London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 1
The Credit Suisse Commodity Index Framework Summary Operating Manual
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
B1. Index Parameters
B. Index Parameters
Oct-13
Disclaimers and Legal Considerations
Executive Summary - General Index Characteristics
CSCU4BK Index Advisory Committee
Index publication
1. Key Index Terms and Definitions
2. The CSCU4BK Allocation Model
3. CSCU4BK Index Parameters
Appendixes
This Section B1. Index Parameters should be read in
conjunction with Section A. Core Index Methodology and is an
abridged version of the full Section B. Index Parameters.
Capitalised terms used but not defined herein shall have the
meaning ascribed to them in Section A.
Section A. and Section B. together constitute the Index
Operating Manual in respect of the Credit Suisse
Backwardation UCITS Index (CSCU4BK).
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 2
Summary
Contents Disclaimers and Legal Considerations ............................................................................................ 3
Executive Summary - General Index Characteristics ....................................................................... 7
Index publication ............................................................................................................................ 8
1. Key Index Terms and Definitions ................................................................................................. 0
2. The CSCU4BK Allocation Model ............................................................................................... 2
3. CSCU4BK Index Parameters ..................................................................................................... 6
Appendix ..................................................................................................................................... 11
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 3
Disclaimers and Legal Considerations
This disclaimer extends to CSi, its affiliates or it’s designate in any of its capacities as Index Sponsor,
Index Calculation Agent and its constitution of the Index Advisory Committee, and Framework Steering
Committee, and any reference to CSi shall also mean a reference to its affiliates or designates in any
such capacity.
This document is published by CSi. CSi is authorised by the Prudential Regulation Authority (“PRA”)
and regulated by the Financial Conduct Authority (“FCA”) and the PRA. Notwithstanding that CSi is so
authorised and regulated, the rules of neither the PRA nor the FCA are incorporated into this
document.
The Index Sponsor and the Index Calculation Agent are the same entity and the members of the
Framework Steering Committee and Index Advisory Committee may be employed by Credit Suisse AG
and CSi or its affiliate may be the issuer of the Investment Products. CSi and its affiliates may,
therefore, in each of its capacities face a conflict in its obligations carrying out such role with investors
in the Investment Products and may resolve such conflict in its own interests.
CSi is described as Index Sponsor under the Core Index Methodology and the Index. CSi may transfer
or delegate to another entity, at its discretion, the authority associated with the role of Index Sponsor
under the Index Operating Manual.
The Signals assigned through the CSi proprietary models are rule based, and in the absence of any
special event provided for in the Index Operating Manual, are not at the discretion of CSi.
This document is published for information purposes only and CSi expressly disclaims (to the fullest
extent permitted by applicable law) all warranties (express, statutory or implied) regarding this
document the Core Index Methodology or the Index, including but not limited to all warranties of
merchantability, fitness for a particular purpose of use and all warranties arising from course of
performance, course of dealing or usage of trade and their equivalents under applicable laws of any
jurisdiction.
CSi or its affiliates may offer securities or other financial products including the Investment Products
the return on which is linked to the performance of the Index. This document is not to be used or
considered as an offer or solicitation to buy or subscribe for such financial products nor is it to be
considered to be or to contain any advice or a recommendation with respect to such financial products.
Before making an investment decision in relation to such financial products one should refer to the
prospectus or other disclosure document relating to such financial products.
Trading and other transactions by CSi and/or its affiliates in the futures contracts comprising the Index
and the underlying commodities may affect the value of the Index, and there may be conflicts of
interest between investors in the Index and CSi and/or its affiliates. The Index is based on
commodities futures contracts as described in the Core Index Methodology. CSi and/or its affiliates
actively trade futures contracts and options on futures contracts on these commodities. CSi and/or its
affiliates also actively enter into or trade and market securities, swaps, options, derivatives, and related
instruments which are linked to the performance of these commodities or are linked to the
performance of the Index. CSi and/or its affiliates may underwrite or issue other securities or financial
instruments indexed to the Index, and CSi or its affiliates may license the Index for publication or for
use by unaffiliated third parties. These activities could present conflicts of interest and could affect the
value of the Index. For instance, a market maker in a financial instrument linked to the performance of
the Index may expect to hedge some or all of its position in that financial instrument. Purchase (or
selling) activity in the futures contracts included in the Index in order to hedge the market maker’s
position in the financial instrument may affect the market price of such futures contracts included in
the Index, which in turn may affect the value of the Index. With respect to any of the activities
described above, neither CSi nor its affiliates has any obligation to take the needs of any investors in
the Index into consideration at any time.
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 4
CSi (including its officers, employees and delegates) shall not be under any liability to any party on
account of any loss suffered by such party (however such loss may have been incurred) in connection
with anything done, determined, interpreted, amended or selected (or omitted to be done, determined
or selected) by it in connection with the Core Index Methodology or the Index. Without prejudice to the
generality of the foregoing, CSi shall not be liable for any loss suffered by any party as a result of any
determination, calculation, interpretation, amendment or selection it makes (or fails to make) in relation
to the construction or the valuation of the Index and, once made, CSi shall not be under any obligation
to revise any calculation, determination, amendment, interpretation and selection made by it for any
reason.
The Allocation Model is a proprietary model of CSi. Neither CSi nor any of its affiliates shall be under
any liability to any party on account of any loss suffered by such party (however such loss may have
been incurred) in connection with any change in any such model, or determination or removal in
respect of such model (or omitted to be changed, determined or removed).
Neither CSi nor any of its affiliates makes any warranty or representation whatsoever, express or
implied, as to the results to be obtained from the use of the Index, or as to the performance and/or
the value thereof at any time (past, present or future).
CSi as Index Sponsor (including its officers, employees and delegates) has no obligation and will not
take into account the interests of any investors in transactions or securities linked in whole or in part to
the Index when determining, composing or calculating such Index.
CSi as Index Sponsor or as Index Calculation Agent may delegate to an affiliate or a third party some
or all of its functions and calculations in respect of the Index.
The Core Index Methodology is proprietary to CSi. Neither CSi nor any of its affiliates shall be under
any liability to any party on account of any loss suffered by such party (however such loss may have
been incurred) in connection with any change in any such model, or determination or removal in
respect of such model (or any omissions to make any such change, determination or removal).
The performance of the Index will depend, inter alia, on the performance of the underlyings in the
Index Components and the performance of the Allocation Model and CSi, therefore, makes no
guarantee or representation of any kind in relation to the performance of the Index, the level of which
may go down as well as up. Past performance of the Index is no guarantee of future performance.
CSi does not purport to be a source of information on market risks with respect to the underlyings in
any Index Component.
CSi as Index Sponsor or Index Calculation Agent does not warrant or guarantee the accuracy or
timeliness of calculations of the Index value and does not warrant or guarantee the availability of an
Index value on any particular date or at any particular time.
CSi is under no obligation to monitor whether or not a Commodity Disruption Event or an Index
Disruption Event has occurred and shall not be liable for any losses resulting from (i) any determination
that a Commodity Disruption Event or Index Disruption Event has occurred or has not occurred in
relation to an Index Component in the Index, (ii) the timing relating to the determination that a
Commodity Disruption Event has occurred in relation to an Index Component in the Index or (iii) any
actions taken or not taken by CSi as a result of such determination that an Commodity Disruption
Event or Index Disruption Event has occurred.
Unless otherwise specified, CSi shall make all calculations, determinations, amendments,
interpretations and selections in respect of the Index. CSi (including its officers, employees and
delegates) shall have no responsibility for good faith errors or omissions in its calculations,
determinations, amendments, interpretations and selections as provided in the Core Index
Methodology. The calculations, determinations, amendments, interpretations and selections of CSi
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 5
shall be made by it in accordance with the Core Index Methodology and the Index Parameters, acting
in its sole, absolute and unfettered discretion, but in good faith (having regard in each case to the
criteria stipulated herein and (where relevant) on the basis of information provided to or obtained by
employees or officers of CSi responsible for making the relevant calculations, determinations,
amendments, interpretations and selections). For the avoidance of doubt, any calculations or
determinations made by CSi under the Core Index Methodology on an estimated basis shall not be
revised following the making of such calculation or determination.
CSi is the final authority on the Index and the interpretation and application of the rules in the
Operating Manual (the Core Index Methodology and the Index Parameters).
CSi may supplement, amend (in whole or in part), revise or withdraw the Index Operating Manual at
any time if the Index is no longer calculable under the Index Operating Manual. Such a supplement,
amendment, revision or withdrawal may lead to a change in the way the Index is calculated or
constructed. CSi may determine that a change to the Index Operating Manual is required to address
an error, ambiguity or omission. Such changes, for example, may include changes to eligibility
requirements or construction as well as changes to the Core Index Methodology
All amendments to the Index Operating Manual are proposed by the Index Advisory Committee via its
members. The proposed changes are approved or rejected by the Framework Steering Committee and
are documented in the Index Operating Manual.
CSi will apply the Credit Suisse Commodity Index Framework Operating Manual in a reasonable
manner and in doing so may rely upon various sources of market information.
No person may reproduce or disseminate the information contained in this document without the prior
written consent of CSi as Index Sponsor. This document is not intended for distribution to, or use by
any person in a jurisdiction where such distribution or use is prohibited by law or regulation.
The Index Operating Manual shall be governed by and construed in accordance with English law.
Investment Products
CSi or its affiliates may offer securities or other financial products (“Investment Products”) the return
on which is linked to the performance of the Index. These Investment Products may include options,
swaps, other over-the-counter derivatives, certificates and notes. The Index was developed with the
formation of such Investment Products and related hedging strategies as key commercial elements to
its development. Accordingly, CSi’s approach to the Index has been, and any change to the Index will
be, influenced by CSi’s objective of creating and maintaining a commodity index that is suitable as an
underlying for Investment Products.
Notice
These Index Rules, the Excess Return Index Level or Total Return Index Level and any other
information contained in the Index Rules may not be reproduced or disseminated in any form without
the prior written permission of Credit Suisse International. No one is permitted to use any of the
information in these Index Rules, any information contained herein or the Excess Return Index Level or
Total Return Index Level in connection with the writing, trading, marketing, or promotion of any
financial instruments or products or to create any indices.
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 6
Copyright © 2009 – 2014 CREDIT SUISSE GROUP AG and/or its affiliates.
All rights reserved. "Credit Suisse", “Credit Suisse AG”, the Credit Suisse logo, "Credit Suisse
Commodity Index" are trademarks or service marks or registered trademarks or service marks of Credit
Suisse Group AG or one of its affiliates.
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 7
Executive Summary - General Index Characteristics
Main Characteristics
The Credit Suisse Backwardation UCITS Index (“CSCU4BK”, or the “Index”) is a Long-Only Index
of Indexes, dynamically allocating to the components with the highest degree of backwardation
within the Investment Universe,
History: CSCU4BK was designed and launched in 2012, with Index levels back-tested to 1998,
CSCU4BK Components: The CSCU4BK Index Components are selected from the universe of
CSCB 4x6F and prompt single commodity indices. Only commodities with a CSCB Prompt target
investment weight that is greater than 1% are included into the Universe,
Weighting & Rebalancing: CSCU4BK features a monthly reweighting and rebalancing
mechanism,
Reweighting/Roll Period. In respect of a monthly Calculation Period, the Reweighting Period of
CSCU4BK takes place monthly and begins on the 5th Index Business Day of each month and ends
on the 9th Index Business Day of each month at the rate of 20% per day.
CSCU4BK Index Advisory Committee
Any amendments to the Core Index Methodology and/or Index Parameters documents are
proposed by the Index Advisory Committee via its members. The proposed changes are approved
or rejected by the Framework Steering Committee and are documented in this Index Operating
Manual.
Index documentation: structure of the Index Operating Manual
Each Index described under the Framework is documented by two separate master sections: a
section A. called Core Index Methodology which is common to all indices, and a Section B. called
Index Parameters which is specific to a given version of the Index calculation,
The Core Index Methodology provides an overall description of the Framework, describes the
meaning of Key Index Terms and provides definitions for terms and notions used throughout the
documentation. The section proposes an in-depth technical description of the calculations
performed for all indices under the Framework, regardless of the specific static data associated
with each version of the Index,
The Index Parameters section provides specific details regarding parameters used for a particular
version of the Index, such as :
The Calculation Engine,
The composition of the Index (selected from the Index Component Universe),
The weighting and/or allocation methodology and the definition of Target Investment Weights
(futures/forwards based indices) or Index Target Investment Weight (Index of Indices or
Generic Basket of Assets indices),
The Rebalancing periods,
The Roll Period,
The determination of Designated Commodity Derivatives Instruments (DCDI) and Index Pricing
Instruments (IPIs) (futures/forwards based indices),
London, Monday, 29 October 2012
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 8
Index publication
Information relating to the Index is accessible via a wide range of sources, including Bloomberg and
Reuters, and as defined in Table II below.
TABLE II. INFORMATION ON THE INDEX
Index Name Bloomberg Ticker (Excess Return) Ticker (Total Return)
CS Backwardation UCITS CSCU4BK <index> CSCU4BKE <index> CSCU4BKT <index>
Source: Credit Suisse, Index Calculation Agent
Rounding of published Index figures
All CSCU4BK Indices are calculated with 8 decimals precision following the procedure set forth in
Section B.3.6.
Published figures are provided to 2 decimals (for avoidance of doubt, an Index level of
1234.567898765… is published as 1234.57).
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 0
1. Key Index Terms and Definitions
1.1. Definitions
Term
Definition
Index Advisory
Committees
In respect of an Index, a committee with membership comprised of personnel
within CSi and other appropriate representatives outside the organization
relevant to such Index. The Index Advisory Committees are assigned with the
task of advising on operational and technical aspects relating to a specific
Index or Indices. The responsibilities of the Index Advisory Committees are
outlined in detail in Section A.2.
If not otherwise specified in the individual Section B of a given index, the
members of the Index Advisory Committee are as specified in Section A.2.3.
Index The “Credit Suisse Backwardation UCITS Index” or the “CSCU4BK”
Index Business Day A day on which the Index is scheduled to be published as determined by the
NYSE Euronext Holiday Schedule.
Any deviation from this schedule is ratified by the Framework Steering
Committee and is announced in advance
Index Sponsor CSi, or any successor to CSi which continues to calculate and publish the
Index. The Index Sponsor is responsible for approving certain actions under
this Index Operating Manual, giving consideration if possible to any advice
provided by the relevant Index Advisory Committee. In addition, the Index
Sponsor calculates and publishes the level of the Index in accordance with
this Index Operating Manual
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 1
1.2. Key Index Terms
Term
Definition
Allocation Model
A Credit Suisse proprietary systematic weighting and rebalancing model to
calculate the TIW used by the Index for the relevant Reference Period
(Please see Section B.2. The CSCU4BK Allocation Model)
Allocation Calculation
Date (ACD)
The day on which the Allocation Model is run. This is defined as the 4th Index
Business Day of each month.
Applicable Universe
The universe of Index Components as selected by the Allocation Model
described in the Section B.2. The CSCU4BK Allocation Model
Static Data Calculation
Date (SDCD)
The day on which associated static data is calculated as appropriate, and
defined as the 4th Index Business Day of each calendar month (also noted
as [0(m)].
Index Component
Level
(ICL)
With respect to an Index Component c, the official closing level of such Index
Component, as published by Index Publication Agent
Index Component c
An Index Component in the Applicable Universe
Disrupted Valuation
Day
A Disrupted Valuation Day as described in Section A.5. Disruption events
and Emergency
Roll Period
The period from and including the Index Business Day following the Static
Data Calculation Date to and including the 5th Index Business Day following
the Static Data Calculation Date (also noted [+1(m);+5(m)] for the first and
fifth Index Business Days in the Reference Period m)
Reference Period
(m)
For a given Calculation Date t, the period from and including the previous
Static Data Calculation Date to and excluding the next Static Data
Calculation Date.
Investment Universe
The universe of potential Index Components for the CSCU4BK Index (Please
see B.2.0. Definition of the CSCU4BK Investment Universe).
TIW
(also TIWmc)
The absolute US dollar notional investment weight associated to the Index
Component c for a given Reference Period m as a result of the Allocation
Model (also refer to the calculation, Section B.2. The CSCU4BK Index
Allocation Model)
Index Category
In respect to an index, this is defined as the Master Categories (as defined in
Section A - Core Index Methodology ) where at least 2 components
contained in a Master Category are Index Components in the Index
Index Category
Monitor List
The Index Categories where the sum of the Target Investment Weights
relating to the Index Components may breach the Category Cap
Category Cap
The maximum percentage of Target Investment Weights for a category in the
Index Category Monitor List
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 2
2. The CSCU4BK Allocation Model
The Credit Suisse Backwardation UCITS Index (CSCU4BK) is an Index of Indexes. It dynamically
allocates to the components with the highest degree of backwardation within the Investment Universe subject to the Sector constraints, and any applicable Sub-sector constraints, specified below.
The Index Sponsor shall review the Sector and Sub-sector constraints on an annual basis and, in
accordance with Section A.2.5, upon the occurrence or prospective occurrence of any Extraordinary
Event, and may amend, add or remove such constraints in order to ensure that the Index complies with
any applicable law or regulation.
2.0. Definition of the CSCU4BK Investment Universe and Sector / Sub Sector Maximum
Allocation
TABLE 2.0.2. CSCU4BK INVESTMENT UNIVERSE AND SECTOR / SUB SECTOR MAXIMUM ALLOCATION
Index Component
Underlying
Exchange
Bloomberg
Index
Ticker
Sector
Max
Sector
Allocation
Sub-
sector
Max Sub
Sector
Allocation
4 3
CSCB 59 4x6F WTI Crude
Oil
NYMEX CS59CLE2 Energy Oil
CSCB 59 4x6F Brent Crude
Oil
ICE CS59BRE2 Energy Oil
CSCB 59 4x6F NY Harbor
ULSD
NYMEX CS59HOE2 Energy Oil
CSCB 59 4x6F Gasoil ICE CS59GOE2 Energy
CSCB 59 4x6F RBOB
Gasoline
NYMEX CS59RBE2 Energy Oil
CSCB 59 4x6F Natural Gas NYMEX CS59NGE2 Energy
4
CSCB 59 4x6F Copper
grade A. LME
CS59CUE2 Industrial Metals
CSCB 59 4x6F Zinc high
grade LME
CS59ZNE2 Industrial Metals
CSCB 59 4x6F Aluminium
primary LME
CS59ALE2 Industrial Metals
CSCB 59 4x6F Nickel
primary LME
CS59NIE2 Industrial Metals
CSCB 59 4x6F Lead
Standard LME
CS59PBE2 Industrial Metals
4
CSCB 59 4x6F Gold COMEX CS59GCE2 Precious Metals
CSCB 59 4x6F Silver COMEX CS59SIE2 Precious Metals
CSCB 59 prompt Platinum NYMEX CS59PLER Precious Metals
CSCB 59 prompt Palladium NYMEX CS59PAER Precious Metals
4 1
CSCB 59 4x6F SRW Wheat CBOT CS59WHE2 Agriculture Wheat
CSCB 59 4x6F HRW Wheat KCBOT CS59KWE2 Agriculture Wheat
CSCB 59 4x6F Corn CBOT CS59CNE2 Agriculture
CSCB 59 4x6F Soybeans CBOT CS59SYE2 Agriculture
CSCB 59 4x6F Sugar #11 ICE CS59SBE2 Agriculture
CSCB 59 4x6F Coffee “C”
Arabica ICE
CS59KCE2 Agriculture
CSCB 59 4x6F Cotton ICE CS59CTE2 Agriculture
1
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 3
CSCB 59 4x6F Live Cattle CME CS59LCE2 Livestock
CSCB 59 4x6F Lean Hogs CME CS59LHE2 Livestock
Source: Credit Suisse, Index Advisory Committee.
Index Component Index Categories
Index Category
Monitor List
CSCB 59 4x6F WTI Crude Oil Oil Oil
CSCB 59 4x6F Brent Crude Oil Oil Oil
CSCB 59 4x6F NY Harbor ULSD Oil Oil
CSCB 59 4x6F Gasoil Oil Oil
CSCB 59 4x6F RBOB Gasoline Oil Oil
CSCB 59 4x6F Natural Gas
CSCB 59 4x6F Copper grade A.
CSCB 59 4x6F Zinc high grade
CSCB 59 4x6F Aluminium primary
CSCB 59 4x6F Nickel primary
CSCB 59 4x6F Lead Standard
CSCB 59 4x6F Gold
CSCB 59 4x6F Silver
CSCB 59 prompt Platinum
CSCB 59 prompt Palladium
CSCB 59 4x6F SRW Wheat Wheat
CSCB 59 4x6F HRW Wheat Wheat
CSCB 59 4x6F Corn
CSCB 59 4x6F Soybeans
CSCB 59 4x6F Sugar #11
CSCB 59 4x6F Coffee “C” Arabica
CSCB 59 4x6F Cotton
CSCB 59 4x6F Live Cattle
CSCB 59 4x6F Lean Hogs
Source: Credit Suisse, Index Advisory Committee.
The Category Cap is defined as 20% for Wheat and 35% for Oil
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 4
2.1. Determination of CSCU4BK Target Investment Weights (TIW)
2.1.1. The Allocation Model
On the Allocation Calculation Date, the Index Calculation Agent determines the components to be
included using the Allocation Model as follows:
STEP 1 Rank the components (i.e. the CSCB 59 single commodity indices) by backwardation in
descending order
STEP 2 Apply any applicable sub sector constraints by removing the lowest ranked component in the
relevant sub sector.
STEP 3 Apply the sector constraints by removing the lowest ranked component in the relevant sector.
STEP 4 Select the top 9 components and assign TIWs of 1/9 to each of the 9 selected components.
The rest of the components receive TIWs of 0%.
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 5
2.1.2. Reweighting/Roll Periods
The CSCU4BK index utilizes one Reweighting/Roll Period per Reference Period:
The Reweighting/Roll: taking place monthly, it starts on the 5th Index Business Day and ends on the
9th Index Business Day of each month.
The procedure is illustrated in Exhibit I below.
EXHIBIT I. THE CALCULATION PERIOD, THE REFERENCE PERIOD AND THE STATIC DATA CALCULATION DATE
ROLL/REWEIGHTING PERIOD, EXAMPLE NOV2010- JAN2011
Source: Credit Suisse, Index Advisory Committee
2.2. Calculation of CSCU4BK Static Data Parameters
The Calculation Engine detailed in Section A.6.3. Generic Basket of Assets Calculation Methodology
is applied to the Target Investment Weights defined above for the Reference Period m.
For the purpose of each Roll/Reweighting Periods, the following Static Data is calculated:
The Units Weights.
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 6
3. CSCU4BK Index Parameters
3.0. Calculation Engine
The CSCU4BK references the calculation methodology formulated in Section A.6.3. Generic Basket
of Assets calculation methodology.
3.1. CSCU4BK Investment Universe
The CSCU4BK Index Components are selected from the universe of CSCB 4x6F and prompt single
commodity indices. Only commodities with CSCB prompt target investment weight that is greater than 1%
are included into the Universe. The universe of CSCB single commodity indices and their respective
target weights in the CSCB Index are reviewed annually. Any additional commodities, recommended
by the Index Advisory Committee, are reviewed by the Framework Steering Committee at their AGM
for inclusion in the following calendar year.
The CSCU4BK Index Components, selected from the broad universe of commodities, invest in a variation
of the CSCB 4x6F single commodity indices referred to as the CSCB 59 4x6F single commodity indices
(see Appendix for further details). If a CSCB 59 4x6F single commodity index is not available, the relevant
CSCB 59 prompt single commodity index is used as the index component.
The Calculation Agent for all CSCU4BK Index Components is CSi.
For further details on the CSCU4BK Investment Universe, please refer to table 2.0.2
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 7
3.2. Inclusion factors per Index Component
Inclusion factors are equal to ‘1’ in respect of each Index Component with a prompt TIW in the CSCB
index that is greater than 1%, and ‘0’ in respect of all other Index Components.
3.3. Roll Period, Reweighting and Static Data Calculation Date (SDCD)
Please refer to Section B. 2. The CSCU4BK Allocation Model, for a complete description of the
Reweighting and Roll mechanism.
TABLE 3.3.1. CSCU4BK REWEIGHTING & ROLL PERIOD Reference
Period Jan Feb Mar Apr May Jun Jul Apr Sep Oct Nov Dec
Roll & Reweight
Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Source: Credit Suisse, Index Advisory Committee. Yes (No): Reweighting occurs (doesn’t occur) during that month
The notation for the CSCU4BK Primary Roll Period is [+1(m)/+5(m)]. The Static Data Calculation
Date (SDCD) precedes the First Roll Day, noted [0(m)].
TABLE 3.3.2. CSCU4BK PRIMARY ROLL PERIOD
Month Jan Feb Mar Apr May Jun Jul Apr Sep Oct Nov Dec
Type Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom
SDCD 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m) 0(m)
FRD +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m) +1(m)
LRD +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m) +5(m)
Source: Credit Suisse, Index Advisory Committee.
3.4. FX rate source
Foreign exchange rates references required for any FX hedged versions of the CSCU4BK are as per
Table 3.4. below.
TABLE 3.4. FOREIGN EXCHANGE RATE DEFINITIONS AND SOURCES
Ccy
Definition
Data Source Time
EUR
The mid EUR-USD exchange rate, expressed as the amount of USD
per one EUR, as determined by WM Company, the calculation agent
and published on the relevant observation date
Bloomberg: WMCO <GO> & Menu
Ticker: EUR WMIS Curncy
7PM London
Source: Credit Suisse, Index Advisory Committee
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 8
3.5. Interest Rate Definitions
Collateral Reference Rates (CRR), CreditAdjustCCY and standard Total Return Index calculation
parameters for CSCU4BK are defined in Table 3.5. below.
TABLE 3.5. INTEREST RATE DEFINITIONS
Ccy
Definition or CRR
Data Source Rate
TypeCCY
Credit-
AdjustCCY
BasisCCY
Short-
BasisCCY
USD
3 months U.S. Treasury Bill
(91 days) “High Rate”
auction rate published by the
Bureau of public Debt as the
“treasury security auction
Results”
Reuters: USAUCTION9
Bloomberg USB3MTA Index <GO>
Internet:
http://www.treasurydirect.gov/RI/OFGateway
T-Bill
0.0%
360
91
EUR
The EUR-EONIA-OIS-
COMPOUND rate as defined
in the 2006 ISDA Definitions
applicable on the relevant
value date as published daily
by the European Central
Bank
Reuters: EONIA
Bloomberg EONIA Index <GO>
Money
Market
0.0%
360
1
Source: Credit Suisse, Index Advisory Committee
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 9
3.6. Rounding
Table 3.6. below features the rounding characteristics used for the calculation of the CSCU4BK Index.
TABLE 3.6. ROUNDING CHARACTERISTICS
Parameter
Rounding methodology used
Weight Data
TIW Eight (8) decimal places1
Static Data
UW No rounding
Index Levels
Price Return Index (PR) Eight (8) decimal places1
Excess Return Index (ER) Eight (8) decimal places
Total Return Index (TR) Eight (8) decimal places
Source: Credit Suisse, Index Advisory Committee
(1): A quantity with value 0.12345678998756 (resp. 12.345678998756%) shall be rounded to 0.12345679 (resp. 12.345679%)
3.7. Disrupted Valuation Day methodology
The following table indicates the methodology adopted for each Reweighting Period. Please refer to
Section A.6.3. for a detailed description of methodologies supported by the Generic Baskets of Assets
calculation methodology.
TABLE 3.7. CSCU4BK - COMMODITY DISRUPTION EVENT METHODOOGY
Month Jan Feb Mar Apr May Jun Jul Apr Sep Oct Nov Dec
Roll &
Reweight S S S S S S S S S S S S
Source: Credit Suisse, Index Advisory Committee.
S : Methodology for that month is the Standard Roll methodology
E : Methodology for that month is the Extended Roll methodology
3.8. Total Return index Calculation methodology
For the purpose of the calculation of the CSCU4BK Total Return Index, the Index uses the Daily
Equivalent Rate method (see Section A. 6.3.4.3. Calculation of the Total Return Index).
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 10
3.9. Inception and Reference Dates
Table 3.9 below states the various dates for the CSCU4BK Index.
TABLE 3.9. INCEPTION AND REFERENCE DATES
Item
Date Comment
First Reference Date1 05-Feb-1998
Last Backtest Date2 18-Oct-2012
Launch Date3 19-Oct-2012
Source: Credit Suisse, Index Advisory Committee
(1): the first base date, or “Day 0” for which the index takes a pre-defined value, usually 100.
(2): the last date for which the index is produced on the basis of historical prices (“backtesting”).
(3): the first date on which the index is published in the marketplace.
3.10. Correlation Process
The Correlation Process Flag is set to Yes for the Index.
If, for 2 Index Components, the percentage of 250 Day Correlations, (as calculated for a 5 year
period) that are below the 80% level, is below 75%, then for the purpose of monitoring compliance
with the Category Caps, the 2 Index Components are considered to be the same Index Component
and the sum of their Target Weights is considered to be the Target Weight for the combined Index
Component.
If the above condition holds true for multiple Index Components within the same Index Category, then
the Target Weights for all such Index Components will be aggregated for the purpose of monitoring
compliance with the relevant Category Cap.
London, Wednesday, 16 October 2013
v1.00, H1-2013
Commodity Group
Credit Suisse Commodity Index Framework
The Credit Suisse Backwardation UCITS Index (CSCU4BK)
Page 11
Appendix
CSCB 59 4x6F single commodity indices and CSCB 59 Prompt single commodity indices
The CSCB 59 4x6Fsingle commodity indices and CSCB 59 Prompt single commodity indices are the same
as the relevant CSCB 4x6F single commodity indices and CSCB Prompt single commodity indices defined
in Index Operating Manual in respect of the Credit Suisse Commodity Benchmark (CSCB) except for the
following feature:
In the CSCB 59 4x6F single commodity indices and CSCB 59 Prompt single commodity indices, the
monthly roll period begins on the 5th Index Business Day and ends on the 9th Index Business Day of each
month, rolling at a rate of 1/5 each Index Business Day.
In the CSCB 4x6F single commodity indices and CSCB Prompt single commodity indices, the monthly roll
period begins on the 5th Index Business Day prior to the last Index Business Day of the previous month and
ends on the 9th Index Business Day of the month, rolling at a Rate of 1/15 each Index Business Day.