AMCI

Introduction

The AMCI (ASTMAX Commodity Index) is the new type commodity index designed by ASTMAX Co., Ltd. to provide investors with a reliable and truly investable commodity benchmark for investment performance in the commodity futures market.

The AMCI is the Japanese first investable JPY denominated index representing long-only and unleveraged investment into commodity futures.

Features

The AMCI is designed to provide:

• True investability
• Transparency
• Sensitivity to the underlying commodities

The AMCI is a Japanese Yen denominated Commodity Index reflecting the performance of commodity futures, precious and base metals and energy sectors, listed on TOCOM. Our principles behind the construction of this index are investability, transparency and sensitivity to the underlying commodity market. The explicit criterion of liquidity as one of weighting factors must help the AMCI in accommodating substantial investment money.

Calculation & Rolling over

The AMCI is indexed to a value of 100 on September 10, 2001 when Middle East crude oil (the average value of Dubai and Oman, which acts as the benchmark price of Middle East crude oil) was listed on TOCOM. The performance is calculated by the opening price provided by TOCOM based on the weighting ratio decided by ASTMAX Co. Ltd.

The portfolio is shifted from 5th contract month to 6th contract month (the most distant contract month from the nearby contract month) at a rate of 20% per day in a gradual process for the five days of the roll period from the next trading date of inauguration of a new contract month. Until just before the end of the first trading date of a new contract month, the entire AMCI portfolio is composed of commodity futures by the 5th contract month. At the beginning of the second trading date, the portfolio is adjusted so that 20% of existing holdings are shifted from 5th contract month to 6th contract month with 80% remaining the 5th contract month. This roll process continues on the 3rd, 4th, 5th and 6th at the same rate of 20%. At the beginning of the 6th trading date, the balance of the old 6th contract month (current 5th contract month) is rolled over and the shift should be completed. On the process of rolling over, JPY500 per contract unit as a brokerage commission is taken into account.

Since futures position can be held with relatively small margin money, surplus fund can be invested to earn risk free return. So it assumes that 50% of property was managed in the short-term government bond, the daily return on investment of Japan Government 3month Bond Simple Yield adds to the index.

Individual commodities are screened by ASTMAX Co., Ltd. on the concept of high-liquidity and sensitivity to the underlying commodity market for inclusion in the AMCI.

The AMCI is re-weighted basically once a year from the standpoint of high-liquidity, true investablity, sensitivity to the underlying commodity market. The exceptions to the foregoing are the cases when ASTMAX Co., Ltd. makes decisions to review the weighting due to the pressing matter; 1. significant changes of the carrying cost of respective commodity and 2. dramatic changes of liquidity, new listing and de-listing. The annual screening for inclusion in the AMCI and weightings are made by ASTMAX Co., Ltd.'s fund manager and then authorized by Investment Committee. Investment Committee consists of the members appointed by President & C.E.O.　The AMCI is published at approximately 5:00 pm (Japanese time) and is available on web site ( http://www.astmax.com ) on a daily basis.

Current Components & Weighting

Gold (28.0%), Silver (4.5%), Platinum (18.7%), Palladium (0.8%), Aluminum (4.9%), Crude Oil (25.0%), Gasoline (8.9%), Kerosene (6.2%) and Rubber (3.0%).

Contact		Marketing Department
TEL		+81-3-5447-8430

Disclaimer

• The data and information presented here reflect methodology to determine the components, weighting and calculation of the ASTMAX Commodity Index (the "AMCI").
• The information is solely for your internal use and may not be used for the purpose of investment judgment on the basis of the AMCI.
• The information here is for your private information and use only and is not to intend as an offer to sell or solicitation of any offer to buy.
• While all information herein has been updated carefully, it is not warranted by ASTMAX Group.
• Past figure is not indicative of future figure.