INDEXCALCULATIONPOLICY
February 1, 2023

Nomura Fiduciary Research & Consulting Co., Ltd.
Index Services Department

INTRODUCTION
Nomura Fiduciary Research & Consulting Co., Ltd. (NFRC) recognizes that when there is amaterial change in methodology for an index calculation or a cessation of an index, which
after all is a core piece of financial infrastructure, there can also be a large impact onfinancial markets. The Index Services Department (ISD: administrator of NFRC's indices)
has set out procedures and processes governing situations in which it is deemednecessary and appropriate to make a material change to methodology for an index,
implement a cessation of an index, or take any other such action. In addition, NFRC
established an oversight and governance structure concerning the indices managed by
ISD. Please see the “Index Governance Framework” on our website for information on thedivision of the roles played by ISD and governance bodies in NFRC.
The index rule books take precedence if there is any inconsistency between the index rulebooks and this policy.

CALCULATION OF INDICES
For index methodologies, please see the index rule books for each index on our website.
http://qr.nomura.co.jp/jp/index.html (Japanese)
http://qr.nomuraholdings.com/en/index.html (English)<Nomura Japan Fixed Income Index Series>-

NOMURA-BPI-

NOMURA-BPI/Extended-

NOMURA-BPI/Ladder-

NOMURA J-TIPS Index<Russell/Nomura Japan Equity Index Series>-

Russell/Nomura Japan Index-

Russell/Nomura Japan Index in foreign currencies on WM/Refinitiv exchange rate

<Nomura Thematic Equity Index Series>-

Nomura Japan Equity High Dividend 70-

Nomura Japan Equity High Dividend 70, Net Total Return US Dollar Hedged Index-

Nomura Japan Equity High Dividend 70, Total Dividend Weighted-

Nomura Japan Consecutively Increased Dividend Stock Index-

Nomura Enterprise Value Allocation Index-

Nomura AI Companies 70

1-

Nomura Robot Companies 70-

Nomura Japan Equity Beta Select Indices-

Nomura Agribusiness Index-

Nomura High-yield J-REIT Index-

Nomura Japan Equity Growth Potential Index-

Nomura Shareholder Yield 70<Nomura Customized Index Series>
Nomura Customized Index Series information is available only to those clients who
are authorized based on contractual agreements and this information is presented
via the most suitable media based on each client contract.

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FACTORS IN THE INDEX CALCULATION
Factors used for the index calculation are classified as "Input data" or "Other factors".
“Input data” means the data in respect of the value of one or more underlying assets or
prices in index determination. Input data changes are taken into account by themethodology every time the value of the index is to be updated, as they reflect the changes
in the underlying economic reality measured by the index. “Other factors” does notmeasure the underlying market or economic reality that the index intends to measure, but isthe data that improve the reliability and representativeness of the index. Changing values ofother factors are not taken into account in every computation of the index, but only ininstances pre-determined by the methodology.

<Input data>
EquityFactors
Nomura composite
share priceExchange Rate
(Bank of Japan)

Exchange Rate
(WM/Refinitiv)

Vendor
NomuraResearch
Institute,
Ltd.

NomuraResearch
Institute,Ltd.
ICE Data
Indices

SourceTokyo Stock
Exchange(PrimeMarket,Standard
Market,GrowthMarket,TOKYOPRO
Market),NagoyaStock
Exchange,
SapporoSecurities
Exchange,
andFukuoka
Stock
Exchange
Bank ofJapan

Refinitiv
BenchmarkServices
Limited

Details
The Nomura composite share priceis the share price on the stock
exchange selected for each stock on
the basis of trading frequency andvolume over the preceding 60
business days. As a general rule, theexchange is selected on a daily
basis. The share price is selectedaccording to the following order ofprecedence:Contract price on selected exchange(see note) > standard price on
selected exchange > Nomura
composite share price on previous
business day
Note: priority is given to the special
quotation price or continuous
confirmed quotation price on
selected exchange if these areavailable.
Spot rate of the foreign exchange
rate as of 5pm JST (the middle rateof the bid and offer rate).
Spot rate and one month forward
rate of the foreign exchange rate asof 4pm GMT (the middle rate of thebid and offer rate).
Note: Used for ”Nomura Japan
Equity High Dividend 70, Net Total
Return US Dollar Hedged Index”

3Factors
Exchange Rate
(WM/Refinitiv)

Fixed Income
Factors
JS Price

VendorFrank
RussellCompany

SourceRefinitiv
BenchmarkServices
Limited

Details
Spot rate and one month forward
rate/non-deliverable forward rate
(NDF) of the foreign exchange rate
as of 4pm GMT (the middle rate of
the bid and offer rate).
Note: Used for “Russell/Nomura
Japan Index in foreign currencies on
WM/Reuters exchange rate”

Vendor
NomuraResearch
Institute,
Ltd.

SourceNikkei Inc.,
Nikkei
Financial
Technology
Research
Institute,Inc., Nomura
Research
Institute,Ltd., and
NomuraSecurities
Co., Ltd.
GlobalMarkets
Division of
NomuraSecurities
Co., Ltd.
Japan
Securities
Dealers
Association

Details
JS Price represents Japanese bondfair values and is established andmanaged by Nomura Securities Co.,
Ltd.(NSC), Nikkei Inc., Nikkei
Financial Technology ResearchInstitute, Inc., and Nomura ResearchInstitute, Ltd.

Nomura Price

NomuraResearch
Institute,
Ltd.

Tokyo Repo Rate

NomuraResearch
Institute,Ltd.

The Nomura price is a substituteprice for bonds that are not priced
based on JS Price. Nomura Price isprovided by NSC as an end-of-day
bond price.
The Tokyo Repo Rate is used as arisk-free rate to calculate traded-day(T+0) price of NOMURA J-TIPS Index
from the settlement price.

4

<Other factors>
EquityFactors
Number of shares
outstanding forindex calculation
purposes

Actual dividend

Dividend forecasts
published by thecompanies
Dividend forecasts
by Toyo Keizai Inc.

Tax rate imposedon dividend
incomeVendor
NomuraResearch
Institute,
Ltd.

NomuraResearch
Institute,
Ltd.
NomuraResearch
Institute,
Ltd.
NomuraResearch
Institute,
Ltd.
-

SourceTokyo Stock
Exchange(PrimeMarket,Standard
Market,GrowthMarket,TOKYOPRO
Market),NagoyaStock
Exchange,
SapporoSecurities
Exchange,
andFukuoka
Stock
Exchange
Companies’
filings

Details
Changes in the number of sharesare reflected pursuant to the index
rules according to the timing ofchanges in the capital structure of
a component stock based onreports on corporate action oflisted companies.

Companies’
filings-

Toyo KeizaiInc.

In case where dividend forecasts
published by the companies are notavailable, Toyo Keizai’s dividend
forecasts are used.
Tax rate used for the calculation isdetermined by NFRC based on thesource information. Reviews are
conducted quarterly.

National
Tax Agency-

5Factors
Change in capital
structure

Fixed Income
Factors
Instrument
characteristics

Vendor
NomuraResearch
Institute,
Ltd.

SourceTokyo Stock
Exchange(PrimeMarket,Standard
Market,GrowthMarket,TOKYOPRO
Market),NagoyaStock
Exchange,
SapporoSecurities
Exchange,
andFukuoka
Stock
Exchange

Details
Changes in capital structure isreflected pursuant to the index rules
according to the timing of changes in
the capital structure of a component
stock based on reports on corporate
action of listed companies.

Vendor
NomuraResearch
Institute, Ltd.

SourceMinistry of
Finance,
Issuers,
Financial
Services
Agency(FSA),
Japan
Securities
Dealers
Association(JSDA), andJapan
Securities
Depository
Center, Inc.
(JASDEC)Japan
Housing
Finance
Agency(JHF)
Ministry ofInternal
Affairs andCommunicat
ions

Details
Instrument characteristics (e.g.,
outstanding amount, interest
payment date, maturity date, andcoupon rate) are used forjudgements related to portfolio
inclusion and calculation of index
values.

Pool factor andloan information of
the JHF RMBS

NomuraResearch
Institute, Ltd.

Consumer Price
Index (CPI)

NomuraResearch
Institute, Ltd.

Updated pool factor and loan
information corresponding to the
RMBS that the JHF publishes areused for the calculation of themonthly partial redemption amount.
The CPI is used to calculate theinflation-adjusted (nominal) price for
the NOMURA J-TIPS Index. The
inflation-adjusted price is used for
calculating the value of total
investment return index.

6

ROLES RELATING TO COLLECTION OF FACTORS IN THE INDEXCALUCULATION, CALCULATION, AND DISTRIBUTION
Nomura Japan Fixed Income Index Series:-

The indices are calculated and distributed by Nomura Research Institute, Ltd. (NRI).

Russell/Nomura Japan Equity Index Series:-

The indices (excluding “Indices in foreign currencies on WM/Refinitiv exchange rate”
and “Dividend tax adjusted indices”) are calculated and distributed by NRI.

-

The indices in foreign currencies on WM/Refinitiv exchange rate are calculated anddistributed by or on behalf of Frank Russell Company or its affiliate, agent, or partner.

-

The dividend tax adjusted indices in JPY and USD based on the Bank of Japan’s
exchange rate (“Dividend tax adjusted indices”) are calculated by NRI and distributed
by NFRC.

Nomura Thematic Equity Index Series:-

The indices (excluding “Nomura Japan Equity High Dividend 70, Net Total Return US
Dollar Hedged Index”) are calculated by NRI.

-

NFRC outsources the calculation of “Nomura Japan Equity High Dividend 70, Net Total
Return US Dollar Hedged Index” to ICE Data Indices.

-

The indices are distributed by NFRC.

Nomura Customized Index Series:-

In the index rule book, NFRC stipulates the name and roles of third parties who
participate in the index calculation and distribution.

Please refer to the table above for a collection of each factor in the index calculation.

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PROCESS – RESPONSES TO ERROR OR DISASTER-NFRC reserves the right to delay or suspend the publication of an index, if any of thefollowing occurs:
・ System trouble at NFRC or third parties outsourced for the NFRC’s index
calculation
・ System trouble at data sources whose data are used for the index calculation
・ War, natural disasters, or other force majeure events・ Other unavoidable circumstances-

In cases where the index publication is delayed or suspended, NFRC announces suchon its website, except in cases where an unpredictable event keeps NFRC from being
able to disclose the information on its website.

-

Recalculations may be necessary when there are delays or suspensions of indices;
please see “PROCESS – RECALCULATION” below for details.

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PROCESS – RECALCULATION-NFRC reserves the right to recalculate or amend the index values, if any of thefollowing occurs:
・ An index calculation has been conducted improperly
・ Any other circumstances in which NFRC determines that an index recalculation isnecessary-

In terms of the data for recalculation, NFRC uses the most suitable figures dependingon each situation.

-

NFRC recalculates or amends the index values in cooperation with the third parties inaccordance with the contingency plan based on the agreement. In cases where the
NFRC determines that an index calculation has been conducted improperly (such as
errors) or due to other reasons, the Head of ISD approves recalculations oramendments, and ISD reports to the Director in charge of ISD. In the absence of the
Head of ISD, an appropriate person in charge may undertake approvals.

-

Index values after recalculation are required to be double-checked.

-

Recalculation announcements are to be posted on the website.

9

PROCESS - CHANGES TO METHODOLOGY-NFRC reserves the right to change its calculation methodologies, if any of thefollowing occurs:
・ A change to calculation methodology is determined to be necessary as aresult of periodic review
・ Structural changes in the market make a change to methodology necessary(such as regulation revision)・ A user request or complaint makes a change to methodology necessary
・ Any other circumstances in which NFRC determines that a change tomethodology is necessary-

NFRC examines changes to methodology in consultation with internal and external
stakeholders (e.g., business partners) and the third parties outsourced for index
calculation.

-

NFRC defines changes to methodology that have significant impacts on index users(such as significant changes of principles of index construction, design, or calculation)
as “material changes”.

-

NFRC determines whether or not a change to methodology corresponds to a materialchange. If it is determined a material change, NFRC shall implement the procedures
mentioned below.

-

NFRC solicits public comments on its website. For details, please see “PROCESS CONSULTATION” below.

-

Changes to methodology require approval by the Head of ISD and the Strategic
Solutions Committee which is one of the governance bodies in NFRC.

-NFRC announces any change to methodology on its website at least 30 days prior to
the day of implementation of the change to methodology, including the details andcircumstances of the change.

-

In order to mitigate any market impact, as a general rule, the announcement ispublished on the website at around 16:00 JST, except in cases of unforeseen
circumstances or when information cannot be confirmed.

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PROCESS – CESSATION-NFRC reserves the rights to implement the cessation of an index if any of the following
occurs:

Cessation is determined to be necessary as a result of a periodic review

When demand for an index decreases significantly (e.g., an absence of users
referencing the index)When an index no longer provides intended value due to the redemption of afinancial product referencing the index or other reasonsWhen the calculation of an index becomes difficult due to the number of
securities in the index decreasing significantly

Any other circumstance where NFRC determines that a cessation isnecessary-

NFRC examines the possibility of cessation with internal and external stakeholders(e.g., business partners) and third parties outsourced for the index calculation.

-

NFRC asks index users for feedback on the impact of the cessation and/or a suitable
alternative index selected by NFRC. Where there are many index users and NFRC
cannot directly consult with all index users, NFRC solicits public comments. For
details, please see “PROCESS – CONSULTATION” below.

-

NFRC seeks to notify relevant users of appropriate alternative indices (in terms ofobjectives, strategy, and universe) in cases where the NFRC will produce such analternative index or where one is already in existence (administered by NFRC or otherindex providers).

-

Based on an investigation undertaken via the process described above, NFRC shalldetermine the cessation of the disputed index and suggest an alternate index which isdeemed as a good substitute, with the sufficient period of time for its transition.

-

The cessation requires approval by the Head of ISD and the Strategic Solutions
Committee.

-

NFRC announces the cessation on its website at least 30 days prior to the day of
cessation.

-

In order to mitigate any market impact, as a general rule, the announcement ispublished on the website at around 16:00 (JST), except in cases of unforeseen
circumstances or when information cannot be confirmed.

11

PROCESS – CONSULTATION-NFRC solicits public comments on its website before any of the following is
implemented:


A material change to methodology

A cessation of index, provided that NFRC cannot directly consult with allindex users.

-

Before NFRC enters into public comment procedure, the Head of ISD and theStrategic Solutions Committee must approve the implementation and details.

-

NFRC announces solicitation of public comments on its website and collects opinions
on the subject through the public comment period.

-

In general, the public comment period is set as 30 days or longer. If the period is lessthan 30 days, the reason needs to be clearly stated on the website.

-

NFRC makes stakeholders’ summary comments and NFRC’s summary response
accessible on the website within 30 days after the expiry of the public comment period
except where confidentiality has been requested.

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NOTE
-

NFRC conducts reviews at least annually with regard to the policy, the calculation
methodologies, and other matters in order to assess whether a material change to thecalculation methodologies is required or whether the value measured by the NFRC’s
indices has diminished or is not functioning due to structural changes in the markets.
ISD reports the results of reviews to the Director in charge of ISD.

-NFRC should encourage users and stakeholders who have financial instruments thatreference a benchmark to take steps to make sure to:have a fallback option in case of material change to, or cessation of, thereferenced NFRC’s indices; and

be aware of the possibility that various elements, including external elements
beyond the control of NFRC, might necessitate material changes to NFRC’s
indices.

-

NFRC retains records with respect to policy actions and evidence for five years.

-

NFRC establishes systems for dealing with enquiries and/or complaints related toindex calculation policies. For details, please see “COMPLAINTS HANDLING POLICY”
on the website.

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REVISION HISTORY
Revision date

Details

March 29, 2019

First edition

September 30, 2019

Revisions to overall text
Add item for “PROCESS - CONSULTATION”
Change the company name from “Financial Technology
Research Institute Inc.” to “Nikkei Financial Technology
Research Institute, Inc.”

March 30, 2020

Partial revision of “ROLES REGARDING COLLECTION OF
INPUT DATA, CALCULATION, AND DISTRIBUTION” and“CESSATION”

October 16, 2020

Change the name from “INPUT DATA” to “FACTORS IN THE
INDEX CALUCULATION”
Change overall of “FACTORS IN THE INDEX CALUCULATION”
Partial revision of “PROCESS – CONSULTATION”

February 1, 2023

Revisions to overall text due to the business succession.

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