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S&P launches S&P GSCI capped index family

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Standard & Poor’s has launched the S&P GSCI capped family of indices, three new commodity indices which limit constituent weights and provide greater diversification for investors and structured product providers seeking to comply with EU Ucits III directives.

The S&P GSCI Capped Commodity 35/20 Index, S&P GSCI Capped Component 35/20 Index and S&P GSCI Enhanced Capped Component 35/20 Index offer exposure to the 24 individual commodities that make up the S&P GSCI, but with two distinct capping procedures.

The S&P GSCI Capped Commodity 35/20 Index allows only one of the 24 commodities to reach a maximum weight of 35 per cent and the remaining commodities are capped at 20 per cent while maintaining continuity with the S&P GSCI sector weights.

The S&P GSCI Capped Component 35/20 Index narrows the 24 commodities within the S&P GSCI to 18 components, and caps the highest component at 35 per cent. The remaining components are capped at 20 per cent while maintaining continuity with the individual components of the S&P GSCI without regard to the sector weights. Petroleum, wheat and cattle are the only components that include more than one commodity.  

The S&P GSCI Enhanced Capped Component 35/20 Index is the S&P GSCI Enhanced Index with the component weights capped based on the Capped Component 35/20 methodology.

Standard & Poor’s has also launched the S&P GSCI Crude Oil Enhanced Index, the third in a series of S&P GSCI-based indices created on the CME/Nymex traded WTI Crude Oil futures contract. The index provides investors with an investable return measurement of the WTI crude oil futures contract, using a dynamic roll schedule. It is a sub-index of the broader based S&P GSCI Enhanced Index, a version of the S&P GSCI that is modified to apply certain dynamic, timing and seasonal rolling rules intended to alleviate the impact of negative roll returns.

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