Nikkei-TOCOM Leveraged Index Nikkei-TOCOM Inverse Index Index Guidebook

Transcription

1 Nikkei-TOCOM Leveraged Nikkei-TOCOM Inverse Guidebook November 2012 Tokyo Commodity Exchange, Inc. (TOCOM) Nikkei, Inc. (Nikkei)

2 1. Concept The Nikkei-TOCOM Leveraged es represent the doubled performance of the Nikkei-TOCOM Commodity and the Nikkei-TOCOM Commodity Sub es (hereinafter base index(es), and the Nikkei-TOCOM Inverse es represent the inverse performance of the base indexes. For instance, if a base index rises by 5% from the base index calculated from the settlement price of each component (hereinafter settlement base index(es) ) of the previous day, the corresponding Nikkei-TOCOM Leveraged rises by 10% over the same period and the corresponding Nikkei-TOCOM Inverse falls by 5%. Similarly, if a base index falls by 5% from the settlement base index of the previous day, the corresponding Leveraged falls by 10% over the same period and the corresponding Inverse rises by 5%. 2. The es and the Underlying Base es (1) Nikkei-TOCOM Leveraged es Nikkei-TOCOM Leveraged Commodity Nikkei-TOCOM Leveraged Nearby Month Commodity Nikkei-TOCOM Leveraged Precious Metals Nikkei-TOCOM Leveraged Oil Nikkei-TOCOM Leveraged Gold Nikkei-TOCOM Leveraged Silver Nikkei-TOCOM Leveraged Platinum Nikkei-TOCOM Leveraged Palladium Nikkei-TOCOM Leveraged Gasoline Nikkei-TOCOM Leveraged Kerosene Nikkei-TOCOM Leveraged Crude Oil Base Nikkei-TOCOM Commodity Nikkei-TOCOM Nearby Month Commodity Nikkei-TOCOM Precious Metals Nikkei-TOCOM Oil Nikkei-TOCOM Gold Nikkei-TOCOM Silver Nikkei-TOCOM Platinum Nikkei-TOCOM Palladium Nikkei-TOCOM Gasoline Nikkei-TOCOM Kerosene Nikkei-TOCOM Crude Oil Nikkei-TOCOM Leveraged Rubber Nikkei-TOCOM Rubber * The indexes listed above are collectively referred to as the Nikkei-TOCOM Leveraged es. 1

3 (2) Nikkei-TOCOM Inverse es Nikkei-TOCOM Inverse Commodity Nikkei-TOCOM Inverse Nearby Month Commodity Nikkei-TOCOM Inverse Precious Metals Nikkei-TOCOM Inverse Oil Nikkei-TOCOM Inverse Gold Nikkei-TOCOM Inverse Silver Nikkei-TOCOM Inverse Platinum Nikkei-TOCOM Inverse Palladium Nikkei-TOCOM Inverse Gasoline Nikkei-TOCOM Inverse Kerosene Nikkei-TOCOM Inverse Crude Oil Base Nikkei-TOCOM Commodity Nikkei-TOCOM Nearby Month Commodity Nikkei-TOCOM Precious Metals Nikkei-TOCOM Oil Nikkei-TOCOM Gold Nikkei-TOCOM Silver Nikkei-TOCOM Platinum Nikkei-TOCOM Palladium Nikkei-TOCOM Gasoline Nikkei-TOCOM Kerosene Nikkei-TOCOM Crude Oil Nikkei-TOCOM Inverse Rubber Nikkei-TOCOM Rubber * The indexes listed above are collectively referred to as the Nikkei-TOCOM Inverse es 3. Calculation Methods (1) Fundamentals The unit of the index value is points and the figure is rounded to the second decimal. The base index value is set at 10, points as of December 30, 2009 (hereinafter base date ). (2) Formula 1) Nikkei-TOCOM Leveraged Series Lev. Lev.s.d s.d-1 Where; Lev. is: the value of the Nikkei-TOCOM Leveraged calculated from the value of the base index observed at time t on 2

4 day d. Lev. s.d-1 is: the value of the Nikkei-TOCOM Leveraged calculated from the value of the settlement base index on day d-1. t d is: the value of the base index at time t on day d. (NB: The value of.td is calculated using the base settlement index when the settlement price of each component is fixed after closing of a day session) s. d-1 is: the value of the settlement base index on day d-1. 2) Nikkei-TOCOM Inverse Series Inv. Inv.s.d s.d-1 Where; Inv. is: the value of the Nikkei-TOCOM Inverse calculated from the value of the base index observed at time t on day d. Inv. s.d-1 is: the value of the Nikkei-TOCOM Inverse calculated from the value of the settlement base index on day d-1. t d is: the value of the base index at time t on day d. (NB: The value of.td is calculated using the base settlement index when the settlement price of each component is fixed after closing of a day session) s. d-1 is: the value of the settlement base index on day d Treatment of the Value (1) Publication of the es The Tokyo Commodity Exchange Inc. (hereinafter TOCOM ) and Nikkei Inc. (hereinafter Nikkei ) calculate the Nikkei-TOCOM Leveraged and the Nikkei-TOCOM Inverse, using the base settlement index and publicized through the TOCOM website once a day from December 3, (2) Retroactive calculation of past index value The past index values of the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es have been calculated retroactively back from the commencement date of calculation (December 3, 2012) to the base date of these indices (December 30, 2009). 3

5 (3) Modification of the index value If the base index used to calculate the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es are modified retroactively, these indices may also be modified likewise. 5. Others (1) License The Nikkei-TOCOM Leveraged and the Nikkei-TOCOM Inverse are copyrighted materials calculated in a methodology independently developed and created by TOCOM and Nikkei, which are the sole and exclusive owners of the copyright and other intellectual property rights in the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es themselves and the methodology to calculate the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es. Commercial use of the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es must be licensed by TOCOM and Nikkei. Such uses include, but are not limited to, provision of derivative products such as futures and options, creation and marketing of linked funds or linked securities, or distribution of the indexes for data and analytic services. A license to use some of the indexes for the creation of Exchange Traded Fund or Exchange Traded Note listed on Japanese markets shall not be granted for a certain period of time after the launch of the indexes on the grounds that a company, which provided advice in developing the indexes, has already asked for the prior use of said indexes for the aforementioned purpose. (2) Disclaimer TOCOM and Nikkei have no obligation to continue publishing the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es, and TOCOM and Nikkei are not responsible for any error, delay or interruption in the publication of the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es. TOCOM and Nikkei are entitled to change the details of the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es, and to suspend or stop the calculation and the publication of the indices. Although, in principle, the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es are calculated and maintained in accordance with the information provided in this guidebook, the Management Special Committee, as stipulated in the Nikkei-TOCOM Commodity Guidebook, has discretion to decide alternative calculation measures which said Committee deems appropriate to be taken, when events that are not covered in this document occur or under such 4

6 circumstances where it is difficult to calculate the indices following the current rules. The specifications of the indexes described in this guidebook may be amended without notice. TOCOM and Nikkei made every effort possible to ensure the accuracy of the content of this guidebook; however, TOCOM and Nikkei make no statement and warranty, neither explicit nor implied, as to the integrity or accuracy of the information stated within this guidebook. TOCOM and Nikkei assume no responsibility for any harm or loss suffered by the user of the guidebook that may arise through the use of any content or other information described within this guidebook. In addition, the above-mentioned disclaimers also apply to the base index which is used to calculate the Nikkei-TOCOM Leveraged es and the Nikkei-TOCOM Inverse es. This English document may not be an entirely accurate translation of the original Japanese document. In cases where differences may arise between the English version and the original Japanese version, the original Japanese document will prevail. (3) Contact Corporate Planning Department, Tokyo Commodity Exchange, Inc. Tel: , Fax: Business Office, Nikkei Inc. Tel: , Fax: