NEW YORK, Dec. 21, 2006 (PRIME NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, announced a change to the rules for calculating the Dow Jones - AIG Commodity Index(sm) (DJ-AIGCI(sm)) Commodity Index Percentages. These changes were approved by the Dow Jones - AIG Commodity Index Oversight Committee.
A new step was added to the rules for the calculation of the Commodity Index Percentages set forth in Section 2.6 of the DJ-AIGCI Handbook. The purpose of this rule is to enhance the liquidity of the DJ-AIGCI by limiting the amount by which the final Commodity Index Percentages may exceed the weights determined using liquidity measurements alone. The details of this new rule are described in the DJ-AIGCI Handbook under Section 2.6, Step H, available for download at: http://www.djindexes.com/mdsidx/index.cfm?event=showAigRequest
The target weights to be implemented in January 2007, previously announced by Dow Jones Indexes, already satisfy the new rule. These target weights were approved by the Dow Jones-AIG Commodity Index Oversight Committee in July 2006 and are repeated below:
Natural Gas 12.546191% Crude Oil 12.723561% Unleaded Gas (RBOB) 3.940958% Heating Oil 3.789289% Live Cattle 6.141286% Lean Hogs 3.013524% Wheat 4.715495% Corn 5.627129% Soybeans 7.747790% Soybean Oil 2.845646% Aluminum 6.803820% Copper 6.187758% Zinc 2.798069% Nickel 2.715318% Gold 6.825901% Silver 2.288179% Sugar 3.122271% Cotton 3.146094% Coffee 3.021718%
These weights will be used to determine the Dow Jones-AIG Commodity Index Multipliers for 2007 on January 5, 2007. These multipliers, computed once a year, are factors used to express the percentage weights in U.S. dollar-denominated terms when calculating the Index.
The Dow Jones-AIG Commodity Index, a diversified and highly liquid benchmark for the commodities markets, is composed of futures contracts on physical commodities and was introduced in 1998. The DJ-AIGCI is composed of futures contracts on 19 physical commodities. The DJ-AIGCI family of indexes includes nine sector sub-indexes, multiple forward month indexes, sub-indexes for each individual commodity in the original DJ-AIGCI, Euro-, Yen-, Swiss Franc-, and British Pound-denominated versions of the Dow Jones-AIG Commodity Index, and the Dow Jones-AIG Commodity Spot Index(sm). Also available are total return versions of each of the excess return indexes and sub-indexes. Currently, there is an estimated $30 billion invested in financial products that track the Dow Jones-AIG Commodity Index on a global basis.
Journalists may e-mail questions regarding this press release to PR-Indexes@dowjones.com or contact Dow Jones Indexes/STOXX press office:
New York: +1-212-597-5720, Frankfurt: + 49-69-97142815 Alternatively, please contact Whit Clay of Sloane & Company at wclay@sloanepr.com or call +1-212-446-1864
For questions regarding the DJ-AIGCI calculation rules, please call AIG Financial Products Corp. at 203-563-1960, or e-mail djaig@aigfp.com
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