Tokyo Stock Exchange To Begin Calculating And Publishing “Indicative Net Asset Value” For Exchange Traded Funds

Tokyo Stock Exchange (TSE) has worked on various measures to increase ETF liquidity. As part of these efforts, TSE will begin calculating and publishing real-time Indicative Net Asset Value per share for ETFs from March 2011 (Tentative) in order to improve investor convenience.

Overview of Indicative NAV

Indicative NAV is an indicator of the fair value of ETF assets in the same way as the constant value of investment trust funds.

Indicative NAV will be calculated and published in real-time.
Investors will be able to compare ETF market prices with Indicative NAV during TSE auction trading hours.

[Reference] Calculation method of Indicative NAV (in the case of an ETF tracking Japanese equity indices)

ETFs subject to Indicative NAV Calculation and Publication

During the initial period after commencing calculation of indicative NAV, TSE will calculate and publish indicative NAV of only ETFs for which its sponsors provide daily portfolio composition files to TSE. TSE will publish such ETFs on the TSE website.

Dissemination

Indicative NAV will be published via the FLEX Standard service through the TSE Market Information System.

The dissemination interval is scheduled to be every 15 seconds during TSE auction trading hours.
Indicative NAV will be published on the TSE website.

Others

TSE will publish the details of the calculation method, ETFs subject to calculation/publication and the commencement date for calculating and publishing Indicative NAV when these have been determined.

Indicative NAV is widely used as real-time indicative reference data based on ETF assets in foreign markets for ETFs. TSE also publishes indicative NAV as reference data. TSE does not publish such data as disclosure documents based on the Financial Instruments and Exchange Act of Japan. TSE indicative NAV is not intended as solicitation for investment or recommendation to trade with specific securities companies.
TSE will calculate and publish indicative NAV on a best-effort basis and TSE may suspend calculation and dissemination of indicative NAV based on TSE decision in the case of a computer malfunction, natural disaster, or other unavoidable circumstances. Furthermore, TSE and ETF sponsors shall not be liable for any direct or indirect damage or loss arising from use of the indicative NAV.

DISCLAIMER: This translation may be used only for reference purposes. 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. Tokyo Stock Exchange, Inc., Tokyo Stock Exchange Group, Inc., and/or Tokyo Stock Exchange Regulation shall individually or jointly accept no responsibility or liability for damage or loss caused by any error, inaccuracy, or misunderstanding with regard to this translation.