JPX-Nikkei Mid and Small Cap Index
Guidebook

April 4, 2022

Tokyo Stock Exchange, Inc.
Nikkei Inc.
Published: November 5, 2021

DISCLAIMER: This translation may be used for reference purposes only. This English version is not an
official translation of the original Japanese document. In cases where any differences occur between the
English version and the original Japanese version, the Japanese version shall prevail. This translation is
subject to change without notice. Tokyo Stock Exchange, Inc., Nikkei Inc. and/or their affiliates shallindividually or jointly accept no responsibility or liability for damage or loss caused by any error, inaccuracy,
misunderstanding, or changes with regard to this translation.

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Table of Contents
Introduction........................................................................................................................... 3
I. Outline of the Index........................................................................................................... 4
II. Index Calculation.............................................................................................................. 5
1. Outline............................................................................................................................ 5
2. Formula.......................................................................................................................... 5
3. Stock Price Used for Calculation................................................................................ 5
4. Number of Shares Used for Index Calculation.......................................................... 5
5. Free Float Weight.......................................................................................................... 6
III. JPX-Nikkei Mid and Small Cap Index Constituent Selection.................................... 10
1.

Initial Selection and Periodic Review.................................................................... 10

2.

Removal of Constituents in addition to the Periodic Review............................. 14

3.

Inclusion of Constituents in addition to the Periodic review ............................. 14

4.

Handling of Data used for Selection ..................................................................... 15

IV. Adjustments to Base Market Value ............................................................................. 18
1.

Events that Require Adjustment........................................................................... 18

2.

Adjustment Method................................................................................................ 20

V.

Other............................................................................................................................ 24
1.

Publication/Dissemination of Index Data ............................................................ 24

2.

Licensing................................................................................................................. 24

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Record of Changes
DATE

Changes

2016/12/14

First Edition

2017/12/27

・Clarified criteria for exclusion from the pool of eligible constituents in the periodic
review

2018/12/17

・Revised criteria used for determining qualitative scores (effective as of the next
periodic review (August 2019))
・Revised the selection process for the periodic review (effective as of the next
periodic review (August 2019))

2019/12/18

・Clarified criteria for exclusion from the pool of eligible constituents in the periodic
review (effective as of the next periodic review (August 2020))
・Added a description about the financial data (effective as of the next periodic
review (August 2020))
・Revised the data period used for determining qualitative scores and added a
description thereof (effective as of the next periodic review (August 2020))
・Revised the date for adjusting base market value following the shortening ofstock settlement cycle to T+2

2020/6/30

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

2022/4/4

・Revised eligible constituents in line with TSE market restructuring
・Added information and some rule clarifications in connection with the change offree float weight calculation methodology, and the transition plan for the
methodology change in line with the restructuring on April 4, 2022
・Revised the process for deciding the ranking of final scores (effective as of thenext periodic review (August 2022))
・Revised the selection procedure for additional issues in the periodic review(effective as of the next periodic review (August 2022))
・Revised the criteria and data used for determining qualitative scores (effective asof the next periodic review (August 2022))

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Introduction
・ Tokyo Stock Exchange, Inc. (TSE) and Nikkei Inc. (Nikkei) (hereinafter TSE and Nikkei
are collectively referred to as “the Index Provider”) calculates and publishes JPX-Nikkei
Mid and Small Cap Index (hereafter “JPX-Nikkei Mid Small”) in accordance with themethods described in this document. If an event not specified in this document occurs,
or if the Index Provider determines that it is difficult to apply the methods described inthis document, the Index Provider may use an alternative method of index calculationand management as it deems appropriate.
・ Copyright of this document is owned by the Index Provider and any copies, reprints andreproductions of this document in whole or in part are prohibited without the priorapproval of the Index Provider. This document is prepared solely for the understandingof indices calculated and published by the Index Provider, and is not to be construed asa solicitation for trading any securities or related financial instruments. The Index
Provider shall accept no liability or responsibility for any loss or damage arising fromerrors, delays, or termination of the calculation or publication of JPX-Nikkei Mid Small,changes to its calculation or publication method, the use of JPX-Nikkei Mid Small or allor any part of this document or other similar events.
・ The Index Provider calculates both price and total return versions of JPX-Nikkei Mid
Small.

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I. Outline of the Index
・ JPX-Nikkei Mid Small is composed of common stocks whose main market is the TSE
Prime Market, Standard Market or Growth Market (In addition, the Index Provider may
include equivalent issues whose inclusion it deemed is particularly necessary.).
Constituents shall be selected by the Index Provider based on market capitalization,
trading value, ROE and other factors. Please refer to III. JPX-Nikkei Mid Small
Constituent Selection for more details.
・ The number of JPX-Nikkei Mid Small constituents shall be 200, as a general rule. Thisbase number of constituents shall be used in the periodic review occurring in August.
The number of constituents may temporarily fall below the base number due to delistingand other factors between reviews.
・ Periodic review of constituents will be conducted once a year (August).
・ Base Date for index calculation is August 31, 2016. Base value is 10,000.

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II. Index Calculation
1. Outline
・ JPX-Nikkei Mid Small is calculated using free-float adjusted market value weighting.
The index is denominated in points and is calculated to the second decimal place(values beyond the second decimal are rounded).

2. FormulaIndex =
CMV = Current market value

CMV
× Base PointBMV

BMV = Base market valueMarket Value = ෍(Number of Shares for Each Constituent

× Stock Price for Each Constituent)

3. Stock Price Used for Calculation

・ The stock prices used for calculating JPX-Nikkei Mid Small is 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.)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 ratio following cap-adjustment (FFW).
Number of Shares Used for Index Calculation for Each Stock= Total Number of Listed Shares × FFW Ratio following cap-adjustment
・ The number of listed shares used for index calculation is the number of shares obtained
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through processes specially arranged for index calculation, based on the number oflisted shares. Regularly, the number of each issue's listed shares used for index
calculation is equivalent to that of each issue's outstanding shares, however, in the caseof a stock split, for example, a temporary difference could occur between the two figures.
This is because the number of listed shares changes on the listing change date, while
the number of listed shares for index calculation changes on the ex-rights date.
・ FFW ratio used in JPX-Nikkei Mid Small shall be the FFW ratio after cap-adjustment(free float weight ratio x cap-adjustment ratio) with a maximum 1.5% constituent ratio
based on market capitalization weight on the periodic selection base date. In cases
where the cap maximum is exceeded following periodic selection, the cap-adjustment
ratio shall not be altered until the periodic selection application date of the following year.
・ However, in cases where there is a remarkable change in the constituent weight due to,for example, periodic review of the free float weight described below or corporate
consolidation, merger, acquisition, etc. of a JPX-Nikkei Mid Small constituent, an
extraordinary revision of the cap-adjustment ratio of constituents may be conducted.

5. Free Float Weight(1) Outline
・ Free-Float Weight (FFW) is the percentage of listed shares deemed to be available fortrading in the market. The Index Provider calculates FFW for each listed company anduses this value in index calculation. The FFW of Company A may be different from thatof Company B.

・ A FFW is calculated by first estimating the number of non-free-float shares (listed shares
deemed not to be available for trading in the market) using published materials such as
securities reports, etc. (including data prepared by TOYO KEIZAI INC. based on annal
securities reports. The same applies hereinafter.) Next, the non-FFW (Non-free-float
shares / total listed shares) is calculated, then the FFW is obtained by subtracting thenon-free-float factor from 1 (1 －Non-FFW). FFW is expressed as a figure in the rangeof 0.00000 to 1.00000 in increments of 0.00001.
・ FFW is reviewed once a year in order to reflect the latest share ownership distribution.
The timing of the FFW review varies depending on when earnings are announced. In
addition to the periodic review, extraordinary reviews are conducted at the Index
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Provider's discretion if FFW changes significantly due to events such as third-party
allotment.

(2) Periodic Review
・ The announcement date and effective date of the periodic FFW review varies according
to when listed companies announce earnings as below:
Settlement Term

Announcement Date

Effective Date*

January - March

Fifth business day of October

Last business day of October

April - June

Fifth business day of January

Last business day of January

July - September

Fifth business day of April

Last business day of April

October - December

Fifth business day of July

Last business day of July*

Adjustments will be made before markets open.

・ At the periodic review, FFW is rounded up to the nearest 0.05 as below after subtracting
the non-FFW from 1 (1 – Non-FFW).
・ FFW for periodic review
1 – Non FFW
FFW≤ 0.500.50≤ 0.550.55≤ 0.050.05≤ 0.100.10≤ 0.150.15≤ 0.200.20≤ 0.250.25≤ 0.300.30≤ 0.350.35≤ 0.400.40≤ 0.45≤ 0.60≤ 0.65≤ 0.70≤ 0.75≤ 0.80≤ 0.85≤ 0.90≤ 0.95≤ 1.00

0.60

0.65

0.70

0.75

0.80

0.85

0.90

0.95

0.45

1.00

(3) Extraordinary Review
・ The Index Provider may review FFW in the following cases where it deems that theexisting FFW is expected to be significantly affected.
Third-party allotment, conversion of preferred shares or exercise of subscription warrants,
demerger, merger/stock swap, take-over bid (TOB) and other events deemed applicable by
the Index Provider.

(4) Estimation of non-free-float sharesa. Documents
Published materials such as securities reports, etc.
b.

Estimation of non-free-float shares
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The Index Provider considers the following to be non-free-float shares:
Shares held by the top 10 major shareholders, treasury and other similar stock (including“Cross-Shareholdings” (shares with limited voting rights as specified in Article 308 (1) of theCompanies Act)), shares held by board members and other representatives, shares held byother listed companies for investment purposes other than pure investment (hereinafter“Specified Equity Securities”), and other shares deemed by the Index Provider to be
unavailable for trading in the market.
・The Index Provider may treat shares held by the top 10 major shareholders as
free-float shares set out in the below table (the list below is not exclusive.)・

Securities deemed to be held, as indicated in the section on the state of corporate
governance, etc. in the securities report, will not be included in the estimation of
non-free-float shares.

Condition

Major shareholder

Shares considered as free-float as a general rule

Securities finance companies,
securities depositories,
nominees for depository
receipts

Shares likely to be deemed as free-float.

Trust banks, master trusts,

Cases where any of the following conditions are met andglobal custodians, insurance

the Index Provider deems it appropriate to consider*companies, securities

such shares as free-float.

companies, etc.

- There are descriptions in the Securities Report on thetype of trust, the purpose of purchase of shares, etc.
- It is clear that shares are held by several beneficiaries
and managed centrally- It is clear that shares are held for margin transactions* There are cases where the need to restrain extreme movements in FFW may be taken
into account.
(5) Other (transition to the new FFW in line with the restructuring on April 4, 2022)
Changes in FFW due to the revision of the calculation method will be carried out as below.
Transition stage

Announcement date

Implementation date*

1stApril 7, 2022

April 28, 2022

2nd

Same as above

May 31, 2022

3rd

Same as above

June 30, 2022

* Adjustments will be made before markets open.

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In addition, the transition will be carried out as follows.
- For stocks whose free-float weight before cap-adjustment based on the current calculation
methodology minus the free-float weight before cap-adjustment based on the revised
calculation methodology exceeds 0.1, the upper limit of the fluctuation during the transition
period will be set to 0.1.
- The same upper limit will be applied to post-transition periodic reviews of the free-float
weight, which will be carried out according to the fiscal year end of each company after
July 2022.
- The regular periodic reviews carried out at the end of April 2022, for listed companies withfiscal years ending July, August and September 2021, will also use the three-stagetransition as above.

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III. JPX-Nikkei Mid and Small Cap Index Constituent Selection
1.

Initial Selection and Periodic Review(1) Outline
・ Initial selection shall be conducted according to (2) Selection Criteria, with a basedate of June 30, 2016.
・ Periodic review of JPX-Nikkei Mid Small constituents (addition/removal) shall be
conducted according to (2) Selection Criteria, based on market capitalization, etc. ofissues on the base date.
・ The base date for periodic review shall be the final business day of June of each year.
The list of issues to be added/removed shall be released on the 5th business day ofeach August, and calculation of the index using the new constituents shall commencefrom the final business day of the August following the periodic review.

(2) JPX-Nikkei Mid and Small Cap Index Selection Criteria
・ The selection process shall be conducted as follows. The “market capitalization”
indicated below is based on the number of listed shares used for index calculation.
① Selection of eligible constituentsi.

Common stocks
Common stocks whose main market is the TSE Prime Market, Standard
Market or Growth Market on the base date (for dual-listed foreign stocks, as a
general rule, only when their trading value at TSE in the most recent year fromthe base date is greater than that on their other listed exchanges) are
regarded as eligible constituents.

ii.

Non-common stocks
Issues other than common stocks may be included into the eligible
constituents if they are regarded equivalent to common stocks and their
inclusion is deemed particularly necessary by the Index Provider.

② Issues which fall under any of the following items shall be removed from the pool of
eligible constituents.
(a) Listed for under 3 years on the base date (excluding cases of a company which
underwent technical listing and was listed for 3 or more years prior to delisting)(b) Non-disclosure of the latest earnings reports as stipulated in 4.(1)① below orinternal control reports, except in cases that the Index Provider deems this to be
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unavoidable.
(c) Liabilities in excess of assets at the beginning or end of any of the periods in
4.(1)① below.
(d) Operating deficit in all of the periods in 4.(1)① below (for companies whichhave not disclosed operating profits, a deficit for the profits used in 4.(1)③
below.).
(e) Overall deficit in all of the earnings periods in 4.(1)① below.
(f) Notes regarding the going concern assumption in financial statements, etc. in
the most recent earnings period of those in 4.(1)① below (including thequarterly financial statements, etc. submitted following such).
(g) Statement that there is a significant insufficiency that should be disclosed orthat it is not possible to release appraisal of internal controls in the internal
control report pertaining to the most recent earnings period of those in 4.(1)①
below.
(h) Falling under any of the following on the base date:(i) Security to be Delisted(ii) Security on Alert(i) Falling under any of the following within 1 year from the base date and having
significance for such(i) Subject to public announcement measures(ii) Requested to submit an improvement report for public inspection (including
cases of resubmission)(iii) Subject to payment of listing agreement violation penalty※ Conditions from the base date until selection shall be considered as needed
for the matters in (f) through (i) above.
③ Those that constitute the top 20% market capitalization on the base date shall be
removed in ② above. Notwithstanding the foregoing, issue constituting the top
18% are to be removed for those that are eligible as constituents of JPX-Nikkei
Mid Small on the base date.
④ Those with a market capitalization of 10 billion yen or less on the base date andthose with trading value of 15 billion yen or less within one year from the basedate shall be removed in ③ above.
If the number of eligible stocks falls below 500 as a result of the removal procedure,
market capitalization and trading value criteria will each be lowered by one billion
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yen until the number of eligible stocks exceeds 500.
In cases of an absorption-type mergers/stock swaps during the relevant period, as a
general rule, the trading value of the surviving company following the merger or the
new parent company following the stock swap shall be used prior to suchmerger/stock swap.
In cases of technical listing via succession due to corporate consolidation (stocktransfer), merger involving the establishment of a new company, or corporate split,
the trading value of the company which the Index Provider deems the subject of thecorporate action pertaining to such technical listing in 4.(1)① below shall be usedprior to the technical listing.
⑤ Each ranking score shall be given to the issues in ④ above according to thefollowing items and overall score is calculated. (Please refer to 4. Handling of Data
used for Selection)（a） 3-year average ROE ranking (1st: Same as the number of the issues in ④
pts. – The lowest rank: 1 pt.)（b）3-year cumulative operating profit ranking (1st: Same as the number ofthe issues in ④ pts. – The lowest rank: 1 pt.)
Overall Score ＝
0.7 × (a) 3-year average ROE ranking score＋ 0.3 × (b) 3-year cumulative operating profit ranking score⑥ Qualitative scores shall be given to the issues in ④ above in consideration of thefollowing matters. (The score is determined so that at most around 10 constituentsare different from those chosen with only quantitative score in ⑤ above) Mattersused for determining qualitative scores may change considering the fulfilling
situation etc.
Item
Appointmentofindependent

outsidedirectors and female
corporate officers

Criteria

Reference Material- Out of the total number ofCorporate

directors, a majority are

Governance Reportappointed.

and Securities Report- Out of the corporate officers,
at least one female corporate
officer is appointed based on
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information in "members of
the board and executive
officers" of the securities.
Adoption of IFRSCreation of the earnings report

TDnet

according to international
financial reporting standards(IFRS), or disclosure ofapplying IFRS
Disclosure of English

English documents regarding

earnings

information

the earnings information and/or

and/orCorporate

Corporate Governance Report

Governance Report

TDnet

are disclosed via TDnet(Company Announcements
Distribution Service in English)⑦ The total scores of above ⑤ and ⑥ shall be calculated and final scores shall be
determined.
Final Score ＝ Overall score in ⑤ above + Qualitative score in ⑥ above
Ranking of final scores shall be made from highest to lowest. However, issues
whose 3-year average ROE and most recent ROE are both in the bottom 10% of theissues in ④ above or negative, or whose 3-year cumulative operating profit isnegative shall be ranked lowest. In cases of issues with the same final score,ranking preference shall be given to the issue with the higher ⑤(a) 3-year average
ROE ranking.
⑧ Selection shall be conducted as below, based on the final scores in ⑦ above.
(a) Initial Selection
The top 200 issues shall be selected according to the rankings in ⑦ above.
(b) Periodic Review
i.

The constituents of JPX-Nikkei Mid Small on the base date shall continue tobe selected if they are ranked in the top 250.

ii.

If the number of selection stocks falls below 200 in the preceding paragraphi., the top ranking issues according to the rankings in ⑦ above that meet
the two conditions indicated below shall be selected until the number of
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constituents reaches 200.
-

Either 3-year average ROE or latest ROE surpasses the median ranking
in ④ aboveiii.

Ranking is at or within the top ranking 200 issues in ⑦ above
If the number of selected issues falls below 200 in the preceding paragraphii., then the non-selected top ranking 200 issues in ⑦ shall be selectedaccording to the rankings of 3-year average ROE until the number of
constituents reaches 200.

⑨ If, as a result of the selection process above, the 200 constituents contain issues
that will be delisted due to corporate consolidation, etc., adjustments for the final
constituents may be conducted where deemed necessary.
Additionally, in cases where the Index Provider deems selected issue is significantly
inappropriate as a constituent of the JPX-Nikkei Mid Small, such issue may not be
added.

2.

Removal of Constituents in addition to the Periodic Review

・ In cases where constituents are delisted, designated as Securities to be Delisted, ordesignated as Securities on Alert, they shall be removed from JPX-Nikkei Mid Small.
(see Chapter IV).
・ Additionally, in cases where the Index Provider deems the inclusion of a constituent tobe significantly inappropriate, such issue shall be removed from JPX-Nikkei Mid Small.

3.

Inclusion of Constituents in addition to the Periodic review
In cases where constituents are delisted due to conducting a corporate consolidation,
merger, acquisition, merger involving the establishment of a new company, or split
pursuant to the former Commercial Code (shareholder-directed spinoff), in cases where
the newly established company, surviving company, or inheriting company resulting
from such corporate consolidation, etc. is listed without delay, such newly establishedcompany, etc. shall be added only if the main body of the newly established company(the Index Provider determines that considering acquisition ratio, market value, trading
value etc.) was a JPX-Nikkei Mid Small constituent. (see Chapter IV)

・ Even though the number of constituents in JPX-Nikkei Mid Small may decrease
between periodic reviews due to the removal of constituents by means other than the
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periodic review as described in the previous item 2., no supplementary inclusions are
made to meet the intended number of constituents (inclusions to meet the intended
number of constituents are only made during the periodic review in August).

4.

Handling of Data used for Selection
As a general rule, the following data is used for selection of the JPX-Nikkei Mid Small

constituents.
(1) Financial Data
① General Rules pertaining to Financial Data・The earnings reports of a listed company from the fiscal year ended in April 3
years prior to the year in which the base date falls to the fiscal year ended in
March immediately preceding the base date shall be used.
(Ex.) For selection in August 2016, earnings reports from the fiscal year endedApril 2013 to the fiscal year ended March 2016 will be used.

・Consolidated earnings figures will be given preference. In cases of a fiscal
year in which only non-consolidated earnings figures were disclosed,
non-consolidated figures shall be used.

・In cases of an absorption-type merger/stock swap during the relevant period, asa general rule, the information of the surviving company following the merger or
the new parent company following the stock swap shall be used for the fiscal
years prior to such merger/stock swap.

・In cases of technical listing via succession due to a corporate consolidation(stock transfer), merger involving the establishment of a new company, or
corporate split, the information of the company which the Index Provider deems
the subject of the corporate action pertaining to such technical listing shall be
used for the fiscal years prior to the technical listing (to be determined inconsideration of factors such as stock transfer ratio, trading value, market
capitalization, and other factors).

・The figures as of the end of the previous fiscal year shall be used as those forthe beginning of the target fiscal year.

② 3-year average ROE
For companies using Japanese general accounting standards, the 3-year average
ROE shall be calculated as below.

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3 − year average ROE ＝

Total Net Income in past 3 years
Total equity capital (beginning − end of year average) in past 3 years

×100

・ For companies that prepare consolidated financial statements (Japanesestandards), from the beginning of consolidated fiscal year started in April 1, 2015
“net income attributable to owners of the parent company” shall be used in place of"net income".
・For companies using IFRS/modified international accounting standards, “net profitof parent company holder” shall be used in place of net income, and “total equity (ofparent company holder)” shall be used in place of total equity capital.
・For companies using US accounting standards, “net income of shareholders” shallbe used in place of net income and “shareholders’ equity” shall be used in place of
total equity capital.
・In cases where the number of months included in the fiscal years referred to in (1)① above exceeds or falls below 36 due to an irregular accounting period, related
figures shall be adjusted to be equivalent to those for a 36-month period.
③ 3-year cumulative operating profit
3-year cumulative operating profit shall be calculated as below.
3 − year cumulative operating profit＝ Total operating profit in past 3 years

・Companies which do not disclose operating profit shall use ordinary profit or income
before taxes (in such order).
・In cases where the number of months included in the fiscal years referred to in (1)① above exceeds or falls below 36 due to an irregular accounting period, related
figures shall be adjusted to be equivalent to those for a 36-month period.
(2) Data pertaining to matters for calculating qualitative score① Corporate Governance Reports
The most recent Corporate Governance Report submitted by the 10th business
day of July following the base date, after the end date of the most recent fiscal yearof those in (1)① above shall be used (in cases where no report was submitted
during such period, no qualitative score will be given pertaining to the appointment
of independent outside directors).
② TDnet16
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・The qualitative score for "Adoption of IFRS" shall be determined using information
registered at the time of the base date.
・The qualitative score for "Disclosure of English earnings information" will be
determined using information registered by the end of the 3rd month after the end
date of the most recent fiscal year of those in (1)① above.
・The qualitative score of "Disclosure of English Corporate Governance Report" will
be determined using information registered in the past one year before the basedate.
・In cases where no information is registered as of the relevant time or during therelevant time period, no qualitative score will be given for the item in question.
③ Securities Report
・For appointment status of female corporate officers, information in "members of
the board and executive officers" of the securities report will be used.

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IV. 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 JPX-Nikkei Mid Small is adjusted as follows to maintain continuity.

1.

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

Inclusion

Event Requiring Adjustment

Adjustment Date

New listing of a newly established company
resulting from a corporate consolidation, etc.(*1)
that results in a JPX-Nikkei Mid Small constituent
being delisted and the new company being
included in JPX-Nikkei Mid Small.

New listing Date (*2)

Periodic review in August

Last business day ofAugustNew listing date of the
newly formed company(normally two businessdays following delistingdate)
Delisting Date

Stock price on thebusiness day before
adjustment date

Designation as Securities to be Delisted or
Securities on Alert

Four business days
after
such
a
designation *4
Last business day ofAugustStock price on thebusiness day before
adjustment date
Stock price on thebusiness day before
adjustment date

DelistingRemovalStock price on thebusiness day before
adjustment date
Stock price on thebusiness day before
delisting date (*3)

New listing of a newly formed company
resulting from a corporate consolidation,etc. (*1) that results in a JPX-Nikkei Mid
Small constituent being delisted and thenewcompany
being
includedin
JPX-Nikkei Mid Small
Delisting other than those stated above(e.g. non-surviving company as a result ofmerger/acquisition, etc.)

Periodic review in August*:

Stock Price Used for
Adjustment
Base Price

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: Corporate consolidation, merger, acquisition, merger involving the establishment of a new company, or
split (shareholder-directed spin-off)*2: Next business day when the new listing date falls on a holiday.
*3: During the period from the delisting date to the business day before the date of removal from the index,
the price on the business day before the delisting date is used for index calculation.
*4: If the date of designation as Securities to be Delisted or Securities on Alert falls on a holiday, it will be
the following business day.

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

Public offering

Additional listing date (the next day
following the payment date) (*1)

Third-party allotment

Five business days after additional
listing date which is two businessdays after payment date

Stock Price Used for
Adjustment
Stock price on thebusinessday
beforeadjustment date
Stock price on thebusinessday
beforeadjustment date
Stock price on thebusinessday
beforeadjustment date

Capital increase via paid-in allotment ofshares to shareholders
Exercise of subscription warrants

Ex-rights date

Payment price per share

Last business day of the monthfollowing exercise

Stock price on thebusinessday
beforeadjustment dateConversion of preferred stock, etc.

Last business day of the monthfollowing conversion

Stock price on thebusinessday
beforeadjustment date

Cancellation of treasury stock

Last business day of the monthfollowing cancellation

Stock price on thebusinessday
beforeadjustment date

Merger/Acquisition

Situations
in
which
a
constituent of TSE-calculated
indices(*2) is the non-surviving
entity(mergers/acquisitions
between two issues that areboth constituents of an index
calculated by the TSE)

Delisting date of the non-surviving
entityStock price on thebusinessday
beforeadjustment date

Situations other than thosedescribed above

Additional listing date (effective date)

Stock price on thebusinessday
beforeadjustment date

Sale of shares held by the Japanese
government (Nippon Telegraph andTelephone, Japan Tobacco, and Japan
Post Holdings only)
Rights Offering (*4)

Date determined
Provider (*3)

Stock price on thebusinessday
beforeadjustment dateEx-rights date

Payment price per share

Company split (merged split)

Additional listing date (effective date)

Other adjustments (*5)

Last business day of the month inwhich the information announced in“Sho-ho” (TSE Notice) or the lastbusiness day of the following month

Stock price on thebusinessday
beforeadjustment date
Stock price on thebusinessday
beforeadjustment date

ChangeofFFW
cap-adjustment

ratio

following

Adjustment Date
Change date

by

the

Index

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(Reference Translation)*1: Next business day when the additional listing date falls on a holiday (the same apply hereafter)*2: As a general rule, limited to constituents of TSE-calculated indices which are common stocks.
*3: Generally the delivery date
*4: The number of shares for Rights offering used for calculating indices will correspond to the number ofshares to be allocated to shareholders.
*5: 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, etc. is different than the final number of shares determined after the effective date; orrevisions made by listed companies after data has been reflected in index calculation.
*6: Base market value (BMV) is not adjusted in the case of a stock split or reverse stock split as thedecrease or increase in share price corresponds to the change in the number of listed shares, andthe market capitalization remains unchanged.

(3) Data Source
・

Information on the reason for base market value adjustments, details on theadjustment, the adjustment date and other data is available through the “Sho-ho”(TSE Notice) published daily by TSE based on reports, etc. submitted by issuers.
(Please refer to the Section II 5. for information on calculating FFW.)・

If an issuer revises the contents of a previously published report that resulted in an
index adjustment, retroactive index adjustments will NOT be made based on therevised contents.

.

2.

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

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 Value)
Copyright © 2016- by Tokyo Stock Exchange, Inc., and Nikkei Inc. All rights reserved20

(Reference Translation)

ii. Adjustment Example
・ If, for example, the old base market value is 200 trillion yen and the previous day’s
market value is 400 trillion yen, the index value on the previous day will be:
Previous Day's Index ＝ ¥400 tn ÷ ¥200 tn ×10,000＝ 20,000.00

・Now, suppose that the number of listed shares of Stock A used for index calculation
increases by 100 million shares due to a public offering. If its closing price on theprevious 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＝ ¥200 tn ×(¥400 tn ＋ ¥200 bn）÷ ¥400 tn＝ ¥200.1 tn

・ As illustrated below, if there is no price change in any constituent, the value for theindex today is the same as the previous day: 20,000 points. Thus, continuity in the index
is maintained through adjustments to base market value even if the market value of
constituents changes due to public offering.
(¥400 tn + ¥200 bn)÷¥200.1 tn ×10,000 = 20,000 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 twostages: 1) adjustment using estimated dividends and 2) minor adjustments made toreflect differences between estimated dividend and dividend amount announced in theearnings report, etc.
a. Adjustments Using Estimated Dividends
・ The total dividend amount for all constituents is calculated on ex-dividend dates using
estimated dividends, and the base market value is adjusted as above. In principle, theestimated dividend amount used is as follows:i.

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

ii.

Dividend amount for the previous period if the dividend for the current period is not
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(Reference Translation)

fixed (e.g. the dividend is not announced in disclosure documents as i. above, orthe amount 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 × Share Price Used for Adjustment
b. Minor Adjustment to Reflect Difference Between Estimated Dividend and Dividend
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 ＝
Old Base Market Value × (Previous Business Day Market Value − Total Adjusted Dividends ± Adjustment Amount)
Previous Business Day Market Value* 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
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(Reference Translation)* Adjustment Amount ＝ Increase (Decrease) in Number of Shares Used for Index
Calculation × Stock Price Used for Adjustment(3) Net Total Return Index
・ In addition to the Total Return Index explained above, the Net Total Return Index whichreflects the tax rate applied to constituent stock dividends is also calculated.
・ 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 Net Total Return Index is withholding tax rate forlisting shares (except for the local tax) at the adjustment date.

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(Reference Translation)

V.

Other

1.

Publication/Dissemination of Index Data

(1) Index Values
・ Index values that do not reflect dividends of JPX-Nikkei Mid Small is disseminated inreal-time (every 1 seconds) through the Market Information System to securities
companies, news media, and other institutions all over the country.
・ Total return index value and Net total return index value of JPX-Nikkei Mid Small arecalculated daily at market close.
・ This index is calculated retroactively to August 30, 2006 on end-of-day basis. The
retroactive calculation of the index value is not fully based on the rule in "JPX-Nikkei
Mid and Small Index Guidebook" completely (e.g. scoring based on qualitative factors
and a preferential rule for constituents of the prior year is not applied).
(2) Index Data
・ Index data relating to JPX-Nikkei Mid Small (base market value, number of shares foreach constituent, etc.) is provided for a fee through the Tokyo Market Information
service and Nikkei Indexes “Premium Data Package”

2.

Licensing・ JPX-Nikkei Mid Small is a copyrighted material calculated in a methodology
independently developed and created by the Index Provider and the Index Provider isthe sole exclusive owner of the copyright and other intellectual property rights in
JPX-Nikkei Mid Small itself and the methodology to calculate JPX-Nikkei Mid Small.
Commercial use of JPX-Nikkei Mid Small must be licensed by the Index Provider. Suchuses include, but not limited to, provision of derivative products such as futures andoptions, creation and marketing of linked funds or linked securities, or distribution of theindex for the data and analytic services.

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