MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY

INDEX METHODOLOGY

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY

Index Construction Objectives, Guiding Principles and Methodology for the MSCI Global Investable Market Indexes May 2019

MAY 2019

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MAY 2019

CONTENTS

Outline of the Methodology Book...................................................... 7 1 Introduction to the MSCI Global Investable Market Indexes ....... 8 2 Constructing the MSCI Global Investable Market Indexes ......... 10

2.1 Defining the Equity Universe.................................................................. 10 2.2 Determining the Market Investable Equity Universes ........................... 11 2.3 Defining Market Capitalization Size-Segments for Each Market ........... 20 2.4 Index Continuity Rules ........................................................................... 27 2.5 Classifying Securities under the Global Industry Classification Standard

29 2.6 Creating Size-Segment Indexes: Examples............................................. 30 2.7 Constructing and Calculating the Individual MSCI Global Investable Markets Indexes................................................................................................ 32

3 Maintaining the MSCI Global Investable Market Indexes .......... 34

3.1 Semi-Annual Index Reviews in May and November .............................. 35 3.2 Quarterly Index Reviews in February and August.................................. 51 3.3 Ongoing Event-Related Changes............................................................ 60 3.4 Announcement Policy ............................................................................ 71

4 MSCI All Cap Indexes ................................................................. 74

4.1 Constructing the MSCI All Cap Indexes .................................................. 74 4.2 Maintaining the MSCI All Cap Indexes ................................................... 75

5 MSCI Frontier Markets Indexes ................................................. 78

5.1 Frontier Markets Definition ................................................................... 78 5.2 Methodology Used to Construct and Maintain the MSCI Frontier Markets Indexes................................................................................................ 78

6 MSCI Standalone Market Indexes.............................................. 86

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MAY 2019

6.1 Creation of Standalone Market Indexes for Newly Eligible Markets..... 86 6.2 Classification of Other Markets as Standalone ...................................... 86 6.3 Maintaining Standalone Market Indexes ............................................... 87 6.4 Inclusion of Standalone Market Indexes in the MSCI Composite Indexes

87

Appendix I: Equity Markets and Universe ........................................ 90

Eligible Markets (Developed Markets) ............................................................. 90 Eligible Markets (Emerging Markets)................................................................ 91 ElIgible Markets (Frontier Markets).................................................................. 92 Eligible Markets (Standalone Markets)............................................................. 93 Eligible Classes of Securities for Stock Exchanges in Developed Markets........ 94 Eligible Classes of Securities for Stock Exchanges in Emerging Markets.......... 95 Eligible Classes of Securities for Stock Exchanges in Frontier Markets ............ 96 REITs .................................................................................................................. 98 Canadian Income Trusts.................................................................................... 99 Ineligible Alert Boards....................................................................................... 99

Appendix II: Market Classification Framework ............................... 101

Markets under index continuity ..................................................................... 104

Appendix III: Country Classification of Securities ........................... 105

General Framework ........................................................................................ 105 Other Cases ..................................................................................................... 105 Country Specific Cases .................................................................................... 106 Change in Country Classification .................................................................... 108

Appendix IV: Foreign Listing Materiality Requirement ................... 109 Appendix V: Free Float Definition and Estimation Guidelines ........ 111

Defining and Estimating Free Float................................................................. 111

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MAY 2019

Classification of Shareholder Types ................................................................ 112 Special Cases ................................................................................................... 113 Foreign Ownership Limits (FOLs) .................................................................... 115 Calculation of Free Float ................................................................................. 116 Assigning a Free Float-Adjustment Factor ...................................................... 116 Calculating the Free Float-Adjusted Market Capitalization............................ 119 Treatment of Hong Kong Listed Securities With High Shareholding Concentration Issues....................................................................................... 121 Treatment of Non-Voting Depositary Receipts in Thailand............................ 122

Appendix VI: Global Industry Classification Standard (GICS) .......... 124

Introduction .................................................................................................... 124 GICS Company Classification........................................................................... 126

Appendix VII: Price Source for Securities ....................................... 130 Appendix VIII: Policy Regarding Trading Suspensions and Market Closures during Index Reviews....................................................... 131 Appendix IX: Updating the Global Minimum Size References and Ranges ........................................................................................... 134

General Principles for Updating the Global Minimum Size References and Ranges ............................................................................................................. 134

Appendix X: Frontier Markets Country Classification ..................... 136 Appendix XI: MSCI DR Indexes ....................................................... 137

Constructing the MSCI DR Indexes ................................................................. 137 Maintaining the MSCI DR Indexes .................................................................. 137 Dividend Reinvestment for DRs Indexes......................................................... 139

Appendix XII: MSCI Domestic Indexes ............................................ 140

MSCI China A Onshore Indexes....................................................................... 140

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MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MAY 2019

Appendix XIII: Inclusion of the MSCI Saudi Arabia Indexes in the MSCI Emerging Markets Indexes............................................................. 142

Provisional Indexes ......................................................................................... 142 Index Maintenance of the MSCI Saudi Arabia Indexes at the May 2019 SAIR143 Index Maintenance of the MSCI Saudi Arabia Indexes at the August 2019 QIR ......................................................................................................................... 143 Ongoing Event Maintenance of the MSCI Saudi Arabia Indexes .................... 143 Impact on the MSCI Saudi Arabia Domestic Indexes...................................... 144 Treatment of Suspended Securities at the time of the Inclusion................... 145

Appendix XIV: MSCI China Indexes................................................. 147

MSCI China Indexes Offering .......................................................................... 147

Appendix XV: Inclusion of China A Shares in the MSCI China Indexes ....................................................................................................... 149

Index Maintenance of the MSCI China Indexes Following the Partial Inclusion of China A Shares ............................................................................................ 149

Appendix XVI: MSCI China A Inclusion Indexes .............................. 156

Index Construction.......................................................................................... 156 Index Maintenance ......................................................................................... 156 Index Calculation............................................................................................. 157

Appendix XVII: MSCI China A Indexes ............................................ 158

Index Construction.......................................................................................... 158 Index Maintenance ......................................................................................... 158 Ongoing Event Related Changes..................................................................... 158 Index Calculation............................................................................................. 159

Appendix XVIII: Reclassification of the MSCI Argentina Indexes to the Emerging Markets Indexes............................................................. 160

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