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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 in previous 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 not part 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 Size-Segment.

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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 the required 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 (as defined 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 must have a 12-month ATVR of at least 5% and a 12-month frequency of trading of at least 50%.

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 to be 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 float-adjusted 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:

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MARCH 2021

• 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 the indexes as they occur. More information on the event-related changes can be found in the Corporate Events Methodology book

4.2.1 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 size and liquidity buffer zones.

4.2.1.1 UPDATING THE MICRO CAP MINIMUM SIZE REQUIREMENT

The 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 the company that was used to define the Micro Cap Minimum Size Requirement at the previous 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 to the current full market capitalization of the company at that rank.

• Below 99.7%, the Micro Cap Minimum Size Requirement is reset to the full market capitalization of the company at 99.7% coverage and the rank of that company 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 and the 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 is greater 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 and updating NOS. Typically no change in the constituents of the Micro Cap

Size-Segment 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 is deleted from the Small Cap Size-Segment due to a low liquidity and it satisfies the conditions specified in Sub-section 4.2.1.2.

During a QIR, a security will be deleted from the Micro Cap Size-Segment if an FOL change 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 can also result from capital reorganizations in the form of rights issues, bonus issues, public placements and other similar corporate actions that take place on a

continuing 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.

MSCI GLOBAL INVESTABLE MARKET INDEXES METHODOLOGY | MARCH 2021