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ETFS Oil Securities Limited

Date (NAV) 20/08/2019
Multiplier (OSL securities) 0.9373219
Collateral yield 1.1800000 % per annum
Multiplier (carbon securities) 0.8718058
Collateral Yield (Carbon Securities) -1.4300000 % per annum
GBP/USD 1.2129500
EUR USD 1.1089000
Definitions: Below is a summary of the key inputs for calculation of ETFS Oil Securities Limited's Net Asset Value. A full explanation, examples and definitions of capitalised terms can be found in ETFS Oil Securities Limited Prospectus.

  • Near Contract: The futures contracts used to price the Oil Securities are referred to as the Near Contract and the Next Contract. The Near Futures price is generally the 1st nearby contract (or front month) for the Brent 1mth, the 2nd nearby contract for WTI 2mth, the shortest-dated, second shortest-dated and third shortest-dated December Brent Contract (or as the case may be, WTI Contract) for the Brent 1yr and WTI 1yr, Brent 2yr and WTI 2yr, and Brent 3yr and WTI 3yr respectively. The futures contracts used to price the Carbon Securities are referred to as the Near Contract and the Next Contract. The Near Futures price is generally the 1st nearby December ECX CFI Carbon contract.
  • Next Contract: The Next Futures price for Oil Securities is generally the 2nd nearby contract for the Brent 1mth, the 3rd nearby contract for WTI 2mth and for any other class, the December Brent Contract or December WTI Contract specified by the relevant Exchange as maturing in the December immediately following that in which the corresponding Near Contract matures. The Next Futures price for Carbon Securities is generally the December ECX CFI Carbon contract specified by the relevant Exchange as maturing in the December immediately following that in which the corresponding Near Contract matures.
  • Near and Next Entitlement: The Near Entitlement and Next Entitlement are the weights applied to the Near Contract and Next Contract respectively. During each Roll Period the weights roll from the Near Entitlement to the Next Entitlement in accordance with the formulae set out in the Prospectus. In that process, if the Near Contract price is higher than the Next Contract price (i.e. that part of the forward curve is in backwardation) then the Entitlement will increase, whereas if the opposite is true (the curve is in contango) the Entitlement will decrease.
  • Collateral Yield: The Collateral Yield is the rate earned on the total net value of securities before deduction of Management Expenses. It will be capitalised into the price of ETFS Oil Securities/ Carbon Securities, and will be declared at the beginning of the trading week and applicable for the every trading day during the following week. The benchmark of the Collateral Yield for Oil Securities is the US$ Libor 1 month minus spread, and for Carbon Securities the benchmark is the EURIBOR 1 month minus spread.
  • Multiplier: The Multiplier is adjusted on each Daily Adjustment Day by the Daily Adjustment which will increase at an annualised rate equal to the Collateral Yield less the Management Expenses of 0.49 per cent. per annum.
  • Securities traded in EUR could be denominated in USD and are converted into EUR using the public exchange rate. Securities traded in GBP are dominated in the base currencies (USD or EUR) and converted into GBP using the public exchange rate. Please note that these are indicative NAVs, unhedged against USD. Therefore, the daily return in the trading is not likely to match the daily return in the base currency.
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