Notice regarding benchmark index for NEXT FUNDS NOMURA Crude Oil Long Index Linked Exchange Traded Fund (Code:1699)
Nomura Securities Co., Ltd., the calculation company of the "NOMURA Crude Oil Long Index" which is the benchmark index for aforementioned ETF, has announced a change in the calculation rules for the index, and therefore Nomura Asset Management would like to inform you of the details of the change and the measures to be taken by the ETF in response thereto.
<Changes in the benchmark index>
The following changes are planned with respect to the contract months subject to the calculation of "NOMURA Crude Oil Long Index" which is the benchmark index of the ETF.
| After Change | Before Change |
|---|---|
| WTI Crude Oil Futures contracts for the first or second to the next 3 contract months (Second, third and fourth contract months or third, fourth and fifth contract months) | WTI Crude Oil Futures contract for the first or second contract month |
*The futures contracts have maturities (delivery month) with the first and second... contract months ending closest to maturity.
Calculation rules will be changed effective from November 30, 2020.
For details please refer to the following notice announced by Nomura Securities Global Research Division, Financial Engineering & Technology Research Center.
http://qr.nomura.co.jp/jp/oil/docs/NCOIL_announce_20201005_e.pdf
<Response to the target ETF>
The revised calculation rules aim to diversify the target delivery month and are considered to be in line with the purpose of the index to track the price movements of crude oil prices by investing in crude oil futures. In addition, we determined that this change will enable us to provide asset management linked to the relevant benchmark index on an ongoing basis while preserving assets, so we will continue to manage assets using "NOMURA Crude Oil Long Index" as the benchmark index.
Expiration months with short maturities tend to be more affected by short-term supply and demand. As a result of the change in the calculation rules, the target delivery month for the index will be changed from a single delivery month to three delivery months with relatively longer maturities, so the impact on price movements of the index due to short-term fluctuations in supply and demand is expected to be smaller than before the change.
In addition, from the viewpoint of preserving trust assets, the ETF has been responding to the early transfer to the forward delivery months and the diversification of the delivery months. As a result, it is expected that the ETF will be more closely linked to the benchmark index.