size-Segment Cutoff for that market and is used in this SAIR. The Segment Numberof Companies is also equal to the Initial Segment Number of Companies in the cases
when the full company market capitalization of the company corresponding to theInitial Segment Number of Companies is above the Global Minimum Size Range andMinimum Size Requirement, then the Interim Market Size-Segment Cutoff is set to the Equity Universe Minimum
Size Requirement.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

there are no investable companies between this company and the upper boundary of
the Global Minimum Size Range.

Changing Segment Number of Companies
Full Market Capitalization

Nb. of Companies

1.15x GMSR

Upper Size Range Boundary Proximity Area

GMSR

0.575X GMSR
Low er Size Range Boundary Proximity Area
0.50X GMSR

80%

85%

90%

Cumulative Free Float-Adjusted Market Coverage

Additions

No Changes

Deletions

If the Initial Segment Number of Companies falls outside of the size and coveragetarget area, the Initial Segment Number of Companies is changed to bring it closer tothe area. In making this change, consideration is given to index stability and index
turnover, which may impact the ability of Market Size-Segment Cutoffs to fall within
the Size and Coverage Target range.
Depending on the location of the Market Size-Segment Cutoff derived from the Initial
Segment Number of Companies relative to the Size and Coverage Target Area, anincrease in, or a reduction of, the Segment Number of Companies may be required.
•

When the Market Size-Segment Cutoff is above the upper boundary of the Global
Minimum Size Range and there are investable companies between the company
corresponding to the Initial Segment Number of Companies and the upperboundary of the Global Minimum Size Range, or the Market Size-Segment Cutoff
is below the lower boundary of the Market Coverage Target Range, additions to
the Size-Segment Index are needed.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

When the Market Size-Segment Cutoff is below the lower boundary of the Global
Minimum Size Range, or above the Market Coverage Target Range, deletions
from the Size-Segment Index are needed.

The process for adjusting the Segment Number of Companies is as follows:•

If additions to the Segment Number of Companies are required:-

The number of companies is increased to include all companies with a fullmarket capitalization higher than the upper boundary of the Global Minimum
Size Range.

-

The number of companies is increased to include all companies with a fullmarket capitalization higher than the upper limit of the Lower Size Range
Boundary Proximity Area, if any, that are required to reach the lower boundaryof the Market Coverage Target Range.22-

The additions are made in descending order of full market capitalization.
The full market capitalization of the last added company then becomes theMarket Size-Segment Cutoff. If the full market capitalization of the last added
company is above the upper boundary of the Global Minimum Size Rangethen the Market Size-Segment Cutoff is set at this upper boundary of the
Global Minimum Size Range.

•

If a reduction of the Segment Number of Companies is required to reach the Size
and Coverage Target Area, limits are placed on the decrease in the number ofcompanies, to further enhance index stability. These limits are implemented in
the following steps:•

First, a reduction of no more than 5% of the Initial Segment Number ofCompanies is made to bring the Market Size-Segment Cutoff into compliancewith the Size and Coverage Target Area. Only the companies with full company
market capitalization lower than the lower limit of the Upper Size Range
Boundary Proximity Area can be removed.23-

If this reduction brings the Market Size-Segment Cutoff into compliance with
the Global Minimum Size Range, or removes at least half the free floatadjusted market capitalization that lies between the smallest company

22 This step is implemented even if it brings the Market Size-Segment Cutoff from below the lower boundary of

the Market Coverage Target Range to above the upper boundary of the Market Coverage Target Range.
23 A company with full market capitalization within the Global Minimum Size Range is not removed if theremoval would bring the Market Size-Segment Cutoff from above the upper boundary of the Market Coverage
Target Range to below the lower boundary of the Market Coverage Target Range.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

before the adjustment of the Initial Segment Number of Companies and thelower bound of the Global Minimum Size Range, no further adjustment isnecessary.
-

If not, then a reduction of not more than 20% of the Initial Segment Numberof Companies is made to remove at most half the free float-adjusted market
capitalization that lies between the smallest company before adjusting theInitial Segment Number of Companies and the lower bound.

-In market segments with a small number of companies, the deletion of thefirst two companies is not subject to the limits described above. 23-

When a limit is placed on the decrease in the number of companies, as
explained above, the full market capitalization of the smallest company in theindex will remain below the lower boundary of the Global Minimum Size
Range. In this case, the Market Size-Segment Cutoff is set at this lower
bound of 0.5 times the Global Minimum Size Reference instead of the size ofthe smallest company.

3.1.5 Assigning Companies to Appropriate Size-Segments
During an SAIR, companies are assigned with the following priority to the SizeSegments until the Segment Number of Companies is achieved:•

Current constituents of a given Size-Segment Index, as well as companies
assigned to this Size-Segment during last Index Review that failed the Final SizeSegment Investability Requirements, greater than or equal to the Market SizeSegment Cutoff.

•

Newly investable companies with a full market capitalization greater than orequal to the Market Size-Segment Cutoff.

•

Companies greater than the upper buffer threshold24 of the lower Size-Segmentthat are:-

Currently in the lower Size-Segment Index or-Assigned to this Size-Segment during last Index Review and failed the Final
Size-Segment Investability Requirement or-

Investable companies during last Index Review that were not assigned to any
Size-Segment.

24 Buffer zones for Size-Segments are explained in more detail in Section 3.1.5.1© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Current constituents of a given Size-Segment Index, as well as companies
assigned to this Size-Segment during the last Index Review that failed the Final
Size-Segment Investability Requirements, in the lower buffer of the Size-Segment
in descending capitalization order, until the threshold of the buffer is reached.

•

The largest companies from the upper buffer of the next lower size-segment.

Once companies have been assigned to the Standard, Large and Investable Market
Segments, companies are then assigned to the Mid and Small Cap Segments. The
Mid Cap Segment comprises the companies that are in the Standard Segment but
not the Large Cap Segment. The Small Cap Segment comprises the companies thatare in the Investable Market Segment but not in the Standard Segment.
3.1.5.1 USING BUFFER ZONES TO MANAGE THE MIGRATION OF COMPANIES BETWEEN SIZESEGMENT INDEXESIn order to better reflect the investment processes of size managers, allow for timely
representation of market developments when securities move far away from sizesegment thresholds, and help control index turnover, buffer zones are used to control
the migration of companies between Size-Segment Indexes.
An existing constituent is generally allowed to remain in its current size-segment
even if its full market capitalization falls below (above) the Market Size-Segment
Cutoff that defines the lower (upper) boundary of its segment, as long as its
company full market capitalization falls within a buffer zone below (above) theMarket Size-Segment Cutoff. The buffer zones at SAIRs are defined with boundaries
of 2/3rd of and 1.5 times the Market Size-Segment Cutoff between two sizesegments. At Quarterly Index Reviews, the buffer zones are set at one half of and 1.8
times the Market Size-Segment Cutoff between two size-segments.
In addition, a Small Cap Entry Buffer Zone is used for the entry in the Small Cap
Indexes of non-current constituents. It is defined with a boundary of 1.5 times theMarket Size-Segment Cutoff for the Investable Market Index. The inclusion in the
Small Cap Indexes of all newly eligible companies above the Investable Market SizeSegment Cutoff could lead to an excessively large number of additions of small
companies. Consequently, non-current constituents within the Small Cap Entry Buffer
Zone which are assigned to the Small Cap Segment are included in the Small Cap
Indexes only to the extent that they replace current constituents which have fallen
below the Small Cap Lower Buffer. The remaining companies are not included in theInvestable Market Indexes, but are still taken into account to determine the Segment
Number of Companies.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

SAIR Buffers

Large CapMid Cap
Upper Buffer (+50%)

Large Cap
Lower Buffer (-33%)
Mid Cap

Small Cap
Upper Buffer (+50%)

Mid Cap/Standard
Lower Buffer (-33%)
Small Cap

Small Cap
Lower Buffer (-33%)

Small Cap
Entry Buffer (+50%)

3.1.6 Assessing Conformity with Final Size-Segment Investability
Requirements
3.1.6.1 FOR NEW CONSTITUENTS
Once companies are assigned to each size-segment, the securities of companies ineach segment are evaluated for conformity with the additional size-segment
investability requirements for each size-segment. The securities of newly eligible
companies and of companies migrating from the lower segment are required tomeet the additional investability requirements as described in Sub-section 2.3.6:
Applying Final Size-Segment Investability Requirements.
In addition, IPOs eligible for early inclusion according to Sub-section 3.3.4.1, and forwhich the effective date of inclusion is either 5 days before the effective date of the
SAIR or 3 days after, will be made effective to coincide with the SAIR. For example,
when the effective date of inclusion of the IPO is November 28 (3 business days

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

before December 1), while the effective date of the SAIR is December 1, the IPO will
be added effective December 1.
For companies trading on a conditional basis (when-issued trading) prior to theirlisting and unconditional trading, MSCI assesses the inclusion of the company in the
MSCI Indexes based on its first day of conditional trading.
3.1.6.2 FOR EXISTING CONSTITUENTS
Existing constituents may remain in the size-segment indexes if they would
otherwise fail the additional investability requirements for Free Float Market
Capitalization described in Section 2.3.6.1 but still meet 2/3rd of the threshold.
Existing constituents of the Small Cap Index must have a FIF of equal to or larger
than 0.15 to remain in the index. Existing constituents of the Standard Index with FIF
of less than 0.15 must meet 2/3rd of the 1.8 times of the minimum free float-adjusted
market capitalization required for the Standard Index.
Existing Standard Index constituents in the lower buffer that fail the additional
investability requirements of the Standard Index are moved to the Small Cap Index.
However, if the company has other investable securities that meet the additional
investability requirements of the Standard Index, the company is retained in theStandard Size-Segment and the securities failing the final size-segment investability
requirements are not included in any of the indexes within the MSCI Global
Investable Market Indexes.
Any other Standard Index constituent that fails these requirements is not included inany of the indexes within the MSCI Global Investable Market Indexes.
Current constituent securities for which there is less than 25% foreign room may
have their weight adjusted by the application of an adjustment factor to reflect theiractual level of foreign room.

The post-review adjustment factor depends on the current adjustment factor and theactual level of foreign room of the securities, as shown in the table below:© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Post-review adjustment factor

Current adjustment
factor = 1
Current adjustment
factor = 0.5
Current adjustment
factor = 0.25

foreign room >=25%

15% <= foreign
room < 25%7.5% <= foreign
room < 15%3.75% <= foreign
room < 7.5%

foreign room
<3.75%

1

1

0.5

0.25

0

1

0.5

0.5

0.25

0

1

0.5

0.25

0.25

0

If the foreign room of an existing constituent decreases below 3.75%, then theadjustment factor equals 0.25
In order to preserve index continuity, conformity with the minimum free floatadjusted market capitalization requirements for existing IMI Index constituents will
be assessed using the free float-adjusted market capitalization before theapplication of the adjustment factor. That is, existing constituents of the IMI Index
with FIF (before the application of the adjustment factor) of greater than or equal to0.15 must meet 2/3rd of the minimum free float-adjusted market capitalization
required for the Standard or Small Cap Index to remain in the Standard or Small Cap
Index, respectively. Existing constituents of the Standard Index with FIF (before theapplication of the adjustment factor) of less than 0.15 must meet 2/3rd of the 1.8
times of the minimum free float-adjusted market capitalization required for theStandard Index to remain in the Standard Index.
Conformity with the minimum free float-adjusted market capitalization requirements
for non-current IMI constituents will be assessed using the free float-adjusted market
capitalization after the application of the adjustment factor.
Foreign room level will be reviewed on a quarterly basis coinciding with the regular
MSCI Index Reviews. Generally, an upward movement of the adjustment factor forexisting constituents following a previous reduction in foreign room or index reinclusion of a security deleted as a result of having a foreign room lower than 3.75%
25 Based on information available from the country regulatory authority, the adjustment factor equals 0 for

securities where further purchases are restricted due to foreign ownership restriction. In case of India, MSCI
monitors securities appearing on the National Securities Depository Limited’s (NSDL) & Central Depository
Services Limited’s (CDSL) official list of securities for which the Red flag or Breach limit has been reached on adaily basis. MSCI deletes securities from the MSCI India Indexes that are (i) Appearing on the Breach list (ii)Appearing on the Red Flag/Caution list and have foreign room below 3.75% by giving 2 business days’ notice. In
the case of Mexico, MSCI monitors the foreign investments under the Neutral Trust Program (NTP). The NTP
structure mandates foreign investors to acquire shares only through it. MSCI deletes securities from the MSCI
Mexico Indexes having foreign room below 3.75% by giving 2 business days’ notice.

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will only be considered 12 months after the weight reduction or deletion; unless the
upward movement of the adjustment factor is primarily driven by a change in FOL
and provided that the increase in FOL26 happened prior to the Price Cutoff Date of theprevious Index Review described in Sections 3.1.9(ii) for Semi-Annual Index Reviews
and 3.2.6(ii) for Quarterly Index Reviews.
For example, to be considered for the May SAIR, the potential increase in FOL musthave happened before the Price Cutoff Date of the February QIR.
During a regular Index Review, for any existing IMI constituents whose weight isdecreased as a result of a change in the adjustment factor due to low foreign room,
MSCI will continue to monitor any potential increased foreign room due to anincrease in FOL26 until five business days before the effective date of that Index
Review.

3.1.7 Semi-Annual Index Review of Changes in Foreign Inclusion Factors (FIFs)
During a SAIR, changes in FIFs can result from:•

The implementation of the Annual Full Country Float Review at the May SAIR.
Once a year a detailed review of the shareholder information used to estimate
free float for constituent and non-constituent securities is carried out for eachcountry. The review is comprehensive, covering all aspects of shareholder
information27.

•

Changes in FIFs that result from events that occurred in the course of the pastquarter following events that are identical to those typically implemented during
Quarterly Index Reviews, as outlined in Sub-section: 3.2.4. Quarterly Index Review
of Changes in FIF, including the thresholds mentioned in the footnote for large
market transactions•

FIF changes are reflected in the indexes provided the change in free float is morethan 1%28.

Applicable only for securities still subject to FOLs. For example, if the FOL increases to 100% (i.e., FOL is nolonger applicable) prior to the Price Cutoff Date, it will be reflected in the upcoming Index Review. In the case ofIndia, MSCI would consider potential increases in FOL based on data published by Central Depository Services
Limited’s (CDSL) and National Securities Depository Limited’s (NSDL). For securities that are not covered by thelist provided by the CDSL/NSDL, FOL will be determined based on publicly available data.
26

27 Secondary offerings and block sales below implementation thresholds at the time of the event will bereflected at the subsequent May SAIR.
28 The 1% threshold does not apply in cases of corrections.

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3.1.8 Semi-Annual Index Review of Changes in Number of Shares (NOS)
During a SAIR, changes in NOS may result from events that occurred or were notcaptured in the course of the previous quarter. These are identical to those typically
implemented during Quarterly Index Reviews (QIRs), as outlined in Sub-section 3.2.5:
Quarterly Index Review of Changes in Number of Shares (NOS).

3.1.9 Date of Data Used for Semi-Annual Index Review
The standard data cutoff dates for the May and November SAIRs are as follows:•

Equity Universe Cutoff Date: the last business day of February for the May SAIR
and the last business day of August for the November SAIR, respectively. This is
the relevant cutoff date for:-

Data used to update the Equity Universe as per Sub-section 2.1: Defining theEquity Universe;-

Data used for calculating the updated Equity Universe Minimum Size
Requirement as per Sub-section 3.1.2.2: Updating the Equity Universe
Minimum Size Requirement;-

Data used to update FIFs during the Annual Float Review (May SAIR only) as
per Sub-section 3.1.7: SAIR of Changes in FIFs;-

Data used to update NOS as per Sub-section 3.2.5: Quarterly Index Review ofchanges in Number of Shares (NOS).

•

Liquidity Cutoff Date: the last business day of March for the May SAIR and thelast business day of September for the November SAIR, respectively. This is therelevant cutoff date for data used for the liquidity calculations, such as ATVRs
and frequency of trading.

•Price Cutoff Date: any one of the last 10 business days of April for the May SAIR
and of October for the November SAIR, respectively. This is the relevant cutoff
date for:•-Prices used for calculating market capitalization;-

Data used to update FIFs as per Sub-section 3.2.4: Quarterly Index Review ofchanges in FIFs;-

Data used to incorporate all foreign room changes.

In addition, the FIF and NOS are fully reviewed and updated as of the Price Cutoff
Date for additions to the Standard/Small Cap Size-Segments, additions to the© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Micro Cap Index and deletions from the Standard Size-Segment as part of theIndex Review.
A business day is defined as a day from Monday to Friday where markets
cumulatively constituting more than 80% of the MSCI All Countries World Index free
float-adjusted market capitalization are expected to be open on the basis of asecurity’s country of listing29.
As a general rule, price movements after the Price Cutoff Date will not impact theresults of the index review. However, in cases of extraordinary events or news related
to a specific company identified as a migration between the size-segments or as anaddition to the IMI based on the index review Price Cutoff Date MSCI may decide notto change the company’s size-segment allocation. In such instances, the company
would either be maintained in its current size-segment or not added to the IMI.
Examples of such extraordinary events or news are allegations of fraud, falsificationof accounting data or news on a takeover bid resulting in a significant reduction (orincrease) in company’s market capitalization between the index review Price Cutoff
Date and the announcement date or/and in its suspension for an undetermined
period. Market cap fluctuations or suspensions of trading after the index review
announcement date typically would not result in the reversion of an alreadyannounced decision on the company’s size-segment allocation. The policy on
implementation of the index review changes for securities suspended around theindex review implementation dates is stated in Appendix VII of this document.
MSCI monitors the full company market capitalization (issuer level) of companies in
the Market Investable Equity Universes on a monthly basis as a part of its ongoing
maintenance. As a reminder, the full company market capitalization is the aggregate
security market capitalization of all listed securities of an issuer that are included in
the MSCI Equity Universe, as well as all unlisted securities of such issuer that exhibit
characteristics of equity securities.
Full company market capitalization = Σ (Number of shares of listed security
lines*Price) + Σ (Number of shares of unlisted security lines*Price of reference listed
security line*Conversion factor).
The conversion factor is an estimate of the economic value of the unlisted shares
relative to the economic value (i.e., price) of the reference listed shares. Generally,
MSCI uses publicly available information such as the exchange ratio of unlisted
shares to the listed shares, relative dividend rights or relative par value, among
29 Currently, only Stock Connect eligible China A shares are included in the MSCI GIMI. Therefore, the China A

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others, to derive this conversion factor. Unlisted securities with no economic rights
are not included in the computation of full company level market capitalization.
Additional securities of existing index constituents identified by the tenth business
day of a given month will be introduced on the third business day of the following
month. Please note that Number of Shares (NOS), Foreign Inclusion Factors (FIF)
and weights in the MSCI indexes are not affected by the updates.
Please note that updates due to ongoing maintenance of securities’ share classes,
share types and alternate listings are implemented on the third business day of themonth.
Please refer to Appendix VIII: Policy Regarding Trading Suspensions and Market
Closures during Index Reviews for details on MSCI’s policy regarding market
closures during index reviews.

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3.2

Quarterly Index Reviews in February and August
QIRs are designed to ensure that the indexes continue to be an accurate reflection of
the evolving equity marketplace. This is achieved by a timely reflection of significant
market driven changes that were not captured in the index at the time of their actual
occurrence but are significant enough to be reflected before the next SAIR.
QIRs may result in:•

Additions or deletions due to migration to another Size-Segment Index•

Addition of significant new investable companies to the Standard Index•

Deletion of companies from the Investable Market Indexes due to low liquidity•

Changes in FIFs and in NOS.

The buffer zones used to manage the migration of companies from one segment toanother are wider than those used in the SAIR. The style classification is reviewed
only for companies that are reassigned to a different size-segment.

3.2.1 Quarterly Index Review of Size-Segment Migrations
During each Quarterly Index Review, the following index maintenance activities are
performed to identify migrations from one Size-Segment to another:•

Updating the Global Minimum Size References and Global Minimum Size Ranges.

•

Reassessing the Market Size-Segment Cutoffs.

•

Assigning companies to the Size-Segment Indexes.

•

Assessing conformity with Final Size-Segment Investability Requirements.

3.2.1.1 UPDATING THE GLOBAL MINIMUM SIZE REFERENCES AND GLOBAL MINIMUM SIZERANGESThe Global Minimum Size Range is reset at the QIR by recalculating the Global
Minimum Size Reference based on the existing DM Investable Equity Universe,
excluding any newly eligible companies, as described in Appendix IX: Updating the
Global Minimum Size References and Ranges.
3.2.1.2 REASSESSING THE MARKET SIZE-SEGMENT CUTOFFSThe Market Size-Segment Cutoff is determined as the full market capitalization of
the company ranked in the Market Investable Equity Universe, excluding any newly
eligible companies, at the Segment Number of Companies for the relevant segment.

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The buffer ranges at the QIR are set up to +80% above and down to -50% below theMarket Size-Segment Cutoff between two size-segments.
3.2.1.3 ASSIGNING COMPANIES TO APPROPRIATE SIZE-SEGMENTS
During a QIR, companies in the Market Investable Equity Universe are preliminarily
assigned to the Size-Segment Indexes until the Segment Number of Companies isachieved with the following priority:•

Current constituents of a given Size-Segment Index, as well as companies
assigned to this Size-Segment during last Index Review that failed the Final SizeSegment Investability Requirements, greater than or equal to the Market SizeSegment Cutoff.

•

Companies in the lower Size-Segment Index, as well as companies assigned tothis Size-Segment during last Index Review and failed the Final Size-Segment
Investability Requirements, greater than the upper buffer threshold of the lower
size-segment.

•

Current constituents of a given Size-Segment Index, as well as companies
assigned to this Size-Segment during the last Index Review that failed the Final
Size-Segment Investability Requirements, in the lower buffer of the Size-Segment
in descending capitalization order, until the threshold of the buffer is reached.

•

The largest companies from the upper buffer of the next lower size-segment.

However, companies that would migrate from the lower Size-Segment Index but are
below the lower bound of the Global Minimum Size Range, as well as companies thatwould migrate from upper Size-Segment but are above the upper bound of the Global
Minimum Size Range, are retained in their current Size-Segment. The Segment
Number of Companies is increased or decreased accordingly.
Once companies have been assigned to the Standard, Large and Investable Market
Indexes, companies are then assigned to the Mid and Small Cap Indexes. The Mid
Cap Index comprises the companies that are in the Standard Index but not the Large
Cap Index. The Small Cap Index comprises the companies that are in the Investable
Market Index but not in the Standard Index.
3.2.1.4 ASSESSING CONFORMITY WITH FINAL SIZE-SEGMENT INVESTABILITY REQUIREMENTS
Once the securities are assigned to the appropriate Size-Segment Indexes, thesecurities that migrate from the Small Cap Indexes to the Standard Indexes areevaluated for compliance with the additional investability requirements for the© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Standard Index. Please refer to Sub-section 2.3.6: Applying Final Size-Segment
Investability Requirements.
Similarly to the foreign room treatment during SAIRs, current constituent securities
for which there is less than 25% foreign room may have their weight adjusted by theapplication of an adjustment factor to reflect their actual level of foreign room.
The post-review adjustment factor depends on the current adjustment factor and theactual level of foreign room of the securities, as shown in the table below:
Post-review adjustment factor

Current adjustment
factor = 1
Current adjustment
factor = 0.5
Current adjustment
factor = 0.25

foreign room >=25%

15% <= foreign
room < 25%7.5% <= foreign
room < 15%3.75% <= foreign
room < 7.5%

foreign room
<3.75%

1

1

0.5

0.25

0

1

0.5

0.5

0.25

0

1

0.5

0.25

0.25

0

If the foreign room of an existing constituent decreases below 3.75%, then theadjustment factor equals 0.30
Foreign room level will be reviewed on a quarterly basis coinciding with the regular
MSCI Index Reviews. Generally, an upward movement of the adjustment factor forexisting constituents following a previous reduction in foreign room or index reinclusion of a security deleted as a result of having a foreign room lower than 3.75%
will only be considered 12 months after the weight reduction or deletion; unless the
upward movement of the adjustment factor is primarily driven by a change in FOL
and provided that the increase in FOL31 happened prior to the Price Cutoff Date of theprevious Index Review described in Sections 3.1.9(ii) for Semi-Annual Index Reviews
and 3.2.6(ii) for Quarterly Index Reviews.

Based on information available from the country regulatory authority, the adjustment factor equals 0 for
securities where further purchases are restricted due to foreign ownership restriction. In case of India, MSCI
monitors securities appearing on the National Securities Depository Limited’s (NSDL) & Central Depository
Services Limited’s (CDSL) official list of securities for which the Red flag or Breach limit has been reached on adaily basis. MSCI deletes securities from the MSCI India Indexes that are (i) Appearing on the Breach list (ii)Appearing on the Red Flag/Caution list and have foreign room below 3.75% by giving 2 business days’ notice. In
the case of Mexico, MSCI monitors the foreign investments under the Neutral Trust Program (NTP). The NTP
structure mandates foreign investors to acquire shares only through it. MSCI deletes securities from the MSCI
Mexico Indexes having foreign room below 3.75% by giving 2 business days’ notice.
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For example, to be considered for the February QIR, the potential increase in FOL
must have happened before the Price Cutoff Date of the November SAIR.
During a regular Index Review, for any existing IMI constituents whose weight isdecreased as a result of a change in the adjustment factor due to low foreign room,
MSCI will continue to monitor any potential increased foreign room due to anincrease in FOL 31 until five business days before the effective date of that Index
Review.
Securities that are part of the Market Investable Equity Universe, but did not meet
additional investability requirements at the previous SAIR are not added to theInvestable Market Indexes as part of the QIR, unless they meet the criteria outlined in
section 3.2.2.

3.2.2 Quarterly Index Review of Addition of Companies Currently not
Constituents of the Investable Market Indexes
Securities that are currently not constituents of the Investable Market Indexes andthat meet the investability screens described in Sub-section 2.2 (with the exceptionof the Minimum Length of Trading Requirement), including large IPOs that were notadded earlier, and in addition meet the requirements listed below, are added to theStandard Index:•

A full market capitalization that exceeds 1.8 times the Interim Market SizeSegment Cutoff for the Standard Size-Segment•

A free float-adjusted market capitalization that exceeds 1.8 times one-half theInterim Market Size-Segment Cutoff for the Standard Size-Segment

These companies are assigned to the Large Cap Index if their full market
capitalization exceeds the Interim Market Size-Segment Cutoff for the Large Cap
Size-Segment; they are assigned to the Mid Cap Index otherwise.
In addition, IPOs eligible for early inclusion according to Sub-section 3.3.4.1, and forwhich the effective date of inclusion is either 5 days before the effective date of the
QIR or 3 days after, will be made effective to coincide with the QIR. For example,
when the effective date of inclusion of the IPO is August 29 (3 business days before

31 Applicable only for securities still subject to FOLs. For example, if the FOL increases to 100% (i.e., FOL is nolonger applicable) prior to the Price Cutoff Date, it will be reflected in the upcoming Index Review. In the case ofIndia, MSCI would consider potential increases in FOL based on data published by Central Depository Services
Limited’s (CDSL) and National Securities Depository Limited’s (NSDL). For securities that are not covered by
the list provided by the CDSL/NSDL, FOL will be determined based on publicly available data.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

September 1), while the effective date of the QIR is September 1, the IPO will be
added effective September 1.
For companies trading on a conditional basis (when-issued trading) prior to theirlisting and unconditional trading, MSCI assesses the inclusion of the company in the
MSCI Indexes based on its first day of conditional trading.

3.2.3 Quarterly Index Review of Deletion of Companies Currently Constituentsof the Investable Market Indexes
Existing constituents of the Investable Market Indexes can remain in the Investable
Market Indexes only if:•

The 3-month ATVR and Frequency of Trading are at least 5% and 80%
respectively for Developed Markets•

The 3-month ATVR and Frequency of Trading are at least 5% and 70%
respectively for Emerging Markets

If the listing used for an existing constituent no longer meets the above liquidity
requirements, other eligible listings that do meet such liquidity requirements will be
used to represent the security in the Market Investable Equity Universe. If the security
has two or more other eligible listings, the following priority rules would be used todetermine which of such listings will be used to represent the security in the Market
Investable Equity Universe:•

Local listing32•

Foreign listing in the same geographical region33•

Foreign listing in a different geographical region34.

If an existing constituent of a Standard Index in Emerging Markets fails to meet theliquidity requirements, but has a weight of more than 10% in the respective country
index and its free float adjusted market capitalization is above 0.5 times the Global
Minimum Size Reference for Emerging Markets, then such constituent will remain in

32 If the security has two or more local listings, then the listing with the highest 3-month ATVR would be used.
33 MSCI classifies markets into three main geographical regions: EMEA, Asia Pacific and Americas. If the

security has two or more foreign listings in the same geographical region, then the listing with the highest 3month ATVR would be used.
34 If the security has two or more foreign listings in a different geographical region, then the listing with thehighest 3-month ATVR would be used.

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the index. However, MSCI would apply a Liquidity Adjustment Factor of 0.5 to theweight of the security, and in the subsequent index review, MSCI:•

Would delete the security from the index if the security does not meet all liquidity
requirements for existing constituents calculated after applying the Liquidity
Adjustment Factor; or•Would maintain the security in the GIMI and remove the Liquidity Adjustment
Factor if the security meets all the liquidity requirements for new constituents,
calculated before applying the Liquidity Adjustment Factor for two consecutive
Semi-Annual Index Reviews; or•Would continue maintaining the security in the GIMI with the Liquidity Adjustment
Factor of 0.5 if none of the above conditions are met.

3.2.4 Quarterly Index Review of Changes in FIFs
Changes in free float estimates and corresponding FIFs resulting from the following
events are reflected in the indexes on a quarterly basis at the February, May, Augustand November Index Reviews, provided the change in free float is more than 1% or incases of corrections.
•

Events that are supposed to be implemented at the time of the event as per the
MSCI Corporate Events Methodology but that could not be reflected immediately
in the MSCI indexes (e.g., due to lack of publicly available details about the eventat the time of the event).

•

Increases in Foreign Ownership Limits (FOLs).

•

Decreases in FOLs which did not require foreign investors to immediately sellshares in the market.

•

Re-estimations of free float figures resulting from the reclassification ofshareholders from strategic to non-strategic (and vice versa).

•

End of lock-up periods or expiration of loyalty incentives for shareholders used indetermination of free float by MSCI, which lead to changes in free float.35

35 These changes will be implemented as part of the Index Review following the completion of the event

provided the results of the event are publicly available prior to the Price Cutoff Date of that Index review and ifthey satisfy one of the following conditions, including potential updates, when the event is completed:•

The absolute size of the FIF change is 0.15 or more, or•

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Exercise of IPO over-allotment options which result in changes in the NOS or the
FIF . For existing constituents of the Investable Market Indexes (IMI), only
sizeable over-allotments will be reflected. 35

FIF changes resulting from the above events are implemented as part of a given
Index Review if the events take place prior to the Price Cutoff Date (as defined in
Sub-Section 3.1.9 for SAIRs and 3.2.6 for QIRs) of that Index Review. For the
impacted securities, the FIF and Number of Shares (NOS) are monitored and updated
right up to the Price Cutoff Date.
In cases of changes effective after the Price Cutoff Date, the implementation would
generally be postponed to the next closest Index Review.
MSCI may implement the changes as part of a given Index Review even if they are
effective after the Price Cutoff Date. Such changes may be announced by MSCI until
3 business days before the Index Review effective date.

3.2.5 Quarterly Index Review of Changes in Number of Shares (NOS)
Changes in NOS resulting from the following events are generally updated on aquarterly basis at the February, May, August and November Index Reviews rather
than at the time of the event, provided the absolute NOS change is at least 1,000
shares or relative NOS change is at least 0.02%:•

Exercise of options or warrants and employee stock option plans.

•Conversion of convertible bonds or other instruments, including periodic
conversion of preferred stocks.

•

Conversion of a non-index constituent share class or an unlisted line of shares
which has an impact on index constituents.

•

Periodical conversion of a share class into another share class.
-

USD 1 billion for securities classified in the US.

-

USD 500 million for securities classified in Developed Markets other than the US.

-

USD 200 million for securities classified in the Emerging Markets.

For non-constituents, all changes are implemented as part of the Quarterly Index Review.
Changes that do not meet the above conditions will be implemented as part of the May Semi-Annual Index
Review.
If the changes meet the above conditions but the completion and/or the results of the event are made publicly
available after the Price Cutoff Date of that Index Review, then the implementation of these changes will be
postponed to the next closest Index Review.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Exercise of over-allotment options.

•

Periodic share buybacks.

•

Cancellation of shares.

•

Acquisition for shares of non-listed companies or assets.

•

Other events that could not be implemented on or near the effective dates, andwhere no Price Adjustment Factor (PAF) is necessary.

In addition, for the following events, changes in NOS that are less than 5%, 10% or
25% for Standard constituents (as well as securities assigned to Standard size
segment but failed to be added to the Index), Small Cap constituents (as well as
securities assigned to Small Cap size segment but failed to be added to the Index)
and Micro Cap constituents (as well as listed securities not assigned to any size
segment) respectively of the security’s pre-event number of shares are generally
implemented at the QIRs rather than at the time of the event, in order to minimize
index turnover:•

Private placements and primary equity offerings.

•

Debt-to-equity swaps.

•

Acquisition of listed non-index constituents.

•

Results of rights issue with subscription price greater than or equal to the market
price.

Changes in NOS implemented as part of the QIR could also trigger a review of thefree float of the security36. Any resultant change in FIF would be implemented

36 Free float of the security would be reviewed, provided at least one of the following conditions is satisfied:•

The absolute change in number of shares is greater than or equal to 5% for Standard constituents (as well
as securities assigned to Standard size segment but failed to be added to the Index), 15% for Small Cap
constituents (as well as securities assigned to Small Cap size segment but failed to be added to the Index)
and 25% for Micro Cap Index constituents.

•

The change in security full market capitalization resulting from the number of shares change represents atleast:•-USD 1 billion for securities classified in the Developed Markets.

-

USD 500 million for securities classified in the Emerging Markets.

The absolute change in number of shares is greater than or equal to 25% for listed securities not assigned
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

simultaneously provided they satisfy the QIR implementation thresholds, as outlinedin the footnote to Sub-section 3.2.4: Quarterly Index Review of Changes in FIFs.
The above mentioned changes in NOS, as well as changes in FIF triggered by thechanges in NOS, are implemented as part of a given Index Review if they take placeprior to the Equity Universe Cutoff Date (as defined in Sub-Section 3.1.9 for SAIRs
and 3.2.6 for QIRs) of that Index Review. In cases of changes effective after thatdate, the implementation would generally be postponed to the next closest Index
Review.
MSCI may implement the changes as part of a given Index Review even if they are
effective after the Equity Universe Cutoff Date. Such changes may be announced by
MSCI until 3 business days before the Index Review effective date.

3.2.6 Date of Data Used for Quarterly Index Reviews
The standard data cutoff dates for the February and August QIRs are as follows:•

Equity Universe Cutoff Date: the last business day of November for the February
QIR and the last business day of May for the August QIR, respectively. This is therelevant cutoff date for data used to update NOS as per Sub-section 3.2.5:
Quarterly Index Review of changes in Number of Shares (NOS).

•

Liquidity Cutoff Date: the last business day of December for the February QIR andthe last business day of June for the August QIR, respectively. This is the relevant
cutoff date for data used for the liquidity calculations.

•Price Cutoff Date: any one of the last 10 business days of January for the
February QIR and of July for the August QIR, respectively. This is the relevant
cutoff date:-

For the prices used for calculating market capitalization;-

For data used to update FIFs as per Sub-section 3.2.4: Quarterly Index Review
of changes in FIFs;-

For the data used to incorporate all foreign room changes.

Changes that do not meet the above conditions will be reviewed for float as part of the May Semi-Annual Index
Review.

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In addition, the FIF and NOS are fully reviewed and updated as of the Price Cutoff
Date for additions to the Standard/Small Cap Size-Segments and deletions from theStandard Index as part of the Index Review.
A business day is defined as a day from Monday to Friday where markets
cumulatively constituting more than 80% of the MSCI All Countries World Index free
float-adjusted market capitalization are expected to be open.
As a general rule, price movements after the Price Cutoff Date will not impact theresults of the index review. However, in cases of extraordinary events or news related
to a specific company identified as a migration between the size-segments or as anaddition to the IMI based on the index review Price Cutoff Date MSCI may decide notto change the company’s size-segment allocation. In such instances, the company
would either be maintained in its current size-segment or not added to the IMI.
Examples of such extraordinary events or news are allegations of fraud, falsificationof accounting data or news on a takeover bid resulting in a significant reduction (orincrease) in company’s market capitalization between the index review Price Cutoff
Date and the announcement date or/and in its suspension for an undetermined
period. Market cap fluctuations after the index review announcement date would not
result in the reversion of an already announced decision on the company’s sizesegment allocation. The policy on implementation of the index review changes forsecurities suspended around the index review implementation dates is stated inAppendix VII of this document.
MSCI monitors the full company market capitalization (issuer level) of the Market
Investable Equity Universes on a monthly basis as a part of its ongoing maintenance.
As a reminder, the full company market capitalization is the aggregate security
market capitalization of all listed securities of an issuer that are included in the MSCI
Equity Universe, as well as all unlisted securities of such issuer that exhibit
characteristics of equity securities.
Full company market capitalization = Σ (Number of shares of listed security
lines*Price) + Σ (Number of shares of unlisted security lines*Price of reference listed
security line*Conversion factor).
The conversion factor is an estimate of the economic value of the unlisted shares
relative to the economic value (i.e., price) of the reference listed shares. Generally,
MSCI uses publicly available information such as the exchange ratio of unlisted
shares to the listed shares, relative dividend rights or relative par value, among
others, etc. to derive this conversion factor. Unlisted securities with no economic
rights are not included in the computation of full company level market
capitalization.

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Additional securities identified for existing index constituents by the tenth business
day of a given month will be introduced on the third business day of the following
month. Please note that Number of Shares (NOS), Foreign Inclusion Factors (FIF)
and weights in the MSCI indexes are not affected by the updates.
Please refer to Appendix VIII: Policy Regarding Trading Suspensions and Market
Closures during Index Reviews for details on MSCI’s policy regarding market
closures during index reviews.

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3.3

Ongoing Event-Related Changes
Ongoing event-related changes to the indexes are the result of mergers, acquisitions,spin-offs, bankruptcies, reorganizations and other similar corporate events. They canalso result from capital reorganizations in the form of rights issues, bonus issues,
public placements and other similar corporate events that take place on a continuingbasis. These changes generally are reflected in the indexes at the time of the event.
These corporate events affect many aspects of an index and its constituents,
including inclusion or deletion of companies outside of the Index Reviews, weightchanges due to changes in FOLs, FIFs, NOS, etc., and changes in size, style and/or
industry classification.
To evaluate the impact of changes resulting from events on the assignment ofcompanies into size-segments, it is necessary to maintain the Market Size-Segment
Cutoffs and Segment Number of Companies on a daily basis as described below.
The handling of ongoing event-related changes can be classified in two broad
categories:•

Corporate events affecting existing index constituents, described in Sub-section
3.3.3 below.

•

Corporate events affecting non-index constituents, described in Sub-section 3.3.4
below.

The technical details relating to the handling of specific corporate event types can befound in the MSCI Corporate Events Methodology book available at:https://www.msci.com/index-methodology

3.3.1 Determining the Interim Market Size-Segment Cutoffs for Daily
MaintenanceFor the purpose of determining eligibility for early inclusion of securities, such as
significant IPOs37, and/or assigning a company and its securities post a corporate
event, e.g., mergers and spin-offs, to the appropriate Size-Segment Index an InterimSize-Segment Cutoff is used. To derive this number the following steps are followed:•

The Global Minimum Size References and Global Minimum Size Ranges of theLarge Cap, the Standard, and the Investable Market Indexes are updated daily as

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described in Appendix IX: Updating the Global Minimum Size References andRanges•On a daily basis, each Market Size-Segment Cutoff is set to be the full market
capitalization of the company of the rank equal to the Segment Number ofCompanies for that Size-Segment in the Market Investable Equity Universe.

•

The Interim Market Size-Segment Cutoff is set to:-

The lower bound of the Global Minimum Size Range, if the Market SizeSegment Cutoff is below the lower bound.

-

The upper bound of the Global Minimum Size Range, if the Market SizeSegment Cutoff is above the upper bound.

-

The Market Size-Segment Cutoff, if it is within the Global Minimum Size
Range.

The daily values for the Market Size-Segment Cutoffs, the Segment Number ofCompanies and the Global Minimum Size Range are based on data from the previous
trading day.

3.3.2 Updating the Segment Number of Companies
If a company is added or deleted from a size-segment as a result of a corporate
event, the Segment Number of Companies is correspondingly increased or
decreased.

3.3.3 Corporate Events Affecting Existing Index Constituents
Corporate events can affect existing index constituents in various ways:•

Changes in Foreign Inclusion Factor (FIF), number of shares or industry
classification for existing constituents.

•

Changes in size or style segment classification as a result of a large corporate
event.

•

Early inclusions of non-index constituents.

•

Early deletions of existing index constituents.

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3.3.3.1 CHANGES IN FIF, NUMBER OF SHARES OR INDUSTRY CLASSIFICATION FOR EXISTINGCONSTITUENTS
In order to ensure that the index accurately reflects the investability of the underlying
securities, it is a general policy to coordinate changes in number of shares withchanges in FIF.
When two companies merge, or a company acquires or spins-off another company,
the free float of the resulting entity is estimated on a pro forma basis, using the pro
forma number of shares if applicable, and the corresponding FIF is applied
simultaneously with the event. When there is a subsequent public disclosure
regarding the new shareholder structure, which results in different free float
estimation than that made at the time of the event, the FIF will be updated at the next
Index Review. Other corporate events, which result in a change in shareholder
structure or FOLs and FIFs, are reflected in the indexes simultaneously with theimplementation of the event in the index. Pending NOS and/or float changes, if any,
are implemented simultaneously with the event.
Decreases in FOLs or Foreign Room in which foreign investors are obliged to
immediately sell shares in the market or when further purchases are no longer
allowed will be reflected in the indexes as soon as possible. In cases where the FOLchange results in a FIF decrease below 0.15, the security will be deleted unless it is aStandard Index constituent with free float-adjusted market capitalization meeting atleast 2/3rds of the 1.8 times one half of the Standard Index Interim Size-Segment
Cutoff.
Changes in NOS and FIF resulting from primary equity offerings representing at least
5%, 10% or 25% for Standard constituents (as well as securities assigned to Standard
size segment but failed to be added to the Index), Small Cap constituents (as well as
securities assigned to Small Cap size segment but failed to be added to the Index)
and Micro Cap constituents (as well as listed securities not assigned to any size
segment) respectively of the security’s pre-event number of shares are implemented
as of the close of the first trading day of the new shares, if all necessary information
is available at that time. Otherwise, the event is implemented as soon as practicable
after the relevant information is made available.
MSCI implements pending number of shares and/or free float updates
simultaneously with the event. Note that if the number of shares update is smaller
than +-1% on a post-event number of shares basis, it will be implemented at a
subsequent Index Review.
Note that contrary to secondary offerings, primary equity offerings involve theissuance of new shares by a company.

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Changes in the number of shares smaller than 5%, 10% and 25% are implemented at
a subsequent Index Review. Such cases will be subject to the rules applicable for theIndex Reviews in accordance with the section 3.2.5 of the MSCI GIMI methodology.
Secondary offerings/block sales with sizes representing at least 5%, 10% or 25% forStandard constituents (as well as securities assigned to Standard size segment but
failed to be added to the Index), Small Cap constituents (as well as securities
assigned to Small Cap size segment but failed to be added to the Index) and Micro
Cap constituents (as well as listed securities not assigned to any size segment)
respectively of the security’s pre-event number of shares are implemented at thetime of the event with two full business days advance notification provided thatsufficient post-event information is publicly available.
Secondary offerings/block sales that do not meet the above conditions at the time ofthe event are considered for implementation at the May Semi-Annual Index Review
following the Annual Full Country Float Review. Such cases will be subject to therules applicable for the index reviews in accordance with the section 3.1.7 of the
MSCI GIMI methodology.
Changes in industry classification resulting from a large corporate event are
implemented simultaneously with the event. Other changes in industry
classifications are implemented at the end of the month.
3.3.3.2 CHANGES IN SIZE SEGMENT, STYLE SEGMENT OR INDUSTRY CLASSIFICATION AS A RESULTOF A LARGE CORPORATE EVENT
In order to reflect significant changes in the market capitalization of existing
constituents in the Global Investable Market Indexes and in the World All Cap
Indexes in a timely fashion while minimizing index turnover, the Size-Segmentclassification of a security is reviewed simultaneously with the event, if the market
capitalization change implied by the event, including potential update in the numberof shares for the security, is deemed significant.
A significant market capitalization change is defined as an increase of 50% or
greater, or a decrease of 33% or more, relative to the company’s full market
capitalization before the event.
The company’s post-event full market capitalization is then compared to the InterimSize-Segment Cutoffs in order to determine the classification of that security in theappropriate size-segment. The final decision is taken at the time of the completion of
the event or, if the event is not effective yet, at the time of the confirmed
announcement and is based on the latest market information available at the time of
the analysis, including the latest NOS, FIF, and market prices.

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In addition, the securities must pass the investability screens described in Subsection 2.2 Determining the Market Investable Equity Universes.
Moreover, to be added to the Investable Market Index, the securities must meet theminimum foreign room requirement for the Investable Market Index described in
Sub-section 2.3.6.2 Minimum Foreign Room Requirement.
For a security to be added to the Standard Index, the free float-adjusted market
capitalization must be at least 50% of the Standard Interim Size-Segment Cutoff.
For a security to be added to the Small Cap Index, the free float-adjusted market
capitalization must be at least 50% of the Small Cap Interim Size-Segment Cutoff.
If a Small Cap constituent is considered for a size-segment migration to the Standard
Index due to a significant market capitalization increase, and would qualify to be
included in the Standard Index in terms of full company market capitalization but notin terms of security float-adjusted market capitalization, MSCI may decide tomaintain the company in the Small Cap Index provided that its full company market
capitalization remains below 1.5 times the Standard Interim Size-Segment Cutoff.
However, a World Micro Cap Index constituent is not considered for a size-segment
migration to the Small Cap Index or Standard Index due to a significant market
capitalization increase at the time of the event but at Index Reviews, unless there is amerger or acquisition of a Small Cap Index constituent or a Standard Index
constituent with or by a World Micro Cap Index constituent.
If the company is added to, or removed from a size-segment, then it results in an
increase or a decrease in the Segment Number of Companies for the size-segment.
For these significant events, if the post-event entity moves from being a nonconstituent to a constituent of the Global Investable Market Indexes, the stylecharacteristics and industry classification of the affected securities are reviewed.
The same applies for the post-event entity that migrates from the World Micro Cap
Index or the Small Cap Index to an upper Size-Segment Index. If the post-event entity
moves from the Standard Index to the Small Cap Index or remains in the same SizeSegment Index (with the Large and Mid Cap Indexes being considered as one size
index), the style characteristics and industry classification of the affected securities
are not reviewed. If the post-event entity moves from the Standard Index or Small
Cap Index to the World Micro Cap Index, the style characteristics of the affected
securities are removed as there are no style characteristics for the World Micro Cap
constituents.
The guidelines regarding significant market capitalization changes described above
apply in most corporate events cases. For certain corporate events where the© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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outcome is uncertain such as acquisitions for shares or non-renounceable rights
issues, or combinations of different types of corporate events, or other exceptional
cases, MSCI determines the most appropriate implementation method andannounces it prior to the changes becoming effective in the indexes.
3.3.3.3 EARLY INCLUSIONS OF NON-INDEX CONSTITUENTS
When there is a corporate event affecting index constituents, non-index constituentsthat are involved in the event are considered for immediate inclusion in the MSCI
Global Investable Market Indexes, as long as they meet all the index constituent
eligibility rules and guidelines described in Sub-sections 2.2 and 2.4 with the
exception of the length of trading and liquidity screens.
For example, if a non-constituent company acquires a constituent company, theconstituent company’s securities may be replaced by the securities of the acquiring
company. Similarly, if a constituent company merges with a non-constituent
company, the merged company may replace the constituent company. In addition, if
a constituent’s share class is converted into another share class that is new orcurrently not in the index, this new share class can be included in the index to replace
the current share class. However, when an index constituent is distributing rights toacquire a non-index constituent at a subscription price, MSCI does not include thenon-index constituent at the time of the event, especially if the post-event
information of the new entity is not complete and publicly available.
Such non-index constituents are generally included in the same size-segment andValue and Growth Indexes as the affected index constituents, since they are
considered to be a continuation of the index constituents. However, if the difference
between the post-event market capitalization of the non-index constituents and therespective index constituents is deemed significant, as discussed in Sub-section:
3.3.3.2, a size-segment review is conducted for the non-index constituents. A stylereview is conducted if the non-index constituents are included to different SizeSegment Indexes from the affected index constituents. Thereafter, the non-index
constituents are included in the appropriate Size-Segment Indexes by comparing thecompany’s post-event full market capitalization with the Interim Market SizeSegment Cutoff, and in the appropriate style indexes based on their style attribution
within the relevant Size-Segment Indexes. In particular, the company post-event fullmarket capitalization must be above at least 1 time the Interim Market Size-Segment
Cutoff and the security free float-adjusted market capitalization must be above atleast 50% of the Interim Market Size-Segment Cutoff.
Securities spun-off from existing constituents are also considered for inclusion at thetime of the event. Size-segment review and industry classification review are© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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systematically conducted for all spun-off securities from existing Global Investable
Market Index constituents provided that they pass all the investability screens
described in Sub-section 2.2 with the exception of the length of trading and liquidity
screens. In addition, the free float-adjusted market capitalization of securities added
to the Standard Index must be at least 50% of the Standard Index Interim SizeSegment Cutoff. For a security to be added to the Small Cap Index, the free floatadjusted market capitalization must be at least 50% of the Small Cap Interim SizeSegment Cutoff. Securities spun-off from the World Micro Cap Index are also
considered for inclusion at time of the event, but only for the World Micro Cap Index
size-segment. For a security to be added to the World Micro Cap Index, the free floatadjusted market capitalization must be at least 50% of the Micro Cap Minimum Size
Requirement for Existing Constituents as described in Sub-section 4.1.2 A stylereview is performed for spun-off securities if they are included in different SizeSegment Indexes from the spinning-off securities and/or the spinning-off securities
move to other Size-Segment Indexes at the time of the event. No style reviews are
performed for spun-off securities that are considered to be included in the World
Micro Cap Index, as there are no style characteristics for the World Micro Cap
constituents. Thereafter, the spun-off securities are included in the appropriate SizeSegment Indexes by comparing the company’s post-event full market capitalization
with the Interim Market Size-Segment Cutoff, and in the appropriate style indexes
based on their style attribution within the relevant Size-Segment Indexes.
3.3.3.4 EARLY DELETIONS OF EXISTING CONSTITUENTS
Securities of companies that file for bankruptcy, companies that file for protection
from their creditors and/or are suspended and for which a return to normal businessactivity and trading is unlikely in the near future are removed from the MSCI Global
Investable Market Indexes as soon as practicable. Companies that fail stock
exchange’s listing requirements with announcements of delisting from the stock
exchanges are treated in the same way. When the primary exchange price is notavailable, the securities are deleted at an over-the-counter or equivalent market pricewhen such a price is available and deemed relevant. If no over-the-counter or
equivalent price is available, the company is deleted at the lowest system price(0.00001) in the security’s price currency.
Securities may also be considered for early deletion in other cases, such as
decreases in free float and FOLs, securities under prolonged suspension or when aconstituent company acquires or merges with a non-constituent company or spinsoff another company.

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In practice, when a constituent company is involved in a corporate event which
decreases by more than 33% the company’s full market capitalization, the securitiesof the constituent company are considered for early deletion from the indexes
simultaneously with the event. Securities are also considered for early deletion incases of corporate events where the Foreign Inclusion Factor (FIF) of the security
decreases or is expected to decrease below 0.15.
Moreover, existing constituents of the Standard Index with a FIF already lower than
0.15 may be considered for early deletion simultaneously with an event if the FIF
further decreases due to the event.
In cases of securities that are considered for early deletion, a security is removed
from the indexes if due to the event the security falls under one of the following
scenarios:•

The security no longer passes the investability screens described in Sub-sections
2.2 and 4.1 (the security will be allocated to the World Micro Cap Index if it nolonger passes the screens described in Sub-section 2.2 but still passes thescreens described in Sub-section 4.1).

•

The security is a constituent of the Standard Index and would be maintained in
the Standard Index based on its company’s full market capitalization after the
event, however its float-adjusted market capitalization does not meet 2/3rd of one
half of the Standard Index Interim Size-Segment Cutoff.38•

The security is a constituent of the Standard Index and would be migrated to the
Small Cap Index based on its company’s full market capitalization after the event,
however its float-adjusted market capitalization does not meet one half of the
Small Cap Index Interim Size-Segment Cutoff.

•

The security is a constituent of the Small Cap Index and its float-adjusted market
capitalization does not meet 2/3rd of one half of the Small Cap Index Interim SizeSegment Cutoff following the event.

•The security is a constituent of the Small Cap Index and would be migrated to theStandard Index based on its company’s full market capitalization after the event,
however its float-adjusted market capitalization does not meet one half of theStandard Index Interim Size-Segment Cutoff, while the company’s full market

38 If the Standard Index constituent has a FIF lower than 0.15 after the event, the minimum float-adjusted

market capitalization requirement is 2/3rds of the 1.8 times one half of the Standard Index Interim SizeSegment Cutoff.

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capitalization after the event is at least 1.5 times the Standard Interim SizeSegment Cutoff.
Conversions of a constituent’s share class into another share class may also resultin the deletion of one or more share classes from the indexes.
For securities that are suspended, the market price immediately prior to thesuspension is carried forward during the suspension period.

3.3.4 Corporate Events Affecting Non-Index Constituents
3.3.4.1 IPOS AND OTHER EARLY INCLUSIONSIn many cases, newly listed equity securities available to foreign investors are
considered for inclusion in the MSCI Global Investable Market Indexes, according to
MSCI’s Global Investable Market Indexes methodology rules and guidelines, at thetime of the Index Reviews. However, for IPOs, which are significant in size and meet
all the MSCI inclusion criteria, an early inclusion, outside of the Index Reviews, may
be considered for inclusion in the Standard Index. If the decision is made to include
an IPO early, the inclusion is effective after the close of the security’s tenth day of
trading. However, in certain cases, another date may be chosen for the inclusion to
reduce turnover, for example, where the normal inclusion date is close to theeffective date of the next Index Review, as described in Sub-sections 3.1.6.1 (for theSemi-Annual Index Reviews) and 3.2.2 (for the Quarterly Index Reviews).
For companies trading on a conditional basis (when-issued trading) prior to theirunconditional trading, MSCI intends to assess the inclusion of the company in the
MSCI Indexes on its first day of conditional trading.
In order for an IPO and other newly eligible securities to qualify for an early inclusion
to the Standard Index, a security must meet the index constituent eligibility rules andguidelines described in Sub-section 2.2 with the exception of the length of trading
and liquidity screens, meet the size-segment investability requirements described in
Sub-section 2.3.6.1 and have a company full market capitalization of at least 1.8
times the Interim Market Size-Segment Cutoff and free float-adjusted market
capitalization of at least 1.8 times one-half of the Interim Market Size-Segment
Cutoff as of the close of its first or second trading day.39

39 IPOs with a FIF of less than 0.15 would have to meet the same criteria for early inclusion as IPOs with a FIF of

0.15 or higher.

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Any over-allotment (also called green shoe) publicly announced as exercised prior to
MSCI’s announcement on the first or second trading day is included in the IPO’s
market capitalizations calculations.
Securities may also be considered for early inclusion in other significant cases,
including but not limited to those resulting from mergers and acquisitions giving rise
to a large new company or a large primary or secondary public offering of an alreadylisted security if the size of the offering exceeds the IPO threshold of 1.8 times onehalf of the Interim Market Size-Segment Cutoff. In the case of a large public offering(primary or secondary), the size of the offering is calculated by multiplying the issue
price applicable to institutional shareholders with the number of shares from theoffer. Such cases will be treated in the same way as IPOs of significant size. MSCI’s
decision will be based on information regarding the results of the offering andoverallotment (exercised partially or fully), if any, made publicly available within up to
2 business days after the close of the subscription period. If the decision is made toearly include a security, MSCI will include the security by giving 10 business days’
notice.
However, securities becoming eligible following among others, for example, a purechange in the legal form, a conversion of share class, or a secondary listing in a new
exchange, and for which there is no offering or no corporate events that could meet
one of the conditions mentioned above, are not considered for early inclusion.
Similarly, securities spun off from non-index constituent or initial listings without
public offerings are not considered for early inclusion. Such cases are considered forinclusion in the MSCI Global Investable Market Indexes, according to MSCI’s Global
Investable Market Indexes methodology rules and guidelines, at the time of the Index
Reviews.

3.3.5 Corporate Events Affecting the Index Review
Changes in Number of Shares (NOS) and Foreign Inclusion Factors (FIFs) due tocorporate events for which the completion date is effective on or before the Index
Review Price Cutoff Date (as defined in Sub-sections 3.1.9 and 3.2.6) are taken into
account when undertaking the index maintenance activities as part of Semi-Annual
Index Reviews (as described in Sub-section 3.1) and Quarterly Index Reviews (asdescribed in Sub-section 3.2).
For pro forma index constituents that are currently non-index constituents, changes
in NOS and FIF due to corporate events for which the completion date is effective
after the Index Review Price Cutoff Date (as defined in Sub-sections 3.1.9 and 3.2.6)
will be implemented as per the methodology applicable to the relevant pro-forma size
segment.

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Some corporate events, such as, but not limited to, additions to or deletions from theIndexes or corporate events that trigger a significant market capitalization change
relative to the company’s full market capitalization before the event (increase of 50%
or greater, or decrease of 33% or more), or corporate events that trigger a significant
change in the float of the security, may have an impact on the index changes
announced at the time of the Index Reviews, such as migration, addition anddeletion. In such situation and if the completion date of the corporate event iseffective between the Index Review Price Cutoff Date and one month after the Index
Review effective date, MSCI may amend the Index Review result and announcement
to consider the impact of the corporate event, in order to avoid potential reverse
turnover. MSCI may amend the Index Review changes until five business days before
the Index Review effective date.
To communicate these amendments, a separate announcement will be sent to theclients either with the Index Review announcement or with the corporate event
announcement depending on the announcement date of the event.
MSCI reserves the right to handle specific cases differently if more appropriate.

3.4

Announcement Policy

3.4.1 Semi-Annual Index Review
The results of the SAIRs are announced at least two weeks in advance of theireffective implementation dates as of the close of the last business day of May andNovember.

3.4.2 Quarterly Index Review
The results of the QIRs are announced at least two weeks in advance of theireffective implementation dates as of the close of the last business day of Februaryand August.

3.4.3 Ongoing Event-Related Changes
3.4.3.1 CLIENT ANNOUNCEMENTS
All changes resulting from corporate events are announced to clients prior to theirimplementation in the MSCI Global Investable Market Indexes.
The changes are typically announced at least ten business days prior to thesechanges becoming effective in the indexes as “expected” announcements, or as“undetermined” announcements, when the effective dates are not known yet or when

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aspects of the event are uncertain. MSCI sends “confirmed” announcements at least
two business days prior to events becoming effective in the indexes provided that allnecessary public information concerning the event is available. In case a “confirmed”
announcement needs to be amended, MSCI sends a “correction” announcement witha descriptive text announcement to provide details about the changes made. MSCI
also sends announcements in "Acknowledged" status within five business days
following the public announcement by the company of the acquisition, if the impact
is above one time the constituent's underlying country index Large Cap Cutoff.
For certain events, MSCI only sends “confirmed” announcements, especially due toinsufficient or lack of publicly available information or late company disclosure. For
the MSCI World Micro Cap Index and the MSCI Frontier Markets Small Cap Index,
MSCI only sends “confirmed” announcements at least two business days prior toevents becoming effective in the index, provided that all necessary public
information concerning the event is available.
The full list of all new and pending changes is delivered to clients on a daily basis,
between 5:30 PM and 6:00 PM US Eastern Time (EST) through the Advance
Corporate Events (ACE) File.
In exceptional cases, events are announced during market hours for same or next
day implementation. Announcements made by MSCI during market hours are usually
linked to late company disclosure of corporate events or unexpected changes topreviously announced corporate events. A descriptive text announcement is sent for
all corporate events effective on the same day or on the next day.
MSCI also sends text announcement for corporate events effective within the next 48
hours, except for market neutral events such as split, reverse split or stock dividend.
Early deletions of constituents due to events such as bankruptcy are announced assoon as practicable prior to their implementation in the MSCI indexes.
For MSCI Global Standard Index constituents, a more descriptive text announcement
is sent to clients for significant events that meet any of the following criteria:•

Additions and deletions of constituents.

•

Changes in free float-adjusted market capitalization equal to or larger than USD 5
billion, or with an impact of at least 1% of the constituent's underlying country
index.

No descriptive text announcement will be sent for the MSCI World Micro Cap Index
constituents and Frontier Markets Small Cap Index constituents.

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However, if warranted, MSCI may make descriptive text announcements for events
that are complex in nature and for which additional clarification could be beneficial
for any Standard, Small Cap and Micro Cap Indexes.
3.4.3.2 PUBLIC ANNOUNCEMENTS
All additions and deletions of constituents of the MSCI Global Investable Market
Indexes resulting from corporate events are publicly announced prior to theirimplementation.
Other changes resulting from corporate events that affect constituents of the MSCI
Global Investable Market Indexes, such as changes in the Foreign Inclusion Factor(FIF) and/or in the number of shares of a constituent, are not publicly announced but
are announced only to clients.
If warranted, MSCI reserves the right to make public announcements related tocorporate events for special cases, such as the ineligibility of a security in the MSCI
Global Investable Market Indexes.
The changes are announced at least two business days prior to events becoming
effective in the indexes. Public announcements are a summary of the “confirmed”
announcements that are made to clients. Public announcements are made shortly
before a “confirmed” client announcement is made.
MSCI posts the announcements on its web site, www.msci.com, and on Bloomberg
page MSCN. In addition, announcements are posted on Reuters public pages MSCIA
for MSCI Global Standard Index constituents and MSCI Domestic Standard Index
constituents.

3.4.4 IPOs and Other Early Inclusions
Early inclusions of large IPOs in the MSCI Standard Index Series are announced noearlier than the first day of trading and no later than before the opening of the third
day of trading in the market where the company has its primary listing40.

40 Following the November 2019 SAIR, securities on the STAR Market of the Shanghai Stock Exchange may beearly included in the MSCI China All Shares and the MSCI China A Onshore Indexes outside of an index review
as per Section 6 of the MSCI Corporate Events Methodology. Early inclusion of STAR Market securities in these
MSCI Indexes will be announced no earlier than the second day of trading and no later than before the openingof the third day of trading after listing, provided the security meets the market capitalization thresholds as of
the close of either first or second trading day.

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Early inclusions of already listed securities following large secondary offerings of
new and/or existing shares are announced no earlier than shortly after the end of theoffer period.
It is MSCI policy not to comment on the potential inclusion of equity securities to belisted in the future, including their industry classification under the Global Industry
Classification Standard (GICS), their country classification and their potential
inclusion in an MSCI index. The same applies to non-index constituents that are
already listed which have pending large events.

3.4.5 Global Industry Classification Standard (GICS)
Non-event related changes in industry classification at the Sub-Industry level areannounced at least two weeks prior to their implementation in MSCI indexes as of
the close of the last US business day of each month. MSCI announces GICS changes
twice a month, the first announcement being made on the first US business day ofthe month and the second one being made at least ten US business days prior to thelast US business day of the month. All GICS changes announced in a given monthwill be implemented in MSCI indexes as of the close of the last US business day ofthe month.

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4

MSCI All Cap Indexes
This section should be read in conjunction with the earlier Section 2 ‘Constructing the
MSCI Global Investable Market Indexes’ and Section 3 ‘Maintaining the MSCI Global
Investable Market Indexes’.
The calculation of the MSCI All Cap Indexes is currently limited to Developed
Markets.

4.1

Constructing the MSCI All Cap Indexes
The MSCI All Cap Indexes encompass all constituents of the MSCI Global Investable
Market Indexes as well as securities allocated to the MSCI Micro Cap Indexes. The
construction of the MSCI Global Investable Market Indexes is described in detail inprevious sections.
Constructing the MSCI All Cap Indexes involves the following steps:•

Constructing Global Investable Market Indexes as described in earlier sections.

•

Constructing a Micro Cap Index for each market as described below.

•

Aggregating the Global Investable Market Indexes with the Micro Cap Indexes.

The Micro Cap Size-Segment is constructed by including all securities which are notpart of the Global Investable Market Indexes and meet the following requirements:•

Micro Cap Maximum Size Requirement.

•

Micro Cap Minimum Size Requirement.

•

Micro Cap Minimum Liquidity Requirement.

•

Global Minimum Foreign Inclusion Factor Requirement.

•

Minimum Length of Trading Requirement.

Each of these screens is described in detail below.

4.1.1 Micro Cap Maximum Size Requirement
This screen is applied at the company level.
A company with a full company market capitalization exceeding the Small Cap Entry
Buffer (as defined in Sub-section 3.1.5.1) may not be allocated to the Micro Cap SizeSegment.

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4.1.2 Micro Cap Minimum Size Requirement
This screen is applied at the company level.
In order to be allocated to the Micro Cap Size-Segment, a company must have therequired minimum full market capitalization and full security market capitalization.
This minimum full market capitalization is referred to as the Micro Cap Minimum
Size Requirement and is applied to both full company market capitalization (issuer
level) and full security market capitalization. This requirement applies to companies
in all Developed Markets.
The Micro Cap Minimum Size Requirement is derived using the same process as
described in the Sub-section 2.2.3 targeting cumulative free float-adjusted market
capitalization coverage of 99.8% of the Developed Markets Equity Universe (asdefined in Sub-section 2.1).

4.1.3 Micro Cap Minimum Liquidity Requirement
In order to be eligible for inclusion in the Micro Cap Size-Segment a security musthave a 12-month ATVR of at least 5% and a 12-month frequency of trading of at least50%.

4.1.4 Global Minimum Foreign Inclusion Factor Requirement
This screen is applied at the individual security level.
A security must have Foreign Inclusion Factors (FIFs) equal to or larger than 0.15 tobe eligible for inclusion in the Micro Cap Size-Segment.
Securities with a FIF equal to 0.15 or above will also be excluded if their free floatadjusted market capitalization is less than Micro Cap Minimum Size Requirement for
Existing Constituents threshold defined in the sub-section 4.2.1.2

4.1.5 Minimum Length of Trading Requirement
This screen is applied at the individual security level.
For an IPO to be eligible for inclusion in the Micro Cap Size-Segment, the new issue
must have started trading at least three months before the implementation date of a
Semi-Annual Index Review.

4.2

Maintaining the MSCI All Cap Indexes
Similarly to the Large, Mid and Small Cap Size-Segments, Micro Cap Size-Segment
index maintenance involves:© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Semi-Annual Index Reviews (SAIRs) in May and November which include:-

Updating the indexes on the basis of a fully refreshed Equity Universe.

-

Taking buffer rules (as defined in Sub-section 3.1.5.1) into consideration for
migration of securities across size segments.

-

Updating (FIFs) and Number of Shares (NOS).

Quarterly Index Reviews (QIRs) in February and August are aimed at:-•

Reflecting the impact of significant market events on FIFs and updating NOS.

Ongoing event-related changes. Changes of this type are implemented in theindexes as they occur. More information on the event-related changes can befound in the Corporate Events Methodology book4.2.1 Semi-Annual Index Reviews in May and November
As described in Section 3, during each SAIR the Equity Universe is updated and all
size-segments of the Global Investable Market Indexes are reviewed. The following
index maintenance activities are undertaken as part of the SAIR for the Micro Cap
Size-Segment:•

Updating the Micro Cap Minimum Size Requirement.

•

Assigning companies to the Micro Cap Size-Segment taking into account sizeand liquidity buffer zones.

4.2.1.1 UPDATING THE MICRO CAP MINIMUM SIZE REQUIREMENTThe Micro Cap Minimum Size Requirement is updated at each SAIR in the following
manner:The cumulative free float-adjusted market capitalization coverage at the rank of thecompany that was used to define the Micro Cap Minimum Size Requirement at theprevious rebalance is calculated.
If the coverage of the updated Developed Market Equity Universe at that rank falls:•

Between 99.7% and 99.8%, the Micro Cap Minimum Size Requirement is set tothe current full market capitalization of the company at that rank.

•

Below 99.7%, the Micro Cap Minimum Size Requirement is reset to the fullmarket capitalization of the company at 99.7% coverage and the rank of thatcompany is noted for the next rebalance.

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Above 99.8%, the Micro Cap Minimum Size Requirement and rank are reset
based on the full market capitalization of the company at 99.8% coverage andthe rank of that company is noted for the next rebalance.

4.2.1.2 ASSIGNING COMPANIES TO THE MICRO CAP SIZE-SEGMENT
All companies meeting the requirements outlined in Sub-sections 4.1.1 through 4.1.5
which are not part of the Investable Market Size-Segments are assigned to the Micro
Cap Size-Segment.
Existing constituents of the Micro Cap Size-Segment may remain in the segment
under the following conditions:•Company full market capitalization is not above the Small Cap Entry Buffer.

•

Company full market capitalization and security full market capitalization isgreater than or equal to the lower of USD 10 million or the full market
capitalization of the company at 99.95% coverage (Micro Cap Minimum Size
Requirement for Existing Constituents).

•

FIF remains above or equal to 0.15.

•

12-month frequency of trading is above or equal 10%.

4.2.2 Quarterly Index Reviews of February and August
QIRs are only aimed at reflecting the impact of significant market events on FIFs andupdating NOS. Typically no change in the constituents of the Micro Cap SizeSegment may take place at the time of QIRs.
At the time of QIRs a company may enter the Micro Cap Size-Segment only if it isdeleted from the Small Cap Size-Segment due to a low liquidity and it satisfies theconditions specified in Sub-section 4.2.1.2.
During a QIR, a security will be deleted from the Micro Cap Size-Segment if an FOLchange results in a FIF of 0.

4.2.3 Ongoing Event-Related Changes
Ongoing event-related changes to the indexes are the result of mergers, acquisitions,spin-offs, bankruptcies, reorganizations and other similar corporate events. They canalso result from capital reorganizations in the form of rights issues, bonus issues,
public placements and other similar corporate actions that take place on acontinuing basis. These changes are reflected in the indexes at the time of the event.

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The ongoing maintenance of the Micro Cap Size-Segment follows the process
outlined in Sub-section 3.3.

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5

MSCI Frontier Markets Indexes

5.1

Frontier Markets Definition
MSCI starts by considering all equity markets not included in the MSCI Emerging
Markets Index, that:•

demonstrate a relative openness to and accessibility for foreign investors•

are generally not considered as part of the developed markets universe41•

do not belong to countries undergoing a period of extreme economic (e.g.,
hyperinflation) or political instability (e.g., civil war)

MSCI then applies the following materiality requirement:•

A minimum of two companies with securities eligible for the Standard Index.

5.1.1 Updating MSCI Frontier Markets Index Coverage
MSCI will on a regular basis monitor potential new markets that may qualify orcurrent markets that may not qualify anymore for the MSCI Frontier Markets Index.
Potential additions and deletions will be considered during the May Semi-Annual
Index Review.
A Standalone Market Standard Index may be added to the MSCI Frontier Markets
Index at the earliest as part of the May Semi-Annual Index Review that follows thecreation of the Standalone Market Standard Index for that market. Markets that meetthe minimum requirements for inclusion in the MSCI Frontier Markets Indexes maybe
added to the review list of markets for potential reclassification as part of the regular
MSCI Market Classification Review. MSCI will announce the markets that will be
included in Frontier Markets at least six months before the upcoming May SemiAnnual Index Review.
Please refer to Appendix II for more information on the Market Classification
Framework.

41 E.g. Luxembourg or Cyprus. These countries are part of the developed markets universe. Given their modest

size these markets are not included in the MSCI World Index.

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5.2

Methodology Used to Construct and Maintain the MSCI
Frontier Markets Indexes
This section should be read in conjunction with the earlier Section 2 ‘Constructing the
MSCI Global Investable Market Indexes’ and Section 3 ‘Maintaining the MSCI Global
Investable Market Indexes’.
The methodology used to construct the MSCI Frontier Markets Indexes is similar, but
not identical, to the construction of the indexes for Developed and Emerging
Markets. One of the prime differences is that the Frontier Markets are divided into
Larger Frontier Markets and Smaller Frontier Markets with different minimum size
requirements. Larger Frontier Markets are defined as markets for which theapplication of the Emerging Markets Global Minimum Size reference results inadequate Standard Size-Segment coverage. Smaller Frontier Markets require the useof a relaxed Global Minimum Size Reference (0.5 times Global Minimum Size
Reference for Larger Frontier Markets) to reach sufficient Standard Size-Segment
coverage. Further, there are three levels of minimum liquidity requirements – very
low, low, and average – to accommodate the divergent liquidity levels in FrontierMarkets. See Appendix X for the countries that fall under each classification.
In addition, to account for generally lower investability characteristics of FrontierMarkets, no additional investability requirements are applied for securities to be
included in the Investable Market and the Standard Indexes with the exception offoreign room requirements which are identical to those applied in Developed andEmerging Markets.
More specifically, the methodological differences between the index construction for
Frontier Markets countries and for countries constituting the MSCI ACWI Index are
found in the following:•

Full and free float-adjusted market capitalization requirements resulting fromcategorization of Frontier Markets into Larger and Smaller Markets•

Liquidity requirements resulting from categorization of Frontier Markets into very
low, low or average liquidity markets•

Final Size-Segment Investability Requirements•

Index Continuity Rules•

Implementation of Corporate Events•

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In addition, the size segmentation into Large Cap and Mid Cap of the Standard Index
is not offered for Frontier Markets with the exception of the MSCI Gulf Cooperation
Council (GCC) Countries Indexes.
More details on the methodological differences are described below.

5.2.1 Categorization of Frontier Markets into Larger and Smaller Markets
As mentioned above, in order to account for differences in market size and structure
across Frontier Markets, each Frontier Market is categorized as a Larger or Smallermarket. The categorization is reviewed semi-annually during the May and November
Semi-Annual Index Reviews.
Each country is analyzed independently to determine the most suitable size
categorization. MSCI considers several factors for the minimum size categorizationof each Frontier Market:•

The number of Standard Index constituents subject to categorization.

•

The differences in the Standard Index free float-adjusted market capitalization
coverage when applying different Global Minimum Size References.

•

Recent development of the stock market structure i.e., full market capitalizationand size distribution of companies. Expected evolution of the stock market
structure (e.g., future IPOs).

The categorization between the Larger and Smaller Frontier Markets results in two
different sets of Equity Universe Minimum Float-Adjusted Market Capitalization
Requirements as well as Global Minimum Size References.
5.2.1.1 EQUITY UNIVERSE MINIMUM FLOAT-ADJUSTED MARKET CAPITALIZATION REQUIREMENT
To be eligible for inclusion in a Market Investable Equity Universe, a security musthave a free float-adjusted market capitalization equal to or higher than:•Larger Frontier Markets: 50% of the Equity Universe Minimum Size Requirement•

Smaller Frontier Markets: 25% of the Equity Universe Minimum Size Requirement

During the May and November Semi-Annual Index Reviews, existing constituents
must meet 2/3rd of the threshold in order to be maintained in the size-segment
indexes.

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Example:If, using the definition in section 2.2.3, the Equity Universe Minimum
Size Requirement is set at USD 150 million, then a security in a larger
market must have a free float-adjusted market capitalization equal toor higher than USD 75 million to be eligible for inclusion in a Market
Investable Equity Universe, and USD 37.5 million in a smaller market.
During a Semi-Annual Index Review, and assuming an Equity Universe
Minimum Size Requirement set at USD 150 million, an existing
constituent in a larger market must have a free float-adjusted market
capitalization equal to or higher than USD 50 million to be maintainedin the size-segment indexes, and USD 25 million in a smaller market.

5.2.1.2 GLOBAL MINIMUM FOREIGN INCLUSION FACTOR REQUIREMENT
Similarly to Developed and Emerging Markets, securities with a FIF of less than 0.15
are not eligible for inclusion in the MSCI Frontier Markets Indexes unless thesesecurities are sufficiently large. In Frontier Markets, securities are considered aslarge if their full company market capitalization meets 1.8 times of the Interim SizeSegment Cutoff for the relevant Standard Country Index and their free float-adjusted
market capitalization is at least 1.8 times of the relevant free float-adjusted market
capitalization thresholds defined above.
Existing constituents with a FIF of less than 0.15 may remain in the Standard Index if
the companies meet the full company market capitalization and liquidity criteria
applied for the securities with FIF of 0.15 or higher and their free float-adjusted
market is not below 2/3 of the 1.8 times of the relevant Equity Universe Minimum
Size Requirement mentioned earlier.
Securities with a FIF below 0.15 may not be added to or maintained in the Small Cap
Size-Segment.
5.2.1.3 GLOBAL MINIMUM SIZE REFERENCE
The Global Minimum Size References for the Standard and Investable Market SizeSegments of the MSCI Frontier Markets Indexes are linked to the corresponding
Global Minimum Size References of the Emerging Markets under the MSCI Global
Investable Market Indexes Methodology.

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The Global Minimum Size References for Larger Frontier Markets are set equal to thecorresponding Emerging Markets Global Minimum Size References (refer to Subsection 2.3.2.1), while the Global Minimum Size References for Smaller FrontierMarkets are set at 0.5 times the corresponding Emerging Markets Global Minimum
Size References.

5.2.2 FM Minimum Liquidity Requirement
5.2.2.1 CATEGORIZATION OF FRONTIER MARKETS INTO VERY LOW, LOW OR AVERAGE LIQUIDITY
MARKETS
In order to account for the differences in liquidity patterns across Frontier Markets,
each Frontier Market is categorized as a very low, low or average liquidity market.
The corresponding minimum liquidity requirement levels are set at 2.5%, 5% or 15%
12‐month ATVR, respectively. In addition, a minimum level of 50% of 12-monthFrequency of Trading is required for the inclusion of a security in an Investable
Market Equity Universe of a Frontier Market for all liquidity categories. This rule isreferred to as the Frontier Markets Minimum Liquidity Requirement.
The categorization of each country is reviewed semi-annually during the May andNovember Semi-Annual Index Reviews.
For each Frontier Market MSCI considers the following factors:•

The proportion of the country’s IMI (in terms of number of constituents andweight) deleted from the index due to failing the liquidity requirements•

The proportion of the country’s Equity Universe (in terms of number of
constituents and weight) not included in the IMI due to failing the liquidity
requirements, and how it compares to other Frontier Markets•

The average liquidity level for the country’s Equity Universe, and how it comparesto other Frontier Markets•

The country’s historical liquidity level trends and how they compare to other
Frontier Markets•

The size and number of constituents in the country IMI Index relative to other
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5.2.2.2 MINIMUM LIQUIDITY REQUIREMENT FOR EXISTING CONSTITUENTS
During Semi‐Annual Index Reviews, existing constituents of the IMI in average andlow liquidity markets may remain in a Market Investable Universe if their 12‐month
ATVR stays above 2/3rd of the minimum level requirement of 15% for averageliquidity markets and 5% for low liquidity markets. Existing constituents of the IMI invery low liquidity markets may remain in a Market Investable Universe if their 12‐
month ATVR stays above 1%. Furthermore, in order to remain in the Investable
Market Indexes (IMI), a constituent of the MSCI Frontier Markets IMI will need tohave a 12-month Frequency of Trading of at least 10%, applicable to all liquidity
categories.
If the listing used for an existing constituent no longer meets the above liquidity
requirements, other eligible listings that do meet such liquidity requirements will be
used to represent the security in the Market Investable Equity Universe. If the security
has two or more other eligible listings, the following priority rules would be used todetermine which of such listings will be used to represent the security in the Market
Investable Equity Universe:•

Local listing42•

Foreign listing in the same geographical region43•

Foreign listing in a different geographical region44.

Changes in listing from a foreign listing to a local listing for existing constituents will
be applied even if the foreign listing still meets the liquidity requirements, in cases
where the local listing has a 12-month ATVR above 30% for average liquidity markets
or 15% for low liquidity and very low liquidity markets, respectively. In addition, thelocal listing needs to have a 12-month Frequency of Trading of at least 50%.
If an existing constituent of a Standard Index in Frontier Markets fails to meet theliquidity requirements, but has a weight of more than 10% in the respective country
index and its float adjusted market capitalization is above 0.5 times the Global
Minimum Size Reference for Emerging Markets, then such constituent will remain in
42 If the security has two or more local listings, then the listing with the highest 3-month ATVR would be used.
43 MSCI classifies markets into three main geographical regions: EMEA, Asia Pacific and Americas. If the

security has two or more foreign listings in the same geographical region, then the listing with the highest 3month ATVR would be used.
44 If the security has two or more foreign listings in a different geographical region, then the listing with thehighest 3-month ATVR would be used.

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the index. However, MSCI would apply a Liquidity Adjustment Factor of 0.5 to theweight of the security, and in the subsequent index review, MSCI:•

Would delete the security from the index if the security does not meet at least
half of the liquidity requirements for existing constituents calculated after
applying the Liquidity Adjustment Factor or•

Would maintain the security in the GIMI and remove the Liquidity Adjustment
Factor if the security meets all the liquidity requirements for new constituents,
calculated before applying the Liquidity Adjustment Factor for two consecutive
Semi-Annual Index Reviews or•

Would continue maintaining the security in the GIMI with the Liquidity Adjustment
Factor of 0.5 if none of the above conditions are met

5.2.3 Final Size-Segment Investability Requirements
The MSCI Frontier Markets Indexes Methodology does not apply Final Size-Segment
Investability Requirements for float-adjusted market capitalization described in Subsections 2.3.6.1, 3.1.6. and 3.2.1.4.

5.2.4 Index Continuity Rules
If after the application of the index construction methodology, a Standard Index
contains less than two securities, then the largest securities by free float-adjusted
market capitalization among the securities included in the Market Investable Equity
Universe are added to the Standard Index in order to reach two constituents.
At subsequent Index Reviews, if after the application of the index maintenancemethodology a Standard Index contains less than two securities, then the remaining
securities are selected for inclusion in the Standard Index using the following
process:•

The securities included in the updated Market Investable Equity Universe are
identified•

These securities are ranked by descending free float-adjusted market
capitalization, however in order to increase index stability the free float-adjusted
market capitalization of the securities included in the Standard Index prior to theindex review is multiplied by a factor of 1.5•

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Please note that the index continuity rules are applicable only to the Standard Market
Indexes. Other indexes, such as Large, Mid or Small Market Indexes or indexes basedon the GICS segmentation may have as little as one constituent. Also such indexes
may be discontinued if there are no constituents left in accordance with the MSCIGIMI methodology. Similarly, MSCI may resume calculation of such indexes if overtime some companies become eligible for inclusion.

5.2.5 Implementation of Corporate Events
The ongoing maintenance of the Frontier Markets Indexes follows the same process
as Developed and Emerging Markets, outlined in Sub-section 3.3.
As a general policy, changes resulting from corporate events are implemented in the
MSCI Equity Indexes as they occur simultaneously with the event, provided that allnecessary public information concerning the event is available. However, changes
resulting from corporate events in the Frontiers Market countries that could not be
implemented on or near the effective dates – especially due to insufficient or lack ofpublicly available information – and where no price adjustment factor (PAF) is
necessary, are implemented at the following regularly scheduled Index Reviews.
Examples of such corporate events may include amongst others share placements
and offerings.

5.2.6 IPOs and Other Early Inclusions
Similarly to Developed and Emerging Markets, IPOs which are significant in size andmeet all the MSCI inclusion criteria may be considered for inclusion in the Standard
Index outside Index Reviews. In order for an IPO and other newly eligible securities toqualify for early inclusion to the Standard Index, the security has to meet the samerequirements as outlined in Sub-section 3.3.4.1 with the exception of the free floatadjusted market capitalization requirement. Early inclusion to the MSCI FrontierMarkets Indexes would have to have a free float-adjusted market capitalization of atleast 1.8 times the Equity Universe Minimum Float-Adjusted Market Capitalization
Requirement described in Sub-section 5.2.1.1 as of the close of its first or second
trading day.

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6

MSCI Standalone Market Indexes
MSCI Standalone Market Indexes are broadly classified into two groups: newly
eligible markets and markets previously classified under Developed, Emerging or
Frontier Markets categories, reclassified to Standalone status. Newly eligible
markets may either be new markets, previously not covered by MSCI or markets thatwere closed to a specific group(s) of investors.

6.1

Creation of Standalone Market Indexes for Newly Eligible
Markets
MSCI will consider the creation of Standalone Market Indexes for countries not
currently covered by MSCI during the May Semi‐Annual Index Review. These markets
must demonstrate a relative openness and accessibility for foreign investors and are
not undergoing a period of extreme economic or political instability.
A Standalone Market Standard Index may be created for countries having a minimumof two companies with securities meeting the requirements for the Frontier Markets
Standard Index.
A Standalone Market Investable Market Index (IMI) may be created for a market
having a minimum of one company with securities meeting the requirements for the
Frontier Markets Standard Index, and a minimum of two companies with securities
meeting the requirements for the Frontier Markets Small Cap Index.
MSCI also considers the availability and accuracy of market data when deciding on
the potential creation of Standalone Market Indexes for countries not currently
covered by MSCI.
The creation of such MSCI Standalone Market Indexes would generally not require aclient consultation.

6.2

Classification of Other Markets as Standalone
MSCI may also temporarily reclassify markets that are currently part of theDeveloped Markets, Emerging Markets or Frontier Markets as a Standalone Market in
the case of severe deterioration in market accessibility or size and liquidity for thatmarket.
Reclassification of such markets may take place within or outside any regular Index
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through client consultations and communicated with sufficient lead-time before
implementation.

6.3

Maintaining Standalone Market Indexes
MSCI Standalone Market Indexes are governed by the methodology applicable to the
MSCI Country Indexes classified as Developed, Emerging or Frontier Markets.
While newly eligible markets are generally maintained using criteria used for FrontierMarkets, rules applicable to other market categories may apply depending on thesize and liquidity of a particular market at the time of the creation of the Standalone
Market Index.
For markets reclassified from Developed, Emerging or Frontier Markets, MSCI would
generally apply the methodology that was applicable to the market prior to thereclassification to Standalone status. In any event, MSCI would clarify the
maintenance rules for the MSCI Country Indexes which are subject toreclassification.

6.4

Inclusion of Standalone Market Indexes in the MSCI Composite
Indexes

6.4.1 Inclusion of Newly Eligible Markets
In general, Standalone Market Indexes covering newly eligible markets may be added
to the MSCI Frontier Markets Indexes at the earliest as part of the May Semi-Annual
Index Review that follows the creation of the Standalone Market Standard Index forthat market. Please refer to section 5.1.1 for more details on Updating FrontierMarkets Coverage. Markets that meet the minimum requirements for inclusion in the
MSCI Frontier Markets Indexes may be added to the review list of markets forpotential reclassification as part of the regular MSCI Market Classification Review.
MSCI will announce the markets that will be included in Frontier Markets at least six
months before the upcoming May Semi-Annual Index Review.
Some Standalone Markets may nevertheless exhibit higher level of market
accessibility and economic development than Frontier Markets. In addition, thesemarkets may meet the size and liquidity requirements of Developed or Emerging
Markets. In such instances, MSCI may include the Standalone Market Indexes in the
MSCI Developed Markets or Emerging Markets Indexes. MSCI will review the market
classification of such Standalone Markets at the regular MSCI Market Classification
Review and determine whether such markets may be classified in the Developed
Markets or Emerging Markets Indexes only following a client consultation.

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6.4.2 Re-inclusion of Markets in the MSCI Composite Indexes
MSCI generally reviews the Market Classification of Standalone Markets previously
included in the MSCI Composite Indexes as part of the MSCI Annual Market
Classification Review. Their potential re-inclusion in the MSCI Developed Markets,
Emerging Markets or Frontier Markets Indexes will be considered only following
client consultation.
Please refer to Appendix II for more information on the Market Classification
Framework.

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APPENDICES© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Appendix I: Equity Markets and Universe
The tables below provide a list of Stock Exchanges, Market Segments and Eligible
Security Classes that MSCI uses as the basis of the construction of the MSCI Global
Investable Market Indexes.

Eligible Markets (Developed Markets)
Country Name

Stock Exchange

AUSTRALIA
AUSTRIA

Australian Securities Exchange
Vienna Stock Exchange

BELGIUM
CANADA

Euronext
Toronto Stock Exchange
NEO Exchange (2)Copenhagen Stock Exchange

DENMARKFirst North
FINLAND

Helsinki Stock ExchangeFirst NorthFRANCE

Euronext

GERMANY

Deutsche Börse Xetra

HONG KONG

Stock Exchange of Hong Kong

IRELAND

Euronext

ISRAELITALY

Tel Aviv Stock Exchange
Borsa Italiana

JAPANTokyo Stock Exchange (TSE)TSE JASDAQ
Nagoya Stock Exchange

NETHERLANDSNEW ZEALANDNORWAYEuronext
New Zealand Stock Exchange
New Zealand Alternative ExchangeEuronext

PORTUGALSINGAPORE

Euronext
Singapore Exchange

SPAIN

Madrid Stock Exchange
Mercado Alternativo Bursatil (MAB)

SWEDEN

Stockholm Stock Exchange

Nordic Growth Market
First North

SWITZERLAND

AktieTorget
SIX Swiss Exchange

UNITED KINGDOMBX Swiss
London Stock Exchange

USA

New York Stock Exchange
NASDAQ

Market Segment
Prime Market
Standard Market
Euronext

Large CapMid Cap
Small CapFirst North
First North Premier
Large CapMid Cap
Small CapFirst North
First North PremierEuronext
Euronext Growth
EU Regulated market
Open Market
Main Board
Growth Enterprise Market
Euronext
Euronext Growth
MTA (Mercato Telematico Azionario)
AIM Italia (Mercato Alternativo del Capitale)
Global Equity Market (1)Market for Investment Vehicle (2)First Section
Second Section
Mothers
Tokyo Pro (2)First Section
Second Section
CentrexEuronext

Euronext
Euronext Expand
Euronext Growth (2)Euronext
Main Board
Catalist
Mercado Continuo
Growth Companies (GC)
SOCIMI
Large CapMid Cap
Small Cap

Eligibility of Foreign Listings
-

-

Yes
Yes
-

-

Yes
-

-

-

First North
First North Premier
Norwegian Listed Shares (1)Swiss Blue Chip shares
Mid and Small Caps Swiss shares
Foreign Shares
Sponsored Foreign Shares (1)-Main Market - Premium Listing
Main Market - Standard ListingAIM
Admision to Trading Only (ATT) (1)-Global Select Market
Global Market
Capital Market

NYSE American
NYSE Arca
BATS Exchange (BZX)(1) Listings on this market segment are eligib le only for securities that also have a listing on another eligib le stock exchange / market segment.
(2) Listings on this market segment will b ecome eligib le for the MSCI Indexes as part of the May 2021 SAIR.

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Eligible Markets (Emerging Markets)
Country Name

Stock Exchange

Market Segment

ARGENTINA (3)BRAZIL

Bolsa de Valores de Sao Paulo

Traditional
Level 1
Level 2
Novo Mercado

CHILE
CHINA (1)Santiago Stock Exchange
Shenzhen Stock Exchange

Shenzhen Stock Exchange - Hong Kong Stock Connect
Shanghai Stock Exchange
Shanghai Stock Exchange - Hong Kong Stock Connect
Stock Exchange of Hong Kong
COLOMBIA

Colombian Stock Exchange

CZECH REPUBLIC

Prague Stock Exchange

EGYPT
GREECE

Cairo & Alexandria Stock Exchanges
Athens Exchange

HUNGARY

Budapest Stock Exchange

INDIA
INDONESIA

National Stock Exchange
Mumbai Stock Exchange
Jakarta Stock Exchange

KOREA

Korea Exchange

KUWAIT(5)Kuwait Stock Exchange

MALAYSIA

Malaysia Stock Exchange

MEXICO

Mexican Stock Exchange

PAKISTANPERUPHILIPPINESPOLAND

Pakistan Stock Exchange
Lima Stock Exchange
Philippine Stock Exchange
Warsaw Stock Exchange

QATAR
RUSSIA (1)SAUDI ARABIA (4)Doha Securities Market
Moscow Exchange
Saudi Stock Exchange (Tadawul)

SOUTH AFRICA

Johannesburg Stock Exchange

THAILANDZAR X
Taiwan Stock Exchange
Taipei Exchange
Stock Exchange of Thailand

TURKEY

Istanbul Stock Exchange

TAIWAN

Eligibility of Foreign Listings
Yes
-

Yes

Main Board
SME Board
ChiNext
Main Board
STAR Market
Main Board
Growth Enterprise Market
Local Market
Global Market (2)Prime Market
Standard Market
Free Market (2)--Big Capitalization
Medium and Small Capitalization
Prime Market
Standard Market-

Main Board
Development Board
KOSPIKOSDAQ
Premier Market
Main Market
Main Market
ACE Market
Equity Segment
Global Market Segment (2)

-

Yes
-

Main Board
Main Market
Parallel Market
New Connect

Partially*-

Main Market
Nomu - Parallel Market (6)Main Board
AltX-

General Stock
Stock Exchange of Thailand
Market for Alternative Investment
BIST STARS
BIST MAIN
BIST SubMarket (6)Collective And Structured Products

UNITED ARAB EMIRATES Abu Dhabi Securities Exchange
Dubai Financial Market
NASDAQ Dubai--*As publicly announced, MSCI will defer the potential inclusion of additional foreign listed companies in the MSCI Russia Indexes until further notice.
(1) For a more detailed description of the MSCI universe, please refer to Appendix III(2) Listings on this market segment are eligib le only for securities that also have a listing on another eligib le stock exchange / market segment.
(3) Reclassified from Frontier Markets to Emerging markets at the May 2019 SAIR
(4) Reclassified from Standalone Markets to Emerging markets at the May 2019 SAIR
(5) Reclassified from Frontier Markets to Emerging markets at the Novemb er 2020 SAIR
(6) Listings on this market segment will b ecome eligib le for the MSCI Indexes as part of the May 2021 SAIR.

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Eligible Markets (Frontier Markets)
Country Name

Stock Exchange

BAHRAINBANGLADESH
BENIN (1)
BURKINA FASO (1)CROATIA

Bahrain Stock Exchange
Dhaka Stock Exchange
Bourse Regionale des Valeurs Mobilieres
Bourse Regionale des Valeurs Mobilieres
Zagreb Stock Echange

ESTONIA

Tallinn Stock Exchange

GUINEA-BISSAU (1)IVORY COAST (1)JORDANKAZAKHSTAN
KENYA

Bourse Regionale des Valeurs Mobilieres
Bourse Regionale des Valeurs Mobilieres
Amman Stock Exchange

LITHUANIA

Vilnius Stock Exchange

MALI (1)
MAURITIUS
MOROCCONIGER (1)NIGERIAOMANROMANIA

Bourse Regionale des Valeurs Mobilieres
Stock Exchange of Mauritius
Casablanca Stock Exchange
Bourse Regionale des Valeurs Mobilieres
Nigeria Stock Exchange
Muscat Securities Market
Bucharest Stock Exchange

SENEGAL (1)SERBIA

Bourse Regionale des Valeurs Mobilieres
Belgrade Stock Exchange

SLOVENIA

Ljubljana Stock Exchange

SRI LANKA

Colombo Stock Exchange

TOGO (1)TUNISIAVIETNAM

Bourse Regionale des Valeurs Mobilieres
Bourse de Tunis
Hanoi Stock Exchange
Ho Chi Minh Stock Exchange

Nairobi Stock Exchange

Market Segment

Prime Market
Official Market
Regular Market
Main List
Secondary List

MIMS
AIMS
Main List
Secondary List
Official Market

Premium Tier
Standard Tier
International Shares Tier
AeRo Market
Listing A
Listing B
Unregulated Market
Prime Market
Standard Market
Main Board
Second Board
Primary Market

Eligibility of Foreign Listings
Yes
-

Yes
Yes
-

-

Yes
-

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Eligible Markets (Standalone Markets)

Country Name

Stock Exchange

BOSNIA HERZEGOVINA (1)BOTSWANA (2)Banja Luka Stock Exchange
Sarajevo Stock Exchange
Botswana Stock Exchange

BULGARIA (8)ICELAND (10)Bulgarian Stock Exchange
Iceland Stock ExchangeFirst North
JAMAICA (2)LEBANON
MALTA (11)PALESTINE (3)PANAMA (9)TRINIDAD AND TOBAGO (4)Jamaica Stock Exchange
Beirut Stock Exchange
Malta Stock Exchange
Palestine Exchange

UKRAINE (7)PFTS Stock Exchange
Ukrainian Exchange
Zimbabwe Stock Exchange (Harare)

ZIMBABWE (5)Trinidad and Tobago Stock Exchange

Eligibility of Foreign Listings

Market Segment

BSE Domestic Equity Market
Venture Capital Market
Official Market
Large CapMid Cap
Small CapFirst North
First North Premier
Official Market

First Tier
Second Tier

Yes
Yes

Yes
Yes
Yes
-

(1) Added as standalone market at the May 2010 SAIR
(2) Added as standalone markets at the Novemb er 2008 SAIR
(3) Added as standalone market at the May 2013 SAIR
(4) Reclassified from Frontier Markets to standalone market at the May 2011 SAIR
(5) Added as standalone markets at the Novemb er 2010 SAIR
(7) Reclassified from Frontier Markets to standalone market at the August 2015 QIR(8) Reclassified from Frontier Markets to standalone market at the August 2016 QIR(9) Added as standalone market at the May 2017 SAIR, currently only US listed securities eligib le(10) Added as standalone market at the May 2018 SAIR
(11) Added as standalone market at the May 2019 SAIR

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Eligible Classes of Securities for Stock Exchanges in
Developed Markets
Country of Listing*Classes of Securities

AUSTRALIA

Ordinary shares
Preferred shares (1)Stapled securities
CDIs
Units
Ordinary shares
Preferred shares (1)Participation certificates
Ordinary shares
Preferred shares (1)Ordinary shares
Units of Income Trusts
Stapled securities
Ordinary shares
Ordinary shares
Ordinary shares
Preferred shares (1)Certificats d'Investissement
Certificats Coopératif d'Investissement
Stapled securities
Ordinary shares
Preferred shares (1)Ordinary sharesBusiness trusts
Stapled securities
Ordinary shares
Units
Common shares
Preferred shares (1)Ordinary shares
Preferred shares (1)Savings shares
Ordinary shares
Ordinary shares
Preferred shares (1)Certificates
Ordinary shares
Preferred shares (1)Units
Stapled securities
Ordinary shares
Primary Capital Certificates
Ordinary shares
Ordinary sharesBusiness trusts
Stapled securities
Ordinary shares
Preferred shares (1)Ordinary shares
Swedish Depositary Receipts
Registered shares
Bearer shares
Participation certificates
Dividend-right certificates
Ordinary shares
Units
CDIs
Depositary Receipts
Common shares
Tracking Stock
Depositary Receipts

AUSTRIABELGIUM
CANADA

DENMARKFINLANDFRANCEGERMANYHONG KONG

IRELANDISRAELITALY

JAPAN
NETHERLANDSNEW ZEALANDNORWAYPORTUGALSINGAPORE

SPAIN
SWEDENSWITZERLAND

UNITED KINGDOMUSA*The table show s the eligible classes of securities by country of listing. Please note thatdifferent countries of listing and their associated share classes may be eligible for country
equity universes w hich may include foreign listings.
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Eligible Classes of Securities for Stock Exchanges in Emerging
Markets
Country of Listing*Classes of Securities

ARGENTINA (3)BRAZIL

None
Ordinary shares
Preferred shares (2)UnitsCommon shares
Preferred shares (2)"A" shares"B" shares
Stapled securities
Ordinary shares
Preferred shares (2)Common shares
Ordinary shares
Ordinary shares
Preferred shares (2)Common shares
Ordinary shares
Ordinary shares
Common shares
Preferred shares (2)Ordinary shares
Common shares
Stapled securities
Ordinary shares
Certificates of Participation
Units
Ordinary shares
Common shares
Preferred shares (2)Investment shares
Common shares
Philippine Depositary Receipts
Common shares
Ordinary shares
Common shares
Preferred shares (2)
ADRs
GDRs
Common shares
Common shares
Preferred shares (2)UnitsOrdinary shares
Preferred shares (2)Common shares
Preferred shares (2)Common shares
Ordinary shares

CHILE
CHINA (1)COLOMBIACZECH REPUBLIC
EGYPTGREECEHUNGARY
INDIA
INDONESIAKOREAKUWAIT (5)MALAYSIAMEXICOPAKISTANPERUPHILIPPINESPOLANDQATARRUSSIA (1)SAUDI ARABIA (4)SOUTH AFRICATAIWANTHAILAND
TURKEYUNITED ARAB EMIRATES*The table show s the eligible classes of securities by country of listing. Please note thatdifferent countries of listing and their associated share classes may be eligible for country
equity universes w hich may include foreign listings.
(1) For a more detailed description of the MSCI universe, please refer to Appendix III(2) Preferred shares that exhibit characteristics of equity securities are generally eligible(3) Reclassified from Frontier Markets to Emerging markets at the May 2019 SAIR
(4) Reclassified from Standalone Markets to Emerging markets at the May 2019 SAIR
(5) Reclassified from Frontier Markets to Emerging markets at the November 2020 SAIR

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Eligible Classes of Securities for Stock Exchanges in FrontierMarkets

Country of Listing*Classes of Securities

BAHRAINBANGLADESH
BENIN (2)
BURKINA FASO (2)CROATIA

Ordinary shares
Ordinary shares
Ordinary shares
Common shares
Common shares
Preferred shares (1)Common shares
Common shares
Common shares
Common shares
None
Common shares
Preferred shares (1)Common shares
Common shares
Common shares
Preferred shares (1)Ordinary shares
Common shares
Common shares
Ordinary shares
Common shares
Common shares
Common shares
Common shares
Preferred shares (1)Ordinary shares
Common shares
Common shares
Common shares

ESTONIAGUINEA-BISSAU (2)IVORY COAST (2)JORDANKAZAKHSTANKENYA
LITHUANIAMALI (2)
MAURITIUS
MOROCCONIGER (2)NIGERIAOMANROMANIASENEGAL (2)SERBIASLOVENIASRI LANKATOGO (2)TUNISIAVIETNAM*The table show s the eligible classes of securities by country of listing. Please note thatdifferent countries of listing and their associated share classes may be eligible for country
equity universes w hich may include foreign listings.
(1) Preferred shares that exhibit characteristics of equity securities are generally eligible(2) Member of the West African Economic and Monetary Union (WAEMU)© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Eligible Classes of Securities for Stock Exchanges in Standalone Markets
Country of Listing*Classes of Securities

BOSNIA-HERZEGOVINA (2)BOTSWANA (3)BULGARIA (8)ICELAND (10)JAMAICA (3)Ordinary shares
Common shares
Common shares
Common shares
Common shares
Preferred shares (1)Common shares
Preferred shares (1)Common shares
Common shares
None
Common shares
Common shares
Preferred shares (1)Common shares

LEBANON
MALTA (11)PALESTINE (4)PANAMA (9)TRINIDAD AND TOBAGO (5)UKRAINE (7)ZIMBABWE (6)*The table show s the eligible classes of securities by country of listing. Please note thatdifferent countries of listing and their associated share classes may be eligible for country
equity universes w hich may include foreign listings.
(1) Preferred shares that exhibit characteristics of equity securities are generally eligible(2) Added as standalone market at the May 2010 SAIR
(3) Added as standalone markets at the November 2008 SAIR
(4) Added as standalone market at the May 2013 SAIR
(5) Reclassified from Frontier Markets to standalone market at the May 2011 SAIR
(6) Added as standalone markets at the November 2010 SAIR
(7) Reclassified from Frontier Markets to standalone market at the August 2015 QIR(8) Reclassified from Frontier Markets to standalone market at the August 2016 QIR(9) Added as standalone market at the May 2017 SAIR
(10) Added as standalone market at the May 2018 SAIR
(11) Added as standalone market at the May 2019 SAIR

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REITs
Companies that have adopted the following REITs or REIT equivalent structures in
the countries mentioned below qualify to be classified in one of the REIT SubIndustries of the GICS.
•

Australia: LPT (Australian Listed Property Trust), A-REIT•

Belgium: SICAFI (Société d’Investissement à Capital Fixe Immobilière)•

Bulgaria, Canada, Germany, Ireland, Israel, Finland, Hong Kong, China, Korea,
Taiwan, the UK and the U.S.: REIT (Real Estate Investment Trust)•France: SIIC (Sociétés d’Investissements Immobiliers Cotées)•

Greece: REIC (Real Estate Investment Company)•

India: REIT (Real Estate Investment Trust)•

Italy: SIIQ (Societa di investimento immobiliare quotata)•

Japan: J-REIT (Japanese Real Estate Investment Trust)•

Malaysia: REIT (Real Estate Investment Trust/Property Trust Funds)•

Saudi Arabia: REIT (Real Estate Investment Traded Fund)•Spain: SOCIMI (Sociedades Anonimas Cotizadas de Inversion en el Mercado
Inmobiliario)•

Mexico: FIBRAS (Fideicomiso de Infraestructura y Bienes Raíces)•Netherlands: FBI (Fiscal investment institution/Fiscale Beleggingsinstelling)•

New Zealand: Listed Property Vehicles (LPVs)•

Singapore: S-REIT (Singapore Real Estate Investment Trust)•South Africa: REIT•

Turkey: Gayrimenkul Yatirim Ortakligi•

United Arab Emirates: REIT•

Pakistan: REIT•

Philippines: REITMSCI closely monitors the potential emergence of REIT equivalent structures in othercountries and updates the above list when appropriate.

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Canadian Income Trusts
Income trusts in Canada formed under the laws of provinces which have passed
limited liability legislation and are not designed to invest in a diversified portfolio ofincome trusts, securities, and/or funds; and which pay or intend to pay nonrefundable SIFT (Specified Investment flow-through) taxes, will be included in the
MSCI Equity Universe and will be subject to the same index eligibility rules applicableto other equity (and equity-like) securities.
Additionally, corporations in Canada that qualify as ‘Mutual Fund Corporations’ underthe Income Tax Act (Canada) and are not designed to invest in a diversified portfolio
of income trusts, securities, and/or funds; and which pay or intend to pay nonrefundable corporate taxes, will be included in the MSCI Equity Universe and will be
subject to the same index eligibility rules applicable to other equity (and equity-like)securities.

Ineligible Alert Boards
Securities of companies included in the alert boards listed in the table below are noteligible for inclusion in the MSCI Equity Universe.

Country Name

Stock Exchange

Alert Board

Denmark

Copenhagen Stock Exchange

Observation Status (1)FinlandHelsinki Stock Exchange

Observation Status (1)SwedenStockholm Stock Exchange

Observation Status (1)Singapore

Singapore Exchange

Watch List

Japan

Tokyo Stock Exchange

Securities Under Supervision &Securities to Be Delisted (2)China

Shanghai Stock Exchange
Shenzhen Stock Exchange

Special Treatment (ST / *ST)

India

Mumbai Stock Exchange

Korea

Korea Exchange

Z Group
S+ Framework
Administrative Issues

Malaysia

Bursa Malaysia

PN17 Companies

TaiwanTaiwan Stock Exchange
Gretai Securities Market

Altered Trading Method (ATM)Developed Markets

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Thailand

Stock Exchange of Thailand

Companies Facing Delisting

TurkeyIstanbul Stock Exchange

Watch List Companies

Estonia

Tallinn Stock Exchange

Observation Status (1)Lithuania

Vilnius Stock Exchange

Observation Status (1)VietnamHo Chi Minh Stock Exchange

Controlled Securities

Iceland Stock Exchange

Observation Status (1)Frontier Markets

Stand Alone Market
Iceland(1) Not applicable to securities under Observation Status due to public takeoveroffers(2) Not applicable to securities under Securities Under Supervision & Securities
to Be Delisted due to public takeover offers

Non-Index ConstituentsNon-index constituents included in the alert boards listed in the table above are noteligible for inclusion in the MSCI Equity Universe.
In order to minimize potential reverse turnover, securities deleted due to inclusion onsuch boards (see deletion of existing index constituents below) may only be added
back to the MSCI GIMI after 12 months from their deletion from the index provided
that they have been removed from the ineligible alert board before the relevant equity
universe cutoff date. For example, securities that are deleted due to becoming part ofan ineligible alert board as part of the May 2014 SAIR will only be eligible forinclusion in the MSCI GIMI as part of the May 2015 SAIR if they have been removed
from the ineligible alert board by the end of February 2015.

Deletion of Existing Index ConstituentsConstituents of the MSCI GIMI that enter the alert boards listed in the table above will
be deleted on the last business day of each month at market price with a notice
period of at least two full business days. During an Index Review, the deletion of asecurity that enters an ineligible alert board will be made to coincide with theeffective date of the Index Review. In addition, MSCI may reverse the addition of any
company that may enter the alert boards in order to avoid potential reverse turnover.
In the event the securities do not trade on the implementation date of the deletion,
MSCI would amend the deletion price from market price to lowest system price.

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Appendix II: Market Classification Framework
The classification of markets is a key input in the process of index construction as it
drives the composition of the investment opportunity sets to be represented. The
approach used by MSCI aims to reflect the views and practices of the international
investment community by striking a balance between a country’s economic
development and the accessibility of its market while preserving index stability.
The MSCI Market Classification Framework consists of following three criteria:
economic development, size and liquidity as well as market accessibility.
In order to be classified in a given investment universe, a country must meet therequirements of all three criteria as described in the table below.
Criteria

Frontier

Emerging

Developed

No requirement

No requirement

Country GNI per
capita 25% above theWorld Bank highincome threshold* for3 consecutive years

2
USD 915 mm
USD 65 mm
2.5% ATVR

3
USD 1,830 mm
USD 915 mm
15% ATVR5
USD 3,661 mm
USD 1,830 mm
20% ATVRAt least someAt least partial
ModestHigh
ModestSignificant
Significant
Good and tested
High
ModestVery highVery highVery highUnrestricted
Very high

A Economic Development

A.1

Sustainability of economic development

B Size and Liquidity Requirements
B.1

Number of companies meeting the following Standard Index criteria
Company size (full market cap) **Security size (float market cap) **Security liquidity

C Market Accessibility Criteria
C.1
C.2
C.3
C.4
C.5

Openness to foreign ownership
Ease of capital inflows / outflows
Efficiency of operational framework
Availability of Investment Instrument
Stability of the institutional framework* High income threshold for 2019: GNI per capita of USD 12,376 (World Bank, Atlas method)** Minimum in use for the November 2020 Semi-Annual Index Review, updated on a semi-annual basis

The economic development criterion is only used in determining the classification of
Developed Markets while that distinction is not relevant between Emerging andFrontier Markets given the very wide variety of development levels within each ofthese two universes.
The size and liquidity requirements are based on the minimum investability
requirements for the MSCI Global Standard Indexes.
Market accessibility aims to reflect international investors’ experience in investing ina given market and as a result, this criterion includes several sub-criteria. These© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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criteria are generally based on qualitative measures that are reviewed for all markets
at least once a year during the MSCI Global Market Accessibility Review.
MSCI regularly reviews the market classification of all countries included in the MSCI
Indexes to ensure that they remain reflective of the evolution of the different
markets. In particular, changes in the assessments under the classification
framework serve as the basis for determining the markets that will be reviewed forpotential market reclassification as part of the Annual Market Classification Review.
MSCI will only consider these markets for reclassification for which a change inclassification status can be viewed as irreversible. Every June, MSCI willcommunicate its conclusions from the discussions with the investment community
on the list of countries under review and announce the new list of countries, if any,
under review for potential market reclassification in the upcoming cycle.

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Market Accessibility Criteria
Definition
Openness to foreign ownership
Investor qualification requirement

Existence of qualifying conditions for international investors. Existence of a level playing field for all international investors.

Foreign ownership limit (FOL) level

Proportion of the market being accessible to non-domestic investors.

Foreign room level

Proportion of shares still available for non-domestic investors. Existence of a foreign board where non-domestic investors could trade witheach other.

Equal rights to foreign investors

Equal economic and voting rights as well as availability of information in English. Equal rights for minority shareholders.

Ease of capital inflows / outflows
Capital flow restriction level

Existence of restriction on inflows and outflows of foreign capital to/from the local stock market (excluding foreign currency exchange
restrictions).

Foreign exchange market liberalization level

Existence of a developed onshore and offshore foreign exchange market.

Efficiency of the operational framework
Market entry
Investor registration & account set up

Existence/level of complexity of registration requirements for international investors such as Tax IDs as well as ease/complexity for setting up
local accounts (e.g., documents to be provided, approvals required). The time to complete the process includes the preparation of the
documents.

Market organization
Market regulations

Level of advancement of he legal and regulatory framework governing the financial market, the stock exchange and the various otherentities involved in the financial markets, an important weight is assigned to: ease of access (including in English), lack of ambiguity andprompt enforcement of laws and regulations, as well as consistency over time.

Information flow

Market infrastructure
Clearing and Settlement

Timely disclosure of complete stock market information items (e.g., stock exchange alerts, corporate news, float information, dividend
information) in English and under reasonable commercial terms, as well as the robustness and enforcement of accounting standards.

Well functioning clearing and settlement system based on the broad framework published by the Bank for International Settlements including
delivery versus payment (DVP), the absence of pre-funding requirements/practices and the possibility to use overdrafts. Availability of realomnibus structures.

Custody

Level of competition amongst local custodian banks as well as the presence of global custodian banks. Existence of an efficientmechanism that prevents brokers to have unlimited access to the investor’s accounts and guarantees the safekeeping of its assets.

Registry / Depository

A well functioning central registry or independent registrars and a central depository.

Trading

Level of competition amongst brokers ensuring high quality services (e.g., cost efficient trading, ability to execute grouped trades at thesame price for the various accounts of a fund manager).

Transferability

Possibility of off-exchange transactions and "in-kind" transfers.

Stock lending

Existence of a regulatory framework as well as an efficient mechanism allowing extensive use of stock lending.

Short selling

Existence of a regulatory and practical framework allowing short selling.

Availability of Investment Instruments

Existence of restrictions on access to derived stock exchange information, data and products that prevents the creation of investment
instruments.
Basic institutional principles such as the rule of law and its enforcement as well as the stability of the "free-market" economic system. Track

Stability of institutional framework

record of government intervention with regards to foreign investors.

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Index Methodology

Markets Under Index Continuity
In order to achieve index continuity, as well as provide some basic level ofdiversification within a market index, notwithstanding the effect of other index
construction rules contained herein, a minimum number of five constituents will bemaintained for a DM Standard Index, three constituents for an EM Standard Index,
and two constituents for an FM Standard Index.
The following table below shows those markets where after the application of theindex maintenance methodology, the Standard Index contains less than theminimum number of constituents, and hence the index continuity rules have been
applied to achieve the minimum number of constituents as part of the November
2020 SAIR.
Developed Markets

Emerging Markets

Frontier Markets

Argentina

Estonia

Czech Republic

Jordan45

Egypt

Mauritius

Pakistan

SerbiaSlovenia
Sri Lanka
Tunisia
WAEMU

45 Jordan was under Index Continuity Rules at the February 2021 QIR due to a deletion caused by a corporate

event post the price cutoff date for the November 2020 SAIR.

February 2021

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix III: Country Classification of Securities
This appendix outlines the guidelines MSCI uses to determine the country
classification of companies and their equity securities.

General Framework
Each company and its securities followed in the MSCI Equity Universe are classified
in one and only one country.
The country classification of a company is generally determined by the company’s
country of incorporation and the primary listing of its securities. MSCI will classify acompany in the country of incorporation if its securities have a primary listing in thiscountry. This approach determines the country classification of the vast majority ofcompanies.

Other Cases
In some cases, a company’s securities may be incorporated in one country while its
securities have a primary listing in a different country. For example, companies may
choose to incorporate in a different country than the country of primary listing tobenefit from tax, legal, and/or regulatory advantages. These companies often
incorporate in countries with limited, if any, public domestic equity markets, such as
the Bahamas, Bermuda, British Virgin Islands, Cayman Islands, Channel Islands,
Luxembourg, Marshall Islands, Netherlands Antilles, and Panama.
In such cases where a company’s securities have a primary listing outside of thecountry of incorporation, an additional analysis is performed to determine thecompany’s country classification. In addition to the company’s country ofincorporation and the location of the primary listing, MSCI considers a set of criteria,
including:•

The security’s secondary listings if any;•

The geographic distribution of the company’s shareholder base;•

The geographic distribution of the company’s management;•

The location of its headquarters;•

The geographic distribution of its operations (in terms of assets and revenues);•

The company’s history, and•The country in which investors consider the company to be most appropriately
classified.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

In the cases where the analysis cannot establish a significant link of a company witha single country, MSCI will generally classify the company in the country of the
primary listing of its securities.

Country Specific Cases
United States (US): Companies listed in the US may be classified in the US provided
that they file a Form 10‐K/10‐Q and four of the following five variables do not point
to another single country: operations, revenues, headquarters, management andshareholder base. Companies incorporated in Puerto Rico and listed in the US are
generally included in the US Equity Universe.
Europe: Companies incorporated in a European DM country (including Luxembourg)
which have their securities’ most liquid listing in a different European DM country are
generally classified in the country of the most liquid listing.
Russia: The MSCI Russia universe includes companies incorporated in Russia with alisting in either Russia, London or New York. Companies with incorporation in a
special benefit country, as described above, may also be included in the MSCI Russia
universe if they have an eligible listing in Russia that meets all the investability
screens described in Sub-section 2.2, including the EM Minimum Liquidity
Requirement. Russian Depositary Receipts are currently not considered as eligible
listings.
China: The MSCI China universe includes companies incorporated in Mainland China
and listed in the form of A shares46, or B shares on the Shanghai Stock Exchange (inUS$) or Shenzhen Stock Exchange (in HK$), or H shares on the Hong Kong Stock
Exchange (in HK$). The MSCI China universe also includes companies notincorporated in Mainland China and listed on the STAR Market of the Shanghai Stock
Exchange. Securities with a “ST” or “*ST” status are excluded from the Equity
Universe (see Appendix I for more details).
In addition, the MSCI China universe includes companies not incorporated in
Mainland China but listed on the Hong Kong Stock Exchange provided that they meetthe following definitions.
Red-Chip: company whose largest shareholder is an organization or enterprise that is
owned by the state, provinces, or municipalities of Mainland China.
P-Chip: the company satisfies following conditions:•

For a company with headquarters in Mainland China: It derives more than 50%
of its revenue from Mainland China (40% for existing constituents) or it allocates

46 Currently Large Cap and Mid Cap China A shares are included in the MSCI China Index.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

more than 50% of its non-current assets in Mainland China (40% for existing
constituents)•

For a company with headquarters in Hong Kong, Macau or elsewhere: It derives
more than 80% of its revenue from Mainland China (70% for existing
constituents) and it allocates more than 60% of its non-current assets in
Mainland China (50% for existing constituents)

Companies which exhibit strong linkage to China but do not satisfy the H Shares, Red
Chip or P Chip conditions above are included in MSCI Hong Kong universe, if theysatisfy two out of three of the following conditions:•

The company’s headquarter is located in either Mainland China or Hong Kong or
Macau

•

The company derives more than 50% of its revenues from Mainland China, Hong
Kong and Macau combined•

The company has more than 50% of its non-current assets in Mainland China,
Hong Kong and Macau combined

The MSCI China universe excludes companies which satisfy the above conditions
but derive more than 80% of their revenues from the Hong Kong Special
Administrative Region (HKSAR). These companies will be included in the MSCI Hong
Kong universe. However existing constituents may remain in the MSCI Hong Kong
universe if they meet the threshold of 70%. Also, the companies which derive amajority of revenues and assets from Macau are included in the MSCI Hong Kong
universe.
Companies that do not satisfy the H Shares, Red Chip, P Chip or HKSAR conditions,but are incorporated in Hong Kong, are included in MSCI Hong Kong universe.
Securities classified in China may be represented by a foreign listing (i.e. a listingoutside China or Hong Kong) in the MSCI China Indexes. However, such securities
listed in the US and resulting from reverse mergers47 are not eligible for index
inclusion.
Australia: The MSCI Australia universe includes companies incorporated in Papua
New Guinea that are listed on the Australian Securities Exchange. 48
Greece: The MSCI Greece universe includes companies incorporated in Cyprus thatare listed on the Athens Exchange.49

47 Companies resulting from reverse merger but are later listed through a formal IPO will be considered eligible.
48 Effective since the November 2015 SAIR.
49 Effective since the May 2009 SAIR.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Countries subject to economic sanctions: MSCI does not cover certain countries forwhich significant economic sanctions are applied. Examples of such countries as ofFebruary 2018 are Cuba, Democratic Republic of the Congo, Libya, North Korea, Iran,Iraq, Somalia, Sudan and Syria.
Companies that are classified to and/or incorporated in such countries are noteligible for inclusion in the MSCI Global Investable Market Indexes. MSCI regularly
assesses eligibility of new markets and communicates their potential inclusion in the
MSCI GIMI in advance of implementation.

Change in Country Classification
In general, country classification review for all securities in the MSCI Equity Universe
is conducted annually and changes, if any, are implemented at November SAIRs.
When MSCI changes a company's country classification, the company’s equity
securities are not automatically included in the index of the new country
classification even if the company was a constituent of its original country's index.
The company and its securities would have to be eligible in all respects in the index
of the new country.
In case an index constituent changes its incorporation as part of a corporate event,the country classification in such cases is reviewed in accordance with the section
5.5 of the MSCI Corporate Events methodology book. In that case, the company may
be reclassified simultaneously with the change in country of incorporation or at an
Index Review following the corporate event. If a decision is made to re-classify thecompany after the change in country of incorporation, an announcement will be sentout as per the MSCI announcement policy. No announcement will be sent if thecompany will not be re-classified.
For cases with change in incorporation outside of a corporate event, the country
classification is generally reviewed and implemented at the May and November
SAIRs following the incorporation change, based on the country classification
framework as mentioned above.

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Appendix IV: Foreign Listing Materiality Requirement
Securities may be represented in the MSCI Global Investable Market Indexes by alisting in the country where they are classified (i.e. “local listing”). In addition,
securities may also be represented by a listing in a different country (i.e. “foreign
listing”) in certain MSCI Country Investable Market Indexes (IMI) within the MSCI
Global Investable Market Indexes.
Foreign listings may become eligible to represent securities only from the countries
that meet the Foreign Listing Materiality Requirement. This requirement is applied at
the time of SAIRs to the countries that do not yet include securities represented byforeign listings.
In order to assess whether a country meets the Foreign Listing Materiality
Requirement, the following steps are undertaken:•

Apply SAIR index maintenance rules described in Sub-section 3.1 to determine
which securities represented by a foreign listing would be included in the MSCICountry IMI if foreign listings were eligible from that country.

•

Calculate the aggregate free float-adjusted market capitalization of all suchsecurities•

This aggregate market capitalization of securities represented by foreign listings
should represent at least:-

5% of the free float-adjusted market capitalization of the relevant MSCI Country IMI50 , and-0.05% of the free float-adjusted market capitalization of the MSCI ACWI IMI.

The second condition is not applied to Frontier Markets countries.
Once a country meets the Foreign Listing Materiality Requirement at a given SAIR,
foreign listings will become eligible from this country at the following SAIR. Then,foreign listings will remain eligible even if the aggregate market capitalization of
securities represented by foreign listings decreases over time below the materiality
thresholds.
The following table provides the list of countries for which securities may be
represented by foreign listings:

50 Securities represented by foreign listings are included in the free float-adjusted market capitalization of the

MSCI Country IMI for the purpose of this calculation.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Countries for which foreign listings are eligible
Argentina

IsraelPeru

BahrainKazakhstan

Russia (*)

Botswana

LebanonSingapore

China

Mauritius

Slovenia

Hong Kong

Netherlands

UkraineIcelandPanama (**)(*) Only selected listings in London and New York are eligible. As publicly announced, MSCI will defer
the potential inclusion of additional foreign listed companies in the MSCI Russia Indexes until further
notice.
(**) The MSCI Panama Index was launched as a Standalone Market Index as part of the May 2017
Semi-Annual Index Review and currently includes only foreign listings.

At the November 2020 SAIR, Singapore met the Foreign Listing Materiality
Requirement. Hence, foreign listings will become eligible for the MSCI Singapore
Indexes as part of the May 2021 SAIR.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix V: Treatment of Investment Sanctions
Related to U.S. Executive Order 13959
The U.S. Executive Order 13959 dated November 12, 2020 which Prohibits
Transactions by U.S. Persons in Certain Chinese Companies (the "Order"), along withclarification from the Office of Foreign Assets Control (OFAC), results in the deletionfrom / non-inclusion in the MSCI GIMI of relevant impacted securities.
On January 5, 8 and 26, 2021, MSCI deleted securities impacted by the Order from
the MSCI GIMI.At the time of their deletion from the MSCI GIMI, the securities wereretained in their existing Size-Segment and continue to be included in the Market
Investable Equity Universe.
MSCI continues to monitor for updates to the list of securities impacted by the Order.
Any changes to the list of securities would be publicly announced. The same
treatment would be applicable for such securities at the time of the deletion.
At the time of the Semi-Annual Index Reviews and Quarterly Index Reviews, MSCI will
apply the MSCI GIMI Methodology on the MSCI Equity Universe, which includes
securities impacted by the Order to derive the constiuents of the MSCI J-Series
Indexes. For the investability requirements, size-segmentation assignment, andconformity with final investability requirements, companies and securities will beassessed based on their current status in the MSCI J-Series Indexes, subject to therelevant buffer rules. Securities that are impacted by the Order that are assigned to a
Size-Segment will have an adjustment factor of 0 applied and hence will not be
included in the relevant MSCI GIMI size-segment indexes.

MSCI J-Series Indexes:
The MSCI J-Series Indexes follow the MSCI GIMI Methodology but do not apply thetreatment of investment sanctions related to the Order. Therefore, the MSCI J-Series
Indexes will retain the securities deleted from the MSCI GIMI due to the investment
sanctions related to the Order.
MSCI J-Series Indexes are available upon request for clients subscribing to standard
and custom indexes impacted by the Order.

MSCI China A Onshore Indexes:
The MSCI China A Onshore Indexes will not take into account investment sanctions
related to the Order. However, parallel versions of the MSCI China A Onshore Indexes(“MSCI K-Series Indexes”) that exclude relevant impacted securities are available
upon request, as further described in Appendix XII: MSCI Domestic Indexes.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix VI: Free Float Definition and Estimation
Guidelines
MSCI calculates the free float-adjusted market capitalization of each security in theequity index universe. The process of free float-adjusting market capitalization
involves:•

Defining and estimating the free float available to foreign investors for eachsecurity, using MSCI’s definition of free float.

•

Assigning a free float-adjustment factor to each security (Foreign Inclusion
Factor or FIF).

•

Calculating the free float-adjusted market capitalization of each security.

The free float-adjusted market capitalization is used to calculate the weights of the
securities in the indexes.

Defining and Estimating Free Float
MSCI’s estimation of free float is based solely on publicly available shareholder
information. For each security, all available shareholdings are considered where
public data is available, regardless of the size of the shareholding. MSCI may consult
with analysts, other industry experts and official company contacts, particularly
where disclosure standards or data quality make the estimation of free float difficult.
MSCI defines the free float of a security as the proportion of shares outstanding thatis deemed to be available for purchase in the public equity markets by international
investors. In practice, limitations on the investment opportunities available tointernational institutional investors include:•

Strategic and other non-free float shareholdings: Stakes held by private or public
shareholders whose investment objectives or other characteristics suggest thatthose holdings are not likely to be available in the market. In practice, disclosure
requirements generally do not permit a clear determination of these investment
objectives. Therefore, MSCI primarily classifies shareholdings as free float or
non-free float based on a categorization of investor types into non-strategic andstrategic respectively.

•

Limits on share ownership for foreign investors: Limits on the proportion of asecurity’s share capital that is authorized for purchase by non-domestic
investors. Where they exist, these foreign share-ownership limits are set by law,
government regulations, company by-laws and other authoritative statements.

•

Other foreign investment restrictions: Investment restrictions, other than thosedescribed above, which materially limit the ability of international investors to© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

freely invest in a particular equity market, sector or security. There is typically nosimple way to account for these limitations in a benchmark, as these restrictions
tend to be more subtle and complex, and may affect different market participantsin different ways.

Classification of Shareholder Types
STRATEGIC SHAREHOLDER TYPES (NON-FREE FLOAT)
Governments

Shareholdings owned by governments and affiliated entities
are generally classified as non-free float.

Companies

Shares owned by companies. This includes treasury shares
owned by the company itself.51

Banks

Shareholdings by banks are considered as strategic, excluding
shareholdings held in trust on behalf of third parties that are
deemed to be non-strategic. (Shareholding by trust banks inJapan are considered non-strategic).

Principal officers andboard members

Shares owned by the company’s principal officers or membersof the company’s board of directors, including shares owned
by individuals or families that are related to or closely
affiliated with the company’s principal officers, members of
the company’s board of directors, or founding members
deemed to be insiders.

Employees

Shares of the employing companies, held by both officers andnon-officers, which are held in a variety of ways including
plans sponsored by the employer for the purpose ofretirement and savings plans, incentive compensation
programs and other deferred and employee pension funds.

Private Equity & Venture
CapitalShareholdings owned by private equity firms and venture
capital funds are generally classified as non-free float.

NON-STRATEGIC SHAREHOLDER TYPES (FREE FLOAT)
Individuals

Shares owned by individuals, excluding shares owned byindividuals or families that are related to or closely affiliatedwith the company’s principal officers or members of the

51 For most countries, treasury shares are included in the determination of the total shares outstanding which isused in the calculation of the indexes, and therefore MSCI takes them into account in its calculation of free
float. In other countries where treasury shares are excluded from the determination of the total shares
outstanding, they are accordingly not taken into consideration for the free float calculation.

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company’s board of directors or founding members deemed
to be insiders, and, also excluding those shareholdings held byindividuals, the significant size of which suggests that they are
strategic in nature.
Investment funds, mutual
funds and unit trusts

Shares owned in investment funds, mutual funds and unit
trusts, including shares owned in indexed funds.

Security brokers

Non-strategic interests held by broker-dealers (e.g., trades in
the process of settlement, holdings in the process of beingtransferred, as part of underwriting activity, etc.), unless held
within the same group or the nature of holding is deemedstrategic.

Pension funds

Shares owned in employee pension funds, excluding shares ofthe employing company, its subsidiaries or affiliates.

Insurance companies

In principle, all stakes held by insurance companies are part offree float. For exceptions to this general principle, please referto the additional discussion on insurance companies
presented below.

Social security funds

Shares owned in social security funds, unless the fund’s
management is deemed to exert influence over the
management of the company.

In the event that the above categories do not appropriately capture the nature of a
specific shareholding, its classification as free float or non-free float will be
determined based on a more extensive analysis.

Special Cases
The following guidelines will be applied in analyzing the special cases set forth
below:•

Nominees or trustees: Shareholdings registered in the name of a nominee ortrustee is classified as strategic or non-strategic based on an analysis of who theultimate beneficial owner of the shares is, according to the shareholder types
described above.

•

Government agencies and government-related investment funds: Shareholdingsof government agencies and government-related investment funds are classified
based on an analysis of the objective of the investment and the extent ofgovernment involvement in managing the companies.

•

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Holdings by SWF in securities classified in a domicile country of suchfund are treated as non-free float.

•

For securities classified in a non-domicile country, stakes of SWFs ofabove 7% are treated as non-free float. Existing SWFs stake in securities
classified in a non-domiciled country that are currently treated as nonfree float will continue to be treated as such until the holdings fall below
5%.

•

Insurance companies: Shareholdings by insurance companies are considered as
non-free float, when analysis shows that these holdings are unlikely to be madeavailable as free float in the market. This analysis typically looks at the nature of
the insurance business in each country, a company's business practices with its
group-related or other companies, and the regulatory environment in the country,
including fiscal incentives. These factors, individually or combined, could restrict
the insurance company's shareholdings from being made freely available in thestock market. Therefore, the treatment of stakes held by insurance companies
may differ from country to country. Because of the structure of equity ownershipand the importance of financial alliances for the control of companies in somecountries, insurance companies’ stakes in other companies may be treated as
strategic. This is the case in France, Germany, Italy and Japan, where stakes
above 2% are treated as strategic.

•

Depositary Receipts: Shares that are deposited to back the issuance of
Depositary receipts such as ADRs and GDRs are classified as non-strategic,
unless it is established that a specific stake held in Depositary receipts is
strategic in nature.

•

Shares with "loyalty" incentives: In a public offering, special incentives are
sometimes provided to retail investors and are subject to a minimum holding
period. These shares will not be considered as part of the free float during theminimum holding period if the incentives are deemed to be material. In general, aconditional share bonus in a ratio of 1 to 5 (or an equivalent price discount of
1/6th), or more, will be considered as material.

•

Lock-up periods:•

Any shares that are subject to lock-up periods will be considered as non-free float during the lock-up
period. At the end of the lock-up period, these shares will be classified as strategic or non-strategic
based on the nature of the shareholder.

•Free float of these securities will be reviewed, as defined in Sub-Section 3.1.7 for SAIRs and 3.2.4 for
QIRs based on the date of data defined in Sub-Section 3.1.9 for SAIRs and 3.2.6 for QIRs.

•

On expiration of the lock up holders, if there are no subsequent disclosures, MSCI would retain these
non-free float holdings for one year from the date of listing.

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Foreign Ownership Limits (FOLs)
For the determination of the FOLs, the following guidelines are used:•

For companies that impose ownership restrictions for non-European Union
investors, such restrictions are fully taken into account in the calculation of the
FOL.

•

Regulatory requirements governing the ownership of shares by foreign investors
in the country where the security is included.

•

In countries where companies are allowed to issue Depositary Receipts (DRs)such as ADRs or GDRs as an exception to the outstanding foreign ownership
restrictions, the FOL calculation includes the percentage represented by thedepositary receipts. MSCI defines the percentage represented by DRs as thenumber of shares represented by DRs issued at the time of initial offering of theDRs adjusted for subsequent corporate events divided by the total number ofshares outstanding.

•Similarly, if a company exceptionally permits certain foreign shareholders to own
shares in excess of the maximum stated in the company's by-laws and theexception is publicly disclosed, this is taken into account in the calculation of the
FOL.

•

In India, the FOL for securities would be equal to the limit as per the 'Automatic
Route' except:-

The cases where a higher limit is approved under the 'Government Route' or-

The cases where a lower limit is approved by the company's Board of
Directors and its General Body•

When a company's foreign ownership restriction is defined as a proportion of thecompany's total share capital and the company has multiple-listed share classes
with no specific limit set for any one class, MSCI applies the company's FOL
equally to each of the company's listed share classes.

•

When a company's foreign ownership restriction is defined as a proportion of thecompany's total share capital and the company has multiple share classes but
only one is listed, MSCI calculates the FOL by applying the total shares available
to foreign investors (after taking into consideration foreign non-free float
shareholdings of non-listed shares, if any) on the listed shares only.

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ListedNon-Listed

Total

500

500

1,000

Foreign non-free float shareholdings

100

100

Foreign ownership limit applied to the company= 40%

Foreign Ownership Limit (FOL) applied to listed
shares= ((0.40*1,000) – 100)/500

Number of shares outstanding= 0.60Calculation of Free Float
Securities Not Subject to Foreign Ownership Limits (FOLs)
For securities not subject to FOLs, the free float of a security is estimated as its total
number of shares outstanding less shareholdings classified as non-free float.
Non-Free Float Shareholdings (%) =Free Float (%)=

Number of Shares Classified as Non-Free
Float divided by the Total Number of
Shares100% minus Non-Free Float Shareholdings (%)

Securities Subject to FOLs
For securities subject to FOLs, the estimated free float available to foreign investors
is equal to the lesser of:•

Estimate of free float, as defined above.

•

FOL adjusted for non-free float stakes held by foreign investors*.

* It is applicable only to companies classified in countries for which foreign room is
not monitored
Free Float for Foreign Investors (%)=

Lower of:•100% minus Non-Free Float Shareholdings, including Domestic and Foreign
Shareholdings•

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Assigning a Free Float-Adjustment Factor
MSCI free float-adjusts the market capitalization of each security using an
adjustment factor referred to as the Foreign Inclusion Factor (FIF).
Securities with Free Float Greater Than 15% and Not Subject to FOLs
For securities with free float greater than 15%, the FIF is equal to the estimated free
float, rounded up to the closest 5%.
Securities with Free Float Less than 15% and Not Subject to FOLs
For securities with free float less than 15%, the FIF is equal to the estimated free
float, rounded to the closest 1%.
Securities Subject to FOLs
For securities subject to FOLs, the FIF is equal to the lesser of:••

Estimated free float available to foreign investors,-

Rounded up to the closest 5%, if the free float is greater than 15%.

-

Rounded to the closest 1%, if the free float is less than 15%.

FOL rounded to the closest 1%.

Securities Affected by Other Foreign Investment Restrictions
In the case where other foreign investment restrictions exist, which materially limit
the ability of international investors to freely invest in a particular equity market,
sector or security, a Limited Investability Factor (LIF) may be applied to insure thatthe investability objectives of the MSCI Indexes can be achieved.
There is typically no simple way to account for these types of investability limitations
in a benchmark, as they tend to be subtle and complex, and may affect different
market participants in different ways.
For example, such restrictions may involve a complex process of investor validationand qualification, restrictions on funds transfer, individual investment quota limits
and various complex administrative requirements. While instituted at a country level
these restrictions may have different consequences depending on the characteristicsof the investor, including legal status, size of assets under management or date ofapplication.
In the case of individual companies with Foreign Ownership Limits, it may happen
that the maximum ownership by non-national investors is reached while depositary
receipts may continue to be available to foreign investors. In such cases, thedepositary receipts typically trade at a persistent premium relative to the domestic
shares, highlighting the difficulties for international investors to replicate thesecurity’s weight in the index.

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Therefore, where deemed necessary, a LIF will be determined and applied based on
an extensive, case-by-case analysis. The application of this LIF permits a moreaccurate comparison of constituent markets and securities that have more complex
and subtle restrictions on the investment process to markets and securities where
investment limitations can be appropriately reflected in their standard FIFs.
In cases where MSCI applies a LIF, the free float adjusted for limited investability isdefined as the product of the available free float for foreign investors and the LIF.
Free Float-Adjusted for Limited Investability = Free Float for Foreign Investors times
the LIF
Therefore, for securities subject to other foreign investment restrictions, the Foreign
Inclusion Factor is equal to the lesser of:••

Estimated free float-adjusted for limited investability,-

Rounded up to the closest 5%, if the free float-adjusted for limited investability is greater than 15%.

-

Rounded to the closest 1%, if the free float-adjusted for limited investability is less than 15%.

FOL rounded to the closest 1%.

Foreign RoomFor a security that is subject to a Foreign Ownership Limit (FOL), in determining
eligibility for index inclusion and in determining an affected constituent’s weight in an
index, MSCI will additionally take into consideration the proportion of shares stillavailable to foreign investors relative to the maximum allowed (referred to as“foreign room”). In general, securities with low foreign room may be in someinstances not eligible for index inclusion or subject to a weight reduction through theapplication of an adjustment factor. For more details, please refer to Sub‐sections
2.3.6.2, 3.1.6. and 3.2.1.4.
The table below provides a list of countries for which MSCI monitors foreign room ona quarterly basis.

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Eligible Markets

Country Name
AUSTRALIA

Developed Markets (DM)

JAPAN
CHINA
INDIA
INDONESIAKOREAPHILIPPINES

Emerging Markets (EM)QATAR
TAIWANTHAILAND*
UNITED ARAB EMIRATESOMANFrontier Markets (FM)TUNISIAVIETNAM

Standalone Markets

SAUDI ARABIAZIMBABWE*Refer Treatment of Non-Voting Depository Receipts in Thailand

Other than countries mentioned above, MSCI also monitors foreign room fortelecommunication companies in Canada, airlines companies in Europe and USA for
which the foreign room information is available on public sources.

Example:Calculating Foreign Room
Foreign ownership Limit (FOL) applied to thecompany=40%

Foreign shareholdings=20%

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Calculating the Free Float-Adjusted Market Capitalization
The free float-adjusted market capitalization of a security is calculated as the
product of the FIF and the security’s full market capitalization.
Free Float-Adjusted Market Capitalization = FIF times the Security’s Full Market
Capitalization
The following examples illustrate the calculation of the free float-adjusted market
capitalization of securities with and without FOLs.
Example:Calculating Free Float-Adjusted Market Capitalization:
Securities Not Subject to FOLs
Company A

Company B

10,000,000

10,000,000

Number of shares classified as non-free float 4,300,000

8,760,000

Total number of shares outstanding

Non-free float shareholding (%)

43.0%

87.6%

Free float (%)

57.0%

12.4%

Foreign Inclusion Factor (FIF)

0.60

0.12

Market price ($)

500

500

Full market capitalization ($ mm)

5,000

5,000

Free float-adjusted market capitalization ($ mm)

3,000

600

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Example:Calculating Free Float-Adjusted Market Capitalization:
Securities Subject to FOLs
Company C

Company D*

Company E

Total number of shares outstanding

10,000,000

10,000,000

10,000,000

All shares classified as non-free float

8,760,000

4,000,000

4,000,000– those held by foreign investors as strategic

1,000,000

1,000,000

Total non-free float shareholdings (%)

87.6

40.0

40.0

Free float (%)

12.4

60.0

60.0

Foreign ownership limit (%)

33.3

33.3

33.3

Foreign strategic shareholding (%)

10.0

10.0

0.0

–

Foreign ownership limit less the foreign
strategic shareholding (%)
Foreign Inclusion Factor (FIF)

23.3

23.3
0.12

33.3
0.25

0.33

Market price ($)

500

500

500

Full market capitalization ($ mm)

5,000

5,000

5,000

Free float-adjusted market capitalization ($ mm)

600

1,250

1,650

*This example is applicable only to companies classified in countries for which foreign roomcannot be monitored

Treatment of Hong Kong Listed Securities With High
Shareholding Concentration Issues
Securities of companies included on the Hong Kong Securities and Futures
Commission (SFC) high shareholding concentration notices are not eligible forinclusion in the MSCI GIMI. Such securities will remain ineligible until sufficientpublic disclosure is made by the issuing companies confirming an increase in free
float that results in a Foreign Inclusion Factor equal to or larger than 0.15, following
the SFC high shareholding concentration notice.
Constituents of the MSCI GIMI included on the SFC high shareholding concentration
notices will be deleted on a quarterly basis coinciding with the regular Index Reviews.

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At each regular Index Review MSCI will reflect the SFC high shareholding
concentration notices until the Price Cutoff Date (as defined in sections 3.1.9 and3.2.6). Constituents of the MSCI GIMI added to the SFC high shareholding
concentration notices after the Price Cutoff Date will be deleted from the IMI at thenext Index Review, unless such deletion is warranted as part of the ongoing Index
Review based on other index inclusion criteria, such as size or liquidity. Index Review
changes, including increasing free float-adjusted market capitalization or migrationof such security will be cancelled.
Additions of newly eligible securities to the MSCI GIMI as part of a regular Index
Reviews may be revised until five business days before the Index Review effective
date if such newly eligible companies were added to the SFC high shareholding
concentration notices after the Index Review Price Cutoff Date.
In order to avoid potential reverse turnover, MSCI may review eligibility of companies
included on the SFC high shareholding concentration notice until five business days
before the Index Review effective date if sufficient public disclosure is madeavailable by the company that confirms an increase in free float resulting in a Foreign
Inclusion Factor equal to or larger than 0.15.
Securities deleted as a result of inclusion on the SFC high shareholding
concentration notice would not be added back to the MSCI GIMI for a period of 12months after sufficient public disclosure becomes available that confirms anincrease in free float resulting in a Foreign Inclusion Factor equal to or larger than
0.15.

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Treatment of Non-Voting Depositary Receipts in Thailand
As part of the Capital Market Development Plan, the Securities and Exchange
Commission of Thailand set up Non-Voting Depositary Receipts (NVDRs) to improve
the investability of the Thai capital market. NVDRs are depositary receipts issued by
the Thai NVDR Company Limited, a subsidiary of the Stock Exchange of Thailand(SET) and backed by shares listed on the SET. NVDRs entitle their holders to all
financial benefits of the underlying shares, except voting rights.
Foreign ownership limits that apply to common shares do not apply to NVDRs, andtherefore the NVDR scheme may allow foreign investors to own a greater percentageof shares than the foreign ownership limit of Thai companies. However, there is alimit on the amount of NVDRs that may be issued for financial institutions52(generally set at 25%). NVDRs are traded through the Local Line and as such,investors can buy and sell them at the price of the Local Line.
Aside from NVDRs, foreign investors may purchase the Foreign Line, where they areentitled to all economic rights as well as voting rights. Foreign Lines are subject toForeign Ownership Limits, and investors can buy and sell them at the price of theForeign Line.
Treatment for companies without NVDR issuance limitsCompanies with no limits on NVDR issuance are not subject to FOL and will be
represented in the MSCI Indexes using their respective Local Lines.
Treatment for companies with NVDR issuance limitsCompanies with limits on NVDR issuance, may be represented in the MSCI Indexes
using both Foreign Lines and Local Lines. Each line is evaluated independently forpotential inclusion or exclusion from the MSCI Thailand Indexes as per the index
maintenance rules.
Company Full Market Capitalization. The company full market capitalization is
calculated based on the price53 of the Local Line.
Foreign Inclusion Factor. The free float distribution between the Foreign Lineand the Local Line is determined as follows:

52 Financial institutions including banks and finance companies that accept deposits from the public
53 This will result in changes to the company full market capitalization of BANGKOK BANK and KASIKORNBANK.

The changes in the company full market capitalization were reflected in the MSCI product files effective April
16, 2019.

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If Foreign Line is not included in Index

If Foreign Line is included in Index

FIF (Local Line) = Minimum (DIF, NVDR
limit – NVDR strategic holdings)

FIF (Foreign Line) = Minimum (DIF, FOL FOREIGN strategic shareholding)FIF (Local Line) = Minimum (DIF – FIF(Foreign Line), NVDR limit – NVDR
strategic holdings)

Foreign Room. Foreign room is assessed for the Local Line relative to the
NVDR issuance limits in line with the quarterly review of foreign roomdescribed in sections 3.1.6.2 and 3.2.1.4.
Foreign Lines are not monitored for low foreign room since Foreign Lines havesecondary market trading.
Early Inclusions. MSCI will not include the Foreign Line in the MSCI Indexes at
the time of IPOs or other early inclusions. This is to provide sufficient time toevaluate liquidity of Foreign Lines in the secondary market. Only the Local Linemay be considered for early inclusion if it meets all the necessary
requirements.

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Appendix VII: Price Source for Securities
For a full updated list of prices used in MSCI’s end of day index calculations bycountry, please refer to the MSCI Index Calculation Methodology that can be foundat:https://www.msci.com/index-methodology
In certain countries significant foreign ownership limits exist for certain companies
and/or industries. When the FOL is reached in these countries, foreign investors may
trade with each other in an organized local market, frequently at a price higher thanthat available to domestic investors. As a result, there may be separate domestic andforeign board quotations.
MSCI regularly monitors the relative liquidity and foreign ownership availability of
constituents with separate domestic and foreign board quotations to determine
whether prices for these constituents should reflect the domestic or foreign board
quotations. This review occurs on a quarterly basis to coincide with the Quarterly
Index Review.
RussiaSimilarly to other markets, in order to determine the most appropriate price source
for the MSCI Russia index constituents the frequency of trading, 12 month and 3
month ATVRs are considered as described in Sections 2.2.3 and 3.1.2.3. However,
the eligible universes for Russia include alternative listings, trading in the US despite
being in the different time-zone. For more details on the country classification of
securities please refer to Appendix III.
Markets open on Saturday and/or Sunday
In the event that a security is not traded on a Monday but was traded on the previous
Saturday and/or Sunday, the security will have the latter price carried forward to the
Monday.

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Appendix VIII: Policy Regarding Trading Suspensions
and Market Closures during Index Reviews
Policy Regarding Trading Suspensions for Individual Securities during Index Reviews
MSCI will postpone the implementation of Index Review changes for IMI
constituents, as well as Micro Cap constituents, when the affected securities are
suspended54 on the day prior to the effective implementation date of the Index
Review. The postponed index review changes will be implemented by giving two fullbusiness days (excluding the trading resumption day) after the securities starts
trading.
Index Review changes include:•

Additions to, deletions from or migrations between the MSCI Large Cap, MSCIMid Cap, MSCI Small Cap and MSCI Micro Cap Indexes•

Changes in Foreign Inclusion Factor (FIF), Domestic Inclusion Factor (DIF),
Number of Shares (NOS) or style for the relevant current and pro forma IMI andMicro Cap constituents•All Index Review changes that are postponed due to suspension will be cancelled
two months after the effective date of the Index Review if the securities are stillsuspended and will be implemented at the Index Review following the securities’
resumption of trading if still warranted.

•

Additions of Chinese securities to all MSCI Indexes55 (including pro forma MSCI
China Indexes, MSCI China A Inclusion Indexes, MSCI China All Shares Indexes
and MSCI China A Onshore Indexes) will be cancelled instead of postponed if the
securities are suspended on the day prior to the effective implementation of theIndex Review. The inclusion of the security will be re-evaluated at the next Index
Review.

Policy Regarding Market Closures during Index Reviews
For both Quarterly Index Reviews and SAIRs, the following principles apply in case of
market closures on the day of implementation. As a reminder, the effective
implementation date for QIR is as of the close of the last business day of Februaryand August. The effective implementation date for the SAIR is as of the close of thelast business day of May and November.
Market Closures Due to Scheduled Stock Market Holidays

54 The suspension status is taken as per the close of the regular trading time of the relevant stock exchange.
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When a given stock market is closed on the scheduled implementation date due tostock market holiday, the change will be effective on the next business day, using theprice of the previous business day’s close.
MSCI will change the implementation date for Index Reviews if markets cumulatively
constituting more than 20% of the MSCI All Country World Index market
capitalization are expected to be either closed or experience low liquidity on that day.
Unexpected Full Trading Day Market Closures
In the event that the primary stock market in a country fails to open for trading andremains closed for the entire trading day on the implementation date of the review
due to an unexpected market closure, MSCI will postpone the implementation of theadditions to and deletions from the MSCI All Countries World Index (ACWI), as wellas the changes in FIF and NOS with a combined impact on the country index of atleast 50bp, resulting from the Semi-Annual or Quarterly Index Review of the MSCI
Global Investable Market Indexes for that specific country index. MSCI will
implement the above changes as a result of the Semi-Annual or Quarterly Index
Review for that country as of the close of the first business day (Monday to Friday)that the specific market reopens for trading and closing prices are available. In theevent of unexpected closures of stock markets in more than one country, MSCI will
evaluate the situation and may apply a different policy.
For smaller countries, however, in the event of unexpected market closures, MSCI
reserves the right to implement the Semi-Annual or Quarterly Index Review using theclosing price of the last day the market was open.
Unexpected Market Closures of Less Than Full Trading Day
The trading suspensions of less than one full trading day will not trigger any
postponement of the implementation of the Semi-Annual or Quarterly Index Reviewof the MSCI Global Investable Market Indexes.
Market Outage during the Trading Day
In the event that a market is affected by an outage during the trading day on theeffective implementation date, MSCI will determine its pricing policy for the relevant
country on a case-by-case basis. In making its decision, MSCI will take into
consideration a number of factors, including the time and duration of the outage,
information on the outage provided by the specific stock exchange, and otherrelevant market information.
MSCI will communicate all decisions taken with respect to market outages during
the day through the regular client communication channels as well as via Reuters(Pages MSCIA and following) and Bloomberg (MSCN).

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Appendix IX: Updating the Global Minimum Size
References and Ranges
As markets evolve due to events and price performance, the Global Minimum Size
Reference and ranges are calculated on a daily basis using the following generalprinciples.

General Principles for Updating the Global Minimum Size
References and Ranges•

The Investable Market Index Global Minimum Size Reference for Developed
Markets is the full company market capitalization of the company at the samerank that determined the Investable Market Index Global Minimum Size
Reference at the previous SAIR as long as the cumulative free float-adjusted
market capitalization coverage of the existing DM Investable Equity Universe atthat rank is between 99% and 99.25%. If the coverage at that rank is not between
99% and 99.25%, the rank is reset to the first company that reaches a cumulative
free float-adjusted representation of not less than 99% (if below) or not morethan 99.25% (if above) and the Global Minimum Size Reference is recalculated.

•

The Standard Index Global Minimum Size Reference for Developed Markets isthe full company market capitalization of the company ranked at the same rankthat determined the Standard Index Global Minimum Size Reference at theprevious SAIR as long as the cumulative free float-adjusted market capitalization
coverage of the existing DM Investable Equity Universe at that rank is between 85
and 87%. If the coverage at that rank is not between 85% and 87%, the rank isreset to that company that reaches a cumulative free float-adjusted
representation of not less than 85% (if below) or not more than 87% (if above)and the Global Minimum Size Reference is calculated.

•

The Large Cap Index Global Minimum Size Reference for Developed Markets isthe full company market cap of the company ranked at the same rank that
determined the Large Cap Index Global Minimum Size Reference at the previous
SAIR as long as the cumulative free float-adjusted market capitalization coverageof the existing DM Investable Equity Universe at that rank is between 70 and 72%.
If the coverage at that rank is not between 70% and 72%, the rank is reset to thatcompany that reaches a cumulative free float-adjusted representation of not lessthan 70% (if below) or not more than 72% (if above) and the Global Minimum Size
Reference is recalculated.

•

For Emerging Markets the Global Minimum Size Reference for each sizesegment is set at half of the USD Global Minimum Size Reference for Developed
Markets.

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Using the rank of the company that determined the Global Minimum Size Referenceat the previous SAIR - within acceptable representation ranges - is aimed at providing
more stable Global Minimum Size References, compared to an approach that
focuses on a targeted percentile coverage.
The existing DM Equity Investable Universe is used to keep the Global Minimum Size
Reference up to date on a daily basis and at Quarterly Index Reviews. For SAIRs, thefully updated DM Equity Investable Universe is used.
Example:At the previous SAIR of the Standard Indexes, the Global Minimum
Size Reference was determined to be USD 3.95 billion and reflected
the market capitalization of the 1700th company in the DM Equity
Investable Universe with a cumulative free float-adjusted market
coverage of 85% at that rank. In the current SAIR, the market
capitalization of the 1700th company is chosen as the pro forma
Global Minimum Size Reference. If the cumulative free float-adjusted
market capitalization coverage of the 1700 companies is between 85– 87% of the DM Equity Investable Universe, the full market
capitalization of the 1700th company will be used as the new Global
Minimum Size Reference. If, however, the cumulative free floatadjusted market capitalization of the DM Equity Investable Universe
is 88%, then the rank of the company determining the Global
Minimum Size Reference is reset. In this case, suppose the top 1600
companies cumulatively cover 87% of the free float-adjusted market
capitalization, then the market capitalization of the 1600th company isthe new Global Minimum Size Reference for the DM Standard
Indexes. At the next SAIR, the full market capitalization of the 1600th
company will be the pro forma Global Minimum Size Reference.

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Appendix X: Frontier Markets Country Classification
The table below provides the country classification in terms of minimum size andliquidity that MSCI uses as basis for the maintenance of the MSCI Frontier Markets
Indexes and of Standalone Market Indexes.
MSCI Frontier Markets Indexes
Larger Frontier Market

Smaller Frontier Market

Very Low Liquidity(2.5% ATVR)
Nil

Low Liquidity(5% ATVR)

Average Liquidity(15% ATVR)

Bahrain
Croatia
Lithuania
Mauritius
MoroccoNigeria
SerbiaSlovenia
Sri Lanka
Tunisia
WAEMU**

Estonia
JordanKazakhstan
Kenya
Oman
Romania

Bangladesh
VietnamVery Low Liquidity(2.5% ATVR)
Nil

Low Liquidity(5% ATVR)

Average Liquidity(15% ATVR)

Standalone Market Indexes^
Larger Frontier Market

Smaller Frontier Market

Bosnia-Herzegovina
Botswana
Bulgaria
Iceland
Jamaica
LebanonMalta
PanamaPalestine
Trinidad & Tobago
UkraineZimbabwe^The list includes all Standalone Market Indexes rebalanced using the MSCI Frontier Markets Size and Liquidity
Thresholds.
**The West African Economic and Monetary Union (WAEMU) consists of the following member countries:
Benin, Burkina Faso, Ivory Coast, Guinea-Bissau, Mali, Niger, Senegal and Togo

The categorization is reviewed semi-annually during the May and November SemiAnnual Index Reviews.

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Appendix XI: MSCI DR Indexes
Constructing the MSCI DR Indexes
The MSCI DR Indexes are constructed by substituting the constituents of thecorresponding MSCI Standard Indexes (herein, “Parent Indexes”) with liquid
Depositary Receipts (DR) for each constituent. Only level II and level III American
Depositary Receipts (ADR) listed on the New York Stock Exchange or the NASDAQ,
Global Depositary Receipts (GDR) as well as ADRs listed on the London Stock
Exchange are eligible for inclusion in the MSCI DR Indexes. DRs are deemed liquid if
their ATVR is 15% or above. If more than one DR exists for a constituent, the mostliquid listing will be included in the MSCI DR Index.
Constituents of the Parent Indexes without DR listings are excluded from the MSCIDR Indexes.

Maintaining the MSCI DR Indexes
Number of Shares (NOS) and Foreign Inclusion Factors (FIF) used for DRs
in the MSCI DR Indexes
The NOS of the DRs in the MSCI DR Indexes is based on the maximum DRs that
could be issued by dividing the number of shares of the Parent Index by the DR ratio(ratio between the common shares and the DRs). The purpose of this is to allow the
DR to reflect accurately the full market capitalization of the company in the DR
Indexes.
The FIF is the same as the Parent Index constituent´s FIF in order to reflectaccurately the free-float adjusted market capitalization of the security.

Quarterly Listing Reviews
There is a Quarterly Listing Review, which coincides with the regular Quarterly andSemi‐Annual Index Reviews of the Parent Indexes. At each Quarterly Listing Review,
all listings for all constituents of the Parent Index are examined. If a new liquid DR fora current constituent of the Parent Index, which is not a constituent of the MSCI DR
Index, is identified, it is added to the MSCI DR Index as part of the Review. The DR
must be listed and trading for at least three months before being added to the MSCIDR Index.
Constituents of the MSCI DR Indexes with an ATVR below 10% will be excluded from
the MSCI DR Indexes as part of the Quarterly Listing Review.

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All constituents deleted from the Parent Indexes resulting from either Quarterly Index
Reviews or Semi‐Annual Index Reviews will be simultaneously deleted from the MSCIDR Indexes, provided the asset was included in the MSCI DR Indexes. Additions to
the Parent Indexes will be added to the corresponding MSCI DR Indexes only if theymeet the liquidity and seasoning requirements.

Quarterly and Semi-Annual Index Review of Changes in NOS and in FIF
Updates in NOS and FIF to the Parent Indexes will be applied simultaneously to thecorresponding DRs adjusted by the respective DR ratio.

Ongoing Event Related Changes
The implementation in the MSCI DR Indexes of changes in security level information,such as FIF and NOS, as a result of corporate events generally mirrors theimplementation of these events in the Parent Indexes. This rule will normally apply todeletions, changes in the number of shares and FIFs, of securities due to mergers
and acquisitions, conversion of shares, or share placements and offerings.
For rights issues opened only to local shareholders, MSCI will not apply a Price
Adjustment Factor (PAF) to the market price of the DR, but will increase the numberof shares of the DR simultaneously with the change for the Parent Indexes, in orderto keep the DR ratio constant.
Corporate actions such as splits, reverse splits, consolidations, stock dividends, andspin offs which affect the Parent Indexes and its DRs may occur either at the sametime or at different times due to, for example, differences in operational proceduresin the stock exchanges of the DR and the underlying security. Therefore, MSCI willtake the ex-date provided by the corresponding Stock Exchange of both the parent
and the DR.
In the case of a stock split involving a change in the DR ratio, it might result only in achange in the number of shares and a PAF for the parent and not for the DR or viceversa.
Despite the full replication of the event maintenance, the impact of a given event on
the Parent Index and on the DR Index may be different as a result of potential pricediscrepancies between respective listings at the time of the implementation of theevent.

Additions and Deletions due to Corporate Events
For a constituent added to a Parent Index following a corporate event, the most liquid
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

at the next regularly scheduled Quarterly Index Review or Semi‐Annual Index Review,provided it meets all index inclusion requirements.
A constituent deleted from a Parent Index following a corporate event will besimultaneously deleted from the corresponding MSCI DR Index, provided thecorresponding DR listing was included in the MSCI DR Index.

IPOs
DRs of IPOs which are significant in size and included early in the MSCI Global
Standard Indexes according to Sub‐section 3.3.4.1, will be simultaneously includedin the MSCI DR Indexes.

Dividend Reinvestment for DRs Indexes
As per the MSCI Index Calculation Methodology, cash dividends paid to DR
constituents are reinvested in the MSCI DR indexes on the ex-date of the DR dividend.

Withholding tax
MSCI uses companies’ country of incorporation of the Parent Indexes to determine
the relevant dividend withholding tax rate applied to the DR in calculating the grossand net dividends. Consequently, for DR the withholding tax rates will be the same
one used for the Parent Indexes.

Dividend Fees Payable by DR Holders
Normally a dividend fee is applied to dividends paid by DRs. This fee is anadministrative cost associated with processing the dividend and it is a standardpractice for depositary banks to charge it to the DR shareholders. MSCI does nottake into account this dividend fee amount in the calculation of gross and net
dividends, at the exception of Russian DRs (refer to section 2.3.6 of the MSCI Index
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Appendix XII: MSCI Domestic Indexes
The MSCI Domestic Indexes are designed to represent the performance of thedomestic equity markets of certain countries.
Most of the MSCI Domestic Indexes are based on the MSCI Global Investable Market
Indexes Methodology. The indexes use the Domestic Inclusion Factor (DIF) as thefree float adjustment factor for the market capitalization of each security. MSCI
defines the free float of a security as the proportion of tradable shares outstandingthat are deemed to be available for purchase in the public equity markets bydomestic investors. In practice, limitations on free float available to domestic
investors also include strategic and other shareholdings and these are notconsidered as part of available free float.
Please see Appendix V for details on MSCI free float calculation guidelines.
Currently, MSCI Domestic Indexes based on the MSCI Global Investable Market
Indexes Methodology are available for China56, India, GCC Countries (Bahrain, Kuwait,
Oman, Qatar, Saudi Arabia and the United Arab Emirates), Korea and Australia57.

MSCI China A Onshore Indexes
The MSCI China A Onshore Indexes, referred to as the MSCI China A Indexes prior to
March 1, 2018, are part of the MSCI Domestic Indexes.
The MSCI China A Onshore Indexes are based on the MSCI Global Investable Market
Indexes, with the following methodology adaptations:

Equity Universe:
For the MSCI China A Onshore Indexes, the universe is defined as all China A shares
listed on the Shanghai and Shenzhen Stock Exchanges. In general, all listed equity
securities, or listed securities that exhibit characteristics of equity securities, except
investment trusts, mutual funds and equity derivatives, are eligible for inclusion in theuniverse. Securities with a “ST” or “*ST” status are excluded from the Equity Universe(see Appendix I for more details).

56 The domestic China Index is known the MSCI China A Onshore Index.
57 The domestic Australia and Korea Indexes are known as the MSCI Australian Shares Indexes and the MSCI

Korean Shares Indexes respectively.

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Equity Universe Minimum Size:
The Equity Universe Minimum Size applied to the MSCI China A Indexes are based on
the Global Minimum Size Reference of the Emerging Markets under the MSCI Global
Investable Market Indexes Methodology.

Assigning a Free Float-Adjustment Factor:
MSCI defines the free float of a China A security as the proportion of tradable shares
outstanding that are deemed to be available for purchase in the public equity
markets by domestic investors. In practice, limitations on free float available todomestic investors also include strategic and other shareholdings that are notconsidered part of available free float.
MSCI free float-adjusts the market capitalization of each security using an
adjustment factor referred to as the Domestic Inclusion Factor (DIF). The DIF is not
subject to Foreign Ownership Limits (FOL).
Currently, the index market capitalization of securities in the MSCI China A Onshore
Indexes is determined as Domestic Inclusion Factor * Security Full Market
Capitalization as in the MSCI Global Investable Market Indexes.

Investment Sanctions Related to U.S. Executive Order 13959
The MSCI China A Onshore Indexes will not take into account investment sanctions
related to the U.S. Executive Order 13959 dated November 12, 2020 which Prohibits
Transactions by U.S. Persons in Certain Chinese Companies (the “Order”).

MSCI K-Series Indexes:
The MSCI K-Series Indexes are parallel versions of the MSCI China A Onshore
Indexes that exclude relevant securities impacted by the investment sanctions
related to the Order.
The treatment of investment sanctions related to the Order in the MSCI K-Series
Indexes mirrors the treatment of such sanctions in the MSCI Global Investable
Market Indexes, as described in Appendix V: Treatment of Investment Sanctions
Related to U.S. Executive Order 13959.
Any changes to the list of securities impacted by this treatment would be publicly
announced.

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Appendix XIII: MSCI China Indexes
MSCI offers a range of equity indexes designed to represent the performance of the
China equity market. The table below outlines the MSCI China Indexes.

MSCI China Indexes Offering
Share ClassA SharesMSCI China Indexes

B
HRed
P Foreign
Shares Shares Chips Chips ListingsAll

MSCI China All Shares Index
MSCI China A International Index✓

Integrated China Equity Universe
✓
✓
✓
✓
✓
✓

MSCI China Indexes
MSCI China A Inclusion Index
MSCI China A Inclusion RMB Index

✓

✓

✓

✓

✓

MSCI China A Index
MSCI China A RMB Index

MSCI China A Onshore Index

Free
Index
Float
Inclusion
Inclusion
Factor
FactorConnect
Sizeeligible
Segment
only

Listing

L/M/S
L/M/S

OnshoreOnshore

✓
✓
✓

L/M
L/M
L/M

Connect
Connect
Onshore

✓
✓

L/M
L/M

Connect
Onshore

FIF
FIF

L/M/S

OnshoreDIF

Domestic China A Shares Equity Universe
✓

FIF
FIF
20%

FIF
FIF
FIF

The MSCI China All Shares Indexes are built on the basis of the integrated China
Equity Universe, including China A shares. The MSCI China All Shares Indexes aredesigned to represent the opportunity set of China share classes. They will be usedas the basis for the construction of the MSCI China Indexes, included in Emerging
Markets, subject to additional screening and inclusion factors, as well as the newly
launched MSCI China A Indexes, which reflect only securities available through theStock Connect program.
The MSCI China A International Indexes are constructed to represent theperformance of the China A shares component of the MSCI China All Shares Indexes.
These indexes include China A shares regardless of their eligibility for trading
through the Stock Connect program.
For more details on the MSCI China All Shares and MSCI China A International
Indexes, please refer to the MSCI China All Shares Indexes Methodology58.
The MSCI China Indexes are designed to represent the performance of the Chinese
securities that are included in the MSCI Emerging Markets Indexes. In addition to the
Red-chips, P-chips, B shares, H shares and foreign listings, Stock Connect eligible
Large Cap China A shares are included at 20% of their actual free float-adjusted
market capitalization using the Stock Connect listing.

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Following the inclusion of Mid Cap China A shares in the MSCI Emerging Markets
Index in the November 2019 SAIR, the MSCI China A Indexes59 represent theperformance of the China A shares portion of the MSCI China Index.
The MSCI China A Indexes are calculated using the Stock Connect listing based on
the offshore RMB exchange rate (CNH), while the MSCI China A RMB Indexes arevariants of the MSCI China A Indexes that are calculated using China A local listings
based on the onshore RMB exchange rate (CNY).
The MSCI China A Inclusion Indexes60 represent the China A share portion of the
MSCI China Index and are identical to the MSCI China A Indexes following theinclusion of Mid Cap China A shares in the MSCI Emerging Markets Index. These
indexes are also calculated using the CNH and CNY rates similar to the MSCI China A
Indexes.
In addition, MSCI will also continue to calculate the MSCI China A Onshore Indexes61
which are based on the Domestic Inclusion Factor (DIF) that is not subject to FOL
and constructed only on the basis of the China A Equity Universe. Until March 1 2018,
these indexes were named the MSCI China A Indexes.

59 Please refer to Appendix XVII for more details.
60 Please refer to Appendix XVI for more details.
61 Please refer to Appendix XII for more details on the MSCI China A Onshore Indexes.

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Appendix XIV: Index Maintenance of the MSCI China
IndexesThis section has been updated in January 202062.

Inclusion of China A Shares in the MSCI China Indexes
China A shares were initially included in the MSCI Emerging Markets and the MSCI
China Indexes following a two-step inclusion process as part of the May 2018 SAIR
and August 2018 QIR. Large cap China A shares were included in the MSCI China
Indexes with an index inclusion factor (IIF) of 2.5% in the May 2018 SAIR which waslater increased to 5% in the August 2018 QIR.
The weight of China A shares in the MSCI China Indexes was further increased in2019 to 10%, 15% and 20% as part of the May 2019 SAIR, August 2019 QIR and
November 2019 SAIR, respectively. Mid Cap China A shares were also added as partof the November 2019 SAIR.

Index Maintenance of the MSCI China Indexes
This section should be read in conjunction with the earlier Section 2 ‘Constructing the
MSCI Global Investable Market Indexes’ and Section 3 ‘Maintaining the MSCI Global
Investable Market Indexes’ as it describes only the points specific to maintenance ofthe MSCI China Indexes.
The MSCI China All Shares Indexes are the basis for the construction of the MSCI
China Indexes included in Emerging Markets, subject to additional screening andinclusion factors.

62 The MSCI China Indexes in this section refers to the MSCI China Indexes included in the MSCI Emerging

Markets Indexes.

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Integrated MSCI China Equity Universe
The MSCI China Indexes will be maintained using the MSCI Global Investable Market
Indexes methodology under the Emerging Market framework. They will be
constructed on the basis of the integrated MSCI China Equity Universe comprised of
A‐shares and B‐shares listed in China, H‐shares, Red‐chips, and P‐chips listedin Hong Kong and foreign listings listed outside China or Hong Kong, identical to theuniverse used for the construction of the MSCI China All Shares Index.
While all share classes from the integrated China Equity Universe will be included in
the construction of the MSCI Investable Equity Universe, as well as in the process of
allocation of companies into the Size-Segments, China A shares of companies
allocated to the Small Cap Size-Segments as well as China A shares not available
through the Stock Connect will not be included in the MSCI China Indexes.

Calculation of Market Capitalization
For the purpose of index rebalancing, the security market capitalization of all the
China A shares in the integrated China equity universe will be converted to US Dollars
using onshore RMB exchange rate (CNY) regardless whether CNY or CNH rate isused for index calculation. For example, the issuer market capitalization of a

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company used as part of the rebalancing for the CNY or CNH based indexes would
be the same and would be based on the CNY exchange rate.

Impact of the Index Inclusion Factor for the Index Construction
The IIF, if applicable, will not be taken into consideration in the context of an index
inclusion decision. However, it will be applied in addition to the FIF in the calculationof the security index weights. More specifically, the IIF will not have any impact on
the calculation of a security's free float-adjusted market capitalization, Annualized
Traded Value Ratios (ATVRs) or foreign room that will be screened as part of therebalancing process at the time of Index Reviews.

Investability Requirements
In addition to the Investability Requirements described in section 2.2, MSCI will
exclude newly eligible securities (securities that are not current constituents of theInvestable Market Indexes) from the investable equity universe if the securities:-

Are suspended on the Price Cutoff date, or-Have been suspended for at least 50 days consecutively in the past 12
months63

Companies and securities are evaluated based on the integrated MSCI China Equity
Universe. China A shares of companies will be assessed based on their current
status in the MSCI China All Shares Indexes for this requirement, subject to therelevant buffer rules.

Calculation of the Market Size-Segment Cutoffs and Assigning
Companies to the Size-Segments
The Market Size-Segment Cutoffs and the Size-Segment allocation of companies are
based on the integrated MSCI China Investable Equity Universe. China A shares ofcompanies will be assessed based on their current status in the MSCI China All
Shares Indexes for this requirement, subject to the relevant buffer rules. After thisstep, allocation to Size-Segments within the MSCI China Indexes is identical to the
MSCI China All Shares Indexes.

Foreign Ownership Limits and Foreign RoomMSCI currently applies a Foreign Ownership Limit of 30% on all China A shares.

63 As of each day from the effective date of the Index Review one year prior to the price cutoff date of thecurrent Index Review (for example: a non-Index constituent suspended for 50 days as of any day from June 1,
2017, the effective date of the May 2017 SAIR, to April 23, 2018, the price cutoff date of the May 2018 SAIR,
would not have been eligible for the Investable Market Universe of the May 2018 SAIR)© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI will monitor the Foreign Room of China A shares and will apply the necessary
adjustment factors according to sections 3.1.6.2 and 3.2.1.4.

Assessing Conformity with Final Size-Segment Investability
Requirements
Like for any other market, once companies are assigned to each Size-Segment, thesecurities of companies are evaluated for conformity with the additional SizeSegment Investability Requirements for each Size-Segment. However, in addition to
the requirements described in the relevant sections, such as Section 2.3.6 and 3.1.6,
China A shares are further screened on the basis of their Stock Connect eligibility,
Size-Segment allocation status, as well additional full company market capitalization
requirements.
More specifically, during SAIRs, China A shares that are non-current constituents of
the MSCI China Index and assigned to the Large Cap or Mid Cap Size-Segments mustmeet the following requirements to be added to the MSCI China Index:-

1.0x the Standard Cutoff in terms of company full market capitalization-

0.5x the Standard Cutoff in terms of security FIF-adjusted market
capitalizationo-Securities with FIF below 0.15 must meet 1.8x 0.5x the Standard
Cutoff in terms of Security FIF-adjusted Market Capitalization

Stock Connect eligibility

China A shares assigned to Small Cap Size-Segment will not be added to the MSCI
China Indexes.
China A shares that are existing constituents of the MSCI China Index must meet therequirements specified in Section 3.1.6 and remain Stock Connect eligible to beretained in the MSCI China Index.

Stock Connect Eligibility
China A Shares that are eligible for both buy and sell under either the Shanghai
Connect or the Shenzhen Connect program will be eligible for inclusion to the MSCI
China Index.
Stock Connect eligibility will be reviewed on a quarterly basis coinciding with theregular MSCI Index Reviews. A China A share will only be considered for inclusion to
the Stock Connect compatible indexes if it becomes accessible through the Stock
Connect program on or prior to the Index Review Price Cutoff Date.
For example, a China A share becoming accessible through the Stock Connect
programs after the Price Cutoff Date of the May SAIR will not be considered for the
May SAIR.

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Quarterly Index Review Additions of China A Shares
During QIRs, China A shares that are non-current constituents of the MSCI China
Index must meet the following requirements to be added to the MSCI China Index:-

1.8x the Interim Market Size-Segment Cutoff in terms of company full market
capitalization-

1.8x one-half times the Interim Market Size-Segment Cutoff in terms of
security FIF-adjusted market capitalization-

Stock Connect eligibility

Stock Connect Daily Limit Breach
MSCI will not postpone the implementation of Index Review changes for Stock
Connect listings of China A shares when the Stock Connect daily limit is breached on
the effective implementation date.

Ongoing Event Related Changes
The ongoing event-related changes to the MSCI China Indexes primarily follow the
MSCI GIMI Methodology and the MSCI Corporate Events Methodology.
In order to reflect accessibility of securities trading on Stock Connect and keep the
MSCI Indexes replicable, methodologies were enhanced in order to more accuratelyreflect the investment process of Stock Connect investors, especially for cases when
Stock Connect is closed but the onshore Chinese domestic market is trading.
Details of the treatment of Stock Connect China A shares can be found in Appendix
VII of the MSCI Corporate Events Methodology.
This section provides details on specific Corporate Events treatment of China A
Stock Connect securities in the MSCI China Indexes in relation to their status in MSCI
China All Shares.

Stock Connect Eligibility
Existing China A share constituents of the Stock Connect compatible indexes thatare no longer accessible through the Stock Connect programs will be deleted fromthe indexes with a notice period of at least two full business days.
If the impacted securities are suspended on the day prior to the implementation date,
MSCI will postpone the implementation. The postponed deletions will be
implemented two days after the securities resume trading.

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Stock Connect Daily Limit Breach
MSCI will not postpone the implementation of corporate events for Stock Connect
listings of China A shares when the Stock Connect daily limit is breached on theeffective implementation date.
Early Inclusions
IPOs of China A shares will only be reviewed for addition to the MSCI China Index at
subsequent Index Reviews in order to assess the Stock Connect eligibility of the
security.
Other cases of early inclusion of China A shares (for example but not limited to spinoff, merger, acquisition) will only be considered for inclusion in the MSCI China
Indexes-

if the event involves an existing constituent of the index,-

if the new security is assigned to the Large Cap or Mid Cap size-segment,-

and if the Stock Connect eligibility of the security is announced on or before
the day of MSCI sending “Confirmed” corporate event announcement for the
relevant event.

The IIF applicable to a newly added security will be the same as the IIF of the Parent
security. The treatment for such cases, if any, would be communicated to clientswith sufficient advance notice through the regular channels.
For example, a spin-off resulting from an existing Large Cap or Mid Cap China A
share constituent of the MSCI China Index that qualifies for the Small Cap sizesegment would not be added to the MSCI China Index but would be reviewed forinclusion in the following Index Review.
As another example, if a merger between an existing Large Cap China A shareconstituent of the MSCI China Index and a Small Cap China A share not represented
in the MSCI China Index results in a new security that qualifies for the Large Cap
size-segment, the new security will be included in the MSCI China Index.
Furthermore, migrations of China A shares to the Large Cap or Mid Cap SizeSegment from the Small Cap Size-Segment of the MSCI China All Shares Indexes
outside regular Index Reviews will not be added to the MSCI China Index. However,migrations of China A shares from the Large Cap or Mid Cap Size-Segment to the
Small Cap Size-Segment of MSCI China All Shares Indexes outside of regular Index
Reviews will be simultaneously deleted from the MSCI China Index.
For example, if a China A share constituent of the MSCI China All Shares IMI ismigrating from Small Cap to Large Cap or Mid Cap due to a corporate event, theChina A share security will not be added to the MSCI China Index at the time of theimplementation of the corporate event and will be considered for inclusion in thefollowing Index Review for MSCI China Index. However, if a China A share constituent© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021of the MSCI China All shares IMI is migrating from Large Cap or Mid Cap to Small
Cap due to a corporate event, the China A share security will be deleted from theLarge Cap or Mid Cap Size-Segment of MSCI China Index at the time of theimplementation of the corporate event.

Calculation of the Interim Market Size-Segment Cutoffs
The Interim Market Size-Segment Cutoffs are calculated based on the integrated
MSCI China Investable Equity Universe. The Interim Size-Segment Cutoffs for the
MSCI China Indexes and the MSCI China All Shares Indexes will be the same startingfrom June 1 2018.

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Appendix XV: MSCI China A Inclusion Indexes
The MSCI China A Inclusion Index and MSCI China A Inclusion RMB Index aredesigned to track the progressive partial inclusion of A shares in the MSCI Emerging
Markets Index over time.
The MSCI China A Inclusion Index is designed for global investors accessing the A
shares market using the Stock Connect framework.
The MSCI China A Inclusion RMB Index is designed for domestic China investors.
The Indexes are constructed to represent the performance of the China A sharescomponent of the MSCI Emerging Markets Index.

Index Construction
At initial construction, the constituents of the MSCI China A Inclusion Indexes were
derived from the MSCI China A Large Cap Provisional Index by excluding securities
that have been suspended for 50 consecutive days or more. The MSCI China A Large
Cap Provisional Index reflected the China A shares which were included in Emerging
Markets in June 2018.
While the MSCI China A Large Cap Provisional Index was discontinued after June
2018, the MSCI China A Inclusion Indexes continue to reflect the China A shares
which are included in Emerging Markets.
Mid Cap China A shares were included as part of the November 2019 SAIR.

Index MaintenanceThe constituents of the MSCI China A Inclusion Index are derived from the MSCI
China Index at each Index Review by including only the China A shares component.
Following the inclusion of Mid Cap China A shares, the MSCI China A Inclusion
Indexes are identical to the MSCI China A Indexes.
The ongoing event-related changes to the MSCI China A Inclusion Index follow the
MSCI GIMI Methodology. For more information on the details of the implementationof ongoing event related changes, please refer to section 3.3 of the MSCI GIMI
Methodology and the MSCI Corporate Events Methodology.

Index Calculation
The MSCI China Inclusion Index is calculated using China A Stock Connect listings
based on the offshore RMB exchange rate (CNH).
The MSCI China Inclusion RMB Index is calculated using China A local listings basedon the onshore RMB exchange rate (CNY).

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Appendix XVI: MSCI China A Indexes
The MSCI China A Indexes64 and the MSCI China A RMB Indexes are designed torepresent the performance of the China A shares portion of the MSCI China Index.
The MSCI China A Indexes are designed for global investors accessing the China A
shares market through the Stock Connect program.
The MSCI China A RMB Indexes are designed for domestic China investors and havethe same constituents as the MSCI China A Indexes.
Currently, MSCI calculates the Standard as well as the Large Cap and the Mid Cap
Size Segment Indexes for both the MSCI China A and the MSCI China A RMB
Indexes.

Index Construction
The MSCI China A Indexes were initially constructed by deriving the constituentsfrom the MSCI China All Shares Indexes by first selecting the China A shares
securities and then filtering out the China A shares securities that are not accessible
through the Stock Connect program.

Index Maintenance
Currently, the constituents of the MSCI China A Inclusion Index are derived from the
MSCI China Index at each Index Review by including only the China A sharescomponent.

Ongoing Event Related Changes
The ongoing event-related changes to the MSCI China Indexes primarily follow the
MSCI GIMI Methodology and the MSCI Corporate Events Methodology.
In order to reflect accessibility of securities trading on Stock Connect and keep the
MSCI Indexes replicable, methodologies were enhanced in order to more accuratelyreflect the investment process of Stock Connect investors, especially for cases when
Stock Connect is closed but the onshore Chinese domestic market is trading.
Details of the treatment of Stock Connect China A shares can be found in Appendix
VIII of the MSCI Corporate Events Methodology.

64 The MSCI China A Onshore Indexes were previously known as the MSCI China A Indexes prior to March 1,

2018. Please refer to Appendixes XII and XIV of the MSCI GIMI Methodology for more details on the MSCI China
A Onshore Indexes.

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Index Calculation
The MSCI China A Indexes are calculated using China A Stock Connect listings basedon the offshore RMB exchange rate (CNH).
The MSCI China A RMB Indexes are calculated using China A local listings based on
the onshore RMB exchange rate (CNY).

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Appendix XVII: Transition to the MSCI GIMI
Methodology
MSCI transitioned the current Standard Index, the Small Cap Index and all indexes
derived from the Standard Index to the Global Investable Market Indexes
methodology described in this book at the end of May 2008.
All indexes that are constructed with the Standard Indexes as their basis, such as the
GDP-weighted indexes, 10/40 Indexes and other custom indexes, High Dividend Yield
Indexes, the MSCI Global Value and Growth Indexes, etc., continued to be derived
from the Standard Indexes throughout the transition.
The transition of the MSCI Standard and the MSCI Small Cap Indexes to the MSCI
Global Investable Market Indexes methodology occurred in two phases. The firstphase occurred as of the close of November 30, 2007 and the second phaseoccurred as of the close of May 30, 2008.
All indexes derived from the MSCI Standard Indexes followed the two phasetransition except the MSCI Euro and Pan Euro Indexes which were transitioned in one
phase in November 2007.
The transition was synchronized for all markets and composites.
During the transition period, MSCI was producing the MSCI Provisional Standard andProvisional Small Cap Indexes to assist investors in understanding the changes thatwould have occurred if the Global Investable Market Indexes methodology had been
immediately implemented in the current MSCI Standard and Small Cap Indexes. The
Provisional Indexes also provided increased flexibility to current investors who
wished to transition to the Global Investable Market Indexes methodology on theirown schedule.
The Provisional Standard and Provisional Small Cap Indexes and the new SizeSegment and Style Indexes that were created based on this methodology were
official MSCI indexes and, as such, could be used for a variety of purposes, including
as the basis for new investment mandates and for investment vehicles such asindexed mutual funds, exchange traded funds and listed and over-the-counter
derivative contracts.

Provisional Indexes
Provisional Indexes, together with the constituents, could be used by clients who
wished to measure their performance against such indexes, ahead of MSCI’s official
implementation schedule. The Provisional Indexes and the new Size-Segment andStyle Indexes were maintained according to the index maintenance principles of the
Global Investable Market Indexes methodology.

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Deriving the Size-Segment Indexes at Initial Construction of theProvisional Indexes
In the initial construction of the Provisional Size-Segment Indexes, the Segment
Number of Companies in each size-segment and the Market Size-Segment Cutoffs
was determined as described in section 2 of this methodology book. However, with aview to reducing transition turnover and ongoing turnover, the following additionalrules were used at initial construction:•

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Determining the Segment Number of Companies and Associated Market SizeSegment Cutoffs using the 85% ± 5% Market Segment Coverage Range, andspecifically aiming at reaching 85%, when possible. However, a Global Minimum
Size Range of 0.5 times to 1.05 times the Global Minimum Size Reference, rather
than 0.5 times to 1.15, was used for initial construction to limit turnover during
the transition, as long as market coverage did not exceed 90%.

•

The buffer zones used in maintaining the MSCI Global Investable Market Indexes
at Semi-Annual Index Reviews were fully populated at initial construction withcompanies from the current Standard and Small Cap Indexes, in order tominimize turnover during the transition. If a company was represented in boththe Standard and the Small Cap Index, it was evaluated using the eligibility
requirements of the Standard Index only. For details on the application of bufferzones in the assignment of companies to size-segments, please see Sub-section
3.1.5.1: Using Buffer Zones to Manage the Migration of Companies between
Size-Segment Indexes.

•

At initial construction the Market Size-Segment Cutoffs and associated Segment
Number of Companies of the Investable Market Segment were derived byincluding all companies equal to or larger than the Global Minimum Size
Reference for this segment.

Publication of Provisional Indexes
In preparation for the transition, as of the close of May 3, 2007, the list of pro forma
index constituents under the Global Investable Market Indexes methodology for theProvisional MSCI Standard and Small Cap Indexes in each market and for all
Provisional Indexes derived from the Standard indexes were made available toclients. The Provisional Indexes started with a base level of 1000 as of the close of
May 31, 2007. All Global Investable Market Indexes, including the Provisional
Standard and Provisional Small Cap Indexes, were calculated as of June 1, 2007 andpublished daily as of the close of June 5, 2007.
After the May 2008 SAIR, the Provisional Standard and Provisional Small Cap Indexes
were discontinued.

Reflecting Constituent Changes in the Standard Indexes at theTransition Points
In the first phase of the transition in November 2007:•

After the Provisional Standard Indexes were rebalanced as per the SAIR, they
were compared to the relevant Standard Indexes.

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All companies that were in the Provisional Standard Index but not in thecorresponding Standard Index were added to the Standard Index at half of their
free float-adjusted market capitalization, and all companies that were not in theProvisional Standard Index but in the corresponding Standard Index wereretained in the Standard Index but at only half of their free float-adjusted market
capitalization.

In the second and final phase in May 2008:•

The Provisional Standard Indexes were rebalanced.

•

Any and all differences between the rebalanced Provisional Standard Index and
the Standard Index were fully implemented in the Standard Indexes.

The transition of the Small Cap Indexes was synchronized with the transition of theStandard Indexes, following the same timeline and approach.
Index Inclusion Factors were used to manage the indexes throughout the transition.
The table below provides some examples of Index Inclusion Factors for companies
through the phases of the transition. The index market capitalization of securities
was determined as Index Inclusion Factor*FIF*Security Full Market Capitalization.
Phase I

Phase II

Current Index
Inclusion Flag

Provisional
Proforma Index
Inclusion Flag
(November 30,
2007)

Standard Proforma
Inclusion Factor(November 30, 2007)

Provisiona Proforma
Index Inclusion Flag
(May 30, 2008)

Standard (final)
Inclusion Factor(May 30, 2008)

Existing Constituents
Company A
Company B
Company C
Company D

1
1
1
1

1
0
0
1

1
0.5
0.5
1

1
0
1
0

1
0
1
0

New Constituents
Company E
Company F
Company G

0
0
0

1
1
0

0.5
0.5
0

1
0
1

1
0
1

For example, say companies A, B, C and D were current constituentsof the Standard Index. Company A continued as a constituent of theStandard Index under the Global Investable Market Indexes
methodology. It had an Index Inclusion Factor of 1 throughout thetransition. Company B was not eligible for inclusion in the Standard
Index under the Global Investable Market Indexes methodology. So, inthe first phase, it was marked for removal from the Standard Index
and an Index Inclusion Factor of 0.5 was applied to it. In the second
phase the Index Inclusion Factor went to 0 indicating removal of thecompany from the Standard Index. Company C was also identified forremoval from the Standard Index and had an Index Inclusion factor of
0.5 in the first phase. But when evaluated at phase 2, it became© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

eligible for inclusion and the Index Inclusion Factor was changed to 1
for the second phase. Company D was retained in the Standard Index
when evaluated in the first phase and carried an Index Inclusion
Factor of 1 for that phase. But in phase 2, it was no longer eligible forinclusion in the Standard Index and, hence its Index Inclusion Factor
was changed to 0.0.

Companies E, F, and G were new constituents that were eligible forinclusion under the Global Investable Market Indexes methodology.
Company E remained eligible for inclusion to the Standard Index
throughout the transition and had an Index Inclusion Factor of 0.5 in
the first phase and 1 in the second phase. Company F, was identified
as an addition in the first phase, but at the second phase it was nolonger eligible for inclusion. Its Index Inclusion Factor of 0.5 in thefirst phase was therefore changed to 0 in the second phase.
Company G was not eligible for inclusion in the first phase andcarried an Index Inclusion Factor of 0. But in the second phase, it
became eligible for inclusion and its Index Inclusion Factor was reset
to 1, indicating full inclusion in the Standard Index.

Index Reviews and Treatment of On-Going Market Events
during the Transition Period
During the transition period, from May 4, 2007 through May 30, 2008, MSCI was
maintaining its schedule of regular index reviews for its Standard and Small Cap
Index series. The Provisional Indexes and Size-Segment Indexes were maintained
according to the index maintenance principles of the Global Investable Market
Indexes methodology.
To minimize changes not related to the transition, all changes in the Standard
Indexes were coordinated with the Provisional Indexes. Only very significant changes
in the equity markets and constituents were reflected during the Quarterly Index
Reviews for the existing Standard and Small Cap Indexes. All new additions ofcompanies to the Provisional Standard Indexes resulting from IPOs and the August
2007 and February 2008 QIRs were also included in the Standard Indexes at their full
free float-adjusted market capitalization.

Ongoing Event Related Changes
Effective from March 29, 2007 and throughout the transition, the ongoing
maintenance of the Standard and Small Cap Indexes was made with a view tominimize potential reverse turnover in the indexes.

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Effective May 4, 2007 all and only securities newly added to the Provisional Standard
and Small Cap Indexes as a result of ongoing maintenance of corporate events could
be added to the Standard and to the Small Cap Indexes, respectively. Before May 31,
2007 these were additions to the list of pro-forma constituents of the Provisional
Standard and Provisional Small Cap Indexes.

May 2007 Annual Full Country Index Review of the Standard Indexes andSemi-Annual Index Review of the Small Cap Index
The changes resulting from the May 2007 Annual Full Country Index Review of theexisting Standard Indexes were announced on May 3, 2007, earlier than its normal
announcement schedule, to coincide with the availability of the pro-forma list of
constituents of the MSCI Global Investable Market Indexes. Further, in order tominimize reverse turnover, the May 2007 Annual Full Country Index Review for theStandard Indexes used the same Global Minimum Size Requirement and otherinvestability requirements that were applied in the construction and maintenance of
the Provisional Standard Indexes. Only securities that were constituents of theProvisional Standard Indexes were added to the Standard Indexes to bring theIndustry Group representation closer to 85%, if necessary. If an Industry Group wasover represented, only companies not included in the Provisional Standard Indexes
were deleted.
The current Small Cap Indexes continued to target securities of companies in the fullmarket capitalization range of USD 200–1,500 million that defines the small cap
universe under the current Small Cap Index methodology. The changes resulting
from the May 2007 SAIR of the current Small Cap Indexes were made available on
May 3, 2007, along with the final pro forma list of constituents of the MSCI Global
Investable Market Indexes. In order to minimize reverse turnover, the May 2007 SAIR
for the Small Cap Indexes used the same Global Minimum Size Requirement andother investability screens that were applied in the construction and maintenance of
the Provisional Small Cap Indexes. Only securities that were constituents of theProvisional Small Cap Indexes were added to the Small Cap Indexes to bring theIndustry Group representation closer to 40%, if necessary. Potential deletion of asecurity from the Small Cap Indexes due to excessive industry group representation
was considered only if it was not a constituent of the Provisional Small Cap Indexes.

August 2007 Quarterly Index Review
In August 2007, the first QIR for the Provisional Standard and Provisional Small Cap
Indexes was conducted under the principles of the Global Investable Market Indexes
methodology. Newly eligible companies that were included in the Provisional
Standard Indexes as a result of the August 2007 QIR were also added to the existingStandard Indexes as of the close of August 31, 2007. The migration of companies© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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between the Provisional Standard and Provisional Small Cap Indexes was also
reflected in the Standard and Small Cap Indexes.

November 2007 Semi-Annual Index Review
The changes in the Standard and Small Cap Indexes during the November 2007
Index Review were determined in two steps:•

Identification of the changes resulting from the regular Semi-Annual Index
Review and;•

Identification of the additional changes resulting from the first phase of thetransition to the Global Investable Market Indexes Methodology.

In the first step, MSCI performed the regular Semi-Annual Index Review of theStandard and Small Cap Indexes under the principles of the Global Investable Market
Indexes Methodology, meaning that all changes in the Standard and Small Cap
Indexes were coordinated with the Semi-Annual Index Review of the Provisional
Standard and Provisional Small Cap Indexes. Similar to the August 2007 Quarterly
Index Review, the additions to and deletions from the Provisional Standard andProvisional Small Cap Indexes resulting from the review were fully added to ordeleted from the current Standard and Small Cap Indexes.
In the second step, MSCI determined the difference in each constituent’s free floatadjusted market capitalization between the indexes resulting from the first step
above and the corresponding Post Semi-Annual Index Review Provisional Standard
and Provisional Small Cap Indexes. Then, one-half of this difference was added to ordeleted from the Standard and Small Cap Indexes. This was implemented byapplying the Index Inclusion Factor (IIF) of 0.5 to all additions and deletions resulting
from the transition.

February 2008 Quarterly Index Review
In February 2008, the second QIR for the Provisional Standard and Provisional Small
Cap Indexes was conducted under the principles of the Global Investable Market
Indexes methodology. Newly eligible companies that were included in the Provisional
Standard Index as a result of the February 2008 QIR were also added to the Standard
Index as of the close of February 29, 2008. The migrations of companies between
the Provisional Standard and Provisional Small Cap Indexes were also reflected in
the Standard and Small Cap Indexes.

May 2008 Semi-Annual Index Review
In May 2008, the second SAIR for the Provisional Standard and Provisional Small Cap
Indexes was conducted under the principles of the Global Investable Market Indexes
methodology. The addition or deletion of the remaining difference of the free float-© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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adjusted market capitalization for each constituent was implemented in the Standard
and Small Cap Indexes as of the close of May 30, 2008. After this, the Provisional
Indexes were discontinued as of the close of June 30, 2008.

Transitioning Other Indexes
Global Value and Growth Indexes
The Global Value and Growth Indexes followed the timeline and implementation of
the Standard Indexes.
Starting with the first phase of the transition, the style classification of theProvisional MSCI Global Value and Growth Indexes prevailed over that of the current
Global Value and Growth Indexes. Therefore, at the first phase of the transition, theconstituents of the existing MSCI Global Value and Growth Indexes acquired styleinclusion factors derived from the Global Investable Market Indexes. In those rarecases where an existing constituent of the current Global Value and Growth Indexes
were not included in the Global Investable Market Indexes, those constituents
retained their current style inclusion factors.

Euro and Pan-Euro Indexes
The MSCI Euro and MSCI Pan-Euro Indexes are subsets of the Standard MSCI EMU
and MSCI Europe Indexes, respectively, and aimed to capture 90% of the market
capitalization of the broader benchmarks.
The MSCI Euro Pan-Euro methodology evolved to the methodology for the Large Cap
Index under the Global Investable Market Indexes methodology. Consequently,•

The enhanced MSCI Pan Euro Index became identical to the MSCI Europe Large
Cap Index under the MSCI Global Investable Market Indexes methodology.

•

The enhanced MSCI Euro Index became identical to the MSCI EMU Large Cap
Index under the MSCI Global Investable Market Indexes methodology.

The transition of the MSCI Euro and MSCI Pan-Euro Indexes to the Global Investable
Market Indexes methodology took place in a single phase, as of the close ofbusiness on November 30, 2007.

Indexes Based on the Standard Indexes
Indexes constructed with the Standard Indexes as their basis, such as the HighDividend Yield Indexes, GDP-weighted indexes, 10/40 Indexes and other custom
indexes, continued to be derived from the Standard Indexes throughout thetransition.

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GCC Countries Indexes
MSCI transitioned the current MSCI GCC Countries Indexes to the enhanced MSCIGCC Countries Indexes Methodology.
The transition of the MSCI GCC Countries Indexes to the enhanced MSCI GCCCountries Indexes Methodology occurred in one single phase. The transition was
implemented as of the close of May 30, 2008.
In order to add transparency to the transition process and to assist clients inplanning and implementing their individual transition strategies, MSCI provided
Provisional Indexes for the MSCI GCC Countries Indexes constructed and maintained
according to the enhanced MSCI GCC Countries Indexes Methodology.

Summary Transition Timeline
The transition time line for the Standard Index (and Small Cap Index) is as shown
below.

Date

Provisional/New

Standard & Small Cap

March 28, 2007

Final MSCI Global Investable
Market Indexes methodology wasannounced.

No impact.

May Annual
Index Review

Initial construction based on data
used in Standard and Small Cap
Index Review, including populationof the buffers.

Regular Annual Index Review of the Current
Standard Index., taking into account new
minimum size requirements.
Regular SAIR of the Current Small Cap
Index.
Corporate events, IPOs and other newcompany additions treated in accordancewith the current index methodology.

May 3, 2007

List of index constituents for
Provisional Standard andProvisional Small Cap Indexes,
under the Global Investable
Market Indexes methodology foreach of the MSCI Provisional
Standard and Provisional Small
Cap Indexes, was made available.

Results of May Annual Index Review wereannounced.

May 31, 2007

Provisional Indexes start with abase level of 1000 as of the close

Annual Index Review changes became
effective.

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of May 31, 2007 and calculation
began
June 5, 2007

Start of daily publication of theProvisional Standard andProvisional Small Cap Indexes.

No impact.

New Large Cap, Mid Cap, andInvestable Market Indexes also
published.
August 2007

QIR of the Provisional and newindexes using buffers zones,
updates of NOS, FIFs, IPO andnewly eligible companies
inclusions, etc.

QIR of the current Standard and Small Cap
Indexes reflecting changes in NOS, FIF, etc.
Addition of IPOs and newly eligible
companies to the Provisional Standard
Index Series were reflected in the Standard
Index at their full weight.
Migrations between the Provisional
Standard and Provisional Small Cap Indexes
were also reflected in the Standard andSmall Cap Indexes.

November
2007

SAIR for Provisional and SizeSegment Indexes.

First phase of the transition included in QIR
for Standard Indexes and SAIR for Small
Cap Indexes.

November 30,
2007

Rebalanced Provisional Indexes
implemented.

Partially transitioned Standard and Small
Cap Indexes implemented.

February 2008

QIR of Provisional and new SizeSegment Indexes using buffers,
updates of NOS, IPO inclusions,etc.

QIR of the current Standard and Small Cap
Indexes reflecting changes in NOS, FIF etc.
Addition of IPOs and newly eligible
companies to the Provisional Standard
Index Series were reflected in the Standard
Index at their full weight.
Migrations between the Provisional
Standard and Provisional Small Cap Indexes
were also reflected in the Standard andSmall Cap Indexes.

May 2008 SAIR
and Annual
Review

SAIR for Provisional and SizeSegment Indexes.

Second and final phase of the transition
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Standard Indexes and SAIR for Small Cap
Indexes.
May 30, 2008
After June 1,
2008

Fully transitioned Standard and Small Cap
Indexes implemented.
Provisional Indexes discontinued.

All MSCI global equity indexes operate
under Global Investable Market Indexes
methodology.

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Changes to the Methodology Book
The following sections have been modified since November 2012:
3.2.4. Quarterly Index Review of Changes in FIFs•

Update of the footnote on page 45

3.3.3.3 Early Inclusion of Non-Index Constituents•

Update of the last paragraph on page 52

3.3.4.1 IPOs and Other Early Inclusions•

Update on page 54

3.3.5 Corporate Events Affecting the Index Review•

Update on page 55

Appendix I: Eligible Classes of Securities (Developed Markets)•

Update on page 73

Appendix III: Country Classification of Securities•

Update of the last paragraph on page 80•

Update on Russia on page 80•

Update on China on page 80

The following sections have been modified since February 2013:
2.2.5•

Minimum Length of Trading Requirements

Update last paragraph of section

3.1.6.2 Existing Constituents•

Update on page 39 and the footnote on page 40

3.2.4
•

New paragraph end of section

3.2.5
•

Quarterly index Review of Changes in FIFs

Quarterly Index Review of Changes in the Number of Shares (NOS)

New paragraph end of section

3.3.3.2 Changes in Size or Style Segment Classification as a Result of a Large
Corporate Event•

Update on page 51© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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3.3.3.3 Early Inclusion of Non-Index Constituents•

Updates on page 52

3.3.4.1 IPOs and Other Early Inclusions•

Updates on page 55

5.1.1
•

New second paragraph

5.1.2
•

Updating MSCI Frontier Markets Index Coverage

Standalone Country Indexes

New section

5.2.2 Categorization of Frontier Markets into very low, low or average liquidity
markets•

Updates on page 67

Appendix I: Eligible Markets (Emerging Markets & Frontier Markets)•

Updates on page 72 and 75•

Updates the footnote on page 71, 72 and 75

Appendix III: MSCI Ineligible Securities•

Updates on page 84

Appendix IV: Free Float Definition and Estimation Guidelines•

Updates on page 92

The following sections have been modified since May 2013:
3.1.9•

Updates on page 39

3.2.6
•

Date of Data Used for Semi-Annual Index Review

Date of Data Used for Quarterly Index Review

Updates on page 47

Appendix III: MSCI Ineligible Securities•

Updates on page 84

The following sections have been modified since August 2013:
2.3.5.2 Minimum Liquidity Requirement for the Standard Indexes•

Section removed© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updates on page 24

3.1.6
•

Assessing Conformity with Final Size-Segment Investability Requirements

Updates on page 37

3.1.6.2 For Existing Constituents•

Updates on page 39•

Updates of the Footnote on page 39

3.2.1.4 Assessing Conformity with Final Size-Segment Investability Requirements•

Part of the section updated and moved under new section 3.2.3•

One paragraph added•

Updates of the Footnote on page 43

3.2.4 Quarterly Index Reviews of Changes in FIFs•

Update in footnote

3.2.4 Quarterly Index Reviews of Changes in Number of Shares (NOS)•

Updates

3.3.3.2 Changes in Size or Style Segment Classification as a Result of a Large
Corporate Event•

Update for small cap

3.3.3.3 Early Inclusions of Non-Index Constituents•

Update in second paragraph3.3.4.1 IPOs and Other Early Inclusion•

Updates

The following sections have been modified since November 2013:
3.1.6.2 For Existing Constituents•

Updates in second to the last paragraph•

Added footnote

3.2.1.4 Assessing Conformity with Final Size-Segment Investability Requirements•

Updates in third to the last paragraph•

Added footnote

Appendix IX: Minimum Market-Relative Liquidity Requirements for the Standard Index© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Section deleted

The following sections have been modified since February 2014:
2.1.1 Identifying Eligible Equity Securities•

Deleted “Other than Business Development Companies in the U.S.”

3.1.5 Assigning Companies to Appropriate Size-Segments•

Updates in first and second bullet points – added “or equal to”

3.2.1.3 Assigning Companies to Appropriate Size-Segments•

Update in first bullet point – added “or equal to”

5.2.2. Categorization of Frontier Markets into very low, low or average liquidity
markets•

Updates in the first and fourth paragraphAppendix I: Equity Markets and Universe•

Added sub-section on Ineligible Alert Boards

Appendix IX: Frontier Markets Country Classification•

Added the West African Economic and Monetary Union (WAEMU) as aStandalone Index

The following sections have been modified since May 2014:
2.1.1 Identifying Eligible Equity Securities•

Updates in the first paragraph and footnotes

2.4 Index Continuity Rules•

Updates in this section•

Section 3 Introduction•

Clarification paragraph added

3.1.9 Data used for Semi-Annual Index Reviews•

Updates in this section

3.2.2 Quarterly Index Review of Addition of Companies Currently not Constituents of
the Investable Market Indexes•

Updates in this section

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updates in this section

3.3.3.1 Changes in FIF, Number of Shares or Industry Classification for Existing
Constituents•

Updates in this section

4.2.2 Quarterly Index Reviews of February and August•

Updates in this section

5.2.4 Index Continuity Rules•

Clarification paragraph added

Appendix III: Country Specific Cases•

Updates in this section

Appendix V: Global Industry Classification Standard (GICS)•

Updates in this section

Appendix X: MSCI Provisional Saudi Arabia Indexes•

New section

The following sections have been modified since August 2014:
2.1.1 Identifying Eligible Equity Securities•

Clarification on eligibility of Limited Partnerships

3.1.4.1 Determining Initial Segment Number of Companies•

Clarification on counting the Initial Segment Number of Companies for the IMI

3.3.3.1 Changes in FIF, Number of Shares or Industry Classification for Existing
Constituents•

Clarification on treatment of securities with decreased FOL or foreign room
outside of index reviews

Section 3.1.9: Date of Data Used for Semi-Annual Index Review•

Added footnote

Section 3.2.6: Date of Data Used for Quarterly Index Review•

Added footnote

Appendix I: Eligible Classes of Securities (Developed Markets)•

Updated table© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix I: Eligible Classes of Securities (Emerging Markets)•

Updated table

Appendix III: Country Specific Cases•

Updates in this section•

Appendix I: Updated list of countries with REITs

The following sections have been modified since November 2014:
Section 3.3.3.4: Early Deletions of Existing Constituents•

Updated deletion price and examples of early deletion

Appendix I: Eligible Classes of Securities (Emerging Markets)•

Updated deletion price for Ineligible Alert Boards

Appendix XI: MSCI Provisional Indexes for Coverage Enhancements•

New section

Appendix XIII: Transition of MSCI China A Index•

Deleted “Treatment of Suspensions”

Appendix XV: MSCI India Domestic Index•

New section

Appendix XVI: Enhancements to the Coverage of the MSCI Global Investable Market
Indexes•

New section

The following sections have been modified since February 2015:
Appendix I: Equity Markets and Universe
•

REITs

Appendix III: MSCI Ineligible Securities
Appendix X: MSCI Provisional Saudi Arabia Indexes
Appendix XI: MSCI Provisional Indexes for Coverage Enhancements
Appendix XIV: MSCI DR Indexes•

Updated for fees on dividends© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Appendix XVI: Enhancements to the Coverage of the MSCI Global Investable Market
Indexes

The following sections have been modified since May 2015:
Appendix X: MSCI Saudi Arabia Indexes

The following sections have been modified since July 2015:
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Emerging Markets)”

Appendix XVI: Enhancements to the Coverage of the MSCI Global Investable Market
Indexes•

Updated the table “Eligible Markets (Emerging Markets)”

The following sections have been modified since August 2015:
Section 3.2.4: Quarterly Index Reviews Changes in FIFs•

Added clarification in footnote

Appendix XVI: Enhancements to the Coverage of the MSCI Global Investable Market
Indexes•

Updated the section on China under the revised Appendix III: Country
Classification of Securities

The following sections have been modified since October 2015:
Appendix III: Country Classification of Securities•

Added the section on Australia under Country Specific Case

The following sections have been modified since November 2015:
Section 2.2: Determining the Market Investable Equity Universes•

Updates in this section

Section 2.2.1: Identifying Eligible Listings•

New section

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New section (content previously included in section 2.2)

Section 2.2.5: DM and EM Minimum Liquidity Requirements•

Updates in this section on priority rules for selection of listings•

Added footnotes for further clarifications on liquidity calculation

Section 3.1.2: Updating the Market Investable Equity Universes•

Updates in this section

Section 3.1.2.1: Eligibility of Foreign Listings•

New section

Section 3.1.2.4: Minimum Liquidity Requirement for Existing Constituents•

Updates in this section on priority rules for selection of listings

Section 3.2.3: Quarterly Index Review of Deletion of Companies Currently
Constituents of the Investable Market Indexes•

Updates in this section on priority rules for selection of listings

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Updates in this section•

Added footnote

Section 5.1.2: Standalone Market Indexes•

Section deleted

Section 6: MSCI Standalone Market Indexes•

New section

Appendix I: Equity Markets and Universe•

Updated all the tables to reflect eligibility of foreign listings•

Updated list of countries with REITs to include Pakistan

Appendix III: Country Classification of Securities•

Updated the sections “General Framework” and “Other Cases”•

Updated the treatment of China under the section “Country Specific Cases”•

Added the treatment of Greece under the section “Country Specific Cases”•

Deleted the sections “Review and Maintenance” and “Country of Coverage ofCompanies Not Eligible for Inclusion in the MSCI Global Investable Market
Indexes”© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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Appendix IV: Foreign Listing Materiality Requirement•

New appendix

Appendix V: Free Float Definition and Estimation Guidelines•

Updates in the table on the Classification of Shareholder Types

Appendix X: Frontier Markets Country Classification•

Updates in the format of the table

Appendix XVI: Enhancements to the Coverage of the MSCI Global Investable Market
Indexes•

Appendix deleted

The following sections have been modified since February 2016:
Appendix V: Free Float Definition and Estimation Guidelines•

Added sub-section on Treatment of High Shareholding Concentration

Section 3.1.9: Date of data used for Semi-Annual index review
Updates in this section on ongoing maintenance of securities’ share classes, sharetypes and alternate listing

The following have been modified since April 2016:
Section 3.1.9: Date of Data Used for Semi-Annual Index Review•

Updated the treatment of cases monitored and updated right up to the Price
Cutoff Date

Section 3.2.4: Quarterly Index Review of Changes in FIFs•

Added the treatment of IPO over-allotment options

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Added the treatment of over-allotment options

Section 3.2.6: Date of Data Used for Quarterly Index Review•

Updated the treatment of cases monitored and updated right up to the Price
Cutoff Date

The following sections have been modified since May 2016:
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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Added a footnote

Section 2.2.5: DM and EM Minimum Liquidity Requirement•

Updates in this section on calculation of Frequency of Trading

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Classes of Securities for Stock Exchanges in
Developed Markets”

Appendix III: Country Classification of Securities•

Added the treatment of countries subject to economic sanctions under thesection “Country Specific Cases”

Appendix VIII: Policy Regarding Trading Suspensions and Market Closures during
Index Review•

Added clarification for “Index Review changes”

The following sections have been modified since June 2016:
Appendix XII: MSCI Provisional Pakistan Indexes and MSCI Pakistan Indexes•

New section

The following sections have been modified since August 2016:
Section 2.4: Index Continuity Rules•

Updates in this section

Section 2.6: Classifying Securities under the Global Industry Classification Standard•

Updated to reflect revised GICS structure effective September 1, 2016

Section 5.2.4: Index Continuity Rules•

Updates in this section

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Classes Of Securities For Stock Exchanges In
Developed Markets”

Appendix VI: Global Industry Classification Standard (GICS)•

Updated to reflect revised GICS structure effective September 1, 2016

Appendix XIII: MSCI Provisional Indexes for Coverage Enhancements© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Appendix deleted

The following sections have been modified since October 2016:
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”

Section 2.2.5: DM and EM Minimum Liquidity Requirements•

Added footnote on priority rule for local listings

Section 3.1.2.4: Minimum Liquidity Requirement for Existing Constituents•

Added footnote on priority rule for local listings

Section 3.2.3: Quarterly Index Review of Deletion of Companies Currently
Constituents of the Investable Market Indexes•

Added footnote on priority rule for local listings

The following sections have been modified since November 2016:
Section 3.1.4.2: Changes in the Segment Number of Companies•

Added footnotes

Section 3.1.9: Date of Data Used for Semi-Annual Index Review•

Updates in this section

Section 3.2.4: Quarterly Index Review of Changes in FIFs•

Updates in this section

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Updates in this section

Section 3.2.6: Date of Data Used for Quarterly Index Review•

Updates in this section

Section 3.3.5: Corporate Events Affecting the Index Review•

Clarification paragraph added (first paragraph)

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the tables for Frontier Markets and Standalone Markets© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updated the list of ineligible alert boards

Appendix VIII: Policy Regarding Trading Suspensions and Market Closures during
Index Review•

Added clarification for “Index Review changes”

Appendix XI: MSCI Saudi Arabia Indexes•

Updated following a change in foreign ownership regulation

Appendix XVI: MSCI Domestic Indexes•

Updated to include other domestic countries

Appendix XVII: MSCI China All Shares Indexes and MSCI China A International
Indexes•

Appendix added

The following sections have been modified since February 2017:
Section 3.1.7: Semi-Annual Index Review of Changes in FIFs•

Added clarification on threshold used for implementation of FIF changes

Appendix VIII: Policy Regarding Trading Suspensions and Market Closures during
Index Review•

Updates in this section

The following sections have been modified since April 2017:
Appendix I: Equity Markets and Universe•

Updated list of countries with REITs to include Saudi Arabia

Appendix V: Free Float Definition and Estimation Guidelines•

Added clarification on buffer used for Semi-Annual Review of Non-Voting
Depository Receipts in Thailand

The following sections have been modified since May 2017:
Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Update in this section

Section 5.1.1: Updating MSCI Frontier Markets Coverage© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Update in this section

Section 6.4.1: Inclusion of Newly Eligible Markets•

Update in this section

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the tables for Emerging Markets, Frontier Markets and Standalone
Markets•

Updated the list of ineligible alert boards

The following sections have been modified since June 2017:
Appendix XVIII: MSCI China A International Large Cap Provisional Index•

Appendix added

The following sections have been modified since August 2017:
Section 3.3.3.1: Changes in FIF, Number of Shares or Industry Classification for
Existing Constituents•

Clarification of the industry classification review as part of a corporate event

Section 3.3.3.2: Changes in Size Segment, Style Segment or Industry Classification
as a Result of a Large Corporate Event•

Clarification of the industry classification review as part of a corporate event

Section 3.3.3.3: Early Inclusions of Non-Index Constituents•

Clarification of the industry classification review as part of a corporate event

Section 5.2.2: Categorization of Frontier Markets into Very Low, Low or Average
Liquidity Markets•

Clarification on priority rules for selection of listings

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Classes Of Securities For Stock Exchanges In
Emerging Markets”•

Updated the list of ineligible alert boards•

Clarification on the treatment of additions of securities that are on ineligible alert
boards© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

The following sections have been modified since September 2017:
Section 2.7: Constructing and Calculating the Individual MSCI Global Investable
Markets Indexes•

Added section to clarify the creation and maintenance of the MSCI GIMI
Composite Indexes

The following sections have been modified since October 2017:
Section 2.2.5: DM and EM Minimum Liquidity Requirement•

Updated the requirement for Chinese securities

Section 3.2.1.4: Minimum Liquidity Requirement for Existing Constituents•

Updated the requirement for Chinese securities

Appendix XVIII: Provisional Indexes to Assist the Upcoming Partial Inclusion of China
A Shares in Emerging Markets•

Update in this section following consultation conclusion

Appendix XIX: MSCI China A Inclusion Indexes•

Appendix added

The following sections have been modified since November 2017:
Section 2.2.5 DM and EM Minimum Liquidity Requirement•

Clarification on the calculations of ATVR and Frequency of Trading

Section 3.1.2: Updating the Market Investable Equity Universes•

Clarification on the application of investability screens

Section 3.1.6.2: Final Size-Segment Investability Requirements for Existing
Constituents•

Clarification on treatment of Standard Index constituents failing the additional
investability requirements

Section 3.3.4.1: IPOs and Other Early Inclusions•

Clarification of early inclusions following large offerings

Section 3.4.3.1: Client Announcements•

New treatment for “acknowledged” announcement status© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Frontier Markets)”•

Updated the list of ineligible alert boards•

Clarification on the treatment of securities getting into the ineligible alert boards

The following sections have been modified since February 2018:
Section 5.2.6: IPOs and Other Early Inclusions•

Update in this section
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”

Appendix XVIII: Provisional Indexes to Assist the Upcoming Partial Inclusion of China
A Shares in Emerging Markets•

Update in this section

The following sections have been modified since March 2018:
Section 3.1.7: Semi-Annual Index Review of Changes in Foreign Inclusion Factors(FIFs)•

Change of implementation treatment for certain events at QIRs

Section 3.2.4: Quarterly Index Review of Changes in FIFs•

Change of implementation treatment for block sales, secondary offerings andacquisition for shares of unlisted assets

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Change of implementation thresholds at the time of the event

Section 3.3.3.1: Changes in FIF, Number of Shares or Industry Classification for
Existing Constituents•

Change of implementation thresholds at the time of the event

Appendix V: Free Float Definition and Estimation Guidelines© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updates in this section

Appendix XI: MSCI DR Indexes•

Previously Appendix XIV

Appendix XII: MSCI Domestic Indexes•

Previously Appendix XV•

Added details on MSCI China A Onshore Index, previously Appendix XIII

Appendix XIII: MSCI Saudi Arabia Index•

Previously Appendix XIAppendix XIV: MSCI China Indexes•

New section

Appendix XV: Inclusion of China A Shares in the MSCI China Indexes•

new section

Appendix XVI: MSCI China A Inclusion Indexes•

Previously Appendix XIX

Appendix XVII: Transition to the MSCI GIMI Methodology•

Previously Appendix XII

The following sections have been modified since May 2018:
Section 3.3.4.1: IPOs and Other Early Inclusions•

Clarification of the treatment of over-allotment

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Standalone Markets)”•

Updated the table “Eligible Classes Of Securities For Stock Exchanges In
Developed Markets”•

Updated the table “Eligible Classes Of Securities For Stock Exchanges In
Standalone Markets”

Appendix V: Free Float Definitions and Estimation Guidelines•

Clarified threshold for updating FOL and FIF related to NVDRs during SAIRs© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix X: Frontier Markets Country Classification•

Updated the table “Eligible Classes Of Securities For Stock Exchanges In
Standalone Markets”

The following sections have been modified since June 2018:
Appendix XIII: Saudi Arabia Indexes•

Updates in this section

The following sections have been modified since July 2018:
Appendix XV: Inclusion of China A Shares in the MSCI China Indexes•

Clarified migrations outside of index reviews

Appendix XVII: MSCI China A Indexes•

Added new section, previously from MSCI China All Shares Indexes

Section 2.2.5: DM and EM Minimum Liquidity Requirements•

Clarifications made to footnote

Appendix XVIII: Provisional GICS Indexes•

New Appendix

Appendix XIX: Transition to the MSCI GIMI Methodology•

Previously Appendix XVIIThe following sections have been modified since August 2018:
APPENDIX I: EQUITY MARKETS AND UNIVERSE•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Standalone Markets)”•

Updated the table “Eligible Classes of Securities for Stock Exchanges inStandalone Markets”

Section 2.2.8 Minimum Foreign Room Requirement•

Updated Footnote

Section 3.1.6.2 For Existing Constituents© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updated Footnote

Section 3.1.7 Semi-Annual Index Review of Changes In Foreign Inclusion Factors(FIFs)•

Updated Footnote

Section 3.2.1.4 Assessing Conformity with Final Size-Segment Investability
Requirements•

Updated Footnote

Section 3.2.2 Quarterly Index Review of Addition of Companies Currently Not
Constituents of the Investable Market Indexes•

Updated Footnote

Appendix XVIII: Provisional GICS Indexes•

Updated the dates in the example

The following sections have been modified since September 2018:
Appendix XIII: MSCI Saudi Arabia Indexes•

Updates in this section

Appendix XIX: MSCI Provisional Argentina Indexes•

New Appendix

The following sections have been modified since November 2018:
APPENDIX I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Standalone Markets)”•

Updated the table “Eligible Classes of Securities for Stock Exchanges in
Emerging Markets”•

Updated the list of Ineligible Alert Boards

Appendix III: Country Classification of Securities•

Updates in Country Specific Cases for China

Updated Footnote
Appendix VI: Global Industry Classification Standard (GICS)© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 184 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updates in this section

Appendix XV: Inclusion of China A Shares in the MSCI China Indexes•

Deleted “Provisional China Indexes

Appendix II: Market Classification Framework•

Modified Market Accessibility Review criteria to reflect the change related to“Availability of Investment Instruments”

The following sections have been modified since December 2018:
Section 2.1.1: Identifying Eligible Equity Securities•

Clarification on the treatment of stapled securities

Section 2.2.5 DM and EM Minimum Liquidity Requirement•

Clarification on the calculations of ATVR and Frequency of Trading

Section 3.1.9 Date of Data Used for Semi-Annual Index Review•

Clarification on the treatment of unlisted securities

Section 3.2.6 Date of Data Used for Quarterly Index Review•

Clarification on the treatment of unlisted securities

APPENDIX I: EQUITY MARKETS AND UNIVERSE•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Frontier Markets)”•

Updated the list of Ineligible Alert Boards

APPENDIX III: Country Classification of Securities•

Clarification on the treatment of reverse mergers

Appendix XVIII: MSCI Provisional GICS Indexes•

Appendix removed

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Clarification on implementation thresholds at the time of the event

Section 3.3.3.1: Changes in FIF, Number of Shares or Industry Classification for
Existing Constituents•

Clarification on implementation thresholds at the time of the event© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

The following sections has been modified since February 2019:
Section 3.1.6.2 Assessing Conformity with Final Size-Segment Investability
Requirements for Existing Constituents•

Updated treatment for securities with low Foreign Room with liquid Depositary
Receipts (DRs)

Section 3.2.1.4 Assessing Conformity with Final Size-Segment Investability
Requirements•

Updated treatment for securities with low Foreign Room with liquid Depositary
Receipts (DRs)

Appendix I: Equity Markets and Universe•

Updated list of REITs

Appendix V: Free Float Definition and Estimation Guidelines•

Updated the Treatment of Non-Voting Depositary Receipts in Thailand

Appendix XIII MSCI Saudi Arabia Indexes•

Updated treatment for the MSCI Saudi Arabia Indexes in the context of thereclassification to Emerging Markets

Appendix XV Inclusion of China A Shares in the MSCI China Indexes•

Updated treatment for the MSCI China Indexes in the context of the weightincrease of China A shares

Appendix XVIII MSCI Provisional Argentina Indexes and MSCI Argentina Indexes•

Updated treatment for the MSCI Argentina Indexes in the context of thereclassification to Emerging Markets

The following sections has been modified since April 2019:
Section 2.2.5 DM and EM Minimum Liquidity Requirement•

Added clarification on adjustments on ATVR and FOT related to suspensions

Section 3.3.3.4 Early Deletions of Existing Constituents•

Clarification on the treatment of small cap constituents with large full market
capitalization but low float-adjusted market capitalization

Section 3.3.5 Corporate Events Affecting the Index Review© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 186 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Clarification on the treatment of corporate events affecting pro forma index
constituents effective between the price cutoff date and the Index Review
effective dateAppendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)•

Updated the table “Eligible Markets (Emerging Markets)•

Updated the table “Eligible Markets (Frontier Markets)•

Updated the table “Eligible Markets (Standalone Markets)•

Updated the table “Eligible Classes of Securities for stock exchanges in Emerging
Markets•

Updated the table “Eligible Classes of Securities for stock exchanges in FrontierMarkets•

Updated the table “Eligible Classes of Securities for stock exchanges inStandalone Markets•

Added clarification on treatment of securities in Ineligible Alert Boards

Appendix III: Country Classification of Securities•

Added clarification on Red-chips•

Clarification on the treatment of country of classification review following an
incorporation change

The following sections has been modified since June 2019:
3.2.4 Quarterly Index Reviews of Changes in FIFs•

Clarifications and updates

Appendix II: Market Classification Framework•

Updated the table and summarized measure for “Availability of Investment
Instruments”

The following sections has been modified since August 2019:
Section 3.2.2 Quarterly Index Review of Addition of Companies Currently Not
Constituents of the Investable Market Indexes•

Clarification on the cutoff used when assigning companies to the Large cap
Index

Appendix V: Free Float Definition and Estimation Guidelines© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 187 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Clarification on treatment of NVDRs

Appendix XVIII MSCI Provisional Argentina Indexes and MSCI Argentina Indexes•

Appendix deleted

The following sections has been modified since August 2019:
Section 2.1.1. Identifying Eligible Equity Securities•

Clarification on eligibility of securities

Section 3.4.4. IPOs and Other Early Inclusion•

Clarification on announcement policy on early inclusion of STAR board securities

Appendix I Equity Markets and Universe•

Updates on eligible segments

Appendix XV Inclusion of China A Shares in the MSCI China Indexes•

Updated with details on the third step of weight increase of China A shares

Appendix XVI MSCI China A Indexes•

Updates on migrations

The following sections has been modified since November 2019:
Section 3.2.4: Quarterly Index Review of Changes in FIFs•

Removed the treatment of conversions based on Corporate Events methodology

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)•

Updated the table “Eligible Markets (Standalone Markets)•

Updated list of Ineligible Alert Boards

Appendix III: Country Classification of Securities•

Added clarification on country classification methodology for China

Appendix IV: Foreign Listing Materiality Requirement•

Added Slovenia to the list

Appendix XII: MSCI Domestic Indexes•

Updated list of countries which have domestic indexes to include Australia© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 188 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

The following sections has been modified since January 2020:
Appendix XIII: Inclusion of the MSCI Saudi Arabia Indexes in the MSCI Emerging
Markets Indexes•

Removed and replaced with new Appendix XIII

Appendix XIII: Reclassification of the MSCI Kuwait Indexes to Emerging Markets•

Replaced with old Appendix XIII

Appendix XIV: MSCI China Indexes•

Updated following inclusion of Mid Cap China A shares as part of the November
2019 SAIR

Appendix XV: Index Maintenance of the MSCI China Indexes•

Updated following inclusion of Mid Cap China A shares as part of the November
2019 SAIR

Appendix XVI: MSCI China A Inclusion Indexes•

Updated following inclusion of Mid Cap China A shares as part of the November
2019 SAIR

Appendix XVII: MSCI China A Indexes•

Updated following inclusion of Mid Cap China A shares as part of the November
2019 SAIRThe following sections has been modified since February 2020:
Section 2.5: Classifying Securities under the Global Industry Classification Standard• Removed details on guidelines for GICS classification
Section 3.2.4: Quarterly Index Review of Changes in FIFs•

Clarifications

Section 3.2.5: Quarterly Index Review of Changes in Number of Shares (NOS)•

Clarifications

Section 3.4.5: Global Industry Classification Standard (GICS)•

Updated to mention the implementation of GICS changes in MSCI indexes

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Frontier Markets)

Appendix V: Free Float Definition and Estimation Guidelines© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 189 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021•

Updates

Appendix VI: Global Industry Classification Standard (GICS)• Removed the Appendix

The following sections has been modified since April 2020:
Appendix XII: Reclassification of the MSCI Kuwait Indexes to Emerging Markets•

Reflecting the announcements as of April 2020

Section 3.1.2.4: Minimum Liquidity Requirement for Existing Constituents•

Clarification on listing selection

The following sections has been modified since April 2020:
Section 3.1.4.1 Determining Initial Segment Number of Companies•

Clarification

Section 3.1.9: Date of Data Used for Semi-Annual Index Review•

Clarification on full market capitalization calculation

Section 3.2.6: Date of Data Used for Quarterly Index Reviews• Clarification on full market capitalization calculation
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Emerging Markets)•

Updated the table “Eligible Markets (Frontier Markets)

Appendix III: Country Classification of Securities•

Updates

Appendix V: Free Float Definition and Estimation Guidelines•

Clarifications

The following sections have been modified since May 2020:
2.3.5 Determining Market Size-Segment Cutoffs and Assigning Companies to SizeSegments: Example•

Reordered from previous section© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 190 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

2.5.3 GICS-Based Indexes•

Combined with previous section Classifying Securities under the Global Industry
Classification Standard

Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Emerging Markets)•

Updated list of countries with REITs to include Philippines

Appendix III: Country Classification of Securities•

Clarification

The following sections have been modified since August 2020:
Appendix III: Country Classification of Securities•

Updated the treatment of China under the section “Country Specific Cases”

The following sections have been modified since September 2020:
Appendix I: Equity Markets and Universe•

Clarification on eligibility under the section “Canadian Income Trusts”

The following sections have been modified since October 2020:
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Frontier Markets)”•

Updated the table “Eligible Markets (Standalone Markets)”•

Updated the table “Eligible Classes of Securities for stock exchanges in Emerging
Markets”•

Updated the table “Eligible Classes of Securities for stock exchanges in FrontierMarkets”

Appendix II: Market Classification Framework•

Updated the table “Markets Under Index Continuity”

Appendix IV: Foreign Listing Materiality Requirement•

Added Singapore to the list

© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 191 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

Appendix IX: Frontier Markets Country Classification•

Removed Kuwait

The following sections have been modified since November 2020:
Appendix V: Treatment of Investment Sanctions Related to U.S Executive Order
13959•

New Appendix added

Appendix XII: MSCI Domestic Indexes•

Updated to reflect treatment of investment sanctions related to U.S. Executive
Order 13959

The following sections have been modified since December 2020:
Appendix I: Equity Markets and Universe•

Updated the table “Eligible Markets (Developed Markets)”•

Updated the table “Eligible Markets (Emerging Markets)”•

Updated the table “Eligible Markets (Frontier Markets)”•

Updated the table “Eligible Markets (Standalone Markets)”•

Updated the table “Eligible Classes of Securities for stock exchanges in FrontierMarkets”•

Updated the table “Eligible Classes of Securities for stock exchanges inStandalone Markets”

Appendix II: Market Classification Framework•

Updated the table “Markets Under Index Continuity”

Appendix V: Treatment of Investment Sanctions Related to U.S. Executive Order
13959•

Added clarifications

Appendix IX: Frontier Markets Country Classification•

Updated the tables “MSCI Frontier Markets Indexes” and “Standalone Market
Indexes”

Appendix XII: Reclassification of the MSCI Kuwait Indexes to Emerging Markets•

Appendix deleted© 2021 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

MSCI.COM | Page 192 of 194

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | FEBRUARY 2021

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This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the “Information”) is the property of MSCI Inc. or its subsidiaries(collectively, “MSCI”), or MSCI’s licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (collectively, with MSCI, the “Information Providers”)
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The Information may not be used to create derivative works or to verify or correct other data or information. For example (but without limitation), the Information may not be used to create
indexes, databases, risk models, analytics, software, or in connection with the issuing, offering, sponsoring, managing or marketing of any securities, portfolios, financial products or otherinvestment vehicles utilizing or based on, linked to, tracking or otherwise derived from the Information or any other MSCI data, information, products or services.
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