Ground Rules

August 2024

FTSE JPX Net ZeroJapan Index Series
v1.8

lseg.com/en/ftse-russell

FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 5
Section 3 FTSE Russell index policies ............................................................................................................................... 6
Section 4 ESG data inputs .................................................................................................................................................. 8
Section 5 Climate transition indicators .............................................................................................................................. 10
Section 6 Eligible securities .............................................................................................................................................. 13
Section 7 Periodic review of constituent companies ........................................................................................................ 15
Section 8 Weighting methodology .................................................................................................................................... 16
Section 9 Changes to constituent companies................................................................................................................... 19
Section 10 Corporate actions and events ......................................................................................................................... 20
Section 11 Industry Classification Benchmark (ICB) ........................................................................................................ 21
Section 12 Indices algorithm and calculation method ...................................................................................................... 22
Appendix A FTSE JPX Net Zero Japan Index Series Exclusions .................................................................................... 23
Appendix B Carbon emissions .......................................................................................................................................... 25
Appendix C High climate impact sector ............................................................................................................................ 27
Appendix D Status of indices ............................................................................................................................................ 32
Appendix E Further information ........................................................................................................................................ 33

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Section 1

Introduction

1.

Introduction

1.1

This index is designed to reflect the performance of Japanese companies, based on the constituents in the
FTSE JPX Japan 500 Reference Index and the FTSE JPX Japan 200 Reference Index*, where the weights
of index constituents vary to account for risks and opportunities associated with the transition to a low
carbon economy. The constituent weights are tilted with Fossil Fuel Reserves, Carbon Emissions, Green
Revenues, TPI Management Quality and TPI Carbon Performance for potentially signalling the 2DCtransition progress/performance of the companies.
In addition, the indices are aligned with the EU’s Climate Transition Benchmark criteria (CTB), by targeting aminimum 30% reduction in carbon emissions relative to the reference benchmark and applying adecarbonisation trajectory to achieve “net zero” by 2050 using FTSE Russell’s target exposure
methodology.

1.2This document sets out the Ground Rules for the construction and management of the FTSE JPX Net ZeroJapan Index Series. Copies of these Ground Rules are available from www.lseg.com/en/ftse-russell/.

1.3

These Ground Rules should be read in conjunction with:– FTSE Global Equity Index Series Ground Rules;– FTSE EU Climate Benchmarks Index Series Ground Rules;– FTSE Global Factor Index Series Ground Rules,
and the corporate actions and events guide for non-market capitalisation weighted indices which areavailable at www.lseg.com/en/ftse-russell/.

1.4

The following indices are calculated:– FTSE JPX Net Zero Japan 500 Index;– FTSE JPX Net Zero Japan 200 Index.

1.5

Price and total return indices will be calculated on a real time basis.

1.6

The base currency of all indices is Japanese Yen (JPY). Index values may also be published in othercurrencies.

1.7

The FTSE JPX Net Zero Japan Index Series takes account of ESG factors in its index design (See Section 4).
If a tilting approach is used for an ESG data input, the objective is for the index methodology to overweight
and/or underweight constituents according to specific ESG criteria. This approach will not remove allcompanies with exposure to a specific ESG activity or sector.

1.8

FTSE Russell
FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt
Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and FTSE Fixed

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Income Europe Limited), FTSE Fixed Income LLC, FTSE (Beijing) Consulting Limited, Refinitiv Benchmark
Services (UK) Limited, Refinitiv Limited and Beyond Ratings.
1.9

FTSE Russell hereby notifies users of the Index Series that it is possible that circumstances, including
external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, theIndex Series and therefore, any financial contracts or other financial instruments that reference the IndexSeries or investment funds which use the benchmark to measure their performance should be able towithstand, or otherwise address the possibility of changes to, or cessation of, the Index Series.

1.10

Index users who choose to follow this Index Series or to buy products that claim to follow this index should
assess the merits of the Index Series’ rules-based methodology and take independent investment advice
before investing their own or client funds. No liability whether as a result of negligence or otherwise isaccepted by FTSE Russell for any losses, damages, claims and expenses suffered by any person as aresult of:– any reliance on these Ground Rules, and/or– any errors or inaccuracies in these Ground Rules, and/or– any non-application or misapplication of the policies or procedures described in these Ground Rules,
and/or– any errors or inaccuracies in the compilation of the Index Series or any constituent data.

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Section 2

Management responsibilities

2.

Management responsibilities

2.1

FTSE International Limited (FTSE)

2.1.1

FTSE is the benchmark administrator of the index series 1.

2.1.2

FTSE is responsible for the daily calculation, production and operation of the index and will:– maintain records of the index weightings of all constituents;– make changes to the constituents and their weightings in accordance with the Ground Rules;– carry out the periodic reviews of the index series and apply the changes resulting from the reviews asrequired by the Ground Rules;– publish changes to the constituent weightings resulting from their ongoing maintenance and the periodic
reviews;– disseminate the index series.

2.1.3

These Ground Rules set out the methodology and provide information about the publication of the FTSEJPX Net Zero Japan Index Series.

2.2

Amendments to these Ground Rules

2.2.1

These Ground Rules shall be subject to regular review (at least once a year) by FTSE Russell to ensure thatthey continue to best reflect the aims of the index series. Any proposals for significant amendments to theseGround Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders
if appropriate. The feedback from these consultations will be considered by the FTSE Russell Index
Governance Board before approval is granted.

2.2.2

As provided for in the statement of principles for FTSE Russell Equity Indices, where FTSE Russell
determines that the Ground Rules are silent or do not specifically and unambiguously apply to the subject
matter of any decision, any decision shall be based as far as practical on the statement of principles. Aftermaking any such determination, FTSE Russell shall advise the market of its decision at the earliest
opportunity. Any such treatment will not be considered as an exception or change to the Ground Rules, or to
set a precedent for future action, but FTSE Russell will consider whether the Ground Rules should
subsequently be updated to provide greater clarity.

1

The term administrator is used in this document in the same sense as it is defined in Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016
on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (the European Benchmark Regulation) and
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 (the UK Benchmark Regulation).

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Section 3

FTSE Russell index policies

3.

FTSE Russell index policies
These Ground Rules should be read in conjunction with the following policy documents which can beaccessed using the links below:

3.1

Corporate Actions and Events Guide

3.2

Full details of changes to constituent companies due to corporate actions and events can be accessed in thecorporate actions and events guide for non-market capitalisation weighted indices using the following link:
Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf

3.3

Statement of Principles for FTSE Russell Equity Indices (the Statement of Principles)
Indices need to keep abreast of changing markets and the Ground Rules cannot anticipate every
eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE Russell will
determine the appropriate treatment by reference to the statement of principles which summarises the ethos
underlying FTSE Russell's approach to index construction. The statement of principles is reviewed annually
and any changes proposed by FTSE Russell are presented to the FTSE Russell Policy Advisory Board for
discussion before approval by FTSE Russell's Index Governance Board.
The statement of principles can be accessed using the following link:
Statement_of_Principles.pdf

3.4

Queries and Complaints

3.4.1

FTSE Russell’s complaints procedure can be accessed using the following link:
Benchmark_Determination_Complaints_Handling_Policy.pdf

3.5

Index Policy for Trading Halts or Market Closures

3.5.1

Guidance for the treatment of index changes in the event of trading halts or market closures can be foundusing the following link:
Index_Policy_for_Trading_Halts_and_Market_Closures.pdf

3.6

Index Policy in the Event Clients are Unable to Trade a Market or a Security

3.6.1

Details of FTSE Russell’s treatment can be accessed using the following link:
Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market_or_a_Security.pdf

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3.7

Recalculation Policy and Guidelines

3.7.1

The FTSE JPX Net Zero Japan Index Series is recalculated whenever errors or distortions occur that are
deemed to be significant. Users of the FTSE JPX Net Zero Japan Index Series are notified throughappropriate media.
For further information refer to the FTSE Russell recalculation policy and guidelines document which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Recalculation_Policy_and_Guidelines_Equity_Indices.pdf

3.8

Policy for Benchmark Methodology Changes

3.8.1

Details of FTSE Russell’s policy for making benchmark methodology changes can be accessed using thefollowing link:
Policy_for_Benchmark_Methodology_Changes.pdf

3.9

FTSE Russell Governance Framework

3.9.1

To oversee its indices, FTSE Russell employs a governance framework that encompasses product, service
and technology governance. The framework incorporates the London Stock Exchange Group’s three lines ofdefence risk management framework and is designed to meet the requirements of the IOSCO Principles for
Financial Benchmarks2, the European benchmark regulation3 and the UK benchmark regulation4. The FTSE
Russell Governance Framework can be accessed using the following link:
FTSE_Russell_Governance_Framework.pdf

3.10

Real Time Status Definitions

3.10.1

For indices that are calculated in real time, please refer to the following guide for details of real time status
definitions:
Real_Time_Status_Definitions.pdf

23

4

IOSCO Principles for Financial Benchmarks Final Report, FR07/13 July 2013.
Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or tomeasure the performance of investment funds.
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019.

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Section 4

ESG data inputs

4.

ESG data inputs

4.1

The following ESG datasets are used in the construction of the indices.
Used for selection,weighting or exclusion5

ESG data inputs

Details

FTSE Green Revenues

FTSE Russell’s Green Revenues data model identifies companies
providing green products and services and classifies associatedrevenues based on the Green Revenues Classification System(GRCS). GRCS is a taxonomy used to define and measure theindustrial transition to a Green Economy. More information can befound here:
ftse-green-revenues-classification-system.pdf

Weighting

TPI Management
Quality (MQ)

FTSE Russell’s TPI Management Quality (MQ) data evaluates andtracks the quality of companies’ governance/management of theirgreenhouse gas emissions and of risks and opportunities related to
the low-carbon transition. More information can be found here:
https://www.transitionpathwayinitiative.org/methodology

Weighting

TPI Carbon Performance
Scores (CP)TPI Carbon Performance (CP) scores assess how companies’ carbon
performance now and in the future might compare to the internationaltargets and national pledges made as part of the Paris Agreement.
More information can be found here:
https://www.transitionpathwayinitiative.org/methodology

Weighting

FTSE Carbon Reserves

FTSE Carbon Reserves data model provides granular coverage offossil fuel reserve ownership among publicly listed companies indeveloped markets and emerging economies. More information canbe found here:
Guide_to_FTSE_and_Third_Party_ESG_Data_used_in_FTSE_Russ
ell_Indices

Weighting

FTSE Carbon
Emissions

The FTSE Carbon Emissions Dataset provides reported andestimated Scope 1, Scope 2 and Scope 3 emissions data for both theassets and activities controlled by global publicly listed companies
and their entire value chain (upstream and downstream activities).
More information can be found here:
Guide_to_FTSE_and_Third_Party_ESG_Data_used_in_FTSE_Russ
ell_Indices

Weighting

Product related data –FTSE Russell

FTSE exclusion lists on the activities of companies with exposure to
the products or services that are listed in Section 7 of the

Exclusion

Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_
Lists.pdf.
Conduct related data –FTSE

5FTSE exclusion lists on the activities of companies that are directly or
indirectly linked to controversial conduct and diversity. Moreinformation can be found: in Section 7 of the

Exclusion

Definitions.
Selection – ESG data is used to select or rank constituents, or calculate minimum scores or thresholds.
Weighting – ESG data is used to calculate the weight of a constituent in an index.
Exclusion – ESG data is used to exclude companies from the index.

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ESG data inputs

Details

Used for selection,weighting or exclusion5

Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_
Lists.pdf

4.1.1

Conduct related data –Sustainalytics

Sustainalytics Global Standards Screening (GSS) assess companies'
impact on stakeholders and the extent to which a company causes,
contributes or is linked to violations of international norms andstandards. More information can be found:
https://www.sustainalytics.com/investor-solutions/esg-research/esgscreening/global-compact-norms-based-screening and
Guide_to_FTSE_and_Third_Party_ESG_Data_used_in_FTSE_Russ
ell_Indices.

Exclusion

Conduct related data –RepRisk

The RepRisk Index (RRI) captures and quantifies a company’s
reputational risk exposure to ESG issues. More information can befound:
https://www.reprisk.com/news-research/resources/methodology

Exclusion

Minimum Set of
Exclusions for
Sustainable Investment
Indices

The minimum set of exclusions applied to this Index Series with effectfrom December 2023. Details of the minimum exclusions can befound in the

Exclusion

Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_
Lists.pdf

Further information on ESG data provided by FTSE Russell and third parties used in this index (index
series) can be found in the following guide:
Guide_to_FTSE_and_Third_Party_ESG_Data_used_in_FTSE_Russell_IndicesThis includes information on the data and standards used for these ESG data inputs. These data sets may
include estimated data.

4.2

ESG Metrics

4.2.1

Please see the FTSE Russell ESG Metricshttps://www.ftserussell.com/sustainable-investment-metrics
website for the scores and values of the environmental, social and governance (ESG) factors listed in Annex
II to Delegated Regulation (EU) 2020/1816.
Further details on the metrics methodology and calculation are available using the following link:
ESG Disclosures Methodology and Calculation Guide

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Section 5

Climate transition indicators

5.

Climate transition indicators

5.1

Green Revenues (GR)5.1.1

The Green Revenues (GR) score is the ratio of revenues as classified by the FTSE Green Revenues
Classification System to total revenue based on the FTSE Russell Green Revenue 2.0 data model.

5.1.2

The FTSE Green Revenues application excludes any green revenues from Tier 3 activities. Tier 3 activities
are defined as micro sectors which have some environmental benefits but are overall net neutral or
negative.

5.1.3

All constituent securities are assigned a FTSE Green Revenues ratio value. The FTSE Green Revenues
ratio for a company can be:– Zero if a constituent company has no exposure to the Green Economy;– A non-zero value, when a constituent company is identified to generate Green Revenues as defined by
the FTSE Green Revenues Classification System.

5.2

The Transition Pathway Initiative (TPI)

5.2.1

TPI assesses companies’ progress on the transition to a low-carbon economy on two dimensions:Management Quality and Carbon Performance.

5.2.2

TPI Management Quality (MQ) assesses the quality of companies’ management of their greenhouse gas
emissions and of risks and opportunities related to the low-carbon transition. MQ scores are derived fromthe climate theme data from FTSE Russell’s ESG data model based on TPI’s methodology which is
published on the public website: http://www.lse.ac.uk/GranthamInstitute/tpi/methodology/

5.2.3

The TPI Carbon Performance (CP) assess individual companies’ current and projected future emissions
pathways and how this compares to the international targets and national pledges made as part of the UN
Paris Agreement. Companies that receive an assessment are categorized into different groups, which aredescribed in the Guide to FTSE and Third Party ESG Data used in FTSE Russell Indices and are provided
by TPI on an annual basis.
Companies are assigned a TPI CP score based on their Carbon Performance assessment
Carbon Performance Categories

CP Scores (Multiplier)

Below 2°C (pulp & paper only)/ 1.5°C

2.0

2°C (pulp & paper only)/ 2°C

1.5

Paris/National/International Pledges

0.8

Not Aligned

exp(x)

Not yet assessed

1.0 (neutral)*The Carbon Performance score of ‘not aligned’ is set to exp(𝑥) for FTSE JPX Net Zero Japan Index Series and 𝑥 is the tilt strength for not aligned emission reduction.
Tilt strength for an index is determined in the weighting (see section 8).

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5.3

Carbon Emissions Intensity (E)Carbon Emissions Intensity is defined as the latest annual CO2 equivalent greenhouse gas (GHG)
emissions in metric tons scaled by enterprise value including cash (in USD). CO2 equivalent GHG
emissions data is defined as GHG Protocol Scope 1 and 2 and Scope 3 emissions. Enterprise Value data issourced from Worldscope. The data cut-off date for the availability of Carbon Emissions Intensity is theclose of business on the last business day of the month prior to the review month.

5.4

Potential emissions: Fossil Fuel Reserve Intensity (R)Fossil Fuel Reserve Intensity is defined as the estimated CO2 equivalent GHG emissions in metric tons
generated by the combustion of a company’s fossil fuel reserves, divided by its full company market
capitalisation (in USD). The data cut-off date for the availability of Fossil Fuel Reserve Intensity is the closeof business on the last business day of the month prior to the review month.

5.5

Z-Scores and missing data treatment

5.5.1

Z-scores are calculated for Green Revenue (GR), Scope 1 and 2 Carbon Emissions Intensity (ES1&2),
Scope 3 Carbon Emissions (ES3), Fossil Fuel Reserve Intensity (R) and TPI Management Quality (MQ).

5.5.2

Individual stock quantities are normalised cross-sectionally to create Z-Scores within each underlying
universe according to:
𝑍𝐹,𝑖 =𝐹𝑖 − 𝜇𝐹
where 𝐹 ∈ {𝐿𝑜𝑔(𝐺𝑅), 𝐸𝑆1&2, 𝐸𝑆3, Log(𝑅) , 𝑀𝑄}
𝜎𝐹(1)

where 𝐹𝑖 is the 𝐹-quantity of the 𝑖 𝑡ℎ stock and 𝜇𝐹 and 𝜎𝐹 are its cross-sectional factor mean and standard
deviation respectively.
Z-Scores that are greater (less) than three (minus three) are truncated to a value of three (minus three).
Post-truncation, individual Z-Scores are renormalised by the re-application of equation (1).
All Z-Scores, including truncated ones are included in this re-application. This process is repeated until all ZScores lie in a range between plus and minus three.
Companies with missing data are excluded from this process.
Companies in the following ICB sub-sectors which do not have Fossil Fuel Reserve data available areassigned the average Z-score of all companies in this group of sub-sectors. If there are no companies in thisgroup of sub-sectors with reserve data, a Z-score of 0 is assigned.
– Integrated Oil and Gas (ICB: 60101000);– Oil: Crude Producers (ICB: 60101010);– Offshore Drilling and Other Services (ICB: 60101015);– Oil Refining and Marketing (ICB: 60101020);– Oil Equipment and Services (ICB: 60101030);– Pipelines (ICB: 60101035) Other companies with no Fossil Fuel Reserve are assigned a Z-Score of -3
for their Fossil Fuel Reserve and not included in the Z-Score calculation process of these two indicators.
5.5.3

Stocks with missing Carbon Emissions Intensities are assigned the average Z-Score of their ICB sector. The
average is taken across non-missing Z-Scores of Carbon Emissions Intensities in the sector at the processdescribed in Rule 5.2.2 A Z-Score of zero is assigned when there are less than three stocks with Z-Scoresin the ICB sector.

5.5.4

Due to low and unreliable coverage, scope 3 emissions estimation models do not cover financials for the
FTSE JPX Net Zero Japan Index Series. Instead, all financials (ICB 30), including those with disclosed
scope 3 are assigned a Z-score of 3 (and therefore ‘worst’ tilt on the scope 3 carbon emissions) to reflect
their very large but under-estimated emissions.

5.5.5

Stocks with missing TPI Management Quality (MQ) scores are assigned the average Z-Score of theircountry. The average is taken across non-missing Z-Scores of MQ scores in the country using at theFTSE Russell

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process described in Rule 5.2.2 A Z-Score of zero is assigned when there are less than three stocks with ZScores in the country.

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Section 6

Eligible securities

6.

Eligible securities

6.1

The eligible securities of each Climate Index are the constituents of the corresponding underlying index
shown in Table 1.

6.1.1

Securities from the applicable exclusion list (see Appendix A) are not eligible for membership of therelevant index.

6.2

Multiple lines

6.2.1

All lines of the same eligible company are eligible for inclusion in the index.

6.3

FTSE JPX Net Zero Japan Index Series Index Series
The FTSE JPX Net Zero Japan Index Series consists of the following indices.
Table 1: FTSE JPX Net Zero Japan Indices
Index name

Underlying index

Exclusion list

FTSE JPX Net Zero Japan 500 Index

FTSE JPX Japan 500 Reference Index*

See Appendix A

FTSE JPX Net Zero Japan 200 Index

FTSE JPX Japan 200 Reference Index**FTSE JPX Japan 500 Reference index consists of TOPIX 500 constituents with FTSE Russell free float weights and corporate actions and FTSE JPX Japan 200
Reference Index consists of the largest 200 stocks in terms of market value in FTSE JPX Japan 500 Reference Index.

6.4

Excluded companies

6.4.1

Product and activity involvement data are collected from publicly available information by FTSE Russell
analysts. Where data is not obtained by FTSE Russell analysts, external sources are used to supplement
the data including from Sustainalytics.

6.5

Screens applied to Eligible Securities
A. Foreign Ownership Restrictions
FTSE Russell’s index methodology takes account of the restrictions placed on the equity holdings offoreign investors in a company where these have been imposed by a government, regulatory authority or
the company's constitution.
Further details of the Foreign Ownership Restrictions can be accessed using the following link:
Foreign Ownership Restrictions and Minimum Foreign Headroom Requirement.pdf

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B. Minimum Foreign Headroom Requirement
FTSE Russell defines “foreign headroom” as the percentage of shares available to foreign investors as aproportion of the company’s Foreign Ownership Limit (FOL), i.e. (FOL – foreign holdings)/FOL.
For example, if a company has a foreign ownership limit, of 49%, of which 39% is held by foreign
investors, the foreign headroom will be calculated as 20.41% i.e. (49% – 39%)/49%.
Further details of the Minimum Foreign Headroom Requirement can be accessed using the following link:
Foreign Ownership Restrictions and Minimum Foreign Headroom Requirement.pdf

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Section 7

Periodic review of
constituent companies

7.

Periodic review of constituent companies

7.1

Review dates

7.1.1

The FTSE JPX Net Zero Japan Index Series are reviewed annually in December.
FTSE Zero Japan Index Series

Review months

FTSE JPX Net Zero Japan 500 Index

December

FTSE JPX Net Zero Japan 200 Index

DecemberIndex reviews will use climate indicators as of the last business day of the month prior to the review month(the data cut-off date). The calculations described in Appendix B will be recalculated at the annual review
using this data cut-off date.
7.1.2

Index reviews will use stock prices available as at the close of business on the Wednesday before the first
Friday of the review month (price cut-off date). The data cut-off dates for ESG data inputs are in the Guide
to FTSE and Third Party ESG Data used in FTSE Russell Indices.

7.1.3

The review will be implemented after the close of business on the third Friday of the review month.

7.1.4

Index reviews will incorporate constituent changes associated with reviews of the underlying eligible
universe as of the review effective date. Any changes to the status of “Excluded Companies” as defined inAppendix A are applied using data as at the close of business on the Monday four weeks prior to review
effective date.

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Section 8

Weighting methodology

8.

Weighting methodology

8.1

Index weights

8.1.1

Constituent weightings in the FTSE JPX Net Zero Japan Index Series are set to meet the Climate Transition(CTB) index objectives:
Climate Transition (CTB) objectives

Index targets

Minimum carbon emissions reduction relative to underlying index (see 8.1.4 and Appendix B)

30% – Scope 1 and 2
Emissions
30% – Scope 3 Emissions

Minimum average annual carbon emissions reduction relative to the index base year (see 8.1.5
and Appendix B)

7% – Scope 1 and 2 Emissions
7% – Scope 3 Emissions(applies after 2020 base year)

Active weight in High Climate Impact Sector relative to underlying index in aggregate (see Appendix C)

0These metrics were designed to meet Climate Transition (CTB) criteria.
Also see Appendix A for exclusions applied.
8.1.2

The FTSE JPX Net Zero Japan 500 Index is set to meet the following additional climate objectives:
Additional Climate objectives

Index targets

Minimum potential emissions reduction relative to underlying Index (see 8.1.2 and Appendix B)≥30%

Green Revenues Improvement≥ 70%

Corporate Target Setting: TPI MQ score improvement

0.3𝜎*

Corporate Target Setting: TPI Carbon Performance tilt

1 tiltCorporate Target Setting: TPI Carbon Performance ‘Not Aligned’ companies’ emission reduction
relative to underlying Index≥ 60% Scope 1 & 2 Emissions≤0

Active weight of each company in ICB sub-sector Banks (30101010)* 𝜎 is the market capitalisation weighted standard deviation of the score in the underlying universe.

8.1.3

The FTSE JPX Net Zero Japan 200 Index is set to meet the following additional climate objectives:
Additional Climate objectives

Index targets

Potential emissions reduction relative to underlying Index (see 8.1.2 and Appendix B)≥30%

Green Revenues Improvement≥ 100%

Corporate Target Setting: TPI MQ score improvement

0.5𝜎*

Corporate Target Setting: TPI Carbon Performance tilt

1 tiltCorporate Target Setting: TPI Carbon Performance ‘Not Aligned’ companies’ emission reduction
relative to underlying Index≥ 60% Scope 1 & 2 Emissions

Active weight of each company in ICB sub-sector Banks (30101010)≤0* 𝜎 is the market capitalisation weighted standard deviation of the score in the underlying universe.

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8.1.4

Minimum carbon emissions reduction relative to the underlying index and minimum average annual carbon
emissions reduction relative to the index base year apply a 0.5% buffer to allow drift between targeted andrealised emission targets (see Appendix B).

8.1.5

FTSE JPX Net Zero Japan Index Series employs a base year of 2020 for the application of the minimum
average annual carbon emissions reduction relative to the index base year.
The first assessment period to meet the Paris-Aligned (PAB) and Climate Transition (CTB) index minimum
requirements will be measured on an annual basis starting from the first index review in the calendar year
following the launch of the index.
Should a significant change in the calculation methodology of GHG intensity or absolute GHG emissions
occur, a new base year may be selected.

8.1.6

8.1.7

FTSE JPX Net Zero Japan Index Series also applies below constraints:

Index

Country

IndustryMaxcompany
weight (%)

FTSE JPX Net Zero Japan 500 Index

-

2%

5

0.5

5

20

FTSE JPX Net Zero Japan 200 Index

-

4%

5

0.5

5

30

Min company
weight (b.p.)

Max capacity
ratio

Max 2 – way
T/O (%)

Constituent weightings in the FTSE JPX Net Zero Japan Index Series are determined using FTSE Target
Exposure methodology. The weight of the constituent is determined as:
𝑣𝑖
𝑤𝑖 =
∑𝑗 𝑣𝑗
where
𝑎
𝑏1&2
𝑏3
𝑐
𝑑
𝑣𝑖 = 𝑤𝑖′ × 𝑆𝐺𝑅,𝑖× 𝑆𝐸𝑆1&2,𝑖
× 𝑆𝐸𝑆3,𝑖× 𝑆𝑅,𝑖× 𝑆𝑀𝑄,𝑖× 𝐶𝑃𝑖 × 𝐼𝑖 × Φ𝑖 × 𝐶𝑖

where,– 𝑤𝑖′ is the market capitalisation weight of stock 𝑖 in the underlying eligible universe;– 𝑆𝐺𝑅,𝑖 , 𝑆𝐸𝑆1&2,𝑖 , 𝑆𝐸𝑆3,𝑖 , 𝑆𝑅,𝑖 , 𝑆𝑀𝑄,𝑖 are natural exponents of the corresponding Z-scores detailed in Rule 5.5;
– 𝑎, 𝑏1&2, 𝑏3, 𝑐 and 𝑑 are tilt-strength determined at index weighting;– 𝑪𝑷𝒊 is the TPI carbon performance fixed tilt detailed in 5.2.3.
– 𝑰𝒊 is Industrial ICB tilt;– 𝚽𝒊 is the maximum stock capacity/maximum weight tilt;– 𝑪𝒊 is maximum turnover tilt.
For details of FTSE Target Exposure methodology see FTSE Global Factor Index Series.
8.1.8

If there is no feasible solution after Rule 8.1.7, FTSE JPX Net Zero Japan Index Series TPI MQ score and
TPI MQ score improvements are reduced by 2.5% of their original value and the whole process is attemptedagain. If this continues to be the case after 10 reductions (i.e. after the exposure targets have been reduced
by 25%), then the turnover target is increased by 50% and the whole process is repeated using the originalactive exposure targets. Details for the relaxation can be found in FTSE Global Factor Ground Rules.

8.1.9

If there is no feasible solution after Rule 8.1.8, FTSE JPX Net Zero Japan Index Series emission
requirements are reduced by 2.5% of their original value and the weighting process detailed in Rules 8.1.7
and 8.1.8 is re-attempted. This process is repeated until a valid solution is achieved.

8.1.10In the event of FTSE JPX Net Zero Japan Index Series minimum requirements being relaxed during theindex review, FTSE JPX Net Zero Japan Index Series adjustments and targets would be applied at the next
index review. Additional details are provided in Appendix B.

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

8.1.11

Prior to the full incorporation of a Scope 3 Emission Intensity Target December 2022, FTSE JPX Net ZeroJapan Index Series applied an adjustment in December 2021 to ensure partial Scope 3 emissions
reductions were applied to the Energy and Mining Sectors (see Appendix B for details).

8.2

Index back-histories

8.2.1

Company carbon emissions data is lagged for one year before the end of March 2021.

8.2.2

TPI data as of September 2018 is used in the index review process prior to 2018.

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Section 9

Changes to constituent companies

9.

Changes to constituent companies

9.1

Intra-review additions

9.1.1

FTSE JPX Net Zero Japan Index Series will not accept intra-review additions.

9.2

Intra-review deletions

9.2.1

There will be no intra-review deletions except in the event of corporate actions and events covered in
Section 10, or of securities which are subject to surveillance by stock exchanges.

9.3

Intra-review changes to exclusion lists

9.3.1

A constituent will be removed from the FTSE JPX Net Zero Japan Index Series if it is added to a relevant
exclusion list. The deletion will be concurrent with its addition to the exclusion list.

9.3.2

A stock that is removed from a relevant exclusion list will be considered for inclusion at the next annual
review.

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Section 10

Corporate actions and events

10.

Corporate actions and events

10.1

If a constituent has a stock split, stock consolidation, rights issue, bonus issue, a change in the number ofshares in issue or a change in free-float (with the exception of tender offers), the constituent’s weighting in
the FTSE JPX Net Zero Japan Index Series remains unchanged pre and post such an event.

10.2

Full details of changes to constituent companies due to corporate actions and events can be accessed in
the corporate actions and events guide for non-market capitalisation weighted indices using thefollowing link:
Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf
A corporate ‘action’ is an action on shareholders with a prescribed ex date. The share price will be subject toan adjustment on the ex date. These include the following:– Capital repayments;– Rights issues/entitlement offers;– Stock conversion;– Splits (sub-division)/reverse splits (consolidation);– Scrip issues (capitalisation or bonus issue).
A corporate ‘event’ is a reaction to company news (event) that may impact the index depending on the index
rules. For example, a company announces a strategic shareholder is offering to sell their shares (secondary
share offer) – this could result in a free float weighting change in the index. Where an index adjustment isrequired FTSE Russell will provide notice advising of the timing of the change.

10.3

Suspension of dealing
Suspension of dealing rules can be found within the corporate actions and events guide for non-market
capitalisation weighted indices.

10.4

Takeovers, mergers and demergers
The treatment of takeovers, mergers and demergers can be found within the corporate actions and events
guide for non-market capitalisation weighted indices.

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Section 11

Industry Classification Benchmark
(ICB)

11.

Industry Classification Benchmark (ICB)6

11.1

Classification structure

11.1.1The FTSE JPX Net Zero Japan Index Series constituents are classified into Industries, Supersectors,
Sectors and Subsectors, as defined by the Industry Classification Benchmark (ICB).

11.1.2

Details of the Industry Classification Benchmark are available from FTSE Russell and published on the
FTSE Russell website (www.lseg.com/en/ftse-russell/) and can be accessed using the following link:
Industry_Classification_Benchmark

6

Russell indices migrated to the new ICB classification system in September 2020 and FTSE indices migrated in March 2021.

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Section 12

Indices algorithm and calculation
method12.

Indices algorithm and calculation method

12.1

Prices

12.1.1The FTSE JPX Net Zero Japan Index Series uses actual closing mid-market or last trade prices, whereavailable, for securities with local market quotations. Further details can be accessed using the following link:
Closing_Prices_Used_For_Index_Calculation.pdf

12.2

Calculation frequency

12.2.1The FTSE JPX Net Zero Japan Index Series will be calculated on both end of day and real time basis anddisplayed to eight decimal points.

12.3

Index calculation

12.3.1The FTSE JPX Net Zero Japan Index Series are calculated using the algorithm described below:N( pi  ei  si  f i  ci )

i =1

d


where,– i=1,2,…,N;– N is the number of securities in the index;– pi is the latest trade price of the component security (or the price at the close of the index on the previous
day);– ei is the exchange rate required to convert the security's currency into the index's base currency;– si is the number of shares in issue used by FTSE Russell for the security, as defined in these Ground Rules;– fi is the Investability Weighting Factor to be applied to a security to allow amendments to its weighting,expressed as a number between 0 and 1, where 1 represents a 100% free float. This factor is published
by FTSE Russell for each security in the underlying index;– ci is the Weight Adjustment Factor (WAF) to be applied to a security to correctly weight that security inthe index. This factor maps the investable market capitalisation of each stock to a notional market
capitalisation for inclusion in the index;– d is the divisor, a figure that represents the total issued share capital of the Index at the base date. The
divisor can be adjusted to allow changes in the issued share capital of individual securities to be madewithout distorting the index.

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Appendix A

FTSE JPX Net Zero Japan IndexSeries Exclusions

Product involvement exclusions
At each index review date, companies with the business activities listed in the table below are excluded from theeligible universe. Data for the FTSE JPX Net Zero Japan Index Series Exclusions are sourced from FTSE Russell andSustainalytics.
Exclusion lists are reviewed on a quarterly basis in March, June, September and December.
FTSE JPX Net Zero Japan Index Series Exclusions
Category

Definition

Controversial Weapons

Anti-personnel mines: Companies that produce anti-personnel mines as defined in the“1997 Convention on the Prohibition of the Use, Stockpiling, Production and Transfer ofAnti-Personnel Mines and on their Destruction”, or that produce specific and critical partsor services for anti-personnel mines

Involvement thresholdfor exclusions
Greater than 0% ofrevenues

Biological & Chemical weapons: Companies that produce chemical or biologicalweapons, or that produce specific and critical parts or services for chemical or biologicalweapons
Cluster Munitions: Companies that produce cluster munitions as defined in theConvention on Cluster Munitions, or that produce specific and critical parts or services
for cluster munitions
Tobacco activities

Companies producing tobacco products including cigarettes, roll your own tobacco, pipe
tobacco, cigars, cigarillos, bidis, gutka, smokeless tobacco, and heated tobacco products(HTPs), as well as electronic cigarettes (or ‘e-cigarettes’) and electronic nicotine delivery
systems (ENDS)

Greater than 0% ofrevenues

This includes:

FTSE Russell•

all companies that are classified in the ICB Subsector Tobacco 45103010 and
Cannabis Producers 20103020;•

companies that are not classified in ICB Subsector Tobacco 45103010 and
Cannabis Producers 20103020, but that are identified as having any activity in thisSubsector.

Not applicable

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Conduct-related exclusions
At each index review date, the UN Global Compact (UNGC) controversies exclusion list outlined below will be applied
to the underlying eligible universes of the FTSE JPX Net Zero Japan indices.
FTSE JPX Net Zero Japan Index Series Exclusions
Category

Definition

Threshold for exclusion

UN Global Compact(UNGC) Controversies*

Human Rights

For large and mid-cap
size:

Controversies related to Principles 1 and 2 of the UN Global Compact, which is derived
from the Universal Declaration of Human Rights.
Principle 1: Businesses should support and respect the protection of internationallyproclaimed human rights, and- Companies assigned
non-compliant status

Principle 2: make sure that they are not complicit in human rights abuses.

For small-cap size:

Labor- Companies assigned
watchlist or noncompliant status

Controversies related to Principles 3, 4, 5, and 6 of the UN Global Compact, which isderived from the International Labour Organization’s Declaration on Fundamental
Principles and Rights at Work.
Principle 3: Businesses should uphold the freedom of association and the effective
recognition of the right to collective bargaining;
Principle 4: the elimination of all forms of forced and compulsory labour;
Principle 5: the effective abolition of child labour, andPrinciple 6: the elimination of discrimination in respect of employment and occupation.
Environment
Controversies related to Principles 7, 8, and 9 of the UN Global Compact, which isderived from the Rio Declaration on Environment and Development.
Principle 7: Businesses should support a precautionary approach to environmental
challenges;
Principle 8: undertake initiatives to promote greater environmental responsibility, andPrinciple 9: encourage the development and diffusion of environmentally friendly
technologies.
Anti-Corruption
Controversies related to Principle 10 of the UN Global Compact, which is derived fromthe United Nations Convention Against Corruption.
Principle 10: Businesses should work against corruption in all its forms, including
extortion and bribery.
Do No Significant Harm

Companies at risk of contributing to severe or systemic and/or systematic violations ofinternational norms and standards relating to UNGC principles 7, 8, 9

All companies assigned
Watchlist status* For companies excluded, if their Sustainalytics GSS assessment changes, the companies will be considered forremoval from the exclusion list according to Rule 7.3.2 in the Guide to the Construction and Maintenance of FTSE
Exclusion Lists, which can be accessed using the following link:
Guide_to_the_Construction_and_Maintenance_of_FTSE_Exclusion_Lists.pdf

For further details on FTSE Russell and/or Sustainalytics data, please refer to Section 4. Companies not covered by
FTSE Russell and/or Sustainalytics are excluded from FTSE JPX Net Zero Japan Index Series.

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Appendix B

Carbon emissions

GHG emissions: The FTSE JPX Net Zero Japan Index Series uses Scope 1 and 2 carbon emissions intensity andpotential carbon emissions from fossil fuel reserve ownership.
Carbon emission reduction is measured as the reduction of carbon emissions intensity.
Potential carbon emission reduction is measured as the reduction of potential carbon emissions intensity.
Scope 1 and 2, and Scope 3 carbon emissions intensity is defined as:
Company total carbon emissions (Scope 1 and 2 or Scope 3) in metric tonnes CO2 scaled by enterprise value
including (EVIC) cash (USD).
Potential carbon emissions intensity is defined as:
Company total CO2 equivalent of the fossil fuel reserve in metric tonnes CO2 scaled by full company market
capitalisation (USD).
Average annual GHG emissions reduction relative to base year of the index
The FTSE JPX Net Zero Japan Index Series requires an average annual GHG intensity reduction relative to base yearof the index.
The average carbon emissions reduction relative to base year of the index is calculated 7 as the weighted average
emission intensity (WA_EM) over the previous year’s level, adjusted for inflation by the universe average enterprisevalue including cash (AVG_EVIC). That is:1

𝑊𝐴_𝐸𝑀𝑡 𝐴𝑉𝐺_𝐸𝑉𝐼𝐶𝑡0 𝑡−𝑡01−(
÷)
𝑊𝐴_𝐸𝑀𝑡0 𝐴𝑉𝐺_𝐸𝑉𝐼𝐶𝑡
where 𝑡0 is the base year and 𝑡 is current review year.
The average annual potential carbon emissions reduction relative to base year of the index 8 is calculated as theweighted average potential emission intensity (WA_PEM) compared to the base year’s level:
1

𝑊𝐴_𝑃𝐸𝑀𝑡 𝑡−𝑡01−()
𝑊𝐴_𝑃𝐸𝑀𝑡07
8

Calculated for Scope 3 emissions separately form Scope 1 and 2.
Applied only prior to December 2022 rebalance.

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Index GHG emissions targets
At review, the index emission intensity targets are set as the lower of (1) Emission Reduction Relative to Benchmark
and (2) Emission Trajectory Target, where:
𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛 𝑅𝑒𝑑𝑢𝑐𝑡𝑖𝑜𝑛 𝑅𝑒𝑙𝑎𝑡𝑖𝑣𝑒 𝑡𝑜 𝐵𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 = (1 − 𝑟 − 𝑏) × 𝐵𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛
𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛 𝑇𝑟𝑎𝑗𝑒𝑐𝑡𝑜𝑟𝑦 𝑇𝑎𝑟𝑔𝑒𝑡 = [(1 − 7%)𝑡−𝑡0 − 𝑏] × 𝑊𝐴_𝐸𝑀𝑡0 ÷

𝐴𝑉𝐺_𝐸𝑉𝐼𝐶𝑡
𝐴𝑉𝐺_𝐸𝑉𝐼𝐶𝑡0

where 𝑏 = 0.5% is the buffer to allow for drift between targeted and realised targets and 𝑟 is the minimum carbon
emission intensity reduction relative to underlying Index as set out in Section 8.
Phased Scope 3 Emission Data
As a proxy for Scope 3 Emissions targets, the FTSE JPX Net Zero Japan Index Series incorporated a Potential
Trajectory Target from inception up to and including the 2021 rebalance. The Potential Emission target was set as thelower of (1) Potential Emission Reduction Relative to Benchmark and (2) Potential Emission Trajectory Target, where:
𝑃𝑜𝑡𝑒𝑛𝑡𝑖𝑎𝑙 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛 𝑅𝑒𝑑𝑢𝑐𝑡𝑖𝑜𝑛 𝑅𝑒𝑙𝑎𝑡𝑖𝑣𝑒 𝑡𝑜 𝐵𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 = (1 − 𝑟 − 𝑏) × 𝐵𝑒𝑛𝑐ℎ𝑚𝑎𝑟𝑘 𝑃𝑜𝑡𝑒𝑛𝑡𝑖𝑎𝑙 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛
𝑃𝑜𝑡𝑒𝑛𝑡𝑖𝑎𝑙 𝐸𝑚𝑖𝑠𝑠𝑖𝑜𝑛 𝑇𝑟𝑎𝑗𝑒𝑐𝑡𝑜𝑟𝑦 𝑇𝑎𝑟𝑔𝑒𝑡 = [(1 − 7%)𝑡−𝑡0 − 𝑏] × 𝑊𝐴_𝑃𝐸𝑀𝑡0
Partial Scope 3 data was introduced in 2021.
The Scope 3 emission targets were set such that the relevant sectors achieved the same as the emission targets foremissions (Scope 1 and 2 emissions). Scope 3 emission data used in 2021 covered the estimated Use of Sold
Products for the Energy and Mining sectors.
The adjustment is applied as below:
𝑤𝑖 =

𝑣𝑖
∑𝑗 𝑣𝑗

where
𝑔

𝑣𝑖 = 𝑤𝑖 × 𝑆𝐸3,𝑖
where,– 𝑤𝑖 is the index weight of stock 𝑖 before scope 3 emission adjustment;– 𝑆𝐸3,𝑖 is the natural exponent for the scope 3 emission Z-score calculated the same way as emissions as detailed inrule 5.5;– 𝑔 is the tilt-strength that is required to adjust the index to meet scope 3 emission requirement.
The adjustment will follow price cut-off date and implementation date as detailed in Rule 7.1.3 and 7.1.4.
2022 Full Scope 3 Emission Data
From December 2022, the FTSE JPX Net Zero Japan Index Series incorporates Scope 1 and 2, and Scope 3 targets
for full coverage (apart from Financials (ICB sector 302010), see 5.5.4) and do not incorporate a Potential Emission
Trajectory Target. Scope 1 and 2, and Scope 3 emissions targets are calculated as covered above. As this represents
a significant change of the GHG emissions calculation methodology, all indices launched before December 2022 will
restate base year levels to accommodate the incorporation of Scope 3 data.

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Appendix C

High climate impact sector
FTSE JPX Net Zero Japan Index Series will maintain equal active weight in ‘High Climate Impact’ and ‘Low Climate
Impact’ sectors, relative to the underlying index. As per the Delegated Acts for EU climate benchmarks (A19a-A19d ofthe consolidated European Benchmarks Regulation), securities in NACE sector codes A, B, C, D, E, F, G, H, L areclassified as “High Climate Impact”, whereas securities in NACE sector codes I, J, K, M, N O, P, Q, R, S, T areclassified as “Low Climate Impact”.
FTSE Russell has mapped NACE classes to ICB according to the following steps:– The NACE exposure of each ICB 4 subsector is determined;– ICB company classifications are then cross-referenced with the Refinitiv Worldscope Fundamentals databaseproviding the NACE sector of segmental revenues, in order to map the percentage of company revenues of each
ICB Level 4 subsector aligning to a NACE Level 1 sector;– In the cases where ICB level 4 subsector revenues are split between one or more NACE sectors, the NACE & ICB
definitions are used to determine the appropriate NACE mapping.
The mapping is provided below:
ICB 4

Name

NACE

10101015

SoftwareJ

Low Climate Impact

10101020

Consumer Digital Services

J

Low Climate Impact

10102010

Semiconductors

CHigh Climate Impact

10102015

Electronic Components

C

High Climate Impact

10102020

Production Technology Equipment

C

High Climate Impact

10102030

Computer Hardware

C

High Climate Impact

10102035

Electronic Office Equipment

C

High Climate Impact

15101010

Telecommunications Equipment

C

High Climate Impact

15102010

Cable Television Services

J

Low Climate Impact

15102015

Telecommunications Services

J

Low Climate Impact

20101010

Health Care Providers

Q

Low Climate Impact

20101020

Health Care Management Services

Q

Low Climate Impact

20101025

Health Care Services

Q

Low Climate Impact

20101030

Health Care: Misc.

Q

Low Climate Impact

20102010

Medical Equipment

C

High Climate Impact

20102015

Medical Supplies

C

High Climate Impact

20102020

Medical Services

Q

Low Climate Impact

20103010

Biotechnology

M

Low Climate Impact

20103015

Pharmaceuticals

CHigh Climate Impact

FTSE Russell

Classification

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

ICB 4

Name

20103020

Marijuana Producers

CHigh Climate Impact

30101010

Banks

K

Low Climate Impact

30201020

Consumer LendingK

Low Climate Impact

30201025

Mortgage FinanceK

Low Climate Impact

30201030

Financial Data Providers

K

Low Climate Impact

30202000

Diversified Financial Services

K

Low Climate Impact

30202010

Asset Managers and CustodiansK

Low Climate Impact

30202015

Investment Services

K

Low Climate Impact

30203000

Mortgage REITs: Diversified

L

High Climate Impact

30203010

Mortgage REITs: Commercial

L

High Climate Impact

30203020

Mortgage REITs: Residential

L

High Climate Impact

30204000

Closed End InvestmentsK

Low Climate Impact

30205000

Open End and Miscellaneous Investment Vehicles

K

Low Climate Impact

30301010

Life InsuranceK

Low Climate Impact

30302010

Full Line InsuranceK

Low Climate Impact

30302015

Insurance Brokers

K

Low Climate Impact

30302020

ReinsuranceK

Low Climate Impact

30302025

Property and Casualty InsuranceK

Low Climate Impact

35101010

Real Estate Holding and Development

L

High Climate Impact

35101015

Real Estate Services

L

High Climate Impact

35102000

Diversified REITs

L

High Climate Impact

35102010

Health Care REITs

L

High Climate Impact

35102015

Hotel and Lodging REITs

L

High Climate Impact

35102020

Industrial REITs

L

High Climate Impact

35102025

Infrastructure REITs

L

High Climate Impact

35102030

Office REITs

L

High Climate Impact

35102040

Residential REITs

L

High Climate Impact

35102045

Retail REITs

L

High Climate Impact

35102050

Storage REITs

H

High Climate Impact

35102060

Timber REITs

A

High Climate Impact

35102070

Other Specialty REITs

L

High Climate Impact

40101010

Auto Services

G

High Climate Impact

40101015

Tires

C

High Climate Impact

40101020

Automobiles

C

High Climate Impact

40101025

Auto Parts

C

High Climate Impact

40201010

Education Services

P

Low Climate Impact

40201020

Funeral Parlors and CemeteryS

Low Climate Impact

40201040

Rental and Leasing Services: ConsumerN

Low Climate Impact

40201060

Vending and Catering ServiceI

Low Climate Impact

FTSE Russell

NACE

Classification

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

ICB 4

Name

40201070

Consumer Services: Misc.

G

High Climate Impact

40202010

Home Construction

F

High Climate Impact

40202015

Household Furnishings

C

High Climate Impact

40202020

Household Appliance

C

High Climate Impact

40202025

Household Equipment and Products

CHigh Climate Impact

40203010

Consumer Electronics

C

High Climate Impact

40203040

Electronic Entertainment

C

High Climate Impact

40203045

Toys

C

High Climate Impact

40203050

Recreational Products

CHigh Climate Impact

40203055

Recreational Vehicles and BoatsC

High Climate Impact

40203060

Photography

C

High Climate Impact

40204020

Clothing and Accessories

C

High Climate Impact

40204025

Footwear

C

High Climate Impact

40204030

Luxury Items

C

High Climate Impact

40204035

Cosmetics

C

High Climate Impact

40301010

EntertainmentJ

Low Climate Impact

40301020

Media Agencies

J

Low Climate Impact

40301030

PublishingJ

Low Climate Impact

40301035

Radio and TV Broadcasters

J

Low Climate Impact

40401010

Diversified Retailers

G

High Climate Impact

40401020

Apparel Retailers

G

High Climate Impact

40401025

Home Improvement Retailers

G

High Climate Impact

40401030

Specialty Retailers

G

High Climate Impact

40501010

Airlines

H

High Climate Impact

40501015

Travel and Tourism

HHigh Climate Impact

40501020

Casinos and GamblingR

Low Climate Impact

40501025

Hotels and Motels

I

Low Climate Impact

40501030

Recreational ServicesR

Low Climate Impact

40501040

Restaurants and BarsR

Low Climate Impact

45101010

Brewers

C

High Climate Impact

45101015

Distillers and Vintners

C

High Climate Impact

45101020

Soft Drinks

C

High Climate Impact

45102010

Farming, Fishing, Ranching and Plantations

A

High Climate Impact

45102020

Food Products

CHigh Climate Impact

45102030

Fruit and Grain Processing

C

High Climate Impact

45102035

Sugar

CHigh Climate Impact

45103010

TobaccoC

High Climate Impact

45201010

Food Retailers and Wholesalers

G

High Climate Impact

45201015

Drug Retailers

G

High Climate Impact

FTSE Russell

NACE

Classification

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

ICB 4

Name

45201020

Personal Products

CHigh Climate Impact

45201030

Nondurable Household Products

CHigh Climate Impact

45201040

Miscellaneous Consumer Staple Goods

G

High Climate Impact

50101010

Construction

F

High Climate Impact

50101015

Engineering and Contracting Services

F

High Climate Impact

50101020

Building, Roofing/Wallboard and Plumbing

C

High Climate Impact

50101025

Building: Climate Control

CHigh Climate Impact

50101030

CementC

High Climate Impact

50101035

Building Materials: Other

C

High Climate Impact

50201010

Aerospace

C

High Climate Impact

50201020

DefenseC

High Climate Impact

50202010

Electrical Components

C

High Climate Impact

50202020

Electronic Equipment: Control and Filter

CHigh Climate Impact

50202025

Electronic Equipment: Gauges and Meters

C

High Climate Impact

50202030

Electronic Equipment: Pollution Control

CHigh Climate Impact

50202040

Electronic Equipment: Other

C

High Climate Impact

50203000

Diversified Industrials

C

High Climate Impact

50203010

Paints and Coatings

C

High Climate Impact

50203015

Plastics

C

High Climate Impact

50203020

Glass

C

High Climate Impact

50203030

Containers and Packaging

C

High Climate Impact

50204000

Machinery: Industrial

C

High Climate Impact

50204010

Machinery: Agricultural

C

High Climate Impact

50204020

Machinery: Construction and Handling

C

High Climate Impact

50204030

Machinery: Engines

C

High Climate Impact

50204040

Machinery: Tools

C

High Climate Impact

50204050

Machinery: Specialty

CHigh Climate Impact

50205010

Industrial Suppliers

GHigh Climate Impact

50205015

Transaction Processing Services

K

Low Climate Impact

50205020

Professional Business Support ServicesN

Low Climate Impact

50205025

Business Training and Employment Agencies

N

Low Climate Impact

50205030

Forms and Bulk Printing Services

C

High Climate Impact

50205040

Security ServicesN

Low Climate Impact

50206010

Trucking

H

High Climate Impact

50206015

Commercial Vehicles and Parts

C

High Climate Impact

50206020

Railroads

H

High Climate Impact

50206025

Railroad Equipment

C

High Climate Impact

50206030

Marine Transportation

H

High Climate Impact

50206040

Delivery Services

H

High Climate Impact

FTSE Russell

NACE

Classification

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

ICB 4

Name

50206050

Commercial Vehicle-Equipment LeasingN

Low Climate Impact

50206060

Transportation Services

H

High Climate Impact

55101000

Diversified Materials

C

High Climate Impact

55101010

Forestry

A

High Climate Impact

55101015

Paper

C

High Climate Impact

55101020

Textile Products

CHigh Climate Impact

55102000

General Mining

B

High Climate Impact

55102010

Iron and SteelC

High Climate Impact

55102015

Metal Fabricating

C

High Climate Impact

55102035

Aluminum

C

High Climate Impact

55102040

CopperB

High Climate Impact

55102050

Nonferrous Metals

B

High Climate Impact

55103020

Diamonds and Gemstones

B

High Climate Impact

55103025

Gold Mining

B

High Climate Impact

55103030

Platinum and Precious Metals

B

High Climate Impact

55201000

Chemicals: Diversified

C

High Climate Impact

55201010

Chemicals and Synthetic Fibers

C

High Climate Impact

55201015

Fertilisers

C

High Climate Impact

55201020

Specialty Chemicals

CHigh Climate Impact

60101000

Integrated Oil and Gas

C

High Climate Impact

60101010

Oil: Crude Producers

B

High Climate Impact

60101015

Offshore Drilling and Other Services

B

High Climate Impact

60101020

Oil Refining and Marketing

C

High Climate Impact

60101030

Oil Equipment and Services

B

High Climate Impact

60101035

Pipelines

H

High Climate Impact

60101040

Coal

B

High Climate Impact

60102010

Alternative Fuels

C

High Climate Impact

60102020

Renewable Energy Equipment

C

High Climate Impact

65101010

Alternative Electricity

DHigh Climate Impact

65101015

Conventional Electricity

DHigh Climate Impact

65102000

Multi-Utilities

D

High Climate Impact

65102020

Gas Distribution

D

High Climate Impact

65102030

Water

E

High Climate Impact

65103035

Waste and Disposal Services

E

High Climate Impact

FTSE Russell

NACE

Classification

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Appendix D

Status of indices

The FTSE JPX Net Zero Japan Index Series are calculated in real time.
The Official Closing Price for the FTSE JPX Net Zero Index Series is 15:00.
The official opening and closing hours of the FTSE JPX Net Zero Index Series are set out below:
Index

Open

Close

FTSE JPX Net Zero Japan 500 Index

09:00

15:00

FTSE JPX Net Zero Japan 200 Index

09:00

15:00

All times are local Japan Time.
Variations to the official hours of the Indices are published by FTSE Russell.
For further details of real time definitions please refer to the following guide:
Real_Time_Status_Definitions.pdf

FTSE Russell

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FTSE JPX Net Zero Japan Index Series, v1.8, August 2024

Appendix E

Further information
A glossary of terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
Glossary ESG.pdf
The FTSE Russell Sustainable Investment Metrics website can be found using the following link:
ESG Metrics
For further information on the FTSE JPX Net Zero Japan Index Series visit www.lseg.com/en/ftse-russell/ or e-mailinfo@ftserussell.com. Contact details can also be found on this website.
Website: www.lseg.com/en/ftse-russell/

FTSE Russell

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”), (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.
The FTSE JPX Net Zero Japan Index Series is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. FTSE International Limited is authorised andregulated by the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark Services (UK) Limited is authorised and regulated by the Financial Conduct Authority
as a benchmark administrator.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”,“WMR™”, “FR™”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or
licensed by the applicable member of LSEG or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE,RBSL, RL or BR.
All information is provided for information purposes only. All information and data contained in this publication is obtained by LSEG, from sources believed by it to be accurate andreliable. Because of the possibility of human and mechanical inaccuracy as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No
member of LSEG nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly,
either as to the accuracy, timeliness, completeness, merchantability of any information or LSEG Products, or of results to be obtained from the use of LSEG products, including but notlimited to indices, rates, data and analytics, or the fitness or suitability of the LSEG products for any particular purpose to which they might be put. The user of the information assumes
the entire risk of any use it may make or permit to be made of the information.
No responsibility or liability can be accepted by any member of LSEG nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or inpart caused by, resulting from, or relating to any inaccuracy (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing,transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential
or incidental damages whatsoever, even if any member of LSEG is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
No member of LSEG nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting
financial or investment advice. No member of LSEG nor their respective directors, officers, employees, partners, or licensors make any representation regarding the advisability ofinvesting in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any
information herein. Indices and rates cannot be invested in directly. Inclusion of an asset in an index or rate is not a recommendation to buy, sell or hold that asset nor confirmation thatany particular investor may lawfully buy, sell or hold the asset or an index or rate containing the asset. The general information contained in this publication should not be acted upon
without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the applicable member of LSEG. Use and distribution of LSEG data requires a licence from LSEG and/or its licensors.

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