F-KOSDAQ 150

Methodology Guide

June 2016

This document has been prepared by KRX, and is for information purposes
only. KRX will not be liable in respect of any investment results or loss you
may suffer out of information contained here. This document is subject to
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1. Index name : F-KOSDAQ 150

(KOSDAQ 150 Futures Index)

2. Index description : the F-KOSDAQ 150 Index is designed to track the

nearest and next nearest month futures contracts

listed on the KOSDAQ 150 futures market.

3. Base date : 4 January 2016

4. Base value : 1,000.00

5. Calculation interval : 2 seconds

6. Calculation time : 09:01 to 15:45

7. Methodology : please refer to Appendix

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 <F-KOSDAQ 150 Methodology Guide>

o (Index description) The F-KOSDAQ 150 Index is determined by the

calculation below using the nearest month futures contract on the

KOSDAQ 150 futures market. In calculating the index, both the nearest

and next nearest month futures contracts are used over the three trading

days preceding the expiry date of the nearest month futures contract. On

the expiry date, the next nearest, not the nearest, maturity futures

contract is used.

o (Index calculation) The formula to calculate the F-KOSDAQ 150 Index is

as follows using the nearest and next nearest month futures contracts on

the KOSDAQ 150 futures market (the index value is rounded off to two

decimal places.)

             ×     

   ×       ×              × 

     
     ×           ×    

where :

1.  : calculation time,    : preceding trading day

2.     : index value of the F-KOSDAQ 150 at time 

3.       : closing value of the F-KOSDAQ 150 on day   

4.   : rate of return of the F-KOSDAQ 150 on day   

5.    : last traded price of the nearest month KOSDAQ 150 futures

contract on the calculation day

6.    : last traded price of the next nearest month KOSDAQ 150 futures

contract on the calculation day

7.      : last traded price of the nearest month KOSDAQ 150 futures

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 contract on day   

8.      : last traded price of the next nearest month KOSDAQ 150 futures

contract on day   

9.   : percentage share of the nearest month KOSDAQ 150 futures

contract on the calculation day

10.   : percentage share of the next nearest month KOSDAQ 150 futures

contract on the calculation day

11.     : percentage share of the nearest month KOSDAQ 150 futures

contract on day   

12.      : percentage share of the next nearest month KOSDAQ 150

futures contract on day   

13.  : percentage share of replaced constituents

14.      : volume-weighted average price of the nearest month

KOSDAQ 150 futures contract, which is the ratio of the value traded

to the volume traded that is multiplied by a multiplier over the time

between the KOSDAQ 150 futures market opening time and time 

(the value is rounded off to 13 decimal places.)

15.      : volume-weighted average price of the next nearest month

KOSDAQ 150 futures contract, which is the ratio of the value traded to

the volume traded that is multiplied by a multiplier over the time

between the KOSDAQ 150 futures market opening time and time  (the

value is rounded off to 13 decimal places.)

16. Base prices specified in Article 55 of Enforcement Rules of Derivatives

Market Regulation replace execution prices referred to in Paragraph 5

through 6 in the case of their absence or in other cases where

execution prices concern.

17. Settlement prices specified in Article 103 of Enforcement Rules of

Derivatives Market Regulation replace execution prices referred to in

Paragraph 7 through 8 in the case of their absence or in other cases

where execution prices concern such.

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18. The terms “percentage share“ stated in Paragraph 9 through 12 and

”percentage share of replaced constituents“ in Paragraph 13 are defined

as below, varying according to the number of days left before the last

trading day of the nearest month futures contract.

D-3 D-2 D-1 D Others

 0.75 0.50 0.25 0 1

 0.25 0.50 0.75 1 0

 0.25 0.25 0.25 0.25 0

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