Nikkei-TOCOM Commodity Index Guidebook

Transcription

1 Nkke-TOCOM Commodty Idex Gudebook September 206 Tokyo Commodty Exchage, Ic. (TOCOM) Nkke Ic. (Nkke)

2 - Cotets - INTRODUCTION.... BACKGROUND....2 INDEX MANAGEMENT SPECIAL COMMITTEE NIKKEI-TOCOM COMMODITY INDEX GUIDEBOOK PUBLICATION OF THE NIKKEI-TOCOM COMMODITY INDEX COPYRIGHTS, ETC LIMITED LIABILITY LICENSING INDEX SPECIFICATIONS NAME COMPONENTS DESIGNATED CONTRACT MONTH ROLLING OF THE DESIGNATED CONTRACT MONTH CALCULATION METHODS COMPONENTS WEIGHT RATIO REBALANCING COMPONENTS WEIGHT BASE DATE COMPONENTS COMPONENTS METHODS AND TIMING FOR COMPONENT REBALANCING New commodty lstg or resumpto of tradg of a suspeded cotract Revew of commodtes excluded from Idex compoets Low-Lqudty Crcumstaces Delstg Treatmet of a M ad Rollg Spot Futures Cotract DESIGNATED CONTRACT MONTHS DESIGNATED CONTRACT MONTHS ROLLING OF THE DESIGNATED CONTRACT MONTHS SPECIAL RULES ON ROLLING OF THE DESIGNATED CONTRACT MONTH... 5 COMPONENTS WEIGHT RATIO BASIC CONCEPT... 2

3 5.2 FORMULA How W (scale of the cash market) s calculated How W2 (scale of the futures market) s calculated REBALANCING OF COMPONENTS WEIGHT Perodc rebalacg Extraordary rebalacg CALCULATION METHODS FORMULAS CALCULATION STEPS CALCULATING PRICE RETURN C FOR EACH COMPONENT OVER APPLICABLE PERIOD Calculato durg ordary perods (The perod other tha the Roll Perod) Calculato durg the Roll Perod CALCULATING INDEX RETURN FOR EACH COMPONENT IN A SINGLE FISCAL YEAR CALCULATING INDEX RETURN IN A SINGLE FISCAL YEAR CALCULATING INDEX RETURN FROM THE BASE DATE CALCULATING THE NIKKEI-TOCOM COMMODITY INDEX CALCULATING THE NIKKEI-TOCOM COMMODITY INDEX AFTER REBALANCING OF WEIGHT RATIO Followg perodc rebalacg Followg extraordary rebalacg NIKKEI-TOCOM SUB COMMODITY INDEX CALCULATING NIKKEI-TOCOM SUB COMMODITY INDEX RULE OF ROUNDING ROUNDING OF FIGURES IN THE INDEX CALCULATION PROCESS ROUNDING OF THE COMPONENT WEIGHT DATA SOURCES OF STATISTICAL DATA COMPONENT COMPONENT WEIGHT RATIO Nkke-TOCOM Commodty Idex ad Nkke-TOCOM Nearby Moth Commodty Idex Nkke-TOCOM Idustral Commodty Idex (Ut: percet) Nkke-TOCOM Precous Metals Idex (Ut: percet)... 35

4 Nkke-TOCOM Ol Idex (Ut: percet) Nkke-TOCOM Agrcultural Product & Sugar Idex (Ut: percet) Nkke-TOCOM Gold Idex Nkke-TOCOM Slver Idex Nkke-TOCOM Platum Idex Nkke-TOCOM Palladum Idex Nkke-TOCOM Alumum Idex(*) Nkke-TOCOM Gasole Idex Nkke-TOCOM Kerosee Idex Nkke-TOCOM Crude Ol Idex Nkke-TOCOM Rubber Idex DESIGNATED CONTRACT MONTH Nkke-TOCOM Commodty Idex ad Nkke-TOCOM Sub Commodty Idex (Excludg Nkke-TOCOM Nearby Moth Commodty Idex) Nkke-TOCOM Nearby Moth Commodty Idex MULTIPLIER NIKKEI-TOCOM LEVERAGED INDEX AND NIKKEI-TOCOM INVERSE INDEX... 4 INQUIRIES... 42

5 Itroducto. Backgroud The Nkke-TOCOM Commodty Idex gves a overall dcato of the prce levels o the market of Tokyo Commodty Exchage, Ic. ( TOCOM ). The Nkke-TOCOM Commodty Idex was developed as a far ad relable commodty dex amed to provde a overall pcture of the prce levels the TOCOM market, so that t could serve as a bechmark to evaluate the performace of dvdual mutual fuds ad commodty fuds, as well as a gudele for commercal traders whe formulatg comprehesve hedgg strateges. The Nkke-TOCOM Commodty Idex, desged to be practcal, could also serve as a tool to hedge agast flato, because of the hgh correlato betwee commodty futures prces ad prce dexes (e.g.: Cosumer Prce Idex, etc ), ad as such, t wll cotrbute to ehace the fuctoalty of commodty futures markets as a publc utlty. Hstory of the Nkke-TOCOM Commodty Idex July 24, 2006 TOCOM starts publczg TOCOM Idex Jue 2, 2008 Amg to provde the bechmarks for each compoet of the TOCOM Idex., the Exchage starts publczg TOCOM Sub Commodty Idexes" based o the calculatg methodology appled to the TOCOM Idex Aprl, 2009 TOCOM ad Nkke Ic. (Nkke ) agree o jot maagemet of the Idex ad chaged ts ame to Nkke-TOCOM Commodty Idex* December 3, 202 Nkke ad TOCOM starts publczg Nkke-TOCOM Leveraged Idexes ad Nkke-TOCOM Iverse Idexes * 2 December 2, 203 Agrcultural Product & Sugar Market commodtes are added as compoets of the Nkke-TOCOM Commodty Idex ad the Nkke-TOCOM Nearby Moth Commodty Idex. As ew sub-dexes, Nkke-TOCOM Agrcultural Product & Sugar Idex, Nkke-TOCOM Soybea Idex, Nkke-TOCOM Azuk Idex, Nkke-TOCOM Cor Idex, Nkke-TOCOM Sugar Idex, as well as Nkke-TOCOM Idustral Commodty Idex start to be calculated. * The ew Nkke-TOCOM Commodty Idex retas cotuty from the prevous TOCOM Idex. *2 The Nkke-TOCOM Leveraged Idexes ad Nkke-TOCOM Iverse Idexes, both of whch are derved from the Nkke-TOCOM Commodty Idex ad the Nkke-TOCOM Sub-Commodty Idexes (hereafter collectvely referred to as the base dex(es)). The

6 Nkke-TOCOM Leveraged Idexes are desged to represet the doubled performace of the base dexes, ad the Nkke-TOCOM Iverse Idexes to represet the verse performace of the base dexes (Detals of the dexes are stpulated the XXXXX.2 Idex Maagemet Specal Commttee TOCOM ad Nkke establshed a Idex Maagemet Specal Commttee (the Commttee ) to admster the Nkke-TOCOM Commodty Idex, whch cludes makg decsos o such matters as calculato methodology, selecto of compoets ad ther weghts, ad publcato of the Idex, etc. I case a uforesee evet should occur for whch a acto has ot bee stpulated advace or a pre-arraged acto s deemed approprate, the Commttee may be coveed to delberate upo the course of acto to be take, ad based o these results, TOCOM the determes the course of actos to be take..3 Nkke-TOCOM Commodty Idex Gudebook Wth a vew towards esurg the credblty of the Nkke-TOCOM Commodty Idex, the calculato methods, compoets weght, ad other parameters of the Nkke-TOCOM Commodty Idex are made publc the Nkke-TOCOM Commodty Idex Gudebook. The Nkke-TOCOM Commodty Idex s calculated accordace wth the methods descrbed wth ths Gudebook. If ay evet ot descrbed wth ths Gudebook should occur, or f TOCOM ad Nkke deem t mpossble to employ the methods descrbed there, TOCOM ad Nkke may utlze a alteratve method whch t deems approprate order to calculate the Nkke-TOCOM Commodty Idex..4 Publcato of the Nkke-TOCOM Commodty Idex The Nkke-TOCOM Commodty Idex has prevously bee calculated ad publshed oce a day, usg the settlemet prce of each compoet, utl May, O ad after May 7, 2009 utl September 6, 206, the Idex had prevously bee calculated ad publshed o a real tme bass (every fftee secods), based o the latest cotract prce of each compoet at the tme of dex calculato (f there s o 2

7 applcable cotract executo the relevat tradg day, the based o the daly settlemet prce of the prevous tradg day). I addto, whe the daly settlemet prce was determed after the close of a Day Sesso, the Idex was calculated based o the daly settlemet prce ad publshed. O ad after September 20, 206, the Idex has bee calculated ad publshed oce a day, usg the settlemet prce of each compoet. I ths gudebook, the term tradg day s used referrg to the tme perod from the opeg of a ght sesso followg the closg of a day sesso o a busess day (at TOCOM, same the followg) precedg the preset busess day, tll the opeg of a ght sesso o the preset busess day. All dates metoed ths gudebook dcate the tradg day except for those dcated otherwse. Wth respect to the Nkke-TOCOM Sub-Commodty Idexes, they shall be calculated ad dssemated oce a day, based o the daly settlemet prce of each compoet..5 Copyrghts, etc. Ths Gudebook has bee produced ad s maaged by TOCOM ad Nkke. TOCOM ad Nkke reserve the rght to chage the Gudebook whole or part. Ay such chages may be made wthout pror otce at the dscreto of TOCOM ad Nkke. The copyrght of ths Gudebook s owed etrely by TOCOM ad Nkke, ad o part of ths Gudebook may be reproduced or duplcated wthout the coset of TOCOM ad Nkke..6 Lmted Lablty TOCOM ad Nkke made every effort possble to esure the accuracy of the cotet of ths Gudebook; however, TOCOM ad Nkke make o statemet ad warraty, ether explct or mpled, as to the tegrty or accuracy of the formato stated wth ths 3

8 Gudebook. TOCOM ad Nkke assume o resposblty for ay harm or loss suffered by the user of the Gudebook that may arse through the use of ay cotet or other formato descrbed wth ths Gudebook. Ths Eglsh documet may ot be a etrely accurate traslato of the orgal Japaese documet. I cases where dffereces may arse betwee the Eglsh verso ad the orgal Japaese verso, the orgal Japaese documet wll preval..7 Lcesg The Nkke-TOCOM Commodty Idex ad ts sub-dexes are tellectual propertes belogg to TOCOM ad Nkke. All of the rghts relatg to these dexes, such as the rght to calculate, publcze, ad otherwse utlze these dexes are reserved by TOCOM ad Nkke. A lcesg agreemet wth TOCOM ad Nkke s ecessary f a compay should ted to utlze the Nkke-TOCOM Commodty Idex ad ts sub-dexes to create ad/or market facal strumets cludg, but ot lmted to, fuds ad dex-based fuds (cludg dervatves such as optos, swa, ad warrats o the TOCOM market). Such a agreemet s also requred to use the Nkke-TOCOM Commodty Idex ad ts sub-dexes for dssematg, provdg, etc. to a thrd party for commercal purposes. Whe the Nkke-TOCOM Commodty Idex ad ts sub-dexes are used uder the lcesg agreemet metoed above, the dsclamer specfed by TOCOM ad Nkke must be clearly stated the relevat documetato ad/or other relevat materals. 4

9 2 Idex Specfcatos 2. Name Nkke-TOCOM Commodty Idex ( Nkke-TOCOM Commodty Idex or the Idex ) 2.2 Compoets All commodtes lsted o TOCOM, excludg Optos Trasactos 2.3 Desgated Cotract Moth Cotract moth wth hgh lqudty ( Actve Cotract Moth ; the 5 th or 6 th cotract moth) serves as the Desgated Cotract Moth*. * The Desgated Cotract Moth meas, amog all the cotract moths of each dex compoet, the cotract moth(s) selected as the bechmark cotract moth(s) from whch prce data for the Idex compoet wll be obtaed. 2.4 Rollg of the Desgated Cotract Moth Rollg geerally meas replacg the ear-expry futures cotract wth more dstat futures cotract, whch allows a vestor to keep a futures posto further ahead of the futures cotract s expry date (cotract moth). I Nkke-TOCOM Commodty Idex, the Rollg or the Roll meas replacg the Desgated Cotract Moth from the 5 th cotract moth (former 6 th cotract moth) to ewly-geerated 6 th cotract moth to esure the Idex costatly tracks the prce level of the Actve Cotract Moth. Rolls are mplemeted over the course of fve tradg days, betwee the 5 th ad 9 th tradg days of each moth (hereafter referred to as the Roll Perod ), the 5 th cotract moth (former 6 th cotract moth) beg replaced by the ew 6 th cotract moth (.e. creasg the weght of the 6 th cotract moth from 0% to 20%, 40%, 60%, 80% ad fally 00%). For commodtes o the markets whch cotract moths are geerated oly o odd moths or eve moths, rollg s carred out oly o the moths followg the cotract moths.. 5

10 2.5 Calculato Methods Idex value = the total sum of (weght rato of each compoet prce retur) for each compoet = W (gold) P(gold)/P 0 (gold) + W(slver) P(slver)/P 0 (slver) + + W(raw sugar) P(raw sugar)/p 0 (raw sugar) W: Weght rato P: Settlemet prce at tme of dex calculato P 0 : Base prce Itally, the settlemet prce o May 3, 2002 shall serve as the base prce. After the subsequet rollg of the Desgated Cotract Moths, the settlemet prce of the ew Desgated Cotract Moth shall serve as the base prce. Followg rebalacg of the compoets weght, the settlemet prce after the rebalacg shall serve as the base prce. 2.6 Compoets Weght Rato The weght rato s determed o the bass of the scale of the cash ad futures markets for each compoet over the prevous year (oe year perod from Jauary to December). 2.7 Rebalacg Compoets Weght I prcple, the compoets weght shall be rebalaced oce a year. A ew weght rato s publshed late March every year, ad s appled startg o the frst tradg day of Jue. The perod betwee the frst day whe the ew weght rato s aouced (late March) ad the frst day the ew weght rato s appled (the frst tradg day of Jue) s hereafter referred to as the Advace Notce Perod. 2.8 Base Date May 3, The dex based upo the settlemet prces of ths date shall be

11 3 Compoets 3. Compoets All TOCOM lsted commodtes, wth the excepto of: Opto cotracts, cotracts lked to the Nkke-TOCOM Commodty Idex ad Nkke-TOCOM Sub Commodty Idex ad those cotracts whch the Idex-Maagemet Specal Commttee (the Commttee ) deem approprate as Idex compoets. 3.2 Methods ad Tmg for Compoet Rebalacg 3.2. New commodty lstg or resumpto of tradg of a suspeded cotract Whe a ew commodty s lsted, or the trade of a suspeded cotract s resumed, t wll be cluded, prcple, as a compoet of the Nkke-TOCOM Commodty Idex from the day whe ts rebalaced weght rato s appled (the frst tradg day of Jue), followg the frst rebalacg after ts lstg or resumg trade. Ths s provded that all cotract moths of the ewly-lsted or resumed commodty are avalable at least three moths before the rebalaced weght rato s appled ad that the Commttee does ot deem the commodty as a approprate Idex compoet Revew of commodtes excluded from Idex compoets A commodty excluded from the Idex s subject to revew for approprateess as a Idex compoet prcpally at Idex-Maagemet Specal Commttee meetgs, whch are held pror to the ext perodc rebalacg of the Idex. Such commodty may be cluded as a compoet of the Nkke-TOCOM Commodty Idex regardless of the perodc rebalacg provded that the Commttee deems the commodty as a approprate Idex compoet. I that evet, weght rato s to be rebalaced smultaeously o a temporary bass Low-Lqudty Crcumstaces Whe, as a result of low lqudty, a lsted commodty s suspeded, the commodty wll rema a compoet of the Nkke-TOCOM Commodty Idex utl the last tradg day of the moth followg the moth whch the decso (or the Regulator s approval) to susped the cotract, at whch pot t wll be removed as a Idex compoet. Accordgly, the remag compoets weght rato wll be rebalaced (Extraordary Rebalacg). 7

12 I addto, a commodty whch the Idex-Maagemet Specal Commttee deems approprate as a Idex compoet may be excluded from the Idex durg perodc rebalacg. [Example] Followg the decso to susped the lstg of gas ol o September 5, 2005, gas ol remaed as a compoet of the Nkke-TOCOM Commodty Idex (ex-tocom Idex) utl October 3, 2005, ad was excluded from the compoets as of November, Delstg The procedures descrbed above apply Treatmet of a M ad Rollg Spot Futures Cotract A m ad Rollg Spot Futures cotracts are smaller versos of the stadard futures cotracts wth respect to the lsted commodtes ( stadard cotract ). The uderlyg commodty for m ad Rollg Spot Futures cotracts are the same as for the stadard cotracts, ad the settlemet prces for m cotracts are the same as for the stadard cotracts ad the settlemet prces for Rollg Spot Futures cotracts are determed based o that of stadard cotracts; therefore, they shall be deemed as oe compoet of the dex. Ay ew compoets shall ot be created specfcally for m ad Rollg Spot Futures cotracts. Whe calculatg weght ratos of compoets for m ad Rollg Spot Futures cotracts, the scale of each futures market shall be calculated by addg the ed-of-moth ope terests of m ad Rollg Spot Futures cotracts ( value terms) to the ed-of-moth ope terests of stadard cotracts ( value terms). I ths maer, the scale of the m ad Rollg Spot Futures cotracts market shall be reflected the Nkke-TOCOM Commodty Idex (see Artcle 5. Compoets Weght Rato ). A ew m ad Rollg Spot Futures cotracts shall be cluded the Nkke-TOCOM Commodty Idex startg from the day o whch ts ew weght rato s appled, followg the frst rebalacg upo ts lstg, pursuat to the method of cludg a ewly-lsted commodty to the Idex as prescrbed the above Artcle [Example] Platum m futures cotract has bee lsted sce November 2008; therefore, t was cluded the Nkke-TOCOM Commodty Idex o the frst tradg day of Jue

13 Gold Rollg Spot Futures cotract has bee lsted sce May 205; therefore, t was cluded the Nkke-TOCOM Commodty Idex o the frst tradg day of Jue

14 4 Desgated Cotract Moths 4. Desgated Cotract Moths The Actve Cotract Moth serves as the Desgated Cotract Moth (the cotract moth whose prces are used to calculate the Nkke-TOCOM Commodty Idex). At the TOCOM market, the Actve Cotract Moth s the 5 th or 6 th cotract moth. 4.2 Rollg of the Desgated Cotract Moths I order to esure that the Desgated Cotract Moths are rolled oly after a certa umber of days have elaed followg the geerato of the ew cotract moth, thus makg t the Actve Cotract Moth, ad to reduce the mpact o market prces caused by the rollg, the Desgated Cotract Moths are rolled from the 5 th cotract moth to the 6 th cotract moth 20% at a tme over the course of fve tradg days (betwee the 5 th ad 9 th tradg day of the moth). For commodtes o the markets whch cotract moths are geerated oly o odd moths or eve moths, rollg s carred out oly o the moths followg the cotract moths... Durg the Roll Perod, a daly settlemet prce for each Desgated Cotract Moth wll be used to calculate the Idex. Commodtes of the eve-umbered cotract moths: Gold, Slver, Platum, Palladum, Alumum (*), Soybea Commodtes of the odd-umbered cotract moths: Cor, Raw Sugar (*2) (*) For the Alumum market, there used to be sx cosecutve cotract moths through Aprl of 2004, after whch the cotract moths were modfed to eve-umbered moths oly. Due to the suspeso of the alumum futures cotract, the commodty has bee excluded as a compoet of the Nkke-TOCOM Commodty Idex sce Jauary 200. (*2) Due to the suspeso of the Raw Sugar Futures cotract, the commodty has bee excluded as a compoet of the Nkke-TOCOM Commodty Idex, the Nkke-TOCOM Nearby Moth Commodty Idex ad the Nkke-TOCOM Agrcultural Product & Sugar Idex ad revse the respectve compoet weghtgs. The Nkke-TOCOM Raw Sugar Idex also has bee suspeded. 0

15 4.3 Specal Rules o Rollg of the Desgated Cotract Moth I the evet that due to the suspeso of lstg, etc., a ew cotract moth s ot beg geerated, the rollg of the Desgated Cotract Moths for the compoet questo s ot carred out.

16 5 Compoets Weght Rato 5. Basc Cocept To take to cosderato the ecoomc mportace Japa ad the market sze of each compoet o the TOCOM market, the weght ratos are determed o the bass of the scale of the cash ad futures markets for each compoet. 5.2 Formula Weght rato of each compoet =α scale of the cash market + (-α) scale of the futures markets (where α=0.5) 5.2. How W (scale of the cash market) s calculated The scale of each compoet s cash market s calculated by dvdg mports (to Japa) of sad compoet ( value terms) the prevous year by mports (to Japa) of all the compoets ( value terms) the prevous year (Jauary to December). For refed ol products such as gasole ad kerosee, mothly domestc sales multpled by the ed-of-moth prce of each compoet s used place of mports ( value terms). For crude ol, the mothly domestc producto volume of refed ol products such as gasole ad kerosee at referes s subtracted from the mothly mports of crude ol, ad the resultg umber s the multpled by the ed-of-moth crude ol prce. For azuk, the tegrated value of the aual mports ( value terms) for the pror year ad the aual volume of domestc producto ( value terms) for the pror year s used. The aual volume of domestc producto s calculated by multplyg atoal crop yelds by the average ed-of-moth prce. The settlemet prce as of the last busess day of the frst cotract moth of each compoet wll serve as the ed-of-moth prce metoed above; wth the excepto that the settlemet prce of the secod cotract moth wll be used for crude ol (utl the ed of July 2003, the settlemet prce of the frst cotract moth had bee used). 2

17 Before the lstg of a ew commodty ( the TOCOM Ol Market), ad durg the perod whe there s o frst cotract moth followg the ew lstg, the value of mothly mports dvded by the quatty of mothly mports, as publshed by Prcpal Commodty, Export ad Import Statstcs-Mstry of Face, wll be used (Ths value s used betwee Jauary ad October 200 for crude ol, ad betwee Jauary ad October 2003 for gas ol). Wth respect to the compoets to whch m ad Rollg Spot Futures cotracts were troduced, the scale of each cash market shall be calculated pursuat to the method for the compoets wth stadard cotracts oly as prescrbed above, sce the uderlyg cash commodty for m ad Rollg Spot Futures cotracts are equvalet to that of stadard cotracts. W y Q y AllCompoets Qy Q y : Aual mports ( value terms) Provded that: Refed Ol products: 2 Q ( q y m m p ) m 2 j k l Crude ol: Qy ( qm rm rm rm ) pm (: crude ol; j, k, l: ol products) m q: Mothly domestc sales (mothly mports for crude ol) r: Mothly domestc producto volume of refed ol products p: Ed-of-moth prce Azuk: Q y : Aual mports ( value terms) + Aual domestc producto volume ( value terms) 2 Aual domestc producto volume ( value terms) = q p m 2 m q: Aual atoal crop yelds p: Ed-of-moth prce How W2 (scale of the futures market) s calculated The scale of the futures market s calculated by dvdg the aual average of 3

18 ed-of-moth ope terests ( value terms) durg the prevous year (Jauary to December) by the sum of the aual average of ed-of-moth ope terests for all compoets durg the prevous year (Jauary to December). Wth respect to the compoets to whch m ad Rollg Spot Futures cotracts were troduced, the scale of each futures market shall be calculated by addg the ed-of-moth ope terests of m ad Rollg Spot Futures cotracts ( value terms) to the ed-of-moth ope terests of stadard cotracts ( value terms). W 2 y V y AllCompoets Vy Number of moths s V y = vs m Number of moths s + m Numberof mothsr m vr m Number of moths r Number of moths m vmm Number of moths m + m (Number of Moths = The umber of caledar moths whch the compoet s traded.) All cotract vs = moths [Ed-of-moth ope terest of stadard cotracts m k Ed-of-moth Settlemet prce of stadard cotracts k Stadard cotract multpler k] k All cotract vm = moths m k [Ed-of-moth ope terest of m cotracts k Ed-of-moth settlemet prce of m cotracts k M cotract multpler k ] vr m = Ed-of-moth ope terest of Rollg Spot Futures cotracts k Ed-of-moth settlemet prce of Rollg Spot Futures cotracts k Rollg Spot Futures cotract multpler k Note: For soybea, azuk, cor ad raw sugar, whch are lsted o the Agrcultural Product & Sugar Market lauched o February 2, 203, moth-ed ope terest ( value terms) recorded whe they were traded from Jauary 202 utl Jauary 203 o 4

19 the Tokyo Gra Exchage. 5.3 Rebalacg of Compoets Weght 5.3. Perodc rebalacg The weght s rebalaced aually. After each rebalacg, the ew weght s appled for the twelve moths betwee the frst tradg day of Jue ad the last tradg day of May of the followg year, followg the Advace Notce Perod betwee late March ad the ed of May. Note that the fscal year stated here refers to the perod begg from the frst tradg day of Jue to the last tradg day of May of the followg year Extraordary rebalacg Wthout lmtato to the perodc rebalacg, the compoets weght s subject to a rebalacg whe a certa lsted commodty s cluded to or excluded from the compoets of the Nkke-TOCOM Commodty Idex. A ew weght s calculated accordg to the formulas artculated the Item 5.2. For the purpose of calculatg the scale of the cash market of each exstg compoet, the statstcs (mports, etc.) employed for the perodc rebalacg of the same year s used. The ew weght wll rema effect utl the ext perodc rebalacg. 5

20 6 Calculato Methods 6. Formulas y Idex t The total sum of the (Weght rato of each compoet prce retur) for each compoet = C y c y 00 C y : Idex retur from the base date up to the date of most recet rebalacg of the weght (fscal year y-) y- c 2002 AllCompoets c y : Aual dex retur wth the fscal year y- W R p P W y : Weght rato of compoet the fscal year y- y W W 2 y y t W y : Weght rato accordg to the scale of the cash market W 2 y : Weght rato accordg to the scale of the futures market R : Prce retur of compoet for the perod from the date of last rebalacg to the date whe the th roll s completed (Prce Retur B) ( R 0 ) p t P : Prce retur of compoet for the perod from the date whe the th roll s completed to the t th day (Prce Retur A) p t : P : α : Settlemet prce of compoet o the t th day Base prce of compoet upo completo of the th Roll Weght rato for the cash market derved from the scales of cash ad futures markets (α=0.5) 6

21 6.2 Calculato Ste The Nkke-TOCOM Commodty Idex s calculated usg the followg ste. See 6.3 ad after for detals o each step.. Calculate the Prce Retur C of each compoet over applcable perod. Calculate the dex retur of each compoet a sgle fscal year. Calculate the dex retur a sgle fscal year v. Calculate the dex retur from the base date v. Calculate the Nkke-TOCOM Commodty Idex 6.3 Calculatg Prce Retur C for Each Compoet over Applcable Perod 6.3. Calculato durg ordary perods (The perod other tha the Roll Perod) If we assume that after the th roll the settlemet prce o the t th day of a compoet s p, ad the base prce at ths tme s P, the prce retur after the th roll up to the ext t (+) th roll (Prce Retur A) s t p P. If we the assume the prce retur over the perod betwee rebalacg of weght ad completo of the th roll (Prce Retur B) to be R, the prce retur over the perod betwee rebalacg of weght ad the t th day (Prce Retur C) would be: R p t P [Example] Calculatg the Prce Retur C of gasole as of Aprl, 2009 If we assume that: The prce retur utl completo of the most recet roll (Prce Retur B) (March 2: 0 th Roll completed): Gasole R 0 = The settlemet prce for the Desgated Cotract Moth (September 2009) o Aprl : Gasole p / 4 = 43,30, 7

22 Ad the base prce (settlemet prce of the Desgated Cotract Moth as of March 2): Gasole P / 4 = 37,300, The the Prce Retur C of gasole as of Aprl, 2009 would be: Gasole Gasole Gasole R p4 / P0 0 = ,300/37,300 = Calculato durg the Roll Perod Desgated Cotract Moth s rolled from the 5 th to the 6 th cotract moth by 20% each over the course of fve tradg days (betwee the 5 th ad 9 th tradg days of the moth). Accordgly, the prce retur of each compoet durg the Roll Perod (Prce Retur R) s the sum of partal prce returs of the Desgated Cotract Moth s already-rolled part ad yet-to-be rolled part. If we assume the frst day of the Roll Perod to be Day, the settlemet prce for the 5 th cotract moth of a compoet o the d th day of the Roll Perod to be p sd, the settlemet prce for the 6 th cotract moth of a compoet o the d th day of the Roll Perod to be p sd the Prce Retur R durg the (+) th roll would be: () Day (5 th Tradg day) 0.2 P 0. 8 P P (2) Day 2 (6 th Tradg day) 0.2 P P P P P (3) Day 3 (7 th Tradg day) P P p3 P P = 0.2 P p p 0.2 p P p p 0. p s3 s s2 s3 s2 6 s3 P (4) Day 4 (8 th Tradg day) 8

23 0.2 P P P P P P P P P (5) Day 5 (9 th Tradg day) 0.2 P P P P P P P P P P [Example] October 20XX 6th(Wed) 7th(Thu) 8th(Fr) 2th(Tue) 3th(Wed) 4th(Thu) (4th Tradg day) (5th Tradg day) (6th Tradg day) (7th Tradg day) (8th Tradg day) (9th Tradg day) Nght Sesso Day Sesso Nght Sesso Day Sesso Nght Sesso Day Sesso Nght Sesso Day Sesso Nght Sesso Day Sesso Nght Sesso Settlemet Prce fxed Settlemet Prce fxed Settlemet Prce fxed Settlemet Prce fxed Settlemet Prce fxed Roll day Roll day 2 Roll day 3 Roll day 4 Roll day 5 Roll Cf.() for calculato Roll Cf.(2) for calculato Roll Cf.(3) for calculato Roll Cf.(4) for calculato Roll Cf.(5) for calculato Day Sesso = 8:45 ~ 5:5 Nght Sesso = 6:30 ~ 5:30(rubber market closes at 9:00) If we the assume the prce retur over the perod betwee rebalacg of weght ad completo of the th roll of cotract moths (Prce Retur B) to be R, the prce retur over the perod from rebalacg of weght to the t th day (Prce Retur C) would be: () Day (5 th Tradg day) R p P sl 9

24 (2) Day 2 (6 th Tradg day) R 0.2 p P p p 0.8 p P ' ' sl s2 sl s2 (3) Day 3 (7 th Tradg day) R 0.2 p P p p 0.2 p P p p 0.6 p P ' ' ' ' sl s3 sl s2 s3 s2 s3 (4) Day 4 (8 th Tradg day) R (0.2 p P p p 0.2 p P p p 0.2 p P p p s s4 s s2 s4 s2 s3 s4 s3 0.4 p s 4 P ) (5) Day 5 (9 th Tradg day) R (0.2 p P p p 0.2 p P p p 0.2 p P p p s s5 s s2 s5 s2 s3 s5 s P P ) The (+) th roll s completed o Day 5 whe the compoet has bee completely rolled from the 5 th cotract moth to the 6 th cotract moth. Wth regard to the calculato of the Prce Retur C o the followg tradg day (Day 6) ad thereafter, the Prce Retur C up to Day 5 wll serve as the ew Prce Retur B ad the settlemet prce o Day 5 wll serve as the ew Base Prce. Accordgly, the Prce Retur B o Day 6 ad thereafter would be: R p P t [Example] Prce Retur C after Day 3 of the Roll Perod 20

25 Ordary Perod Roll Perod (+) th Roll 6 th Cotract Moth th Roll P (Base Prce) Settlemet Prce for 6 th cotract Moth Roll Day Settlemet Prce for 5 th cotract Moth Roll Day 5 5 th Cotract Moth Partal prce retur o Day 3 of the part (20%) of the Desgated Cotract Moth whch was rolled o Day of the Roll Perod: 0.2 P 3 (product of the prce retur (of 5 th cotract moth) up to the Roll prce retur (of 6 th cotract moth) followg the Roll p ) p s3 s p s P ad the 2 Partal Prce retur o Day 3 of the part (20%) of the Desgated Cotract Moth whch was rolled o Day 2 of the Roll Perod: P 3 2 (product of the prce retur (of 5 th cotract moth) up to the roll prce retur (of 6 th cotract moth) followg the Roll p ) p s3 s2 p s2 P ad the 2

26 345 Partal Prce retur o Day 3 of the parts (20%+20%+20%) of the Desgated Cotract Moth whch were yet to be rolled: P Usg partal prce returs 5 above, ad the prce retur up to completo of the most recet roll of cotract moths (Prce Retur B), the Prce Retur C o Day 3 of the Roll Perod wll be: R ( 0.2 P p s3 p s P p s3 p s P ) [Example] Calculatg the Prce Retur C of gasole as of Aprl 9, 2009 (Day 3 of the Roll Perod) Prce retur upo completo of the most recet roll (March 2: 0 th roll Gasole completed)(prce Retur B): R Base prce (settlemet prce for the Desgated Cotract Moth as of March 2): Gasole P0 37,300 If we assume the settlemet prces for the 5 th cotract moth (September 2009) ad the 6 th cotract moth (October 2009) o Day ad Day 2 of the Roll Perod are as follows: Day (Aprl 7): 45,620 for the 5 th cotract moth, 45,270 for the 6 th cotract moth Day 2 (Aprl 8): 43,950 for the 5 th cotract moth, 43,680 for the 6 th cotract moth If we the assume the settlemet prce for the 5 th cotract moth (September 2009) ad the 6 th cotract moth (October 2009) o Day 3 of the Roll Perod are as follows: Day 3 (Aprl 9): 45,550 for the 5 th cotract moth, 45,250 for the 6 th cotract moth The the Prce Retur C of gasole o Aprl 9, 2009 wll be: (0.2 45,620/37,300 45,250/45,

27 43,950/37,300 45,250/43, ,550/37,300) = Calculatg Idex Retur for Each Compoet a Sgle Fscal Year The dex retur of each compoet betwee rebalacg of weght ad dex calculato ( sgle fscal year ) s calculated by multplyg the prce retur of each compoet by the weght rato of each compoet. [Example] Calculatg the dex retur of gasole a sgle fscal year o Aprl, 2009 Gasole Gasole Gasole Gasole W2008 R0 p4/ P0 = ,30/37,300 = Calculatg Idex Retur a Sgle Fscal Year The dex retur a sgle fscal year s calculated by addg up the dex returs of all compoets a sgle fscal year. [Example] Calculatg the dex retur a sgle fscal year o Aprl, 2009 AllCompoets = W2008 R p4 / P Gold Gold Gold Gold W2008 R5 p4 / P5 + + Rubber Rubber Rubber Rubber W2008 R0 p4 / P0 = = Calculatg Idex Retur from the Base Date The dex retur betwee the base date (May 3, 2002) ad the day of dex calculato s calculated by multplyg the dex retur up to the prevous year by the dex retur a sgle fscal year. 23

28 [Example] Calculatg the dex retur from the base date o Aprl, 2009 AllCompoets C2007 W2008 R p4 / P = = Calculatg the Nkke-TOCOM Commodty Idex The Nkke-TOCOM Commodty Idex s calculated by multplyg the dex retur betwee the base date ad the day of dex calculato by 00. [Example] Calculatg the Nkke-TOCOM Commodty Idex o Aprl, 2009 Idex W R p P 00 AllCompoets / C / = = Calculatg the Nkke-TOCOM Commodty Idex after Rebalacg of Weght Rato 6.8. Followg perodc rebalacg Followg rebalacg of weght, a ew weght wll be appled, the dex retur up utl the last tradg day of May wll be C y, ad the base prce wll be updated to the settlemet prce o the last tradg day of May. Calculatg the Nkke-TOCOM Commodty Idex usg the settlemet prce as of the last tradg day of the fscal year y- (the last tradg day of May of fscal year y) Idex y EdofMay C y AllCompoets W R p P 00 C 00 y EdofMay y Calculatg the Nkke-TOCOM Commodty Idex o the t th day of fscal year y 24

29 Idex y t C y AllCompoets W R p P 00 y t Note that o the base date of fscal year y (the last tradg day of May of year y) the Nkke-TOCOM Commodty Idex wll be: Idex W R p P 00 AllCompoets y 0 C y y = C.0 00 = y y Idex EdofMay Thus ths esures the cotuty of the Nkke-TOCOM Commodty Idex before ad after rebalacg of weght. [Example] Calculatg the Nkke-TOCOM Commodty Idex at the tme of the perodc rebalacg of weght ad the swtch to a ew fscal year (from fscal 2007 to fscal 2008, the TOCOM Idex ) Calculatg the Nkke-TOCOM Commodty Idex (the TOCOM Idex) as of the last tradg day of fscal 2007 (May 30, 2008) Idex W R p P 00 AllCompoets / 30 C / 30 = = = C y 00 Thus, the Nkke-TOCOM Commodty Idex (the TOCOM Idex) for fscal 2008 wll be: Idex 2008 t AllCompoets W R p P 00 t Followg extraordary rebalacg The Nkke-TOCOM Commodty Idex followg extraordary rebalacg of weght s calculated the same maer as whe calculatg the Nkke-TOCOM Commodty Idex followg perodc rebalacg, except that at the tme of applyg a ew weght the dex retur up to the last tradg day before the rebalacg wll be defed as C y- ( - : hyphe), ad the base prce wll be updated to the settlemet prce at the tme of the rebalacg. 25

30 [Example] Calculatg the Nkke-TOCOM Commodty Idex durg extraordary rebalacg of weght due to suspeso of the lstg of gas ol cotract Calculatg the Nkke-TOCOM Commodty Idex (the TOCOM Idex) o the last tradg day before the rebalacg (October 3, 2005) 0Commodtes / /3 00 Idex C W R p P = = = C Thus, the Nkke-TOCOM Commodty Idex (the TOCOM Idex) followg extraordary rebalacg of weght wll be: 9Commodtes Idex t = W R pt P 00 26

31 7 Nkke-TOCOM Sub Commodty Idex 7. Calculatg Nkke-TOCOM Sub Commodty Idex To calculate Nkke-TOCOM sub-dexes, the same formulas ad compoet weght as those used for the Nkke-TOCOM Commodty Idex, are used. Idex Name Compoets (*) Base Date Notes Nkke-TOCOM Nearby Moth Commodty Idex May 3, 2002 Nkke-TOCOM Idustral Commodty Idex (*4) Nkke-TOCOM Precous Metals Idex Nkke-TOCOM Ol Idex Nkke-TOCOM Agrcultural Product & Sugar Idex Nkke-TOCOM Gold Idex Nkke-TOCOM Slver Idex Nkke-TOCOM Platum Idex Nkke-TOCOM Palladum Idex Nkke-TOCOM Alumum Idex (*5) Nkke-TOCOM Gasole Idex Nkke-TOCOM Kerosee Idex Nkke-TOCOM Crude Ol Idex All commodtes lsted o TOCOM, excludg opto trasactos Precous metals, May 3, 2002 alumum, ol ad rubber Precous metals May 3, 2002 Ol May 3, 2002 Agrcultural products ad raw sugar November 29, 203 Gold May 3, 2002 Slver May 3, 2002 Platum May 3, 2002 Palladum May 3, 2002 Alumum May 3, 2002 Gasole May 3, 2002 Kerosee May 3, 2002 Crude Ol May 3, 2002 Frot cotract moth shall serve as the Desgated Cotract Moth to be used the Idex (*2). The cotract moth s rolled by 20% each day over the course of fve tradg days betwee the 4th tradg day precedg the last tradg day of the moth ad the last tradg day of the moth (*3). Actve Cotract Moth shall serve as the Desgated Cotract Moth to be used the Idex (as applcable to the Nkke-TOCOM Commodty Idex). The cotract moth s rolled from the 5th cotract moth to the 6th cotract moth by 20% each day over the course of fve tradg days betwee the 5th tradg day of the moth ad the 9th tradg day of the moth (as applcable to the Nkke-TOCOM Commodty Idex). 27

32 Nkke-TOCOM Rubber Idex Nkke-TOCOM Soybea Idex Nkke-TOCOM Azuk Idex Nkke-TOCOM Cor Idex Nkke-TOCOM Raw Sugar Idex (*6) Rubber May 3, 2002 Soybea November 29, 203 Azuk November 29, 203 Cor November 29, 203 Raw Sugar November 29, 203 *: Lmted to the lsted commodtes that are compoets of the Nkke-TOCOM Commodty Idex (as desgated the Item 9.2 Compoet below). *2: I prcple, ths s ether the frst or secod cotract moth; however, for crude ol t s the secod or thrd cotract moth, sce the Fal Settlemet Day (referred as the Last Tradg Day utl 7 May 2009) of each cotract moth s set o the frst busess day of every moth (for the perod before the Last Tradg Day was chaged from the 3 rd busess day precedg the last busess day of the moth to the frst busess day of the followg moth, ether the frst or secod cotract moth serves as the Desgated Cotract Moth for crude ol). For gasole, kerosee, rubber ad azuk cotracts, the Desgated Cotract Moths may be the frst, secod, or thrd cotract moth f the last tradg day of the frst cotract moth falls wth the Roll Perod. *3: I order to prevet the exstece of ope postos wthout the teto of physcal delvery utl mmedately before the Last Tradg Day, ad to reduce the mpact of the roll of the Desgated Cotract Moth o market prces, cotract moths are rolled by 20% each day over the course of fve tradg days betwee the 4th tradg day precedg the last tradg day of the moth ad the last tradg day of the moth. For commodtes o the markets whch cotract moths are geerated oly o odd moths or eve moths, rollg s carred out oly o the moths followg the cotract moths.. Durg the Roll Perod, a daly settlemet prce for each Desgated Cotract Moth wll be used to calculate Sub-dexes. *4: Compoets ad dex prces of the Nkke-TOCOM Idustral Commodty Idex wll rema detcal to those of the Nkke-TOCOM Commodty Idex 28

33 utl November 29, 203. The Idustral Commodty Idex wll become the dex of dustral commodty prces thereafter. *5: Calculato ad publcato of the Nkke-TOCOM Alumum Idex has bee suspeded sce Jauary 200. *6: Calculato ad publcato of the Nkke-TOCOM Raw Sugar Idex has bee suspeded sce February

34 8 Rule of Roudg 8. Roudg of Fgures the Idex Calculato Process Ordary Perod p t P Formula, etc. Day The tme daly settlemet prce s set: P Roudg Day 2 2 The tme daly settlemet prce s set: 0.2 P p p 0. p P s2 s 8 s2 Prce Retur Roll Perod Day 3 3 Day 4 4 Day 5 5 The tme daly settlemet prce s set: 0.2 P p p 0.2 p P p p 0. p s3 s s2 s3 s2 6 s3 The tme daly settlemet prce s set: 0.2 p P p p 0.2 p P p p 0.2 p P p p 0.4 p s s4 s The tme daly settlemet prce s set:.2 p P p p 0. p P p s2 0 s s5 s 2 s2 s P p 5 s P s4 s2 s3 s4 P s3 P s4 P Roud to the eghth decmal place Prce Retur C Ordary Perod Roll Perod Idex retur of each compoet a sgle fscal year Idex Retur Nkke-TOCOM Commodty Idex R p t P R [ or 2 or 3 or 4 or 5] Weght of each compoet Prce Retur C over a applcable perod (Idex retur up to the prevous year) (Idex retur a sgle fscal year) Idex Retur 00 Roud to the thrd decmal place p t P : Settlemet prce o the t th day : Base prce after the th roll of the Desgated Cotract Moths p s : Settlemet prces for the 5th cotract moth o the st through the 5 th day durg the Roll Perod p s p s2 p s3 p s4 p s5 : Settlemet prces for the 6th cotract moth o the st through the 5 th day durg the Roll Perod R : Prce retur of compoet for the perod from the date of last rebalacg to the date whe the th roll s completed 30

35 8.2 Roudg of the Compoet Weght Scale of the cash market W Scale of the futures market W2 Compoet Weght Rato W Ed-of Moth Prce (*) Import quatty, etc. Aual Domestc Producto Average ed-of-moth ope terests V Formulas, etc. Imports, etc./sum of mports, etc. of all compoets(q / Q ) Average of ed-of-moth ope terests /Sum of the averages of ed-of-moth ope terests (V / V ) ⅰ.W=α W+(-α) W2 ⅱ.The weght of the compoet wth the largest weght s adjusted so that the sum of the weghts of all compoets s.00 Mothly mport value/mothly mport quatty (Mothly domestc sales ed-of-moth prces) Aual atoal crop yelds average ed-of - moth prce Average ed-of-moth ope terests (( v)/number of Moths) Roudg Roud dow to the sxth decmal place Roud dow to the sxth decmal place Roud to the ffth decmal place - Dsregard decmals Not rouded** Dsregard decmals Dsregard decmals * Ed-of-moth prces: Oly the prces used whe there s o frst cotract moth for the compoet ** Although Export ad Import Statstcs show mport values of precous metals, alumum, ad rubber uts of,000 ye, the product of mothly domestc sales of ol products, etc. ad ther ed-of-moth prces are ot rouded (e.g. fractos below 00 ye are ot rouded off). 3

36 9 Data 9. Sources of Statstcal Data Compoet Data o mports, etc. Sources Gold Gold (excludg moetary gold) Slver Slver Platum Platum Palladum Alumum Rubber Aual mports ( value terms) Values by Prcpal Commodty, Export ad Import Statstcs, Mstry of Face Palladum Alumum ad alumum alloy Natural Rubber Soybea Soybea Cor Raw Sugar Crude Ol Gasole Kerosee Gas Ol Azuk Aual sum of [(Mothly mports mothly domestc producto (referes) of ol products) ed-of-moth settlemet prces ] Aual sum of (Mothly domestc sales ed-of-moth settlemet prce) Aual atoal crop yelds average ed-of-moth prce + aual mports ( value terms) Values by Prcpal Commodty, Export ad Import Statstcs, Mstry of Face Supply-Demad Statstcs (petroleum), Meral Resources ad Petroleum Products Statstcs, Mstry of Ecoomy, Trade ad Idustry Supply-Demad Statstcs (petroleum), Meral Resources ad Petroleum Products Statstcs, Mstry of Ecoomy, Trade ad Idustry Crop Stuato Survey (beas) (Mstry of Agrculture, Forestry ad Fsheres of Japa Values by Export ad Import Statstcs per Commodty, Mstry of Face Crude Ol Cor (forage) Raw Sugar Summary of supply-demad stuato for petroleum products (4) Summary of supply-demad stuato, Producto (referes) Summary of supply-demad stuato for petroleum products (4) Summary of supply-demad stuato, Domestc sales Azuk Note.Fgures for the mports, producto (referes) ad domestc sales are adopted from the revsed report of the statstcs except the aual domestc crop yelds of azuk, for whch the fgures are 32

37 adopted from the frst report of the statstcs. 2.The domestc sales fgures for gasole, kerosee, ad gas ol for the perod betwee fscal 2002 ad (Begg of November Ed of May 2006), for whch the fgures are adopted from the aual revso report of the statstcs. 3. The ed-of-moth prces for azuk for the perod betwee Jauary 202 ad Jauary 203, whch precedes the lauch of the Agrcultural Product & Sugar Market o February 2, 203, are adopted from the ed-of-moth settlemet prces for the frst cotract moth recorded o the Tokyo Gra Exchage market. 9.2 Compoet Perod Compoet 5/3/2002-5/3/2004 Gold, Slver, Platum, Palladum, Alumum, Gasole, Kerosee, Crude Ol, Rubber 6//2004-0/3/2005 (*) Gold, Slver, Platum, Palladum, Alumum, Gasole, Kerosee, Gas Ol, Crude Ol, Rubber //2005-2/3/2009 (*2) Gold, Slver, Platum, Palladum, Alumum, Gasole, Kerosee, Crude Ol, Rubber //200 - /29/203 (*3) Gold, Slver, Platum, Palladum, Gasole, Kerosee, Crude Ol, Rubber 2/2/203 - /30/205 (*4 ) Gold, Slver, Platum, Palladum, Gasole, Kerosee, Crude Ol, Rubber,, Soybea, Azuk, Cor, Raw Sugar 2/2/205 - (*5 ) Gold, Slver, Platum, Palladum, Gasole, Kerosee, Crude Ol, Rubber, Soybea, Azuk (Red Bea), Cor (*)Gas ol was cluded the Idex compoets followg ts lstg o the TOCOM market. (*2)Gas ol was excluded from the Idex compoets followg the suspeso of lstg o the TOCOM market. (*3)Alumum was excluded from the Idex compoets followg the suspeso of lstg o the TOCOM market. (*4) Soybea, azuk, cor ad raw sugar were cluded the compoets of the Nkke-TOCOM Commodty Idex followg the lauch of the Agrcultural Product & Sugar Market (*5) Raw Sugar was excluded from the Idex compoets followg the suspeso of lstg o the TOCOM market. 33

38 9.3 Compoet Weght Rato 9.3. Nkke-TOCOM Commodty Idex ad Nkke-TOCOM Nearby Moth Commodty Idex (Ut: percet) Gold Slver Platum Palla- Alum- Gasole Kero- Crude Gas Soy- Raw dum um see Ol Ol Rubber Azuk Cor bea Sugar : Jue October 2005, :November May 2006, Same apples below : Jue December 2009, :Jauary May 200, Same apples below. 203-: Jue November 203, 203-2:December May 204, Same apples below. 204-: Jue Jauary 205, 204-2: February May 205, Same apples below. 34

39 9.3.2 Nkke-TOCOM Idustral Commodty Idex Gold Slver Platum Palladum Alumum Gasole Kerosee Crude Ol (Ut: percet) Gas Ol Rubber Nkke-TOCOM Precous Metals Idex (Ut: percet) Gold Slver Platum Palladum

40 Nkke-TOCOM Ol Idex (Ut: percet) Gasole Kerosee Crude Ol Gas Ol Nkke-TOCOM Agrcultural Product & Sugar Idex (Ut: percet) Soybea Azuk Cor Raw Sugar Nkke-TOCOM Gold Idex Gold 00% Nkke-TOCOM Slver Idex Slver 00% 36

41 9.3.8 Nkke-TOCOM Platum Idex Platum 00% Nkke-TOCOM Palladum Idex Palladum 00% Nkke-TOCOM Alumum Idex(*) Alumum 00% (*)Calculato of Nkke-TOCOM Alumum Idex has bee suspeded sce Jauary Nkke-TOCOM Gasole Idex Gasole 00% Nkke-TOCOM Kerosee Idex Kerosee 00% Nkke-TOCOM Crude Ol Idex Crude Ol 00% Nkke-TOCOM Rubber Idex Rubber 00% Nkke-TOCOM Soybea Idex Soybea 00% Nkke-TOCOM Azuk Idex Azuk 00% Nkke-TOCOM Cor Idex Cor 00% Nkke-TOCOM Raw Sugar Idex(*) Raw Sugar 00% (*)Calculato of the Nkke-TOCOM Raw Sugar Idex has bee suspeded sce February

42 9.4 Desgated Cotract Moth 9.4. Nkke-TOCOM Commodty Idex ad Nkke-TOCOM Sub Commodty Idex (Excludg Nkke-TOCOM Nearby Moth Commodty Idex) Perod Precous Metals Soybea Gasole Kerosee Crude Ol Rubber Azuk 6//206-6/6/206 Nov 206 Oct 206 6/7/206-6/3/206 Nov 206 Oct 206 Apr 207 Dec 206 Nov 206 May 207 6/4/206-7/6/206 Dec 206 Nov 206 7/7/206-7/3/206 Apr 207 Ju 207 Dec 206 Ja 207 Nov 206 Dec 206 May 207 Jul 207 7/4/206-8/4/206 Ja 207 Dec 206 8/5/206-8/2/206 Ja 207 Dec 206 Ju 207 Feb 207 Ja 207 Jul 207 8/5/206-9/6/206 Feb 207 Ja 207 9/7/206-9/3/206 Jue 207 Aug 207 Feb 207 Mar 207 Ja 207 Feb 207 Jul 207 Sep 207 9/4/206-0/6/206 Mar 207 Feb 207 0/7/206-0/4/206 Mar 207 Feb 207 Aug 207 Apr 207 Mar 207 Sep 207 0/7/206 - /7/206 Apr 207 Mar 207 /8/206 - /4/206 Aug 207 Oct 207 Apr 207 May 207 Mar 207 Apr 207 Sep 207 Nov 207 /5/206-2/6/206 May 207 Apr 207 2/7/206-2/3/206 May 207 Apr 207 Oct 207 Ju 207 May 207 Nov 207 2/4/206 - /0/207 Ju 207 May 207 //207 - /7/207 Oct 207 Dec 207 Ju 207 Jul 207 May 207 Ju 207 Nov 207 Ja 208 /8/207-2/6/207 Jul 207 Ju 207 2/7/207-2/3/207 Jul 207 Ju 207 Dec 207 Aug 207 Jul 207 Ja 208 2/4/207-3/6/207 Aug 207 Jul 207 3/7/207-3/3/207 Dec 207 Feb 208 Aug 207 Sep 207 Jul 207 Aug 207 Ja 208 Mar 208 3/4/207-4/6/207 Sep 207 Aug 207 4/7/207-4/3/207 Sep 207 Aug 207 Feb 208 Oct 207 Sep 207 Mar 208 4/4/207-5/9/207 Oct 207 Sep 207 5/0/207-5/6/207 Feb 208 Apr 208 Oct 207 Nov 207 Sep 207 Oct 207 Mar 208 May 208 5/7/207-5/3/207 Apr 208 Nov 207 Oct 207 May 208 Cor 38