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1 S&P GSCI Inverse Crude Oil Methodology Supplement July 2014 S&P Dow Jones Indices: Index Methodology

2 S&P GSCI Inverse Crude Oil Index S&P GSCI Inverse Crude Oil Index Methodology Supplement The S&P GSCI Inverse Crude Oil Index (the Index) is an inverse version of the S&P GSCI Crude Oil Index. Measured on a daily basis, the Index seeks to provide the inverse return of the S&P GSCI Crude Oil Index. This methodology supplement was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology supplement. Any changes to or deviations from this methodology supplement are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective. S&P Futures-based Inverse Indices Methodology S&P Dow Jones Indices Futures-based Inverse indices are designed to provide the inverse performance of the underlying futures index; this represents a short position in the underlying index. The approach is to first calculate the underlying index, and then calculate the daily returns for the inverse index. There is no change to the calculation of the underlying futures index. The inverse index may be rebalanced daily or periodically. Daily Rebalanced Inverse Indices If the S&P Dow Jones Indices futures-based inverse index is rebalanced daily, the index excess return is the inverse of the underlying index excess return since the previous rebalancing day and is calculated as follows: IndexER t UnderlyingIndexERt = IndexERt _ LR 1+ K * 1 UnderlyingIndexERt _ LR where: IndexER t_lr = The Index Excess Return on the last rebalancing day, t_lr. UnderlyingIndexER t_lr = The Underlying Index Excess Return value on the last rebalancing business day, t_lr. t_lr = the last rebalancing business day. K = Inverse Ratio = -1, no leverage inverse or net exposure = - 100% S&P Dow Jones Indices: S&P GSCI Inverse Crude Oil Methodology Supplement 1

3 A total return version of the Index is calculated, which includes interest accrual on the notional value of the index based on the 91-day US Treasury rate, as follows: IndexTR t = IndexTR t 1 IndexER t IndexERt 1 + TBRt where: IndexTR t-1 = The Index Total Return on the preceding business day. TBR t TBR t Delta t TBAR t-1 Tickers = 1 = Treasury Bill Return, as determined by the following formula: * TBAR t 1 Delta t 91 1 = The number of calendar days between the current and previous business days. = The most recent weekly high discount rate for 91-day US Treasury bills effective on the preceding business day. Generally the rates are announced by the US Treasury on each Monday. On Mondays that are bank holidays, Friday s rates will apply. Index S&P GSCI Inverse Crude Oil Index S&P GSCI Inverse Crude Oil Index ER S&P GSCI Inverse Crude Oil Index TR Bloomberg SPGSICL SPGSICLP SPGSICLT For information on: Quality Assurance Expert Judgment Internal Reviews of Methodology Data Hierarchy Calculations and Pricing Disruptions Error Correction Unexpected Exchange Closures Please refer to S&P Dow Jones Indices Commodities Indices Policies & Practices document located on our Web site, S&P Dow Jones Indices: S&P GSCI Inverse Crude Oil Methodology Supplement 2

4 S&P Dow Jones Indices Contact Information Index Management David M. Blitzer, Ph.D. Managing Director & Chairman of the Index Committee Mark Berkenkopf Associate Director Product Management Jodie Gunzberg Vice President Media Relations David Guarino Communications Client Services Beijing Dubai Hong Kong London New York or Sydney Tokyo S&P Dow Jones Indices: S&P GSCI Inverse Crude Oil Methodology Supplement 3

5 Disclaimer S&P Dow Jones Indices LLC, a part of McGraw Hill Financial All rights reserved. Standard & Poor s and S&P are registered trademarks of Standard & Poor s Financial Services LLC ( S&P ), a part of McGraw Hill Financial. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC ( Dow Jones ). Trademarks have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively S&P Dow Jones Indices ) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. These materials have been prepared solely for informational purposes based upon information generally available to the public and from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit-related analyses and data, research, valuations, model, software or other S&P Dow Jones Indices: S&P GSCI Inverse Crude Oil Methodology Supplement 4

6 application or output therefrom) or any part thereof (Content) may be modified, reverse-engineered, reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of S&P Dow Jones Indices. The Content shall not be used for any unlawful or unauthorized purposes. S&P Dow Jones Indices and its third-party data providers and licensors (collectively S&P Dow Jones Indices Parties ) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Dow Jones Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. THE CONTENT IS PROVIDED ON AN AS IS BASIS. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indices Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages. S&P Dow Jones Indices keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P Dow Jones Indices may have information that is not available to other business units. S&P Dow Jones Indices has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. In addition, S&P Dow Jones Indices provides a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. S&P Dow Jones Indices: S&P GSCI Inverse Crude Oil Methodology Supplement 5

7 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ < S&P GSCI Inverse Crude Oil Index Total Return 지수산출방법론 > 1. 지수명칭 : S&P GSCI Inverse Crude Oil Index Total Return 2. 지수개요 : 해당지수는인버스지수로 NYMEX에상장되어있는 Crude Oil 선물의일일수익률을 -1 배수로추적하는전략을지수화하였습니다. 본증권의기초지수의경우선물의롤오버비용을반영하고있는 IndexER(Excess Return) 을기반으로하여, 3개월미국 Treasury Bill 채권수익률을지급하는 IndexTR(Total Return) 지수를기초지수로사용하고있습니다. 선물 (Futures) 을기초자산으로하는지수의종류에는 ER(Excess Return) 지수, TR(Total Return) 지수가있습니다. IndexER(Excess Return) 지수지수를구성하고있는선물의가격변화에선물만기시발생하는만기이월효과 (Rollover Effect) 를반영하여산출하는지수. 만기월선물과교체대상월선물과의가격차이에서발생하는양 (+) 의효과와부 (-) 의효과가반영되어산출됩니다. 이효과를롤오버비용이라고합니다. IndexTR(Total Return) 지수 ER(Excess Return) 지수가선물로구성되어있으므로, 실제투자가이뤄지지않는증거금등을제외한부분에대해단기금리 ( 예를들어 T-bill) 로지불한다고가정하여 Excess Return에단기채권수익률을가산하여산출한지수입니다. 만기이월효과 (Rollover Effect): 최근월물을차근월물로교체할때발생하는효과 만기월선물과교체대상월선물과의가격차이에서발생하는양 (+) 의효과와부 (-) 의 효과가있습니다. Contango( 콘탱고 ) 선물매수포지션롤오버시투자자비용발생. 오버시기에차근월물의가격이보유중인최근월물보다높게형성되어있을경우 (contango 상황 ) 보유중인최근월물을낮은가격에매도하고차근월물을높은가격으로매수하게되어최근월물과차근월물의가격차이만큼비용이발생합니다

8 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ Backwardation( 백워데이션 ) 선물매도포지션 ( 인버스 ) 롤오버시투자자비용발생. 롤오버시기에차근월물의가격이보유중인최근월물보다낮게형성되어있을경우보유중인최근월물을높은가격에매수하고차근월물을낮은가격으로매수하게되어최근월물과차근월물의가격차이만큼비용이발생합니다. Ex) 만기이월효과예시 3. 기준시점 : 1995 년 1 월 16 일 ( 월 ) 4. 기준지수 : pt 5. 산출시간 : ( 한국시간 ) 23:00~04:30 ( 서머타임시행시 ) 22:00~03:30 6. 지수방법 : 별첨

9 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ < S&P GSCI Inverse Crude Oil Index Total Return 지수산출방법 > 본증권의기초지수의경우선물의롤오버비용을반영하고있는 IndexER(Excess Return) 을기반으로하여, 3 개월미국 Treasury Bill 채권수익률을지급하는 IndexTR(Total Return) 지수를기초지수로사용하고 있습니다. IndexTR 산출방법 : = ( + ) = 3-Month US Treasury Bill 의일일수익률 일반적으로선물에투자할경우해당선물의증거금부분만실제투자되고있습니다. 해당기초지수는 Brent Crude Oil 선물에투자하는것을목적으로하고있습니다. 따라서해당선물의증거금을제외한실제투자가이루어지지않는부분에대해단기금리 (T-bill) 수익률을가산하여계산 (IndexTR) 되고있습니다. 산출방법 = [ ] -1 = 지수산출시점부터전해당선물영업일까지의달력일자수 = 주중발표된미국국채 91 일물의주간할인율중가장높은수익률. 일반적으로미국재무부에서매주월요일에발표하며월요일이휴일일경우금요일할인율적용. IndexER 산출방법 : = + ) ( ) = 1 롤오버 (Roll-over) 기간이아닐경우 ( 최근월물가격변동만반영 ) =, =,

10 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ 롤오버 (Roll-over) 기간일경우 ( 최근월물과차근월물의가격변동반영 ) =,, +,, =,, +,, - t: 지수산출시점, t-1 : 해당선물시장의직전거래일 - y: 최근월물기초자산선물, z: 차근월물기초자산선물 -, = t 시점의최근월물기초자산선물비중, = t 시점의차근월물기초자산선물비중 롤오버비중 5번째영업일 6번째영업일 7번째영업일 8번째영업일 9번째영업일 롤오버기간아닐경우 CWy( 최근월물 ) 80% 60% 40% 20% 0% 100% CWz( 차근월물 ) 20% 40% 60% 80% 100% 0% 롤오버기간이아닐경우 CWy의비중이 100% 이므로, 해당선물최근월물의가격변동에의해기초지 수값이결정됩니다. 해당선물의롤오버방법의경우하단의 롤오버방법 부분을확인하시기바랍 니다. -, = t 시점의최근월물선물정산가격, = t 시점의차근월물선물정산가격 기초지수산출예시 롤오버기간 롤오버기간아닐시 롤오버기간시 Date 최근월물 (CLG5) 차근월물 (CLH5) CWy CWz Pt-1 Pt Pt/Pt-1 IndexER % 0% % 0% % 0% % 0% % 20% % 40% % 60% % 80% % 100%

11 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ 롤오버종료 % 100% 상기표의최근월물 (CLG5) 은 1 월 20 일만기가도래함에따라만기전인 1 월 15 일에기초지수의롤오 버가종료됩니다. 이후최근월물은 CLH5 가되며, 다음롤오버기간전까지 CLH5 종목으로기초지수 가산출됩니다. Ex) 15 년 1 월 9 일의경우 = (80% 48.36)+(20% 48.99) = = (80% 48.79)+(20% 49.28) = = = = 1+ 1) ( 1) = ( 1) ( ) =6.66 롤오버 (Rollover) 방법 해당기초지수는매월 5 영업일부터 9 영업일까지 ( 미국영업일기준 ) 일별 20% 씩최근월물에서차근월물 로롤오버를시행하고있습니다. Ex) 2015 년 Crude Oil 선물롤오버스케쥴 CWy( 최근월물비중 ) CWz( 차근월물비중 ) 5 영업일전 4 영업일전 3 영업일전 2 영업일전 1 영업일전비고 80% 60% 40% 20% 0% - 20% 40% 60% 80% 100% - 1 월 월 월 월 월 월 월 월 월 월 월 월 해당기초지수의롤오버스케쥴은매년 1 월중당사 ETN 홈페이지 ( 에게시 될예정입니다.

12 APCPCWM_ :WP_ WP_ APCPCWM_ :WP_ WP_ Ex) Crude Oil 선물코드체계 Code 기초자산 1 월 2 월 3 월 4 월 5 월 6 월 7 월 8 월 9 월 10 월 11 월 12 월 CL Crude Oil F G H J K M N Q U V X Z Crude Oil 선물의코드의경우 CL + 월물코드 + 연도의체계로구성되어있습니다. 따라서 15년 1월 물 CLF15, 2월물은 CLG15, 3월물 CLH15, 4월물 CLJ15, 5월물 CLK15, 6월물 CLM15, 7월물 CLN15, 8월물 CLQ15, 9월물 CLU15, 10월물 CLV15, 11월물 CLX15, 12월물 CLZ15 로표시됩니다. Crude Oil 선물의경 우만기가결제월이전달 25일의 3영업일전으로, 해당결제월전월에만기가도래하게됩니다. Ex) 2015 년기초지수 Crude Oil 선물월별보유현황 Code 기초자산 1 월 2 월 3 월 4 월 5 월 6 월 7 월 8 월 9 월 10 월 11 월 12 월 CL Crude Oil G H J K M N Q U V X Z F 3월 20일현재 5월물 Crude Oil Futures 선물 ( 코드 :CLK15, 만기 4월 21일 ) 로기초지수가구성되어있 으며, 4월의 5영업일부터 9영업일 ( 미국기준 ) 까지매일 20% 씩롤오버가되어 10영업일째부터는 6월물 Crude Oil Futures 선물 ( 코드 :CLM15, 만기 5월 19일 ) 로기초지수가구성되게됩니다.

<4D F736F F D20C0CEB9F6BDBA32585FB1DD5FBCB1B9B05F45544E5FB1E2C3CAC1F6BCF6B9E6B9FDB7D E646F6378>

<4D F736F F D20C0CEB9F6BDBA32585FB1DD5FBCB1B9B05F45544E5FB1E2C3CAC1F6BCF6B9E6B9FDB7D E646F6378> Index methodology 2018-05-08 Index Underlying Futures Contract Symbol Exchange DJCI 2X Inverse Gold TR Gold Futures GC COMEX 1. 지수명칭 : Dow Jones Commodity Index 2X Inverse Gold TR 2. 지수개요 : 해당지수는 COMEX에상장되어있는금선물의일일수익률을