Nomura Crude Oil Index — Index rulebook

This rulebook sets out the methodology of the Nomura Crude Oil Index, an index designed to track movements in crude oil prices. It mimics the performance of investments in crude oil futures and incorporates a rollover mechanism to enable investment that tracks the index. The index comprises NYMEX WTI Light Sweet Crude Oil futures. Depending on the calculation date, the contract months used are either the 3rd, 4th and 5th or the 2nd, 3rd and 4th contract months, and constituents are changed only on reconstitution dates. The index base date is 31 December 2008 and the base value is 1,000. The Nomura Crude Oil Long Index is calculated as index value(t) = (1 + return(t)) x index value(t-1), with the return derived from the weighted settlement prices of the constituents on the current and preceding business day. Index data are available via Bloomberg (NMLSCOIL Index), QUICK and LSEG.