INDEX RULE BOOK Euronext Commodity Indices

Transcription

1 INDEX RULE BOOK Euronext Commodity Indices Version Effective from 1 June 2014 indices.euronext.com

2 Index 1. Index Summary 1 2. Governance and Disclaimer Indices Supervisor Compiler Cases not covered in rules Rule book changes Liability Ownership and trademarks 3 3. Publication Dissemination of index values Exceptional market conditions and corrections Announcement policy 4 4. Calculation Calculation of the index Calculation of the Commodity Indices 5 5. Index reviews General aim and frequency of reviews Index universe and selection principle Periodical update of weighting 6

3 1. INDEX SUMMARY Factsheet Index names Index type Index governance structure Universe Selection Number of constituents Weighting Capping Review of composition Review of free float and capping Review of number of shares Base Currency Euronext Commodity Indices Euronext Milling Wheat Commodity Index Euronext Rapeseed Commodity Index Euronext Corn Commodity Index Euronext Malting Barley Commodity Index Excess return indices; Total return indices Euronext acts as Supervisor and as the Compiler and is responsible for the day-to-day management of the index. All existing contracts traded on Euronext for the relevant underlying. The Index will be reviewed based on the open interest in various contracts for the relevant underlying Each index is based one specific future. At reviews, the number of contracts included in the Index will be updated with the new number of contracts based on the price ratio between the current and new contract n.a. Tied to last trading day of each contact. The calendar of the various contracts is given on the official website of Euronext. n.a. n.a. Euro 1

4 Reference Data Index name Isincode Mnemo Bloomberg Reuters Base Base Publication Code code date value since Euronext Milling QS NLCMW NECMW.NECMW Wheat Commodity Index Euronext Milling Wheat Commodity Index GR QS NLCMG NLCMG.NLCMG Euronext Rapeseed Commodity Index QS NLRS NLRS.NLRS Euronext Rapeseed QS NLRSG NLRSG.NLRSG Commodity Index GR Euronext Corn QS NLCOR NLCOR.NLCOR Commodity Index Euronext Corn Commodity Index GR QS NLCOG NLCOG.NLCOG Euronext Malting Barley Commodity Index QS NLMB NLMB.NLMB Euronext Malting Barley Commodity Index GR QS NLMBG NLMBG.NLMBG

5 2. GOVERNANCE AND DISCLAIMER 2.1 INDICES This rule book applies to the following indices(hereinafter index ) owned by Euronext N.V. or its subsidiaries (hereinafter jointly Euronext ): Milling Wheat Commodity Index Corn Commodity Index Malting Barley Commodity Index Rapeseed Commodity Index 2.2 SUPERVISOR Euronext acts as supervisor of the index ( Supervisor ). The Supervisor is responsible for monitoring the selection of constituents for the index and ensuring that the index offers a reliable and representative view of the market. 2.3 COMPILER Euronext is the compiler of the index ( Compiler ). The Compiler is responsible for the day-to-day management of the index and is also responsible for decisions regarding the interpretation of these rules. 2.4 CASES NOT COVERED IN RULES In cases which are not expressly covered in these rules, operational adjustments will take place along the lines of the aim of the index. Operational adjustments may also take place if, in the opinion of the Compiler, it is desirable to do so to maintain a fair and orderly market in derivatives on this index and/or this is in the best interests of the investors in products based on the index and/or the proper functioning of the markets. 2.5 RULE BOOK CHANGES These rules may be supplemented, amended in whole or in part, revised or withdrawn at any time. Supplements, amendments, revisions and withdrawals may also lead to changes in the way the index is compiled or calculated or affect the index in another way. The Compiler will submit all decisions regarding supplementing, amending, revising or withdrawing these rules to the Supervisor for recommendations or approval. 2.6 LIABILITY Euronext, the Compiler and the Supervisor are not liable for any losses resulting from supplementing, amending, revising or withdrawing the rules for the index. The Compiler will do everything within its power to ensure the accuracy of the composition, calculation, publication and adjustment of the index in accordance with relevant rules. However, neither Euronext, nor the Compiler, nor the Supervisor are liable for any inaccuracy in index composition, share prices, calculations and the publication of the index, the information used for making adjustments to the index and the actual adjustments. Furthermore, Euronext, the Compiler and the Supervisor do not guarantee the continuity of the composition of the index, the continuity of the method of calculation of the index, the continuity of the dissemination of the index levels, and the continuity of the calculation of the index. 2.7 OWNERSHIP AND TRADEMARKS Euronext owns all intellectual and other property rights to the index, including the name, the composition and the calculation of the index. 3

6 3. PUBLICATION 3.1 DISSEMINATION OF INDEX VALUES Opening The calculation of the Index starts as soon as the official trading prices in the underlying futures are available Calculation and dissemination The Index is calculated based on the most recent prices of transactions concluded on Euronext Markets. The level of the Index is in principle published every 15 seconds. The Index is calculated from opening of the contract on Euronext until Euronext Markets stop regular daytime trading on the days when the Euronext Markets are open for trading Closing level The calculation of the closing Index levels is based on the official settlement value of the underlying contract as published by Euronext. 3.2 EXCEPTIONAL MARKET CONDITIONS AND CORRECTIONS The Compiler retains the right to delay the publication of the opening level of the index. Furthermore, the Compiler retains the right to suspend the publication of the level of the index to mark the level of the index indicative if it believes that circumstances prevent the proper calculation of the index. If prices are cancelled, the index will not be recalculated unless the Compiler decides otherwise. In case underlying prices of the Index are not available during a time period outside the regular closing time of the Euronext markets, the level of the Index will not be calculated. If the unavailability extends over the closing auction time of the Euronext markets, the closing value of the Index will be the last level known before the unavailability of the underlying. 3.3 ANNOUNCEMENT POLICY Announcement policy Changes to the index, its components or its rules will be announced by an index announcement which will be published electronically. As a rule the announcement periods that are mentioned underneath will be applied. However, urgent treatments or late notices may require the Compiler to deviate from the standard timing Rule changes Barring exception, a period of at least two months should pass between the date a proposed change is published and the date this comes into effect. Exceptions can be made only if the change is not in conflict with the interests of an affected party Rebalancing The new number of contracts and the selected maturity will be announced after market close two business days prior to the rebalancing date. 4

7 4. CALCULATION 4.1 CALCULATION OF THE INDEX The Excess Return Index reflects the uncollateralized price development in the most liquid futures contract of the designated commodity. The Total Return Index reflects the collateralized returns of the most liquid futures contract of the designated commodity. The Index consists of a number of contracts that is updated if a different delivery month is selected at the review. The starting number of contracts was based on a nominal value of 100 million in the contracts respective currency. 4.2 CALCULATION OF THE COMMODITY INDICES The formula for the calculation of the Excess Return Index is as follows: = Where N: Number of contracts p t : d t : Price of the underlying contract at time t; at close which takes place at 18:45 CET, the price of the contract will correspond to the settlement price of the underlying contract. Current divisor The Total Return Index is calculated using the following formula: = !, #% 1&' Where Excess return Index level at time t IR t-1 : Previous day Interest rate on collateral, 3M Libor or 3M Euribor, depending on index base currency D t,t-1 : Number of days between current trading day and previous trading day 5

8 5. INDEX REVIEWS 5.1 GENERAL AIM AND FREQUENCY OF REVIEWS General aim of the periodical review The general aim of the periodical review of the Index is to ensure that the Index continues to be based on the most liquid contracts available Effective date of reviews Index reviews are tied to the Last Trading Day of each contract. The calendar of the various contracts is given on the official website of Euronext: Index Review Assessment Day The Indices are reviewed based on the data as at after the market close of the seventh trading day before the Last Trading Day of each Delivery Month. Business days observe the trading day calendar of the relevant Euronext market Index Rebalance Day The reviews become effective after the market close of the Index Rebalance Day, the fifth trading day before the Last Trading Day of each Delivery Month. Business days observe the trading day calendar of the relevant Euronext market. 5.2 INDEX UNIVERSE AND SELECTION PRINCIPLE Index universe The universe of the Index is defined as all existing contracts traded on Euronext for the relevant underlying Selection basis The Index will be reviewed based on the open interest in various contracts at the close on the Index Review Assessment Day Excluded delivery months The Delivery Month that will expire on the relevant expiration will not be selected. 5.3 PERIODICAL UPDATE OF WEIGHTING Update of number of contracts At reviews, the number of contracts included in the Index will be updated with the new number of contracts based on the following formula: ( )*+ = (,-..*) / 0,-..*) Where / 0 )*+ s: Index Review Assessment day N: Number of contracts p: (closing) price of the contract new: current: selected Delivery Month maturity in Index The number of contracts will not change if the Delivery month remains unchanged. 6

9 5.3.2 Divisor update The new divisor will be determined at the close of the Rebalance Day using the following formula: 1 )*+ = 1,-..*) ( )*+ )*+ / (,-..*),-..*) / N: Number of contracts d: Divisor R: Rebalance Day p: Settlement price of the contract 7