Note: The DJ-AIGCI Commodity Index Multiplier (CIM) Calculation Date Referred to in the Below Announcement of November 28, 2006 Was Changed to January 8, 2007, According to the Rules of the DJ-AIGCI Handbook, After the U.S. Markets Scheduled a Previously Unannounced Closure On January 2, 2007 in Honor of Former U.S. President Gerald Ford Dow Jones Indexes Announces Adjustment to Dow Jones-AIG Commodity Index; Calculation Rule to be Implemented in January 2007
NEW YORK, Jan. 12, 2007 (PRIME NEWSWIRE) -- Dow Jones Indexes, a leading global index provider announced the following change to the calculation rules for the Dow Jones-AIG Commodity Index(sm) (DJ-AIGCI(sm)) to take effect in January 2007. This change was approved by the Dow Jones-AIG Commodity Index Oversight Committee.
In the event a market disruption event as defined in the DJ-AIGCI Handbook occurs during the "Hedge Roll Period" (the fifth through ninth DJ-AIGCI Business Days of each month) scheduled for January of each year affecting a commodity futures contract included in the Index, the rolling or rebalancing for that particular commodity futures contract will still occur over five DJ-AIGCI Business Days, but on those days on which no market disruption event occurs. The Hedge Roll Period in January, and the resulting rebalancing that is occurring, will be extended if necessary until the affected commodity futures contract finishes rolling.
Therefore, the amounts of a particular commodity future rolled or rebalanced in January will continue to be distributed over five DJ-AIGCI Business Days and will not, for example, "double-up" the day following a market disruption event.
The special calculations set forth in Appendix G to the DJ-AIGCI Handbook (that specifies the roll and/or rebalancing calculations in respect of any commodity future contract affected by a market disruption event) will continue to apply for every DJ-AIGCI Business Day following a market disruption event occurring in the January Hedge Roll Period until the extended Hedge Roll Period is complete.
This change affects only the rolling or rebalancing process in January, with no change to the rules for rolling futures contracts occurring in other monthly Hedge Roll Periods.
The target weights to be implemented in January 2007 published on July 28, 2006 are repeated below. These target weights were approved by the Dow Jones-AIG Commodity Index Oversight Committee in July 2006:
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.
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