Nikkei-TOCOM Commodity Index Components to be Changed According to Suspension of Aluminum Trading

12.02.2009


Tokyo Commodity Exchange, Inc. (“TOCOM” or the “Exchange”) today announced that the Exchange is to exclude the Aluminum futures contract from the components of the Nikkei-TOCOM Commodity Index, and to adopt a new weight percentage from January 1, 2010 onwards.

TOCOM has made this change based on the Tokyo Commodity Exchange Index Guidebook (please refer to the excerpt on the following page) as the suspension of the trading of the Aluminum futures contract was approved by the Minister of Economy, Trade and Industry on November 30, 2009. From January 1, 2010 onwards, following changes will be made to the calculation of the Index.  

  1. Aluminum will be excluded from the components of the Nikkei-TOCOM Commodity Index.
  2. Aluminum will be excluded from the components of the Nikkei-TOCOM Nearby Month Commodity Index
  3. Calculation of the Nikkei-TOCOM Aluminum Index will be suspended.

The weight percentages of the Nikkei-TOCOM Commodity Index before and after January 1, 2010 are as follows:

aaaaaaaaaaaaaaaaaaaa [ Weight Percentage of the Nikkei-TOCOM Commodity Index ]

  Gold Silver Platinum Palladium Aluminum Gasoline Kerosene Crude Oil Rubber
From January 2010
24.72%
1.06%
9.32%
0.84%
-
17.92%
8.74%
33.46%
3.94%
Current
24.64%
1.04%
9.24%
0.82%
2.81%
17.25%
8.48%
31.83%
3.89%
Difference
+0.08%
+0.02%
+0.08%
+0.02%
-2.81%
+0.67%
+0.26%
+1.63%
+0.05%

 

As for the trading of the Aluminum futures contract, a new contract month will not be generated beyond the existing back contract month, which is the October 2010 contract. When it reaches the last trading day on October 26, 2010, all trading of the Aluminum futures contract will be suspended thereafter.

# # #

«Reference»aaa "Tokyo Commodity Exchange Index Guidebook" (excerpt)

3.2 Methods and Timing for Reviewing Components
3.2.2 When liquidity lowers

When, as a result of low liquidity, a listed commodity is to be suspended, the commodity remains a component of the Nikkei-TOCOM Commodity Index until the last business day of the month, if at least one month has elapsed following the decision (or approval) to suspend the contract, after which it will be excluded from the components. Accordingly, its weight percentage will be provisionally reviewed.

5.3 Review of share
5.3.2 Extraordinary review

The share is subject to an extraordinary review when a certain listed commodity is excluded from the components of the Nikkei-TOCOM Commodity Index. For purposes of calculating the share, the statistics (imports, etc.) currently in use are employed to calculate a new share after excluding the constituent in question. The new share will remain in effect until the next periodic review.
 
How the scale of the futures market is formulated: The scale of the futures market is calculated by dividing the average of open interests at end-of-month during the previous year (in value terms) by the sum of the averages of open interests at end-of-month for all components during the previous year.
 
How the scale of the cash market is formulated: The scale of each cash market is calculated by dividing imports of each component (in value terms) in the previous year by imports of all the components (in value terms) in the previous year. For oil products such as gasoline and kerosene, monthly domestic sales multiplied by the end-of-month price of each component is used in the place of imports (in value terms). For crude oil, the monthly domestic sales of oil products such as gasoline and kerosene are subtracted from the monthly imports of crude oil, the resulting number of which is then multiplied by the end-of-month price.
 

 

 

 

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