Notice
October 5, 2020
Nomura Securities Co., Ltd.
Global Research Division,Financial Engineering & Technology Research CenterIndex Operation Dept.

Changes to the Rules of Nomura Crude Oil Index
Considering a circumstance of recent crude oil prices (negative prices and etc.), Nomura Index Operations
Department will implement the following changes to the rules of Nomura Crude Oil Long Index
construction.
1. Subject Index
Nomura Crude Oil Long Index
2. Effective Date
November 30, 2020
3. Details
New York Mercantile Exchange is referred to hereafter as EXCHANGE.
＜Reconstitution＞
Current rule
①Adopts 50 % of the inclusion ratio of each 1stNew rule
Adopts equal weight of the inclusion ratio of the 3rd,and 2nd contract month on the EXCHANGE

4th and 5th contract months on the reconstitution

trading day after the first Tokyo anddate defined below. (The 3rd, 4th and 5th contract

EXCHANGE trading day from the fifthmonths will be the 2nd, 3rd and 4th contract months

EXCHANGE trading day of the month ~ thefrom the day after the last trading day.)second Tokyo trading day from the fifth Tokyoand EXCHANGE trading day of the month.

<Reconstitution Date>
The fifth EXCHANGE trading day from the last

② Adopts 100 % of the inclusion ratio of the 2ndtrading day.

contract month on the EXCHANGE trading day

When Tokyo is NOT open on such date, theafter the day of ①. (The 2nd contract month willreconstitution date will be set on a day after the fifth

be the 1st contract month from the day after thelast trading day.)

EXCHANGE trading day where both EXCHANGE
and Tokyo are open.

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＜Determination of VOLUME＞
Current rule

New rule

Decides VOLUME simultaneously with

Defines the last trading day as the Reconstitution

reconstitutions. Calculates VOLUME withBase Date, and determines VOLUME based on

VALUE on index calculation day prior to ① andboth market cap of every contract month on the② on <Reconstitutions>, and prices of contract

reconstitution base date and prices of contractmonths.

months after the next reconstitution.

＜Contract Month＞
Current rule

New rule■ When the latest Reconstitution Date≦

Front month roll.

calculation date≦the Reconstitution Base Dateright after the latest Reconstitution Date,
adopts the 3rd, 4th and 5th contract months.
■ When Reconstitution Base Date right after thelatest Reconstitution Date＜calculation date＜nextReconstitution Date,adopts the 2nd, 3rd and 4th contract months.

＜Calculation Methodology＞
Current rule

𝐼𝑁𝐷𝐸𝑋(𝑡) =𝑉𝐴𝐿𝑈𝐸 𝑖(𝑡)∑𝑖∈𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡

𝑉𝐴𝐿𝑈𝐸 𝑖(𝑡) =𝑗𝑗

𝑉𝑂𝐿𝑈𝑀𝐸 𝑖 (𝑡) × 𝑃𝑅𝐼𝐶𝐸 𝑖 (𝑡)∑𝑗∈𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡 𝑚𝑜𝑛𝑡ℎ𝑗

𝑉𝑂𝐿𝑈𝑀𝐸 𝑖 (𝑡)𝑗

𝑉𝐴𝐿𝑈𝐸 𝑖(𝑡 − 1) × 𝑊𝐸𝐼𝐺𝐻𝑇 𝑖 (𝑡)=𝑘𝑗

𝑃𝑅𝐼𝐶𝐸 𝑖 (𝑡 − 1)
𝑘𝑗

{𝑉𝑂𝐿𝑈𝑀𝐸 𝑖 (𝑡 − 1)

(if t − 1 is a Tokyo trading da𝑦)(if t − 1 is not a Tokyo trading day)𝑘Determine kj to refer on PRICE 𝑗𝑖 (𝑡) and PRICE 𝑗𝑖 (𝑡 − 1) of the same contract month. Whilst,
under a situation where kj is unfeasible to determine or unable to refer on the same contract
month, determine VOLUME 𝑗𝑖 (𝑡) as null.
2New rule

𝐼𝑁𝐷𝐸𝑋(𝑡) = (1 + 𝑅𝐸𝑇𝑈𝑅𝑁(𝑡)) × 𝐼𝑁𝐷𝐸𝑋(𝑡 − 1)

𝑅𝐸𝑇𝑈𝑅𝑁(𝑡) =∑𝑖∈𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡(𝑡) 𝑉𝑂𝐿𝑈𝑀𝐸𝑖 (𝑇(𝑡)) × 𝑃𝑅𝐼𝐶𝐸𝑖 (𝑡)−1∑𝑖∈𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡(𝑡) 𝑉𝑂𝐿𝑈𝑀𝐸𝑖 (𝑇(𝑡)) × 𝑃𝑅𝐼𝐶𝐸𝑖 (𝑡 − 1)

𝑉𝑂𝐿𝑈𝑀𝐸𝑖 (𝑇(𝑡)) =𝑉𝐴𝐿𝑈𝐸(𝑇0 (𝑡))÷ 𝑃𝑅𝐼𝐶𝐸𝑖 (𝑇0 (𝑡))3𝑖 ∈ 𝐶𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡𝑠(𝑡)𝑉𝐴𝐿𝑈𝐸(𝑇0 (𝑡)) =∑𝑉𝑂𝐿𝑈𝑀𝐸𝑖 (𝑇′(𝑡)) × 𝑃𝑅𝐼𝐶𝐸𝑖 (𝑇0 (𝑡))𝑖∈𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡(T(t))(∗1)






𝑡: 𝐶𝑎𝑙𝑐𝑢𝑙𝑎𝑡𝑖𝑜𝑛 𝑑𝑎𝑡𝑒(𝐸𝑋𝐶𝐻𝐴𝑁𝐺𝐸 𝑡𝑟𝑎𝑑𝑖𝑛𝑔 𝑑𝑎𝑦)𝑡 − 1: the preceding EXCHANGE trading date of t𝑇(𝑡): the last Reconstitution Date prior to t
𝑇 ′ (𝑡): the last Reconstitution Date prior to T(t)𝑇0 (𝑡): the last Reconstitution Base Date prior to T(t)𝑃𝑅𝐼𝐶𝐸𝑖 (𝑠): 𝐶𝑙𝑒𝑎𝑟𝑖𝑛𝑔 𝑝𝑟𝑖𝑐𝑒 (𝑈𝑆 𝑑𝑜𝑙𝑙𝑎𝑟 𝑝𝑒𝑟 𝑏𝑎𝑟𝑟𝑒𝑙) 𝑜𝑓 𝑎𝑛 𝑖𝑠𝑠𝑢𝑒(𝑖) 𝑜𝑛 𝑑𝑎𝑡𝑒 𝑠𝐶𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡𝑠(𝑡): 3𝑟𝑑, 4𝑡ℎ, 𝑎𝑛𝑑 5𝑡ℎ 𝑐𝑜𝑛𝑡𝑟𝑎𝑐𝑡 𝑚𝑜𝑛𝑡ℎ (𝑎𝑠 𝑜𝑓 𝑇(𝑡)) 𝑜𝑓 𝑊𝑇𝐼 𝑓𝑢𝑡𝑢𝑟𝑒𝑠 (*2)

𝑉𝑂𝐿𝑈𝑀𝐸𝑖 (𝑇(𝑡)): 𝐼𝑛𝑑𝑒𝑥 𝑐𝑎𝑙𝑐𝑢𝑙𝑎𝑡𝑖𝑜𝑛 𝑣𝑜𝑙𝑢𝑚𝑒 𝑜𝑓 𝑖𝑠𝑠𝑢𝑒(𝑖) 𝑎𝑑𝑜𝑝𝑡𝑒𝑑 𝑜𝑛 𝑇(𝑡)𝑉𝐴𝐿𝑈𝐸(𝑇0 (𝑡)): 𝑇𝑜𝑡𝑎𝑙 𝑠𝑢𝑚 𝑜𝑓 "Index calculation volume of issue(𝑖) adopted on T(t)" ×"𝑃𝑟𝑖𝑐𝑒 𝑜𝑓 𝑖𝑠𝑠𝑢𝑒(𝑖) 𝑜𝑛 𝑇0 (𝑡)" on whole constituents 𝑇(𝑡)(*1) 3rd, 4th and 5th contract months on 𝑇′(𝑡)(*2) These are 4th, 5th, and 6th contract months on 𝑇0 (𝑡), and 2nd, 3rd, and 4th contract months fromthe following EXCHANGE trading date of the Reconstitution Base Date immediately after 𝑇(𝑡).

End of announcement.
Contact:Nomura Securities Co., Ltd.
Financial Engineering & Technology Research CenterIndex Operations Dept.
E-mail: idx_mgr@jp.nomura.com
Tel: +81-(0)3-6703-3986

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