(Reference Translation)

TSE Index Guidebook(Tokyo Stock Exchange REIT Index,
Tokyo Stock Exchange REIT Property Sector Index Series,
Tokyo Stock Exchange Infrastructure Funds Index)

December 25, 2020
Tokyo Stock Exchange, Inc.

Published: December 25, 20201

© 2018－

Tokyo Stock Exchange, Inc.

Contents
Record of Changes................................................................................................................. 3
Introduction........................................................................................................................... 4
Ⅰ.

Outline of Indices........................................................................................................ 4Ⅱ.

Index Calculation........................................................................................................ 5

1.

Outline ....................................................................................................................... 5

2.

Formula ..................................................................................................................... 5

3.

Stock Price Used for Calculation ............................................................................. 5

4.

Number of Shares Used for Index Calculation....................................................... 6

5.

Free Float Weight Calculation................................................................................. 6

6.

Constituent selection for Tokyo Stock Exchange REIT Property Sector IndexSeries.................................................................................................................................. 8Ⅲ.

Adjustments to Base Market Value........................................................................... 9

1.

Events that Require Adjustment............................................................................. 92.

Adjustment Method ................................................................................................ 13

Ⅳ.Other ............................................................................................................................... 16
1. Publication/Dissemination of Index Data............................................................... 16
2.

Licensing ................................................................................................................. 16

3.

Contacts................................................................................................................... 162© 2018－

Tokyo Stock Exchange, Inc.

Record of Changes
DATE

Changes

2018/7/23

Clarified the treatment of "Rights Offering"

2020/3/31

Revised the date for adjusting base market value following the shorteningof stock settlement cycle to T+2

2020/4/27

Added "Tokyo Stock Exchange Infrastructure Funds Index"

2020/6/30

Revision to bring forward the date for minor adjustments related to
ex-dividend

2020/12/25

Clarification of the stock price used for calculation, etc.

3

© 2018－

Tokyo Stock Exchange, Inc.

Introduction
・ Tokyo Stock Exchange, Inc. (TSE) calculates and publishes the Tokyo Stock Exchange
REIT Index, Tokyo Stock Exchange REIT Property Sector Index Series, and Tokyo
Stock Exchange Infrastructure Funds Index (hereinafter, collectively referred to as "TSEREIT-related Indices") in accordance with the methods described in this document. If an
event not specified in this document occurs, or if TSE determines that it is difficult to use
the methods described in this document, TSE may use an alternative method of index
calculation as it deems appropriate.
・ Copyright of this document is owned by TSE and any copies, reprints and reproductionsof this document in whole or in part are prohibited without the prior approval of TSE. This
document is prepared solely for the understanding of indices calculated and publishedby TSE, and is not to be construed as a solicitation for trading any securities or related
financial instruments. Information expressed in this document is subject to change
without notice and in those cases TSE undertakes no obligation to update any recipientsof this document. TSE shall accept no liability or responsibility for any loss or damage
arising from errors, delays, or termination of the calculation or publication of TSE
REIT-related Indices, changes to its calculation or publication method, the use of TSE
REIT-related Indices or all or any part of this document or other similar events.
・ Tokyo Stock Exchange REIT Index calculates price return, total return and net total
return versions. Tokyo Stock Exchange REIT Property Sector Index Series and Tokyo
Stock Exchange Infrastructure Funds Index calculate both price and total return
versions.
Ⅰ.

Outline of Indices・ TSE REIT-related Indices calculated indices are calculated using free-float adjusted
market capitalization weighting. The constituents base date and base value for eachindex is as below:
Index nameConstituents

Base Date

Base
Value

Tokyo Stock

All REIT listed on the TSE

March 31,2003

1,000

Tokyo Stock

The Tokyo Stock Exchange REIT

February 26,2010

1,000

Exchange REIT

Property Sector Index Series

Property Sector

created by dividing theIndex Series

constituents of Tokyo Stock

Exchange REIT
Index

4

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Tokyo Stock Exchange, Inc.

Exchange REIT index into thecategories according to theproperty holder (more details in
Ⅱ6)Tokyo Stock

All infrastructure funds listed on

Exchange

the TSE

March 27, 2020

1,000

Infrastructure
Funds Index

Ⅱ.

Index Calculation

1.

OutlineTSE REIT-related Indices are calculated using free-float adjusted market capitalization
weighting. Each index is denominated in points and is calculated to the second decimal
place (values beyond the second decimal are rounded).
2.

FormulaIndex =

CMV× Base PointBMV

CMV = Current market value (free-float adjusted)
BMV = Base market value (free-float adjusted)
Current Market Value=෍

3.

(Number of Shares for Each Constituent × Stock Price for Each Constituent)

Stock Price Used for Calculation

・ The stock prices used for calculating and adjusting base market values for TSE
REIT-related Indices are prices from auction trading on TSE and are determined by thefollowing order of priority:(1) Special Quote or Sequential Trade Quote, (2) Contract Price, (3) Base Price forIndex Calculation when neither (1) or (2) are available (determined in the following
order: (1) Theoretical Ex-rights Price, (2) Most Recent Special Quote or Sequential
Trade Quote on or before the previous trading day, (3) Most Recent Contract Price
before the previous trading day.)

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Tokyo Stock Exchange, Inc.

4.

Number of Shares Used for Index Calculation

・ The number of shares used for index calculation is determined by multiplying the total
number of listed shares by the free-float weight (FFW) ratio.
Number of Shares Used for Index Calculation for Each Stock= Total Number of Listed Shares × FFW Ratio

・ In general, the “total number of listed shares” in the above formula is equal to thenumber of listed shares, but in some cases these numbers are different due to corporate
actions such as stock splits. For example, in a stock split, the number of listed shareschanges on the listing change date, which is effective date. On the other hand, thetotal number of listed shares used in index calculation (before FFW adjustment)changes on the ex-rights date, leading to a brief period in which the two numbers aredifferent.
5.

Free Float Weight Calculation(1) Outline
・ Free-Float Weight (FFW) is the percentage of listed shares deemed to be available fortrading in the market. TSE calculates the FFW for shares of each REIT (including
infrastructure funds) and uses this value in index calculation. The FFW for shares of
REIT X may be different from that for REIT Y.
・ FFW is calculated by first estimating the amount of non-free-float shares (portion oflisted shares deemed not to be available for trading in the market) using securities
reports and such statutory documents required by the Financial Instruments andExchange Act and publicly available documents released by listed companies, second,
calculating non-FFW (Non-free-float shares / listed shares), and finally obtaining the
FFW by removing the non-free-float factor from 1 (1 – Non-FFW). FFW is expressed bya figure in the range of 0.00000 to 1.00000 in increments of 0.00001.

(2) Estimation of non-free-float sharesa) Securities reports and other statutory documents required by the Act, as well as frompublicly available documents released by each REIT.
b) Estimation of non-free-float shares
TSE considers the following to be non-free-float shares
Shares held by the top 10 major shareholders, by board members, and otherrepresentatives (REIT Asset management company), as well as treasury
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Tokyo Stock Exchange, Inc.

-

TSE may treat shares held by the top 10 major shareholders as free-float
shares for the following entities:

As a general rule, shares considered as free-float :»Securities finance companies,»

Securities depositories,»

Trust banks specializing in asset management»

Other trust banks (cases deemed as free-float such as securities investment trust
accounts)»

Global custodians, and»Other entities who hold shares TSE deems as available for trading in the market-

Furthermore, TSE will conduct periodic reviews of FFW every year on the lastbusiness day of July.

-TSE will use documents, such as securities reports, from the previous
accounting periods through December of the preceding fiscal year.

-

TSE reserves the right to review FFW in some cases (such as third party
allocation of shares, etc.) where it deems that the existing FFW is expected tobe significantly affected.

c) Calculation of FFW-

Periodic review
At the periodic review, FFW is rounded up to the nearest 0.05 as indicated below
after subtracting the non-FFW ratio from 1.
FFW for periodic review
1 − Non

≤0.05

≤0.10

≤0.15

≤0.20

≤0.25

≤0.30

≤0.35

≤0.40

≤0.45

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45

FFW ratio
FFW

-

≤0.50

≤0.55

≤0.60

≤0.65

≤0.70

≤0.75

≤0.80

≤0.85

≤0.90

≤0.95

≤1.00

0.50

0.55

0.60

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

Extraordinary Review

TSE reserves the right to review FFW in the following cases, where it deems that theexisting FFW is expected to be significantly affected.
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Allocation of new shares to a third party, mergers, take-over bids (TOB), and other events
deemed applicable by TSE.

-

FFW for newly listed REITs

With respect to a new listing of a REIT (excluding technical listing due to mergers, etc.),
FFW of those shares will be set to "0.6", because shareholding cannot be determined atthat time. FFW of the shares will be updated at the time of periodic review.
-

FFW for newly listed infrastructure funds

With respect to a new listing of an infrastructure fund (excluding technical listing due tomergers, etc.), FFW of those shares will be set to "0.6", because shareholding cannot be
determined at that time. FFW of the shares will be updated at the time of periodic review.

6.

Constituent selection for Tokyo Stock Exchange REIT Property Sector IndexSeries(1) Summary of the Tokyo Stock Exchange REIT Property Sector Index Series·

The Tokyo Stock Exchange REIT Property Sector Index Series created by dividing
the constituents of TSE REIT index into the following 3 categories according to theproperty sectors namely “Office”, “Residential”, and “Retail & Logistics, Others”. (Asingle REIT issue may only be classified into one property sector, and will not be
included in multiple property sector indices.)·

The TSE conducts an annual review of the constituents of the indices in the Tokyo
Stock Exchange REIT Property Sector Index Series in July.

(2) July Review·

Based on the most recent securities report submitted for each REIT as of the basedate ( Last business day of May)for the periodic review, classify each REIT into one ofthree property sectors, namely “Office”, “Residential”, and “Retail & Logistics, Others”.

·

Specifically, issues are classified according to the description under the “investment
policy” item of the securities report containing description on the use of properties
subject to investment by the REIT.

·

In the case of multiple uses of properties subject to investment described under the“investment policy” item, confirm the basic policy on the investment ratio for each use
8© 2018－

Tokyo Stock Exchange, Inc.

and classify the issue based on the use with the highest investment ratio.
·

In the case where there is no description on the investment ratio for each use, orwhere there are multiple property sectors with high investment ratios, refer to the list ofinvestment properties in the securities report and classify the issue based on theproperty sector with the highest appraised value.

·

The list of constituent changes is published on the fifth business day of July and index
calculation applying such constituent changes will begin on the last business day of
July.

Ⅲ.

Adjustments to Base Market Value

Whenever the market value of the index changes due to an increase or decrease inconstituent issues, capital raising, or similar events other than market fluctuations, the basemarket values for TSE REIT-related Indices are adjusted as follows to maintain continuity.

1.

Events that Require Adjustment(1）Inclusion or Removal of Constituents
Event Requiring Adjustment

Adjustment Date

Stock Price
Used for
Adjustment

New listings on TSE REIT Market or TSE

Last business

Stock price at

Infrastructure Funds Market (Direct listing)

day of the monththe end offollowing listing

trading on thebusiness day
beforeadjustment date

Inclusion

New listing of a newly formed company

New listing dateresulting from Merger that results in the*1

Base pricedelisting of a constituent of a TSE
REIT-related Index and the new company
being included in a TSE REIT-related Index.
Review for the Property Sector

Last business

Stock price at(Tokyo Stock Exchange REIT Property

day of July

the end of

Sector Index Series only)

trading on the9© 2018－

Tokyo Stock Exchange, Inc.

business day
beforeadjustment date
DelistingRemovalNew listing of a newly formed

Listing date of

Stock price atcompany resulting from Merger

the newly formed

the end ofthat results in the delisting of acompany

trading on theconstituent of a TSE REIT-related(normally twobusiness day

Index and the new company

business days

before delisting

being included in a TSE

followingdate*2

REIT-related Index.

delisting date)

Delisting other than those statedDelisting dateabove

Stock price atthe end of
trading on thebusiness day
beforeadjustment date

Designation as Securities to be Delisted

Four business

Stock price atdays after

the end ofdesignation*3

trading on thebusiness day
beforeadjustment date

Review for the Property Sector

Last business

Stock price at(Tokyo Stock Exchange REIT Property

day of July

the end of

Sector Index Series only)

trading on thebusiness day
beforeadjustment date*:

Adjustments to the base market value are made after the end of trading on the business day before theadjustment date (i.e., before the market opens on the adjustment date). The same shall apply
hereinafter.

*1:

Next business day when the new listing date falls on a holiday.

*2:

The stock price at the end of trading on the business day before the delisting date is used to
calculate the index for the period from the delisting date to the removal date.

*3:

Next business day when the designation date falls on a holiday.

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(2) Changes in Number of Shares Used for Index Calculation
Event Requiring Adjustment

Adjustment Date

Stock Price Used in
Adjustment

Changes in free-float weight (FFW)

Date of Change

Stock price at the endof trading on thebusiness day before
adjustment datePublic offering

Additional listing date (day after Stock price at the end
payment date)*1

of trading on thebusiness day before
adjustment date

Third-party allotment

Exercise of subscription warrants

Five business days after

Stock price at the end

additional listing date (twoof trading on thebusiness days after paymentbusiness day before

date)

adjustment date

Last business day of the month Stock price at the endof trading on thefollowing exercise
business day before
adjustment date

Cancellation of treasury stocks

MergerSituations in which a

One business day before

Stock price at the end

last business day of the monthof trading on theafter that of cancellation ofbusiness day before

treasury stocks
Delisting dateadjustment date
Stock price at the end

constituent of TSE REIT isof trading on thethe non-surviving entity

business day before(mergers between two

adjustment dateissues that are bothconstituents of Tokyo
Stock Exchange REIT
index)
Situations in which a

Delisting date

Stock price at the end

constituent of a TSEof trading on theinfrastructure fund is thebusiness day before

non-surviving entity

adjustment date(mergers between two
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Tokyo Stock Exchange, Inc.

Event Requiring Adjustment

Adjustment Date

Stock Price Used in
Adjustment

issues that are bothconstituents of Tokyo
Stock Exchange
Infrastructure Funds
Index)
Situations other than those Listing change date (effective

Stock price at the end

described aboveof trading on thedate)business day before
adjustment date
Rights Offering (limited to caseEx-rights datewhere the allotted subscription

Payment price per
sharewarrant securities are listed)*2
Other adjustments*3

Last business day of the month Stock price at the end
in which the informationof trading on theappears in “Sho-ho” (TSEbusiness day before

Notice) or the last business day adjustment dateof the following month*:

Since market value does not change when there is a stock price revision made due to a stock split, reverse split,
etc., no adjustment is made to the base value.

*1:

Next business day when the change (addition) date falls on a holiday (same applies below)*2:

The number of shares for Rights offering used for calculating indices will correspond to thenumber of shares to be allocated to shareholders*3: For example, situations in which an issuer of convertible bonds
or other securities conducts a stock split; the number of shares calculated based on ratios for stock splits,
reverse splits, paid-in allotment to shareholders,(3) Data Source
・ Information on the reason for base market value adjustments, details on the adjustment,
the adjustment date and other data is available through the “Sho-ho” (TSE Notice)
published daily by TSE based on reports, etc. made by a REIT or infrastructure fund.
(Please refer to the appendix for information on calculating FFW.)
・ If a REIT or infrastructure fund revises the contents of a previously published report that
resulted in an index adjustment, retroactive index adjustments will NOT be made basedon the revised contents.
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2.

Adjustment Method(1)Indices that do not reflect dividends (i.e. price indices)①Adjustment Method
・ Base market value will be adjusted according to the formula below in order to maintainthe continuity of the index:
Previous Business Day Market Value(Previous Business Day Market Value ± Adjustment Amount)=Pre − Adjustment Base Market Value
New Base Market Value (After Adjustment)*Adjustment Amount＝

Increase (Decrease)in Number of Shares Used for Index

Calculation X Stock Price Used for Adjustment
Therefore,
New Base Market Value ＝

Old Base Market Value × (Previous Business Day Market Value ± Adjustment Amount)
Previous Business Day Market Value② Adjustment Example
・ If, for example, the old base market value is 20 trillion yen and the previous day’s
market value is 400 trillion yen, TOPIX on the previous day will be:

Previous Day TOPIX＝ ¥400 tn ÷ ¥20 tn ×100＝ 2,000.00

・ Now, suppose that Stock A increases the number of listed shares used for index
calculation by 100 million shares due to a public offering. If the closing price of the stockon the previous day was ¥2,000, the adjustment amount is 100 million shares x ¥2,000= ¥200 billion. The new base market value, therefore, is:

New Base Market Value＝ ¥20 tn ×(¥400 tn ＋ ¥200 bn）÷ ¥400 tn＝ ¥20.01 tn

・ As illustrated below, if there is no price change in any constituent, the value for TOPIX
today is the same as the previous day: 2000 points. Thus, continuity in the index ismaintained through adjustments to base market value even if the market value of13© 2018－

Tokyo Stock Exchange, Inc.

constituents changes due to public offerings, etc.
(¥400 tn + ¥200 bn)÷¥20.01 tn = 2,000 points(2) Total Return Index
・ Dividends used in calculating the Total Return Index are gross (i.e. before tax)・ Since the dividend amount for the current period is not fixed as of the ex-dividend date,adjustments made to reflect dividends in the base market value are made in two stages:
1) adjustment using estimated dividends and 2) minor adjustments made to reflect
differences in estimated dividend and dividend amount announced in the earnings
report, etc.

A) Adjustments Using Estimated Dividends
・ The total dividend amount for all constituents is calculated on ex-dividend dates using
estimated dividends, and base market value is adjusted as above. In principle, theestimated dividend amount used is as follows:1.

Dividend amount for the current period as announced in timely disclosure documents,
if available

2.

Dividend amount for the previous period if the dividend for the current period is not
fixed (e.g. the dividend is not announced in disclosure documents as (1) above, or theamount is not determined, etc.)

・ The base market value adjustment method is basically as described in the previous
section, except an adjustment is made to reflect dividends as follows:
New Base Market Value ＝

Old Base Market Value × (Previous Business Day Market Value − Total Dividends ± Adjustment Amount)
Previous Business Day Market Value* Dividends Per Constituent = Number of Shares Used for Index Calculation on Business
Day Before Ex-Dividend Date × Estimated Dividend Per Share* Total Dividends = Sum of Dividends for All Constituents* Adjustment Amount＝

Increase (Decrease)in Number of Shares Used for Index

Calculation X Stock Price Used for Adjustment
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B) Minor Adjustment Made to Reflect Difference Between Estimated Dividend andDividend Announced in the Earnings Report, etc.
・ Minor adjustments are made with respect to those constituents for which the estimateddividend used on the ex-dividend date and the dividend announced in the earnings
report or the notice of dividends of surplus (hereinafter the “earnings report, etc.”) are
different. Specifically, the total dividend adjustment amount is calculated and the basemarket value adjustments are made on the last business day of the month in which thedividend is announced in the earnings report, etc. (hereinafter the “publication date”; if
the publication date is one business day before the last business day of the month or
the last business day of the month, adjustments will be as a general rule, made on thelast business day of the next month).

New Base Market Value ＝Previous Business Day Market Value൰− Total Dividend Adjustment ± Adjustment AmountPrevious Business Day Market Value

Old Base Market Value × ൬* Adjusted Dividend Per Constituent = Number of Shares Used for Index Calculation on
Business Day Before Ex-Dividend Date × (Dividend Announced in Earnings Report, etc. Estimated Dividend Per Share)* Total Adjusted Dividends = Sum of Adjusted Dividends for All Constituents*

Adjustment Amount ＝Increase (Decrease) in Number of Shares Used for Index

Calculation X Stock Price Used for Adjustment
・ In addition to the Total Return Index explained above, the TSE also calculates the
TOPIX Net Total Return Index which reflects the tax rate applied to constituent stock
dividends.
・ The base market value adjustment to reflect the dividend amount is made at the same timeas (2). But when calculating the base market value, the "total dividend amount" and the"total dividend minor adjustment amount" shall each be multiplied by (1 minus the dividend
tax rate).

・ The tax rate used in calculating the TOPIX Net Total Return Index is withholding tax rate
for listing shares (except for the local tax) at the adjustment date.

15© 2018－

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Ⅳ. Other
1. Publication/Dissemination of Index Data
（1）Index Values
・ The Price return index values are disseminated in real-time through the Market
Information System to securities companies, news media, and other institutions all overthe country. The price index is disseminated every second, and other indices are
disseminated every 15 seconds.
・ The Total Return Index and Net total return index (Tokyo Stock Exchange REIT index
only) is calculated daily at market close.
(2) Index Data
・ Index data relating to TSE REIT-related Indices (base market value, number of sharesfor each constituent, etc.) is provided for a fee through the Tokyo Market Information
service2.

Licensing
TSE reserves all calculation, publication and other rights pertaining to TSE
REIT-related Indices. As such, commercial use of such indices in the composition
and/or sale of financial products such as funds or linked bonds (including using theindex as the basis for options, swaps, warrants, or other OTC derivatives) or provisionof index data requires a license from TSE.

3.

Contact

Information Services
Tokyo Stock Exchange, Inc.
E-mail: index@jpx.co.jp

16© 2018－

Tokyo Stock Exchange, Inc.