GUIDELINE Solactive Gold Front Month MD Rolling Futures Index ER. Version 1.1 dated April 13 th, 2017

Transcription

1 GUIDELINE Solacive Gold Fron Monh MD Rolling Fuures Index ER Version 1.1 daed April 13 h, 2017

2 Conens Inroducion 1 Index specificaions 1.1 Shor name and ISIN 1.2 Iniial value 1.3 Disribuion 1.4 Prices and calculaion frequency 1.5 Weighing 1.6 Decision-making bodies 1.7 Publicaion 1.8 Hisorical daa 1.9 Licensing 2 Calculaion of he Index 2.1 Index formula 2.2 Roll Period 2.3 Accuracy 2.4 Calculaion of he Index in he even of a marke disrupion 3 Definiions 4 Appendix 4.1 Conac daa 4.2 Calculaion of he Index change in calculaion mehod 4.3 Roll Schedule This documen conains he underlying principles and regulaions regarding he srucure and he operaing of he Solacive Gold Fron Monh MD Rolling Fuures Index ER (he Index ). Solacive AG shall make every effor o implemen regulaions. Solacive AG does no offer any explici or aci guaranee or assurance, neiher peraining o he resuls from he use of he Index nor he Index value a any cerain poin in ime nor in any oher respec. The Index is merely calculaed and published by Solacive AG and i srives o he bes of is abiliy o ensure he correcness of he calculaion. There is no obligaion for Solacive AG irrespecive of possible obligaions o issuers o advise hird paries, including invesors and/or financial inermediaries, of any errors in he Index. The publicaion of he Index by Solacive AG is no recommendaion for capial invesmen and does no conain any assurance or opinion of Solacive AG regarding a possible invesmen in a financial insrumen based on his Index. 2

3 Inroducion This documen is o be used as a guideline wih regard o he composiion, calculaion and managemen of he Index. Any changes made o he guideline are iniiaed by he Commiee specified in secion 1.6. The Index is calculaed and published by Solacive AG. The name Solacive is copyrighed. 1 Index specificaions The Solacive Gold Fron Monh MD Rolling Fuures Index ER (he Index ) is an Index of Solacive AG and is calculaed and disribued by Solacive AG. The index racks he performance of he fron monh Gold fuure and rolls he exposure over four days from he Acive Conrac ino he Nex Acive Conrac. The Index is calculaed as an Excess Reurn Index and published in US Dollar. 1.1 Shor name and ISIN The Index is disribued under ISIN DE000SLA2Z02; he WKN is SLA2Z0. The Index is published in Reuers under he code <.SOLCGCER> and in Bloomberg under he code <SOLCGCER Index>. 1.2 Iniial value The Index is based on 13, a he close of rading on Sepember 30, Disribuion The Index is published via he price markeing services of Boerse Sugar AG and is disribued o all affiliaed vendors. Each vendor decides on an individual basis as o wheher he will disribue/display he Index via his informaion sysems. 1.4 Prices and calculaion frequency The price of he Index is calculaed on each Trading Day based on he selemen prices on he respecive Exchanges on which he Index Componens are lised. The mos recen selemen prices of all Index Componens are used. Should here be no curren selemen price available, he mos recen selemen price on Reuers for he preceding Trading Day is used in he calculaion. The Index is calculaed once a Business Day a 4:30pm, EST. In he even ha daa canno be provided o Reuers or o he pricing services of Boerse Sugar AG he Index canno be disribued. Any incorrec calculaion is adjused on a rerospecive basis. 3

4 1.5 Weighing The Weighing of he fuures in he index is done according o Secion Decision-making bodies A Commiee composed of saff from Solacive AG is responsible for decisions regarding he composiion of he Index as well as any amendmens o he rules (in his documen referred o as he Commiee or he Index Commiee ). The Commiee shall also decide abou he fuure composiion of he Index. If any Exraordinary Evens should occur and he implemenaion of any necessary adjusmens. Members of he Commiee can recommend changes o he guideline and submi hem o he Commiee for approval. 1.7 Publicaion All specificaions and informaion relevan for calculaing he Index are made available on he hp:// web page and sub-pages. 1.8 Hisorical daa Hisorical daa is available from he index base dae on January 3, Licensing Licences o use he Index as he underlying value for derivaive insrumens are issued o sock exchanges, banks, financial services providers and invesmen houses by Solacive AG. 4

5 2 Calculaion of he Index 2.1 Index formula The Index Value on Trading Day is calculaed in accordance wih he following formula: I I wih: 1 CRW A, SP SPA, 1 A, CRW SP NA, SP NA, 1 NA, I 1 CRW A, CRW NA, SP A, SP NA, = Index Value on he Trading Day immediaely preceding Trading Day = Commodiy Roll Weigh of he Acive Conrac on Trading Day = Commodiy Roll Weigh of he Nex Acive Conrac on Trading Day = Selemen Price of he Acive Conrac on Trading Day = Selemen Price of he Nex Acive Conrac on Trading Day 2.2 Roll Period During he Roll Period he Acive Conrac is rolled over a four day period ino he Nex Acive Conrac. The Roll Period sars on he 7h las Trading Day of each monh and he Commodiy Roll Weigh of he Acive Conrac is decreased by 25% afer he Close of Business of each Trading Day of he Roll Period saring a 100% while he Commodiy Roll Weigh of he Nex Acive Conrac is increased by 25% afer he Close of Business of each Trading Day of he Roll Period saring a 0%. Afer he end of he roll period he Nex Acive Conrac becomes he Acive Conrac. The roll schedule is lised in Secion Accuracy The value of he Index will be rounded o 2 decimal places. 2.4 Calculaion of he Index in he even of a Marke Disrupion Even From ime o ime, marke disrupion evens may occur ha will resul in he posponemen of he Index and/or he adjusmen of he roll period. A Marke Disrupion Day will be deemed o have occurred if any of he following evens occur: i. The Daily Conrac Selemen Price is no published by he Exchange by 4:00 PM Easern Time; ii. iii. The Daily Conrac Selemen Price is erroneous, in he reasonable judgmen of Solacive, and such error is no correced by 4:00pm Easern Time; The Daily Conrac Selemen Price is a Limi price (as defined by he applicable Exchange); iv. Trading in he relevan conrac is disruped during he rading day and does no rade for a leas 30 minues prior o he scheduled closing ime (or rescheduled closing ime if he conrac closing ime is rescheduled) If any of hese evens occur on a non-roll dae, he Index will no be posed for ha Business Day. If any of hese evens occur on a roll dae, he applicable Index will no be posed for ha Business Day and he porion of he roll ha was o ake place 5

6 on he Marke Disrupion Day will ake place on he nex non-marke Disrupion Business Day. For insance, if he Marke Disrupion Day occurred on he 7h Business Day of he monh, he 25% porion ha was o be rolled on day 7 will be added o he 25% roll on he 8h Business Day making he oal roll 50% on he 8h Business Day. If he Marke Disrupion Even coninues over a period of eigh Trading Days, hen he Commiee will deermine he necessary acion (including bu no limied o aking ino accoun he marke condiions prevailing a his poin in ime, he las quoed Prices for each of he Index Componens as well as any oher condiions ha i deems relevan for calculaing he Index value) such ha he affeced securiies resuling from he Marke Disrupion Even are no longer causing such disrupion o occur. 3. Definiions Acive Conrac means he conrac given in he roll schedule under Secion 4.3. Trading Day means any day in which he US commodiy marke is open and publishes a Conrac Selemen Price for he Designaed Relevan Conracs and which he Torono Sock Exchange ( TSX ) is open and publishes closing prices and Canadian Banks are open and have he abiliy o sele foreign exchange ransacions. Commodiy Roll Weigh means he arge weigh deermined as per Secion 2.2. Exchange means he Chicago Mercanile Exchange and he Torono Sock Exchange. Exraordinary Even is referring o he case if one or more conracs menioned in he roll schedule under Secion 4.3 are no lised anymore. The Index Calculaor is Solacive AG or any oher appropriaely appoined successor in his funcion. The Index Currency is USD. A Marke Disrupion Even is defined in secion 2.4. Nex Acive Conrac means he conrac given in he roll schedule under Secion 4.3. Roll Period means a roll period as defined in Secion

7 4 Appendix 4.1 Conac daa Informaion regarding he Index concep Solacive AG Guiollesr Frankfur am Main Tel.: Fax: Calculaion of he Index change in calculaion mehod The applicaion by he Index Calculaor of he mehod described in his documen is final and binding. The Index Calculaor shall apply he mehod described above for he composiion and calculaion of he Index. However i canno be excluded ha he marke environmen, supervisory, legal, financial or ax reasons may require changes o be made o his mehod. The Index Calculaor may also make changes o he erms and condiions of he Index and he mehod applied o calculae he Index, which he deems o be necessary and desirable in order o preven obvious or demonsrable error or o remedy, correc or supplemen incorrec erms and condiions. The Index Calculaor is no obliged o provide informaion on any such modificaions or changes. Despie he modificaions and changes he Index Calculaor will ake he appropriae seps o ensure a calculaion mehod is applied ha is consisen wih he mehod described above. 4.3 Roll Schedule Acive Conrac: Conrac/Monh GC J J M M Q Q Z Z Z Z G+ G+ Nex Acive Conrac: Conrac/Monh GC J M M Q Q Z Z Z Z G+ G+ J+ A + defines a conrac of he following year. The following naming convenion of he conracs holds: Idenifier Monh Idenifier Monh F January N July G February Q Augus H March U Sepember J April V Ocober K May X November M June Z December 7

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