20101208 contag beta energy excess return index-alpha ... . an introduction to j.p. morgan contag...

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  • Contag Beta Energy Excess Return Index-Alpha Index

    Index Supplement to the

    J.P. Morgan Commander Standard Terms

    October 2010

    All Rights Reserved

  • 1. An Introduction to J.P. Morgan Contag Beta Energy Excess Return Index-Alpha Index

    The Contag Beta Energy Excess Return Index-Alpha Index (the Index) aims to provide market neutral exposure to the energy commodities sector by attempting to capture enhanced returns associated with roll returns achieved by the Contag contract selection methodology relative to the S&P GSCITM Energy Official Close Index Excess Return. The Index is long the difference between the J.P. Morgan Contag Beta Energy Class A Excess Return Index minus the S&P GSCITM Energy Official Close Index Excess Return. The Index has a Replication Adjustment Factor of 0.96% per annum.

    2. This Document and its Relationship to the Standard Terms

    This document, the J.P. Morgan Contag Beta Energy Excess Return Index-Alpha Index Index

    Supplement (the Index Supplement), sets forth index level specific terms needed to calculate this specific Index.

    This document should be read in conjunction with the October 2010 Standard Terms for the J.P. Morgan Commander Index Series (the Standard Terms), which is available at the following hyperlink:

    http://jpmorgan.com/directdoc/Commander_Standard_Terms_Final_Version_November_5_2010 This document explains index level specific terms (for example, this Index Supplement will

    specify the Constituents of the Index, the applicable Component Weights of such Constituents and other index specific items) and supplements the general form set forth in the Standard Terms. This Index Supplement together with the Standard Terms will constitute the Index Rules.

    For the avoidance of doubt, this Index Supplement may include a provision, formula or definition, and such provision, formula or definition will supersede and replace the relevant provision, formula or definition set forth the Standard Terms.

    This document may be amended or supplemented from time to time at the discretion of the Index Calculation Agent and will be re-published no later than thirty (30) calendar days following such amendment or supplement.

    This document is published by J.P. Morgan Securities Ltd. (JPMSL) of 125 London Wall, London EC2Y 5AJ, UK in its capacity as Calculation Agent. A copy of this document is available from the Index Calculation Agent.

    ALL PERSONS READING THIS INDEX SUPPLEMENT SHOULD REFER TO THE DISCLAIMERS AND CONFLICTS SECTIONS SET OUT IN THE ACCOMPANYING STANDARD TERMS AND CONSIDER THE INFORMATION CONTAINED IN THIS INDEX SUPPLEMENT IN LIGHT OF SUCH DISCLAIMERS AND CONFLICTS OF INTEREST.

    NOTHING HEREIN CONSTITUTES AN OFFER TO BUY OR SELL ANY FINANCIAL PRODUCT, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE.

    Each of JPMSL and its affiliates may have positions or engage in transactions in securities or other financial instruments based on or indexed or otherwise related to the Index.

  • 3. General Terms relating to the Index

    The following terms set forth certain economics related to the Index. Terms relating to the composition of the Index are set forth on the following page. Index Inception Date: 30 Dec 1994

    Initial Index Level: 100 Bloomberg Page: [JMAB015E] Index Type: Excess return Rebalancing Date Integer: 1 (first day of month) Rebalancing Period: Calendar month Rebalancing Determination Date: The first Calculation Day of the calendar month Index Leverage: Not Applicable Volatility Targeting: No Target Index Volatility: Not Applicable Volatility Targeting Lookback 1: Not Applicable Volatility Targeting Lookback 2: Not Applicable Maximum Index Leverage: Not Applicable Minimum Index Leverage: Not Applicable Replication Adjustment Rate: 0.96%

  • 4

    4. Components and Constituents Comprising the Index

    The Index is composed of the following Components comprised of Constituents. The table below specifies the relevant Component Weight, Underlying Index of Long Constituent (including the Bloomberg Ticker for such Underlying Index) and Underlying Index of Short Constituent (including Bloomberg Ticker for such Underlying Index). For each Component that has both a Long Constituent and Short Constituent, the table specifies whether Volatility Matching is to be used for the Short Constituent; in the case of each Short Constituent for which Volatility Matching is to be used, the table specifies the Volatility Matching Period, the Maximum Short Constituent Leverage and the Minimum Short Constituent Leverage.

    Component Designation

    Component Weight

    Underlying Index of Long Constituent

    Bloomberg Ticker for Underlying Index of

    Long Constituent Underlying Index of Short Constituent

    Bloomberg Ticker for Underlying Index of Short Constituent

    Volatility Matching

    Volatility Matching Lookback

    Maximum Short

    Constituent Leverage

    Minimum Short Constituent

    Leverage Component 1 100% J.P. Morgan Contag Beta

    Energy Class A Excess Return Index

    JCTABENE S&P GSCI Energy Official Close Index ER

    SPGCENP No Not Applicable

    Not Applicable Not Applicable

  • 5

    J.P. Morgan Commander Series Standard Terms

    November 2010

    All Rights Reserved

  • 6

    1. An Introduction to the Commander Series

    The Commander Series is a methodology developed by J.P. Morgan that applies a long, short or long-short strategy to various Constituents in attempt to create alpha (each such strategy, an Index or Commander Index and collectively, the Indices or Commander Indices). Alpha is defined as the out performance of a financial asset or portfolio relative to a benchmark, either in risk adjusted terms or in measure of performance. The Commander Series is an attempt to systematically quantify certain methods and/or strategies typically found in actively managed structures, but deliver those methods and/or strategies in a rules-based, transparent index methodology. J.P. Morgan and its affiliates make no representations to its ability or the ability of any Commander Index to create alpha. Indices that incorporate the Commander Series methodology may seek to track exposure to (a) an index or basket of indices, while attempting to add performance enhancement, (b) the difference between two indices, which we refer to as Components, or a basket of Components with either static or dynamic weights for such Components or (c) some other strategy that will be set forth in the relevant Index Supplement. Each Index will either be an Excess Return or Total Return Index, and the Index Type will be specified in the Index Supplement. Please see Disclaimers and Conflicts of Interest as set forth in these Standard Terms. 2. This Document

    This document, the J.P. Morgan Commander Series Standard Terms (the Standard Terms),

    sets forth the framework for each J.P. Morgan Commander Index (the Indices or Commander Indices).

    This document should be read in conjunction with the specific Index Supplement for any Commander Index. This document explains index construction in a general form, with certain concepts or particulars left unspecified (for example, the Index Supplement will specify the Constituents of the relevant Commander Index and the applicable Component Weights). The Index Supplement will be used to specify these index specific terms, and when read together with the Standard Terms, the Index Supplement and the Standard Terms will constitute the Index Rules. Each Commander Index shall have an Index Supplement, which incorporates these Standard Terms, and sets out the Index Name and any additional terms or details required by the Index Calculation Agent to determine the Index Level.

    For the avoidance of doubt, the Index Supplement may include a provision, formula or definition, and such provision, formula or definition will supersede and replace any provision, formula or definition set forth herein for the purpose of calculating the Index or Indices described in that specific Index Supplement.

    This document may be amended or supplemented from time to time at the discretion of the Index Calculation Agent and will be re-published no later than thirty (30) calendar days following such amendment or supplement.

    This document is published by J.P. Morgan Securities Ltd. (JPMSL) of 125 London Wall, London EC2Y 5AJ, UK in its capacity as the Commander Index Sponsor. A copy of this document is available from the Index Calculation Agent (as defined in the Index Supplement) or the Commander Index Sponsor.

    ALL PERSONS READING THIS DOCUMENT SHOULD REFER TO THE DISCLAIMERS AND CONFLICTS SECTIONS SET OUT AT THE END OF THIS DOCUMENT AND CONSIDER THE INFORMATION CONTAINED IN THIS DOCUMENT IN LIGHT OF SUCH DISCLAIMERS AND CONFLICTS OF INTEREST.

    NOTHING HEREIN CONSTITUTES AN OFFER TO BUY OR SELL ANY FINANCIAL PRODUCT, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE. SEE SECTION 8.2 HEREIN.

  • 7

    Each of JPMSL and its affiliates may have positions or engage in transactions in securities or other financial instruments based on or indexed or otherwise related to the Commander Indices.

    3. Definitions

    Capitalised terms used in this document should be interpreted according to the definitions given below. In many cases there is a further explanation of the term or concept in the body of this document. All terms listed under the Definitions section in the Index Supplement shall be deemed to have the same meaning in this document. In the ev

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