THE RICI Handbook The Guide o he Rogers Inernaional Commodiy Index January 21, 2011
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 i This documen is provided o you for informaion purposes only. I is no an offer for purchase or sale of any ype of financial insrumen. Pas performance is no indicaive of fuure reurns. The informaion presened in his RICI Handbook demonsraes he mehodology ha is used for deermining he composiion and calculaion of he Rogers Inernaional Commodiy Index ( RICI ) and sub-indexes. All daa and informaion is provided for informaion purposes only. All informaion has been carefully compiled o ensure maximum accuracy. However, we canno guaranee and do no guaranee he accuracy of he informaion/calculaion, nor he complee absence of errors and omissions. The publisher disclaims all responsibiliy and all liabiliy for all expenses, losses, and damages and coss you migh incur as a resul of he informaion being inaccurae or incomplee in any way, and for any reason. Copyrigh 2011 Beeland Ineress, Inc.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 ii AMENDMENTS TO THE PREVIOUS HANDBOOK INCLUDE: The Commiee governing he Rogers Inernaional Commodiy Index decided o increase he weigh of Rice (CBOT) from 0.50% o 0.75%, o decrease he weigh of Whea (CBOT) from 6.0% o 4.75%, and o add Milling Whea (NYSE Liffe) a 1.0%. These changes will be implemened during he January roll period, occurring a he end of January 2011. Tulle Prebon is now he source of foreign exchange values for he compuaion of he RICI, replacing EBS. Amendmen o Secion 3.6 (Excepional Commiee Meeing) o clarify ha any Index calculaion issue ha may arise, he reamen for which is no sufficienly documened in his Handbook, promply shall be referred o he RICI Commiee for deliberaion. Amendmen o Secion 4.4.4.2 (Marke Disrupion Even) o provide ha a Marke Disrupion Even will be declared if he selemen price for he conrac as deermined by he exchange is a he limi of is permissible rading range (Secion 4.4.4.2.a.), and o provide ha [A] local holiday or an excepional exchange closure day is deemed a Marke Disrupion Even. (Secion 4.4.4.2.e.)
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 iii CONTENTS I. OVERVIEW....................................... 1 1.1 THE RICI..................................1 1.2 THE RICI AND ITS SUB-INDEXES................. 3 1.3 THE RICI COMMITTEE.........................4 II. RICI INCLUSION PROCESS......................... 5 2.1 THE PROCESS................................5 2.2 EXCHANGES AND NON-TRADED ITEMS...............5 2.3 GENERAL COMMODITY ELIGIBILITY.................6 2.4 COMMODITY SCREENING PROCESS.................6 2.5 CONTRACT CHARACTERISTICS....................6 2.6 INCLUDED RICI CONTRACTS....................7 III. RICI WEIGHTS................................. 8 3.1 INDEX WEIGHTS..............................8 3.2 CHANGES IN WEIGHTS AND/OR INDEX COMPOSITION...9 3.3 ROLLING OF THE RICI INDEX CONTRACTS...........9 3.4 REBALANCING OF THE RICI COMPONENTS...........9 3.5 DATA SOURCE................................9 3.6 EXCEPTIONAL COMMITTEE MEETING................9 IV. RICI STANDARD CALCULATION.................... 10 4.1 OUTLINE OF THE CALCULATION METHODOLOGY.......10 4.2 INITIAL VALUE..............................10 4.3 DEFINITION................................10 4.4 CALCULATION OF THE RICI INDEXES.............12 V. RICI - A SM..................................... 20 5.1 RICI - A SM DEFINITION........................20 5.2 RICI - A SM REFERENCE CURRENCY................20 5.3 RICI - A SM INDEX COMPOSITION.................20 5.4 RICI - A SM INDEX WEIGHTS....................21 5.5 RICI - A SM CALCULATION METHODOLOGY...........21 VI. RICI - E SM..................................... 22 6.1 RICI - E SM DEFINITION........................22 6.2 RICI - E SM REFERENCE CURRENCY................22 6.3 RICI - E SM INDEX COMPOSITION.................22 6.4 RICI - E SM INDEX WEIGHTS.....................22 6.5 RICI - E SM CALCULATION METHODOLOGY...........22
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 iv CONTENTS VII. RICI - M SM.................................... 23 7.1 RICI - M SM DEFINITION.......................23 7.2 RICI - M SM REFERENCE CURRENCY...............23 7.3 RICI - M SM INDEX COMPOSITION.................23 7.4 RICI - M SM INDEX WEIGHTS....................23 7.5 RICI - M SM CALCULATION METHODOLOGY..........23 VIII. RICI - IM SM................................... 24 8.1 RICI - IM SM DEFINITION.......................24 8.2 RICI - IM SM REFERENCE CURRENCY...............24 8.3 RICI - IM SM INDEX COMPOSITION................24 8.4 RICI - IM SM INDEX WEIGHTS....................24 8.5 RICI - IM SM CALCULATION METHODOLOGY..........24 IX. RICI - PM SM.................................... 25 9.1 RICI - PM SM DEFINITION.......................25 9.2 RICI - PM SM REFERENCE CURRENCY...............25 9.3 RICI - PM SM INDEX COMPOSITION................25 9.4 RICI - PM SM INDEX WEIGHTS....................25 9.5 RICI - PM SM CALCULATION METHODOLOGY..........25 APPENDIX A - ROLLING RULES.......................... 26 APPENDIX B - INDEX COMPOSITIONS..................... 30
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 1 I. OVERVIE W 1.1 THE RICI The Rogers Inernaional Commodiy Index ( RICI ) is a composie, USD based, oal reurn index, designed by James B. Rogers, Jr. in he lae 1990s. The index was designed o mee he need for consisen invesing in a broad-based inernaional vehicle; i represens he value of a baske of commodiies consumed in he global economy, ranging from agriculural o energy and meals producs. The value of his baske is racked via fuures conracs on exchange-raded physical commodiies currenly comprised of 38 commodiies fuures conracs, quoed in five differen currencies, lised on hireen exchanges in six counries. RICI aims o be an effecive measure of he price acion of raw maerials no jus in he Unied Saes bu also around he world. Indeed, he index s weighs aemp o balance consumpion paerns worldwide (in developed and developing economies) and specific conrac liquidiy. The index is designed o offer sabiliy, parly because i is broadly based and consisen in composiion, and o mee a need in he financial specrum currenly no effecively covered. Rogers Inernaional Commodiy Index Mehodology The Rogers Inernaional Commodiy Indexes are mainained and reviewed by he members of he Rogers Inernaional Commodiy Index Commiee: A group of wise people jus as are he people who deermine he Dow Jones Averages and oher major indexes. For he sake of ransparency, consisency, and sabiliy, composiion changes are rare, and generally occur only afer significan shifs in he world economy or markes. When such an even necessiaes ha one componen be modified, he enire index is reviewed. The Commiee members monior he Indexes daily in case of needed changes. The Commiee mees formally in December of each year o assess he Indexes and make any necessary changes. The Commiee of wise people bases is selecion on world consumpion paerns and liquidiy. Oher indexes show regular dramaic changes in weighs and composiions meaning invesors never know in wha hey are invesing. This is no he case wih he Rogers Inernaional Commodiy Index, which is sable, consisen and ransparen. An invesor in he Rogers Indexes always knows wha he or she is geing, unlike ohers. 1 1 See, e.g., he saemen of mehodology for he Dow Jones Indusrial, Transporaion and Uiliies Averages: The Dow Jones Indusrial, Transporaion and Uiliies Averages are mainained and reviewed by ediors of The Wall Sree Journal. For he sake of coninuiy, composiion changes are rare, and generally occur only afer corporae acquisiions or oher dramaic shifs in a componen s core business. When such an even necessiaes ha one componen be replaced, he enire index is reviewed. As a resul, muliple componen changes are ofen implemened simulaneously. While here are no rules for componen selecion, a sock ypically is added only if i has an excellen repuaion, demonsraes susained growh, is of ineres o a large number of invesors and accuraely represens he secor(s) covered by he average. (Source: hp://www.djaverages.com/?view=abou&page=overview).
The RICI and is sub-indexes are calculaed and published in real ime. Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 2 Indexes, calculaed wih 9 decimals accuracy, will be rounded o 2 decimal places and can be accessed via he following sources: FOR CQG SUBSCRIBERS RICI Agriculure Index Excess Reurn: RICI Agriculure Index Toal Reurn: RICI Energy Index Excess Reurn: RICI Energy Index Toal Reurn: RICI Meals Index Excess Reurn: RICI Meals Index Toal Reurn: RICI Indusrial Meals Index Excess Reurn: RICI Indusrial Meals Index Toal Reurn: RICI Precious Meals Index Excess Reurn: RICI Precious Meals Index Toal Reurn: RICI Index Excess Reurn: RICI Index Toal Reurn: RICIAER RICIATR RICIEER RICIETR RICIMER RICIMTR RICIBMER RICIBMTR RICIPMER RICIPMTR RICIER RICITR BLOOMBERG CQG DIAPASON RICI Agriculure Index Excess Reurn: ROGRAGER RICIAGER Index RICI Agriculure Index Toal Reurn: ROGRAGTR RICIAGTR Index RICI Energy Index Excess Reurn: ROGRENER RICIENER Index RICI Energy Index Toal Reurn: ROGRENTR RICIENTR Index RICI Meals Index Excess Reurn: ROGRIMER RICIMEER Index RICI Meals Index Toal Reurn: ROGRIMTR RICIMETR Index RICI Indusrial Meals Index Excess Reurn: ROGRBMER RICIIMER Index RICI Indusrial Meals Index Toal Reurn: ROGRBMTR RICIIMTR Index RICI Precious Meals Index Excess Reurn: ROGRPMER RICIBMER Index RICI Precious Meals Index Toal Reurn: ROGRPMTR RICIBMTR Index RICI Index Excess Reurn: ROGRER RICIGLER Index RICI Index Toal Reurn: ROGRTR RICIGLTR Index REUTERS CQG DIAPASON RICI Agriculure Index Excess Reurn:.ROGRAGER RICIAGER=DIAP RICI Agriculure Index Toal Reurn:.ROGRAGTR RICIAGTR=DIAP RICI Energy Index Excess Reurn:.ROGRENER RICIENER=DIAP RICI Energy Index Toal Reurn:.ROGRENTR RICIENTR=DIAP RICI Meals Index Excess Reurn:.ROGRIMER RICIMEER=DIAP RICI Meals Index Toal Reurn:.ROGRIMTR RICIMETR=DIAP RICI Indusrial Meals Index Excess Reurn:.ROGRBMER RICIIMER=DIAP RICI Indusrial Meals Index Toal Reurn:.ROGRBMTR RICIIMTR=DIAP RICI Precious Meals Index Excess Reurn:.ROGRPMER RICIBMER=DIAP RICI Precious Meals Index Toal Reurn:.ROGRPMTR RICIBMTR=DIAP RICI Index Excess Reurn:.ROGRER RICIGLER=DIAP RICI Index Toal Reurn:.ROGRTR RICIGLTR=DIAP hp://www.cqg.com
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 3 1.2 THE RICI AND ITS SUB-INDEXES ROGERS INTERNATIONAL COMMODITY INDEX RICI ROGERS INTERNATIONAL COMMODITY INDEX AGRICULTURE RICI - A SM ROGERS INTERNATIONAL COMMODITY INDEX ENERGY RICI - E SM ROGERS INTERNATIONAL COMMODITY INDEX METALS RICI - M SM Azuki Beans Canola Cocoa Coffee Corn Coon Greasy Wool Lean Hogs Live Cale Lumber Milling Whea Oas Orange Juice Rapeseed Rice Rubber Soybean Meal Soybean Oil Soybeans Sugar Whea (CBOT) Whea (KCBT) Bren Crude Oil Gas Oil Heaing Oil Naural Gas RBOB Gasoline ROGERS INTERNATIONAL COMMODITY INDEX INDUSTRIAL METALS RICI - IM SM Aluminium Copper Lead Nickel Tin Zinc Aluminium Copper Gold Lead Nickel Palladium Plainum Silver Tin Zinc ROGERS INTERNATIONAL COMMODITY INDEX PRECIOUS METALS RICI - PM SM Gold Palladium Plainum Silver
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 4 1.3 THE RICI COMMITTEE The RICI Commiee formulaes and enacs all business assessmens and decisions regarding he calculaion, composiion and managemen of he index. Mr. James B. Rogers, Jr., as he founder of he RICI and sole owner of Beeland Ineress, chairs he RICI Commiee and is he final arbier of is decisions. In addiion o Mr. Rogers, he represenaives of he following paries ake par: 1. BEELAND MANAGEMENT COMPANY 2. CQG 3. DAIWA ASSET MANAGEMENT 4. DIAPASON COMMODITIES MANAGEMENT S.A. 5. MERRILL LYNCH 6. RBS 7. UBS AG The eigh members of he RICI Commiee usually mee once per year, during he monh of December. However, he Commiee may assemble addiionally on any oher day of he year dealing wih Excepional Circumsances (see 2.1). Exclusively Mr. Rogers, as Chairman of he Commiee, is auhorized o designae new members of he commiee if necessary.
2.1 THE PROCESS Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 5 II. RICI INCLUSION PROCESS The conracs chosen for he baske of commodiies ha consiue he RICI are required o fulfill various condiions (see below). Generally, he selecion and weighs of he iems in he index are reviewed annually (see 1.3 The RICI Commiee), and weighs for he nex year are assigned every December. As a sable and invesable index, he RICI s composiion is modified only on rare occasions. Indeed, he composiion of he RICI will no be changed unless excepional circumsances do occur. Excepional Circumsances include (bu are no resriced o): Coninuous adverse rading condiions for a single conrac (e.g., rading volume collapses). Criical changes in he global consumpion paern (e.g., a scienific breakhrough fundamenally alers he consumpion of a commodiy). 2.2 EXCHANGES AND NON-TRADED ITEMS All commodiies included in he RICI mus be publicly raded on recognized exchanges o ensure ease of racking and verificaion. Addiionally, he RICI does no and will no include non-raded iems such as hides or allow, which are included in oher popular commodiy indexes. The 13 inernaional exchanges recognized by he RICI Commiee are: 1. Chicago Mercanile Exchange (USA) 2. Chicago Board of Trade (USA) 3. ICE Fuures US (USA) 4. NYMEX (USA) 5. ICE Fuures Canada (Canada) 6. ICE Fuures Europe (UK) 7. London Meal Exchange (UK) 8. Sydney Fuures Exchange (Ausralia) 9. COMEX (USA) 10. The Tokyo Commodiy Exchange (Japan) 11. Tokyo Grain Exchange (Japan) 12. NYSE Liffe (EU - Paris marke) 13. Kansas Ciy Board of Trade (USA)
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 6 2.3 GENERAL COMMODITY ELIGIBILITY A commodiy will be considered fi o be included in he index if i plays a significan role in worldwide (developed and developing economies) consumpion. Worldwide consumpion is measured by racking inernaional impor/expor paerns, and domesic consumpion environmens of he world s prime commodiy consumers. Only raw maerials ha reflec he curren sae of inernaional rade and commerce are eligible o become RICI commodiies. Commodiies ha are merely linked o naional consumpion paerns will no be considered. The RICI is no relaed o commodiies producion daa of any sor. 2.4 COMMODITY SCREENING PROCESS Daa of privae and governmenal providers concerning he world s op consumed commodiies is acively moniored and horoughly analyzed by he members of he RICI Commiee, hroughou he year. To obain he mos accurae picure of inernaional commodiies consumpion, a wide range of sources on commodiies demand and supply is consuled. The findings of his complex research underaking are hen condensed ino he differen commodiies conracs weighs of he RICI. Sources on world s commodiy consumpion daa include: Indusrial Commodiy Saisics Yearbook, Unied Naions (New York) Commodiy Trade Saisics Daabase, Unied Naions Saisics Division (New York) Copper Bullein Yearbook, Inernaional Copper Sudy Group (Lisbon) Foreign Agriculural Service s Producion, Supply and Disribuion Daabase, U.S. Deparmen of Agriculure (Washingon, DC) Manufacured Fiber Review, Fiber Economics Bureau, Inc. (Arlingon, VA) Monhly Bullein, Inernaional Lead and Zinc Sudy Group (London) Quarerly Bullein of Cocoa Saisics, Inernaional Cocoa Organizaion (London) Rubber Saisical Bullein, Inernaional Rubber Sudy Group (London) Saisical Bullein Volumes, Arab Gulf Cooperaion Council (GCC) (Saudi Arabia) Sugar Yearbook, Inernaional Sugar Organizaion (ISO) (London) World Agriculure Assessmens of Inergovernmenal Groups, Food & Agriculure Organizaion of he Unied Naions (Rome) World Commodiy Forecass, Economis Inelligence Uni (London) World Coon Saisics, Inernaional Coon Advisory Commiee (Washingon, DC) World Meals Saisics, World Bureau of Meal Saisics (London) 2.5 CONTRACT CHARACTERISTICS In order o decide wheher a specific commodiy conrac is acually invesable, he RICI Commiee screens he exensive volume and liquidiy daa of inernaional exchanges, published on a regular basis by he Fuures Indusry Associaion (Washingon DC, Unied Saes); addiionally individual exchange daa on conracs can be included in he process.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 7 If a commodiy conrac rades on more han one exchange, generally he mos liquid conrac globally, in erms of volume and open ineres combined, is hen aimed o be seleced for inclusion in he index, aking legal consideraions ino accoun. Beyond liquidiy, he RICI Commiee is dedicaed o including he conrac represening he highes qualiy grade of a specific commodiy. RICI commodiy conracs epiomize inernaional liquidiy and qualiy choice. For example, Silver is raded on COMEX, on NYSE Liffe U.S. and on he Tokyo Commodiy Exchange. The larges average volume and open ineres is consisenly ransaced on COMEX, consequenly his conrac was seleced o represen Silver in he Index. 2.6 INCLUDED RICI CONTRACTS Please find below he lis of he fuures conracs composing he Index, ogeher wih heir respecive codes, exchanges and currencies: PRODUCT CODE EXCHANGE CURRENCY PRODUCT CODE EXCHANGE CURRENCY Aluminium AH LME 1 USD Azuki Beans 101 TGE JPY Bren BRN ICE 2 EU USD Canola RS ICE CA CAD Cocoa CC ICE US USD Coffee KC ICE US USD Copper CA LME USD Corn C CBOT USD Coon CT ICE US USD Crude Oil CL NYMEX USD Gas Oil GAS ICE EU USD Gold GC COMEX USD Greasy Wool GW SFE AUS Heaing Oil HO NYMEX USD Lead PB LME USD Lean Hogs LH CME USD Live Cale LC CME USD Lumber LB CME USD Milling Whea EBM NYSE Liffe EUR Naural Gas NG NYMEX USD Nickel NI LME USD Oas O CBOT USD Orange Juice OJ ICE US USD Palladium PA NYMEX USD Plainum PL NYMEX USD Rapeseed ECO NYSE Liffe EUR RBOB Gasoline RB NYMEX USD Rice RR CBOT USD Rubber 81 TOCOM JPY Silver SI COMEX USD Soybean Meal SM CBOT USD Soybean Oil BO CBOT USD Soybeans S CBOT USD Sugar SB ICE US USD Tin SN LME USD Whea W CBOT USD Whea KW KCBT 3 USD Zinc ZS LME USD 1 The London Meal Exchange Limied provides he pricing daa for he LME componens of he RICI. All references o he LME pricing daa are used wih he permission of he LME and LME has no involvemen wih and acceps no responsibiliy for any RICI produc or any par of he Rogers Inernaional Commodiy Index, Rogers Inernaional Commodiy Index - Meals, Rogers Inernaional Commodiy Index - Indusrial Meals, heir suiabiliy as he basis for an invesmen, or heir fuure performance. 2 ICE Fuures hrough is affiliae ICE Daa LLP provides he pricing daa for he ICE componens of he RICI and such daa is used subjec o license by ICE Fuures and ICE Daa LLP; bu for such license Beeland Ineress would no have he righ o use such pricing daa in providing he Index Values hrough is Official Global Calculaion Agen, CQG, Inc. The ICE pricing daa is provided as is and wihou represenaion or warrany. 3 The Board of Trade of Kansas Ciy, Missouri, Inc. ( KCBT ) is neiher an issuer, manager, operaor nor guaranor of producs based on he Rogers Inernaional Commodiy Index or any sub-index hereof, or a parner, affiliae or join venure of any of he foregoing. KCBT has no approved such producs or heir erms. KCBT may from ime o ime change is rules or bylaws, including hose relaing o he specificaions of fuures conracs on which he value of he Rogers Inernaional Commodiy Index or any sub-index hereof and/or such producs are derived and he manner in which KCBT selemen prices are deermined or disseminaed. KCBT may from ime o ime ake emergency acion under is rules which could affec KCBT selemen prices. KCBT is no responsible for any calculaions involving he Rogers Inernaional Commodiy Index or any sub-index hereof or such producs.
3.1 INDEX WEIGHTS Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 8 III. RICI WEIGHTS The Index Weighs are: Crude Oil 21.00% Bren 14.00% Corn 4.75% Whea (CBOT) 1 4.75% Coon 4.20% Aluminium 4.00% Copper 4.00% Soybeans 3.35% Gold 3.00% Naural Gas 3.00% RBOB Gasoline 3.00% Soybean Oil 2.00% Coffee 2.00% Lead 2.00% Live Cale 2.00% Silver 2.00% Sugar 2.00% Zinc 2.00% Heaing Oil 1.80% Plainum 1.80% Gas Oil 1.20% Cocoa 1.00% Lean Hogs 1.00% Lumber 1.00% Milling Whea 2 1.00% Nickel 1.00% Rubber 1.00% Tin 1.00% Whea (KCBT) 1.00% Canola 0.75% Rice 3 0.75% Soybean Meal 0.75% Orange Juice 0.60% Oas 0.50% Palladium 0.30% Rapeseed 0.25% Azuki Beans 0.15% Greasy Wool 0.10% TOTAL 100.00% 1 Curren weigh of Whea (CBOT) is 6.00%. The weigh will be decreased by 1.25% during he January 2011 roll period. 2 Milling Whea will be added a 1.00% during he January 2011 roll period. 3 Curren weigh of Rice is 0.50%. The weigh will be increased by 0.25% during he January 2011 roll period.
3.2 CHANGES IN WEIGHTS AND/OR INDEX COMPOSITION Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 9 As noed, he RICI Commiee reviews he selecion and weighs of he fuures conracs in he index annually. Thus weighs are poenially reassigned during each monh of December for he following year if necessary. 3.3 ROLLING OF THE RICI INDEX CONTRACTS The index rolls usually over 3 days, from he day prior o he las RICI Business Day of he monh o he firs RICI Business Day of he following monh, following he rules defined in Appendix A. In he even ha a leas one of he las 3 weekdays (excluding weekend) of he monh is simulaneously a holiday in he US and a business day in Japan, he roll period will be shifed forward by he number of days meeing he preceding condiion (i.e. holiday in he US and business day in Japan). Generally, if he nex calendar monh of a fuures conrac includes a firs noice day, a delivery day or hisorical evidence ha liquidiy migraes o a nex conrac monh during his period, hen he nex conrac monh is inended o be applied o calculae he index aking legal consrains ino accoun. For example, during he November roll period, he January Crude Oil conrac is replaced by he February Crude Oil conrac. 3.4 REBALANCING OF THE RICI COMPONENTS The Index is rebalanced monhly during each roll period using Index Weighs, as explained in Secion 4.4. 3.5 DATA SOURCE The index calculaion is based on he official commodiy exchanges prices of he fuures conracs used. 3.6 EXCEPTIONAL COMMITTEE MEETING If, for any reason, one of he index componens ceases o exis or liquidiy collapses o abnormal levels, or any oher similar even wih similar consequences as deermined in he discreion of he Commiee occurs, he Commiee will call an excepional meeing o assess he siuaion and come ou wih a replacemen for his componen or for a change in he weighs. In addiion, any Index calculaion issue ha may arise, he reamen for which is no sufficienly documened in his Handbook, promply shall be referred o he RICI Commiee for deliberaion. Following he fall of he Malaysian ringgi in 1998, he liquidiy of he Palm Oil fuures conrac on he Kuala Lumpur Commodiy Exchange collapsed o a poin where i became impossible o rade i. In his case, he Palm Oil fuures conrac was replaced by he Soybean Oil conrac ha rades on he Chicago Board of Trade, Unied Saes.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 10 IV. RICI STANDARD CALCULATION 4.1 OUTLINE OF THE CALCULATION METHODOLOGY The Index calculaion mehodology is reviewed annually by he RICI Commiee during is meeing in December and possibly amended hereafer. 4.2 INITIAL VALUE The Iniial Value of he RICI Index was 1000.00 as of July 31, 1998. 4.3 DEFINITION CC MCW IW DCP FX Coninuiy Consan. The consan used o mainain coninuiy of he Toal Componen Weigh during he rebalancing periods. The Monhly Conrac Weigh is defined as he facor which, when applied o he second nearby prices on he business day preceding he sar of he roll, would resul in he index effecive weighs being equal o Index Weighs were he second nearby a ha ime he referenced conrac. Noe ha he second nearby is no a ha ime he referenced conrac and so he effecive weighs are no necessarily ever equal o Index Weighs. Index Weigh. The percenage index weigh fixed for each componen represened in he RICI index mehodology and raified by he RICI Commiee. Daily Conrac Price is he daily reference price used in he calculaion of he index. Firs and second RICI nearbys are designaed by he RICI Commiee. FX is he foreign currency rae used o conver a fuures conrac value expressed in is original currency o he currency in which he index is quoed. The expression of FX is given according o marke sandard and pracices and adjused by he CRY facor. CRY Facor The CRY Facor is he adjusing facor used in he foreign currency conversion. DCW TCW RW The Daily Componen Weigh is he produc of currency adjused Daily Conrac Prices (DCP) wih Monhly Conrac Weighs (MCW). For an index, he Toal Componen Weigh (TCW) is he sum of Daily Componen Weighs (DCWs) for all he componens of ha index. Roll Weigh is, for each componen, he weigh associaed o he firs and second RICI nearby for each day of he roll period. During he roll period, he RW can ake he values 1.0, 2/3, 1/3 and 0.0.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 11 TCWR BDR IRR ARR ER TR The Toal Componen Weigh Raio is he raio of an index s Toal Componen Weigh as calculaed using second nearby prices and new MCWs o ha index s Toal Componen Weigh as calculaed using second nearby prices and old MCWs. The Baske Daily Reurn is he daily composie baske reurn weighed appropriaely by RWs and MCWs o reflec asses held from one RICI Business Day o he nex. Ineres Rae Reurn is he reurn reflecing he fixed income performance of he index in is designaed currency from one RICI Business Day o he nex. The Available Reference Rae is he rae of ineres used as he source for he fixed income performance componen of he TR indices. Excess Reurn Index measures he uncollaeralized reurns of he RICI baske on a roll adjused basis. Toal Reurn Index measures he collaeralized reurns of he RICI baske.
TwoRICI indicesarecalculaed: 4.4 CALCULATION The Excessreurn (RICI ER), OF THE INDEXES The ToalReurn (RICI TR). Two RICI indexes are calculaed: The Excess Reurn (RICI - ER), The Toal Reurn (RICI - TR). 4.4.1 The Toal Componen Weigh Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 12 4.4.1.1 Toal Componen Weigh calculaion during non roll periods TheTCWforanygivennonrolldaeiscalculaedashesumofadjusedDaily ConracPrices(DCP),imesrespeciveMonhlyConracWeighs(MCW).The The TCW DCP for are any adjused given non-roll by price dae scalars is calculaed reflecing as he reference sum of currency adjused Daily raesconrac versus Prices (DCP), he muliplied U.S. Dollar by heir such respecive ha allmonhly DCP adjused Conrac are Weighs expressed (MCW). in U.S. The DCP Dollars. are adjused For by price scalars nonrolldayswehave: reflecing reference currency raes versus he U.S. Dollar such ha all adjused DCP are expressed in U.S. Dollars. For non-roll days we have: Where: TCW = DCW c c= 1, N MCW MCW is ishemonhlyconracweighforeachindexcomponen, each componen, DCP DCP is ishedailyconracpriceinhelocalcurrency, in local currency, FX FX ishecurrencyexchangeraebeweenhequoaioncurrencyofhe currency exchange rae currency of componen insrumen Componen and he insrumen index reference and he currency. index reference For official currency. selemen For price, official he RICI Indexes selemen use a direc price, or he USD RICI cross fixing Index price use a direc or USD cross fixing price CRY Facor is +1 or 1 (see below) CRYFacoris+1or 1(seeableI.Bbelow) QUOTATION CURRENCIES AND CRY FACTORS Quoaion Currency FX Expression CRY Facor Rae Source, CAD USDCAD CAD per USD -1 TPI: USDCADSPT (Canada/USA) JPY USDJPY JPY per USD -1 TPI: USDJPYSPT (Japan /USA) AUD AUDUSD USD per AUD 1 TPI: AUDUSDSPT (USA/Ausralia) EUR EURUSD USD per EUR 1 TPI: EURUSDSPT (USA/EU) 23 (1) CRY Facor [ FX ] (2) DCW = DCP MCW 1 CADperUSD 1 BB:CADCurncyHP<GO> USD JPYperUSD 1 1 BB:JPYCurncyHP<GO> USDperAUD 1 BB:AUDCurncyHP<GO>
Handbook2008 4.4.1.2 The roll period - Index Rebalancing and coninuiy Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 13 Normally, The he 3 3 days RICI RICI roll roll period period sars sars on he usually day prior ono he he day las prior RICI o Business he las Day of he monh and RICI businessdayofhemonhandendsonhefirsrici businessday ends on firs Business Day following monh. ofhefollowingmonh. Inheevenhaaleasoneofhelas3weekdays(excludingweekend)of In he even ha a leas one of he las 3 weekdays (excluding weekend) of he monh is simulaneously he monh is simulaneously a holiday in he US and a business day in Japan,herollperiodwillbeshifedforwardbyhenumberofdaysmeeing a holiday in he US and a business day in Japan, he roll period will be shifed forward by he number heprecedingcrieria(i.e.holidayinheusandbusinessdayinjapan). of days meeing condiion holiday and business day in Japan). During he roll period, he index is shifed from he firs o he second During he nearbybaskesaaraeof33.33%perday. roll period, he index is shifed from he firs o he second nearby baskes a a rae of 33.33% Onhelasrollday,herolliscompleedunlessherollperiodisexended per day. foracomponenasaresulofamarkedisrupionevensuchasalimiday. On he las roll day, he roll is compleed unless he roll period is exended for a componen as a resul of During a Marke he Disrupion roll period Even of such each as monh a limi he day. Index is rebased owards Iniial Weighs(IW),asdefinedbyheRICI commiee. During he The roll RICI period of will each roll monh inohe new index Monhly is rebased Conrac using Index Weighs Weighs (MCWs) (IW), as and defined by he RICI Coninuiy Commiee. Consans (CCs). On he day before he sar of he roll period, he RICI is calculaed based on he old MCWs and CCs of he curren The RICI RICI period. will roll ino new Monhly Conrac Weighs (MCWs) and Coninuiy Consans (CCs). On he day before he sar of he roll period, he RICI is calculaed based on he old MCWs and CCs of he curren RICI period. During he roll period he calculaion of Toal Componen Weigh akes he followingexpression: During he roll period he calculaion of Toal Componen Weigh akes he following expression: TCW CC = CC + new old c= 1, N MCW c= 1, N new MCW old RW 2 RW1 DCP2 DCP1 [ FX ] CRY Facor [ FX ], (3) In equaion (4), DCP is he price a ime of he new conrac on which we are going o roll and Inequaion(4),DCP ishepriceaimeofhenewconraconwhichwe is he firs aregoingorollandisfirsbusinessdayprecedinghefirsrollday. day he roll day. 24 WhereRWscanakehefollowingvalues he he values: TCWR = c= 1, N c= 1, N MCW { 1,1/3,2/3,0} RW =, MCW c new old DCP2 DCP2 [ FX ] [ FX ] CRY Facor CRY Facor CRY Facor, (4)
Handbook2008 Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 14 And CC = TCWR CC, (5) new old If here is a Marke Disrupion Even during one of he days of he roll period, he amoun o be rolled IfhereisaMarkeDisrupionEvenduringoneofhedaysofherollperiod will be carried forward unil he nex RICI Business Day. heamounoberolledwillbecarriedforwardunilhenexrici business day. New MCWs and CC are calculaed monhly using he selemen levels of he second nearby conracs The calculaion he RICI of he Business new MCWs Day prior ando CC he isfirs effeced day of monhly, he roll. a close of businessonhebusinessdayimmediaelyprecedinghefirsrollday. On ha day, he new MCWs are solved such ha if applied o he second nearby prices he index effecive On haweighs day, he would new be MCWs equal o are Index solved Weighs, suchwere ha he second calculaed nearby effecive a ha ime he referenced weighsmachheiniialweighs(iw)definedbyherici Commiee. conrac. Noe ha he second nearby is no ha ime he referenced conrac and so he effecive weighs are no necessarily ever equal o Index Weighs. We define MCW c = R, new = x = 10000, wherer R (1<=R<=N) and 10000 and 10000 is an arbirary is an consan. arbiraryconsan. Foreachcomponeniwehensolve, c= 1, N MCW MCW i, new new DCP i, DCP [ FX i, ] [ FX ] CRY Facor CRY Facor Whichhavehefollowinganalyicsoluion: - IWi = 0 (6) MCW 1 = IW DCP 1 IW DCP R R 1 [ FX R, ] [ FX ] CRY Facor CRY Facor 1, x MCW MCW. MCW 2 3 R = =. = IW DCP 2 IW DCP R 3 2 IW DCP IW DCP R R R 3 [ FX R, ] [ FX ] [ FX R, ] [ FX ]. x CRY Facor CRY Facor 2, CRY Facor CRY Facor 3, Once he new MCWs are deermined, he new Coninuiy Consan is calculaed using equaion (5) above. Once he new MCWs are deermined, he new Coninuiy Consan is calculaedusingequaion(5)above. (7) 25 x x
Handbook2008 4.4.2 The RICI - Excess Reurn (RICI - ER) 4.4.2.1 Calculaion during non roll periods Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 15 The RICI - ER is an Excess Reurn Index. I represens he uncollaeralized reurnofherici baske.theindexiscalculaedaccordingohefollowing formula: DefineBDR(BaskeDailyReurn)as: Wih TCWI TCWF BDR = TCWF TCWI 1 1 (8) CRY Facor [ FX ] MCW (9) 1 = DCP 1 1 c= 1, N = c = 1, N DCP 1 CRY Facor [ FX ] MCW (10) c, 1 Where TCWFisheToalComponenWeighFinal TCWIisheToalComponenWeighIniial TheexpressionofheRICI ERis: expression of - is: RICI ER = RICI ER 1 ( 1+ BDR ) (11) The TheRICI ERisseequalo1000on31 - was se equal o 1000.00 on s 31s ofjuly1998. 1998. TheBaskeDailyReurnisdefinedashepercenagechangeinheTCWofhe RICI from one RICI Business Day o he nex. I reflecs he reurn ha would have been realized by holding posiions in he firs and second RICI nearby conracs appropriaely weighed o reflec he MCWs (IWs), from he closingofheexchangeonhepriorrici BusinessDayoheclosingofhe exchangeonhenexrici BusinessDay. The Roll weighs (RW) used o calculae TCWI and TCWF are he one used o calculae he Toal Componen Weigh on he Business Day immediaely precedinghecalculaiondae. Duringherollperiodwehave: 26
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 16 4.4.2.2 Calculaion during roll periods The Baske Daily Reurn is defined as he percenage change in he TCW of he RICI from one RICI Business Day o he nex. I reflecs he reurn ha would have been realized by holding posiions in he firs and second RICI nearby conracs appropriaely weighed o reflec he MCWs (IWs), from he closing of he exchange on he prior RICI Business Day o he closing of he exchange on he nex RICI Business Day. The Roll Weighs (RW) used o calculae TCWI and TCWF are he ones used o calculae he Toal Componen Weigh on he Business Day immediaely preceding he calculaion dae. During he roll period we have: CC new TCWI 1 = CCold c= and TCWF + Handbook2008 c= 1, N CC = CC + new old c= 1, N MCW MCW 1, N c= 1, N new new MCW MCW old RW 2 old RW 2 RW1 1 RW1 1 1 DCP2 1 DCP2 DCP1 1 DCP1 WhereRWscanakehefollowingvalues he he values: Andhen 1 [ FX ] CRY Facor [ FX ], (12) 1 [ FX ] CRY Facor 1 CRY Facor [ FX ], (13) CRY Facor { 1,2/3,1/3,0},, RW 2 { 0,1/3,2/3,1} RW, 1 1 = 1 = Wih ( 1 BDR ) (14) RICI ER = RICI ER + BDR TCWF = TCWI 1 1 1 TheRICI TRIndexiscalculaedaccordingohefollowingformula: days ( 1+ BDR + IRR ) ( 1 IRR ) (15) RICI TR = RICI TR + 1
TheAvailableReferenceRaeARRusedforhecalculaionofheRICI Toal Reurnindexisdefinedbelow: ARRishe91DayU.S.TreasuryBill(3Monhs)aucionrae,designaedas Wih BDR TCWF = TCWI 1 1 Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 17 4.4.3 The RICI - Toal Reurn (RICI - TR) 4.4.3.1 Calculaion of he Toal Reurn Index The RICI - TheRICI TRIndexiscalculaedaccordingohefollowingformula: TR Index according o he formula: days RICI TR = RICI TR 1 ( 1+ BDR + IRR ) ( 1+ IRR ) (15) Where Handbook2008 IRR:,ishecompoundingfacordefinedas 1 91 1 IRR = 1, (16) 91 1 DRR 1 360 27 Where days isheinegernumberofnonrici BusinessDaysincehe ineger number non Days since immedi- immediaelyprecedingrici BusinessDay. DRR: DRR Daily : Reference Rae,, is a funcion is a funcion of he rae of available he raeon available he immediaely on he immediaelyprecedingrici BusinessDay(ARR) (ARR). DRR = 0.9* ARR (17) InheevenhaanewARRispublishedondayssuchha1<s< even ha a new day s such ha 1 < s < wih, he Wih,hedaeofheRICI calculaionand1hefirsrici BusinessDay he and 1, he firs preceding, he calculaion preceding,hecalculaionisasbelow: is as days1 days2 RICI TR = RICI TR 1 ( 1+ BDR + IRR ) ( 1+ IRR ) ( 1+ IRRs ) (15 bis) Where days1 Days1 is he number of days beween s and (including and excludings)anddays2ishenumberofdaysbeween1ands(including Days2 andincludings). Ex: if=28/03/2007,1=23/03/2007,s=26/03/2007,hen 1=23/03/2007, s=26/03/2007, hen Days1 = 1 and Days2 = 3 Days1=1andDays2=3. TheRICI TRisseequalo1000onJuly31s,1998. The RICI - TR was se equal o 1000.00 on July 31s, 1998.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 18 4.4.3.2 Available Reference Raes The Available Reference Rae ARR used for he calculaion of he RICI Toal Reurn index is defined below: ARR is he 91-Day U.S. Treasury Bill (3 Monhs) aucion rae, designaed as High Rae as published in he Treasury Securiy Aucion Resuls repor, published by he Bureau of Public Deb and available on Bloomberg USB3MTA Index <GO> or Reuers USAUCTION9. The rae is generally published once per week on Monday and effecive on he RICI Business Day immediaely following. 4.4.4 RICI Business Day definiion and Marke Disrupion Even 4.4.4.1 RICI Business Day Definiion A RICI Business Day is a day on which all Unied Saes-based exchanges ha lis fuures conracs included in he RICI are open for business (including half-day opening). 4.4.4.2 Adjusmens for Marke Disrupion Even A Marke Disrupion Even will be deemed o have occurred on any day upon which he rading of a conrac involved in he index calculaion is disruped or he fair deerminaion of is price is inerfered wih subjec o he following: a. The selemen price for he conrac as deermined by he exchange is a he limi of is permissible rading range. b. No selemen price for ha conrac is deermined by midnigh on he day of rading in he ime zone in which he exchange is locaed. c. The exchange upon which he conrac rades closes rading in ha conrac a a ime prior o he published closing ime, unless he alered closing ime was brough o public aenion by he closing ime on he rading day prior o he day in quesion. d. The selemen closing price published by he exchange is no deemed, in he opinion of he RICI Commiee, o properly reflec he fair price of ha conrac as deermined by is free and fair rading on ha exchange. e. A local holiday or an excepional exchange closure day is deemed a Marke Disrupion Even. If a Marke Disrupion Even occurs during he roll or rebalancing period for one or more commodiies, he specific conracs involved are neiher rolled nor rebalanced on ha day. For hose conracs, he RWs and he MCWs remain idenical o he values hey had on he RICI Business Day immediaely preceding he Marke Disrupion Even day. However, conversion of non-usd prices will use he curren RICI Business Day s FX close. The roll period and he rebalancing period will be
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 19 exended for his or hese paricular commodiies only unil he nex available business day upon which no Marke Disrupion Even occurs for ha or hose commodiies. On such day, he roll will accelerae o he raios ha would be used on said dae if here were no Marke Disrupion Even in he prior business day. Ouside of he roll and rebalancing period, he Index is calculaed using he las rading price available on he exchange. In paricular he calculaion of he MCWs will, in he normal course of evens, ake place using he las price available regardless of wheher a Marke Disrupion Even has occurred. However, under excepional condiions he RICI Commiee reserves he righ o adjus any prices used in he index calculaion. This may occur if he selemen price is deemed o maerially differ from he fair price for ha commodiy deermined by rading on ha day and ha use of he official selemen price would no be in he ineres of RICI Index invesors. In his case an alernaive selemen price or prices may be deermined and used for he index calculaion unil fair rading is resumed and he exchange quoed selemen price can again be relied upon. In his case he prices used in he calculaion of he index and he calculaion of MCWs will be published along wih he mechanism for heir deerminaion. Should any exchange amend he selemen price for a conrac involved in he RICI calculaion and do so in a imely manner he RICI Commiee may, if deemed appropriae, reflec his change by adjusing he published level of he index. Example of values aken by RW1 and RW2 for a specific conrac over he June 2008 roll period if June 30 h is a Marke Disrupion Even day: Example of RW1 and RW2 for a specific conrac over June 2008 Figure 1. Sandard Roll, no Marke Disrupion Even Theoreical Roll MCW Reference Firs Roll Day Second Roll Day Third Roll Day Thursday Friday Monday Tuesday Wednesday Dae 26-Jun 2008 27-Jun 2008 30-Jun 2008 1-Jul 2008 2-Jul 2008 RW1 1.00 1.00 0.67 0.33 0.00 RW2 0.00 0.00 0.33 0.67 1.00 Figure 2. Hypoheical Marke Disrupion Even on June 30, 2008 Theoreical Roll MCW Reference Firs Roll Day Second Roll Day Third Roll Day Thursday Friday Monday Tuesday Wednesday Dae 26-Jun 2008 27-Jun 2008 30-Jun 2008 1-Jul 2008 2-Jul 2008 RW1 1.00 1.00 1.00 0.33 0.00 RW2 0.00 0.00 0.00 0.67 1.00 N.B. The Roll Weighs (RW1 and RW2) apply o each Toal Reurn and Excess Reurn indexes conaining he disruped componen. If, afer a period of five business days, no selemen price has been made available by he exchange, he RICI Commiee will deermine, in good faih, he selemen prices necessary for he rolling of he conracs and for he calculaion of he index.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 20 V. RICI - A SM 5.1 RICI - A SM DEFINITION The Rogers Inernaional Commodiy Index - Agriculure ( RICI - A SM ) is a composie oal reurn index and is a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) designed by James B. Rogers, Jr. in he lae 1990s. The RICI - A SM index represens he value of a baske of 22 agriculural fuures conracs for commodiies consumed in he global economy. 5.2 RICI -A SM REFERENCE CURRENCY The RICI - A SM index is based in USD. The non-usd componens of he Index are no hedged when calculaing he Index in USD. 5.3 RICI - A SM INDEX COMPOSITION The RICI - A SM index is based on 22 commodiy fuures conracs. Individual componens qualify for inclusion in he index on he basis of liquidiy and weighing in heir respecive underlying worldwide consumpion. If a commodiy conrac rades on more han one exchange, hen generally he mos liquid, in erms of volume and open ineres combined, is seleced for inclusion in he index. Please find below he lis of he fuures conracs composing he Index ogeher wih heir respecive exchanges and currencies: Azuki Beans 101 TGE JPY Canola RS ICE CA CAD Cocoa CC ICE US USD Coffee KC ICE US USD Corn C CBOT USD Coon CT ICE US USD Greasy Wool GW SFE AUS Lean Hogs LH CME USD Live Cale LC CME USD Lumber LB CME USD Milliing Whea EBM NYSE Liffe EUR Oas O CBOT USD Orange Juice OJ ICE US USD Rapeseed ECO NYSE Liffe EUR Rice RR CBOT USD Rubber 81 TOCOM JPY Soybean Meal SM CBOT USD Soybean Oil BO CBOT USD Soybeans S CBOT USD Sugar SB ICE US USD Whea W CBOT USD Whea KW KCBT USD
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 21 5.4 RICI - A SM INDEX WEIGHTS Being a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) he exac weigh of each of he Rogers Inernaional Commodiy Index - Agriculure ( RICI - A SM ) componens is he weigh of he index componen in he RICI divided by he weigh of he Agriculure segmen in he RICI (34.90%). Hence he Index Weighs for RICI - A SM are: Corn 4.75% / 34.90% 13.610% Whea (CBOT) 1 4.75% / 34.90% 13.610% Coon 4.20% / 34.90% 12.034% Soybeans 3.35% / 34.90% 9.599% Coffee 2.00% / 34.90% 5.731% Live Cale 2.00% / 34.90% 5.731% Sugar 2.00% / 34.90% 5.731% Soybean Oil 2.00% / 34.90% 5.731% Cocoa 1.00% / 34.90% 2.865% Lean Hogs 1.00% / 34.90% 2.865% Lumber 1.00% / 34.90% 2.865% Milling Whea 2 1.00% / 34.90% 2.865% Rubber 1.00% / 34.90% 2.865% Whea (KCBT) 1.00% / 34.90% 2.865% Canola 0.75% / 34.90% 2.149% Rice 3 0.75% / 34.90% 2.149% Soybean Meal 0.75% / 34.90% 2.149% Orange Juice 0.60% / 34.90% 1.719% Oas 0.50% / 34.90% 1.433% Rapeseed 0.25% / 34.90% 0.716% Azuki Beans 0.15% / 34.90% 0.430% Greasy Wool 0.10% / 34.90% 0.286% TOTAL 100% 1 Curren weigh of Whea (CBOT) is 17.192%. The weigh will be decreased o 13.610% during he January 2011 roll period. 2 Milling Whea will be added a 2.865% during he January 2011 roll period. 3 Curren weigh of Rice is 1.433%. The weigh will be increased o 2.149% during he January 2011 roll period. 5.5 RICI -A SM CALCULATION METHODOLOGY The Index calculaion mehodology is he same as he one defined for he RICI. The Iniial Value of he RICI - A SM Index was 1000.00 as of November 30, 2004.
6.1 RICI - E SM DEFINITION Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 22 VI. RICI - E SM The Rogers Inernaional Commodiy Index - Energy ( RICI - E SM ) is a composie oal reurn index and is a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) designed by James B. Rogers, Jr. in he lae 1990s. The RICI - E SM index represens he value of a baske of 6 energy commodiies consumed in he global economy. 6.2 RICI - E SM REFERENCE CURRENCY The RICI - E SM index is based in USD. The non-usd componens of he Index are no hedged when calculaing he Index in USD. 6.3 RICI - E SM INDEX COMPOSITION The RICI - E SM index is based on 6 commodiy fuures conracs. Individual componens qualify for inclusion in he index on he basis of liquidiy and weighing in heir respecive underlying worldwide consumpion. Bren BRN ICE EU USD Crude Oil CL NYMEX USD Gas Oil GAS ICE EU USD Heaing Oil HO NYMEX USD Naural Gas NG NYMEX USD RBOB Gasoline RB NYMEX USD 6.4 RICI - E SM INDEX WEIGHTS Being a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) he exac weigh of each of he Rogers Inernaional Commodiy Index - Energy ( RICI - E SM ) componens is he weigh of he index componen in he RICI divided by he weigh of he Energy segmen in he RICI (44.00%). Hence he Index Weighs for RICI - E SM are: Crude Oil 21.00% / 44.00% 47.727% Bren 14.00% / 44.00% 31.818% Naural Gas 3.00% / 44.00% 6.818% RBOB Gasoline 3.00% / 44.00% 6.818% Heaing Oil 1.80% / 44.00% 4.091% Gas Oil 1.20% / 44.00% 2.727% TOTAL 100% 6.5 RICI - E SM CALCULATION METHODOLOGY The Index calculaion mehodology is he same as he one defined for he RICI. The Iniial Value of he RICI - E SM Index was 1000.00 as of November 30, 2004.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 23 7.1 RICI - M SM DEFINITION VII. RICI - M SM The Rogers Inernaional Commodiy Index - Meals ( RICI - M SM ) is a composie oal reurn index and is a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) designed by James B. Rogers, Jr. in he lae 1990s. The RICI - M SM index represens he value of a baske of 10 meals commodiies consumed in he global economy. 7.2 RICI - M SM REFERENCE CURRENCY The RICI - M SM index is based in USD. The non-usd componens of he Index are no hedged when calculaing he Index in USD. 7.3 RICI - M SM INDEX COMPOSITION The RICI - M SM index is based on 10 commodiy fuures conracs. Individual componens qualify for inclusion in he index on he basis of liquidiy, weighing in heir respecive underlying worldwide consumpion as well as legal and rading consrains. Please find below he lis of he fuures conracs composing he Index ogeher wih heir respecive exchanges and currencies: Aluminium AH LME USD Palladium PA NYMEX USD Copper CA LME USD Gold GC COMEX USD Lead PB LME USD Nickel NI LME USD Plainum PL NYMEX USD Silver SI COMEX USD Tin SN LME USD Zinc ZS LME USD 7.4 RICI - M SM INDEX WEIGHTS Being a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) he exac weigh of each of he Rogers Inernaional Commodiy Index - Meals ( RICI - M SM ) componens is he weigh of he index componen in he RICI divided by he weigh of he Meals segmen in he RICI (21.10%). Hence he Index Weighs for RICI - M SM are: Aluminium 4.00% / 21.10% 18.957% Zinc 2.00% / 21.10% 9.479% Copper 4.00% / 21.10% 18.957% Plainum 1.80% / 21.10% 8.531% Gold 3.00% / 21.10% 14.218% Nickel 1.00% / 21.10% 4.739% Lead 2.00% / 21.10% 9.479% Tin 1.00% / 21.10% 4.739% Silver 2.00% / 21.10% 9.479% Palladium 0.30% / 21.10% 1.422% 7.5 RICI - M SM CALCULATION METHODOLOGY TOTAL 100% The Index calculaion mehodology is he same as he one defined for he RICI. The Iniial Value of he RICI - M SM Index was 1000.00 as of November 30, 2004.
Rogers Inernaional Commodiy Index The RICI Handbook - Jan. 21, 2011 24 8.1 RICI - IM SM DEFINITION VIII. RICI - IM SM The Rogers Inernaional Commodiy Index - Indusrial Meals ( RICI - IM SM ) is a composie oal reurn index and is a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) designed by James B. Rogers, Jr. in he lae 1990s. The RICI - IM SM index represens he value of a baske of 6 indusrial meals commodiies consumed in he global economy. 8.2 RICI - IM SM REFERENCE CURRENCY The RICI - IM SM index is based in USD. The non-usd componens of he Index are no hedged when calculaing he Index in USD. 8.3 RICI - IM SM INDEX COMPOSITION The RICI - IM SM index is based on 6 commodiy fuures conracs. Individual componens qualify for inclusion in he index on he basis of liquidiy, weighing in heir respecive underlying worldwide consumpion as well as legal and rading consrains. Please find below he lis of he fuures conracs composing he Index ogeher wih heir respecive exchanges and currencies: Aluminium AH LME USD Copper CA LME USD Lead PB LME USD Nickel NI LME USD Tin SN LME USD Zinc ZS LME USD 8.4 RICI - IM SM INDEX WEIGHTS Being a sub-index of he Rogers Inernaional Commodiy Index ( RICI ) he exac weigh of each of he Rogers Inernaional Commodiy Index - Indusrial Meals ( RICI - IM SM ) componens is he weigh of he index componen in he RICI divided by he weigh of he Indusrial Meals segmen in he RICI (14%). Hence he Index Weighs for RICI - IM SM are: Aluminium 4.00% / 14.00% 28.571% Copper 4.00% / 14.00% 28.571% Lead 2.00% / 14.00% 14.286% Zinc 2.00% / 14.00% 14.286% Nickel 1.00% / 14.00% 7.143% Tin 1.00% / 14.00% 7.143% TOTAL 100 % 8.5 RICI - IM SM CALCULATION METHODOLOGY The Index calculaion mehodology is he same as he one defined for he RICI. The value of he RICI - IM SM Index was 1764.76 as of March 31, 2008.