Standard & Poor's Launches S&P GSCI Dynamic Roll Index

NEW YORK, Jan. 27, 2011 /PRNewswire/ -- Standard & Poor's, the world's leading index provider, announced today the launch of the S&P GSCI Dynamic Roll Index. The S&P GSCI Dynamic Roll Index is an enhanced version of the S&P GSCI, one of the industry's most closely watched commodities indices, that is designed for investors seeking long only exposure to the commodity market but with the desire to reduce the potential negative impact of contango on roll returns. Standard & Poor's also announced that it has licensed the S&P GSCI Dynamic Roll Index to BNP Paribus to serve as the basis for BNP Paribus investment products based upon the Index.

Contango describes a situation in the futures market where prices for future delivery are higher than prices for immediate (or nearer) delivery. The term is also used to describe an upward sloping forward curve in the futures market.

"The development of the S&P GSCI Dynamic Roll Index is based on market demand for indices that can potentially alleviate the negative impact of rolling into contango and offering lower volatility exposure to the commodity market," says Michael G. McGlone, Senior Director of Commodity Indexing at S&P Indices. "The launch of this index is part of S&P Indices' strategy of expanding its tool-box of S&P GSCI offerings with innovative solutions that meet client demand."

The S&P GSCI Dynamic Roll Index seeks to roll into the optimal area of the futures curve to provide superior overall returns in times of contango. When the futures curve for a given commodity is in a general state of contango, the S&P GSCI Dynamic Roll methodology uses futures contracts months that are further out on the futures curve, with the intention of minimizing the effects of negative roll yields. When the futures curve for a given commodity is in a general state of backwardation, by the nature of the S&P GSCI Dynamic Roll methodology, the Index is to generally use nearby futures contracts.

For complete eligibility criteria, as well as index calculation guidelines, please visit: www.spgsci.standardandpoors.com.

About S&P Indices

S&P Indices, the world's leading index provider, maintains a wide variety of investable and benchmark indices to meet an array of investor needs. Over $1.25 trillion is directly indexed to Standard & Poor's family of indices, which includes the S&P 500, the world's most followed stock market index, the S&P/Case-Shiller Home Price Indices, the leading measure of U.S. home prices, the S&P Global BMI, an index with approximately 11,000 constituents, the S&P GSCI, the industry's most closely watched commodities index, and the S&P National AMT-Free Municipal Bond Index, the premier investable index for U.S. municipal bonds. For more information, please visit www.standardandpoors.com/indices.

Standard & Poor's does not sponsor, endorse, sell or promote any S&P index-based investment product.  This document does not constitute an offer of services in jurisdictions where Standard & Poor's or its affiliates do not have the necessary licenses.  Standard & Poor's receives compensation in connection with licensing its indices to third parties.

SOURCE Standard & Poor's