THOMSON REUTERS/CORECOMMODITY CRB INDEX CALCULATION SUPPLEMENT

Transcription

1 THOMSON REUTERS/CORECOMMODITY CRB INDEX CALCULATION SUPPLEMENT SEPTEMBER 2013

2 Thomson Reuers/CoreCommody CRB Index Calculaon Supplemen Ths supplemen conans he rules for calculang he Thomson Reuers/CoreCommody CRB Index. Ths supplemen and all nformaon conaned heren s he exclusve propery of CoreCommody Indexes, LLC or s afflaes ( CoreCommody ) and/or Thomson Reuers (Markes) LLC or s afflaes ( Thomson Reuers ) as applcable. CoreCommody and Thomson Reuers shall have no lably o any person or eny for he accuracy or compleeness of he nformaon conaned heren. Secon 1 of hs documen descrbes how o compue each ndvdual commody performance seres. Secon 2 descrbes he calculaon of he Thomson Reuers/CoreCommody CRB Index, along wh he rebalancng mehodology. Secon 3 descrbes he commodes and weghs n he Thomson Reuers/CoreCommody CRB Index and he ncluded conrac monhs for each commody. Secon 4 descrbes ceran marke dsrupon and emergency provsons applcable o he Thomson Reuers/CoreCommody CRB Index. Secon 5 addresses ceran oher ssues relaed o ongong ndex consrucon and calculaon, ncludng he role of he Thomson Reuers/CoreCommody CRB Index Oversgh Commee. SEE DISCLAIMERS SET FORTH ON LAST PAGE OF THIS SUPPLEMENT FOR IMPORTANT RISKS AND DISCLAIMERS RELATING TO THE THOMSON REUTERS/CORECOMMODITY CRB INDEX AND THE INFORMATION CONTAINED IN THIS SUPPLEMENT. 1

3 Secon 1. Compuaon of Indvdual Commody Performance Seres ( CPS ) and Percen Reurn Seres ( PR ) For each commody, a performance seres ( Commody Performance Seres ) s calculaed. These performance seres are hen used o calculae he Thomson Reuers/CoreCommody CRB Index. The CPS a me = 0 s scaled o equal 100 whle for any me he CPS s gven by: F F B B W 1, P, W 1, P, CPS, CPS 1,, > 0 F F B B W 1, P 1, W 1, P 1, for = 1 o 19 where: CPS, Commody Performance Seres for W W h commody a me. B, Wegh n he Back Monh for commody a me. F P, Prce of and F, Wegh n he Fron Monh for commody a me. B P, Prce of N.B.: hefron Monh FuuresConrac for Commody a me. heback Monh FuuresConrac for Commody a me. 1) The performance seres for each commody reflecs a consan dollar nvesmen such ha he rollng of he fuures conracs requres neher he addon nor whdrawal of funds. 2) The Fron Monh, or he Acve Conrac, s he monh closer o expraon; he Back Monh becomes he Fron Monh when he Back Monh wegh reaches 100%. 3) All values hroughou hs documen are rounded o sx decmal places. 4) All commody conracs roll over he frs four Busness Days of he monh such ha he wegh n he Fron Monh a he end of he frs rollover day s 75% and he wegh n he Back Monh s 25%. The wegh shfs from he Fron Monh o he Back Monh by 25% per rollover day unl he Back Monh reaches 100% a he end of he fourh Busness Day. (See Secon 4 for nformaon regardng rollover dsrupon evens.) The CPS are hen used o consruc he Percen Reurn Seres ( PR ) for each commody. 2

4 Secon 2. Compuaon of he Thomson Reuers/CoreCommody CRB Index The Thomson Reuers/CoreCommody CRB Index, s he Thomson Reuers/CoreCommody CRB Index a me, whch s smply he sum of all he PR, vz., Thomson Reuers/CoreCommody CRB Index 19 PR A he close of busness on June 17, 2005, he value of he Thomson Reuers/CoreCommody CRB Index, he Thomson Reuers/CoreCommody CRB Toal Reurn Index and each PR was as follows: Thomson Reuers/CoreCommody CRB Index Thomson Reuers/CoreCommody CRB Toal Reurn Index WTI Crude Ol Unleaded Gas (now RBOB Gasolne) Heang Ol Naural Gas Corn Soybeans Lve Cale Gold Alumnum Copper Sugar Coon Cocoa Coffee Nckel Whea Lean Hogs Orange Juce Slver , 3

5 Subsequen values of each PR are compued as follows: PR PR CPS CPS,, 1,, / 1 A he end of he sxh Busness Day 1 of each monh, he Thomson Reuers/CoreCommody CRB Index s rebalanced and he PR for each commody s rescaled such ha: PR W Thomson Reuers/CoreCommody CRB Index for = 1 o 19 where: W Index wegh of commody, such ha 0 W 1, and and he value of each PR a he end of he sevenh Busness Day s equal o: PR r, Thomson Reuers/CoreCommody CRB Index r1 W CPS r, / where r s defned as he sevenh Busness Day of he monh. The Thomson Reuers/CoreCommody CRB Index Toal Reurn ncludes a rsk-free rae of reurn ha s renvesed no he Index and s calculaed as follows: 19 1 W 1. CPS r1, Index TR where: Index TR Index Days1 TB 1 1 Index TB 1 Days The number of calendar daysbeween me and me -1. TB TBR and TBR 1 91day Treasury Bll raea me Busness Day s defned as any day on whch he New York Mercanle Exchange s open for busness. 4

6 Secon 3. Thomson Reuers/CoreCommody CRB Index Composon Ths Secon presens he commodes ncluded n he Thomson Reuers/CoreCommody CRB Index and her respecve weghngs n he Index. Commodes Included n he Thomson Reuers/CoreCommody CRB Index Commody Index Wegh Conrac Monhs Exchange WTI Crude Ol 23% Jan - Dec NYMEX Group I Heang Ol 5% Jan - Dec NYMEX RBOB Gasolne 5% Jan - Dec NYMEX Toal 33% Naural Gas 6% Jan - Dec NYMEX Corn 6% Mar, May, Jul, Sep, Dec CBOT Soybeans 6% Jan, Mar, May, Jul, Nov CBOT Group II Lve Cale 6% Feb, Apr, Jun, Aug, Oc, Dec CME Gold 6% Feb, Apr, Jun, Aug, Dec COMEX Alumnum 6% Mar, Jun, Sep, Dec LME Copper 6% Mar, May, Jul, Sep, Dec COMEX Toal 42% Sugar 5% Mar, May, Jul, Oc NYBOT Group III Coon 5% Mar, May, Jul, Dec NYBOT Coffee 5% Mar, May, Jul, Sep, Dec NYBOT Cocoa 5% Mar, May, Jul, Sep, Dec NYBOT Toal 20% Nckel 1% Mar, Jun, Sep, Dec LME Whea 1% Mar, May, Jul, Sep, Dec CBOT Group IV Lean Hogs 1% Feb, Apr, Jun, Jul, Aug, Oc, Dec CME Orange Juce 1% Jan, Mar, May, Jul, Sep, Nov NYBOT Slver 1% Mar, May, Jul, Sep, Dec COMEX Toal 5% Acve Conrac Monh by Calendar Monh Commody Exchange Jan Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec WTI Crude Ol NYMEX Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec Jan Heang Ol NYMEX Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec Jan RBOB Gasolne NYMEX Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec Jan Naural Gas NYMEX Feb Mar Apr May Jun Jul Aug Sep Oc Nov Dec Jan Corn CBOT Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Soybeans CBOT Mar Mar May May Jul Jul Nov Nov Nov Nov Jan Jan Lve Cale CME Feb Apr Apr Jun Jun Aug Aug Oc Oc Dec Dec Feb Gold COMEX Feb Apr Apr Jun Jun Aug Aug Dec Dec Dec Dec Feb Alumnum LME Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec Mar Copper COMEX Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Sugar NYBOT Mar Mar May May Jul Jul Oc Oc Oc Mar Mar Mar Coon NYBOT Mar Mar May May Jul Jul Dec Dec Dec Dec Dec Mar Cocoa NYBOT Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Coffee NYBOT Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Nckel LME Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec Mar Whea CBOT Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Lean Hogs CME Feb Apr Apr Jun Jun Jul Aug Oc Oc Dec Dec Feb Orange Juce NYBOT Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Slver COMEX Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar 5

7 Secon 4. Marke Dsrupon Provsons Rollover Dsrupons A Rollover Dsrupon Even ( RDE ) s defned as any day, on whch a commody s scheduled o roll, n whch eher: 1) he fron monh or back monh conracs for he commody sele a he daly maxmum or mnmum prce as deermned by he rules for he relevan exchange, or 2) he exchange fals o publsh an offcal selemen prce for he commody, or 3) he exchange on whch he commody rades s no scheduled o be open. If a RDE occurs for any commody, ha poron of he rollover for ha commody only whch was scheduled o occur on ha day wll be deferred unl he nex Busness Day upon whch no RDE occurs for ha commody. For example, f a RDE occurred on he frs day upon whch corn was scheduled o roll, hen he amoun o be rolled on he second day would ncrease o 50%. If a second and hrd consecuve RDE occurred on he nex wo days upon whch corn was scheduled o roll hen he enre roll would ake place a he end of he frs Busness Day n whch here was no RDE. These hypohecal rollover dsrupons n corn would have no mpac on he rollover schedule for oher commodes n he Thomson Reuers/CoreCommody CRB Index. Rebalancng Dsrupons If, on any dae he Thomson Reuers/CoreCommody CRB Index s scheduled o rebalance (defned above as he 6 h Busness Day of each monh), an offcal selemen prce for any one or more of he commodes n he Thomson Reuers/CoreCommody CRB Index s unavalable, hen he prce used n rebalancng he Thomson Reuers/CoreCommody CRB Index for hose commodes wll be he prce on he prevous Busness Day upon whch a prce s avalable. In he even any one or more ndvdual commodes sele a he daly maxmum prce or he daly mnmum prce, ha prce wll be used for he purpose of rebalancng he Index. Marke Emergences A Marke Emergency s heren defned as any unscheduled and exraordnary condon n whch marke lqudy s nerruped (such as an even resulng n he unscheduled closng of one or more fuures exchanges). Should a Marke Emergency occur, he Thomson Reuers/CoreCommody CRB Index Oversgh Commee reserves he rgh o ake such acon wh respec o he Thomson Reuers/CoreCommody CRB Index, as deems approprae gven he crcumsances. The Thomson Reuers/CoreCommody CRB Index Oversgh Commee wll aemp o nofy neresed pares of any such acons as well n advance as s praccable. There s no assurance, however, ha a Marke Emergency, he acons aken n response o such Marke Emergency, or any oher force majeure even, wll no have an adverse effec on he value of he Thomson Reuers/CoreCommody CRB Index or he manner n whch s calculaed. 6

8 Secon 5. Ongong Index Calculaon and he Thomson Reuers/CoreCommody CRB Index Oversgh Commee The role of he Thomson Reuers/CoreCommody CRB Index Oversgh Commee (he Commee ) s o mee on an annual bass (and from me o me f necessary) n order o revew and/or modfy he operaon and calculaon of he Thomson Reuers/CoreCommody CRB Index and procedures relang hereo, and o revew proposals by CoreCommody or Thomson Reuers o modfy he Thomson Reuers/CoreCommody CRB Index. The Commee wll be comprsed of 4 persons, apponed by CoreCommody and Thomson Reuers. Commee members wll be chosen n order o brng experse from a wde varey of backgrounds. Modfcaons o he Thomson Reuers/CoreCommody CRB Index shall be subjec o approval by he Commee. The Commee wll have a sgnfcan degree of dscreon wh regard o he operaon and calculaon of he Thomson Reuers/CoreCommody CRB Index and may exercse s dscreon, as deems approprae. 7

9 Dsclamers Thomson Reuers/CoreCommody CRB Index ( TR/CC-CRB ) Ths nformaon, ncludng he Thomson Reuers/CoreCommody CRB Index and relaed ndces and sub-ndces (collecvely he "TR/CC-CRB") and maerals relang hereo, s he propery of Thomson Reuers (Markes) LLC, or s afflaes ( Thomson Reuers ) and/or CoreCommody Indexes, LLC, or s afflaes ( CoreCommody ). I may no be used o creae, offer, rade, marke or promoe any fnancal producs whou he express wren consen of CoreCommody and Thomson Reuers. All hsorcal daa for he TR/CC-CRB before June 17, 2005 are smulaed by applyng he ndex consrucon and mehodology as of June 17, 2005 o avalable hsorcal fuures values. The smulaed daa do no reflec he acual performance of he ndex as was consruced a he me of reporng ndex values. Insead, he smulaed hsorcal values reflec he ndex consrucon and mehodology as of June 17, 2005 whch were desgned wh he benef of hndsgh. None of CoreCommody, Thomson Reuers or any oher of her subsdares or afflaes makes any represenaons as o her accuracy or compleeness. Ceran echnques such as nerpolaon and esmaon were employed where daa was unavalable. Smulaed hsorcal reurns do no reflec he mpac (f any) of marke dsrupon or marke emergency evens. Smulaed hsorcal reurns do no reflec he mpac ha maeral changes n he underlyng markes mgh have had on he decsons o use or connue usng ceran commodes and weghngs n he TR/CC-CRB. All smulaed hsorc daa for he TR/CC-CRB s based on fxed weghs and rollover and rebalancng schedules. The hsorcal daa used for smulaed reurns for sub-ndces was no n all cases he same daa used for he full ndex or ndces. None of CoreCommody, Thomson Reuers or any of her subsdares or afflaes shall have any lably, conngen or oherwse, o any person or eny for he qualy, accuracy, melness and/or compleeness of he nformaon conaned heren, he TR/CC- CRB, or for delays, errors, omssons or nerrupons n he publcaon of he TR/CC-CRB or any relaed daa. CoreCommody and Thomson Reuers may dsconnue operaon of he TR/CC-CRB and may dsconnue dssemnang nformaon abou he TR/CC-CRB a any me whou pror noce. Thomson Reuers and CoreCommody may, bu are no requred o, use agens o perform some or all of he funcons relang o operang he TR/CC-CRB, such as bu no lmed o he funcons of calculang and dssemnang ndex values. CoreCommody may operae and marke oher ndces ha may compee wh he TR/CC-CRB. CoreCommody and s afflaes and her respecve drecors, offcers and employees may buy or sell secures or commodes menoned or conemplaed heren as agen or as prncpal for her own accoun and may have posons or engage n ransacons based on or ndexed o he TR/CC-CRB. I s possble ha CoreCommody s radng acvy wll affec he value of he TR/CC- CRB. CoreCommody, Thomson Reuers and her subsdares and afflaes do no guaranee he accuracy, melness or compleeness of he TR/CC-CRB or any nformaon, maeral or daa relaed hereo.corecommody, Thomson Reuers and her subsdares and afflaes ncludng drecors, offcers and employees, wh respec o use of hs maeral or he TR/CC-CRB, ncludng bu no lmed o he radng of or nvesmens n producs based on or relaed o he TR/CC-CRB, (a) make no warrany, express or mpled, as o he resuls o be obaned by any person or eny, (b) make no warrany, express or mpled, and expressly dsclam any warrany or merchanably or fness for a parcular purpose, and (c) whou lmng any of he foregong, shall have no lably for any drec, ndrec, specal, punve, consequenal or any oher damages (ncludng los profs), even f nofed of he possbly of such damages. Ceran hrd pares, pursuan o lcense agreemens wh CoreCommody and Thomson Reuers, may creae, offer, rade, marke and promoe fnancal producs or ransacons based on, ndexed o, or calculaed wh regard o, he TR/CC-CRB (he "Thrd Pary Producs"). CoreCommody, Thomson Reuers and her subsdares and afflaes do no sponsor or endorse any Thrd Pary Producs, excep as expressly and duly acknowledged by he applcable CoreCommody or Thomson Reuers eny, and may operae he TR/CC-CRB whou regard o he possble effecs on such Thrd Pary Producs. Ths s no an offer or solcaon of an offer o buy or sell any secury or nvesmen. Pas performance of he TR/CC-CRB s no necessarly ndcave of fuure resuls. For a more complee descrpon of he TR/CC-CRB, reference s made o he TR/CC-CRB Calculaon Supplemen. For more nformaon, please conac Thomson Reuers (care of [email protected]) or CoreCommody Indexes a [email protected]. 2013, CoreCommody Indexes, LLC and Thomson Reuers (Markes) LLC 8