Methodology SP GSCI Detail - BetaShares · Standard & Poor’s: S&P GSCI® Index Methodology 3...

March 2011

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Index Methodology

Standard & Poor’s: S&P GSCI® Index Methodology 2

S&P GSCI® Index Methodology

The data and information presented in the S&P GSCI Index Methodology (the Information) reflect the methodology for determining the composition and calculation of the S&P GSCI Commodity Indices (the S&P GSCI). This methodology, the Information and the S&P GSCI are compiled and published by, and are the exclusive property of, Standard & Poor’s (S&P). The Information is solely for your internal use and may not be used as the basis of any product, or reproduced, redistributed or transmitted in whole or part, in any form or by any means, electronic or mechanical, including photocopying, or by any information storage or retrieval system, without the express prior written consent of S&P. The Information is for your private information and use and is not intended, and should not be construed, as an offer to sell, or a solicitation of an offer to purchase, any securities or other financial instruments. For a list of defined terms used throughout this document, please refer to Section I.6, Definitions. Standard & Poor’s shall have no liability, contingent or otherwise, to any person or entity for the quality, accuracy, timeliness and/or completeness of the information, the S&P GSCI or any data included in this methodology, or for delays, omissions or interruptions in the delivery of the S&P GSCI or data related thereto. S&P makes no warranty, express or implied, as to the results to be obtained by any person or entity in connection with any use of the S&P GSCI, including but not limited to the trading of or investments in products based on or indexed or related to the S&P GSCI, any data related thereto or any components thereof. S&P makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the information, the S&P GSCI or any data related thereto. Without limiting any of the foregoing, in no event shall S&P have any liability for any special, punitive, indirect, or consequential damages (including lost profits), in connection with any use by any person of the S&P GSCI or any products based on or indexed or related thereto, even if notified of the possibility of such damages.


Foreword

Standard & Poor’s is pleased to provide the 2011 edition of the S&P GSCI Methodology. This issue replaces the S&P GSCI Methodology published in January 2010. On February 2nd 2007, S&P acquired the GSCI from Goldman Sachs; subsequently the index was renamed the S&P GSCI®. Changes to the index, since February 2007, have been the annual rebalancings according to the index rules, the change of ownership and changes to index governance. This foreword summarizes these changes.

Revisions to Index Governance

Standard & Poor’s has established an Index Committee consisting of full time employees of S&P; with one member serving as the chair. The Index Committee is responsible for the S&P GSCI, the rules that govern the Index and the annual rebalancing of the Index. The Committee’s responsibilities are similar to those of the GSCI Index Policy Committee when Goldman Sachs owned the index. The Index Committee met in October 2010 to review and approve the 2011 annual rebalancing. The rebalancing results were announced on November 4th 2010, and take effect with the January 2011 roll period beginning on January 7th 2011. Standard & Poor’s has also established an S&P GSCI Advisory Panel consisting of a number of industry and investment leaders drawn from organizations that use the S&P GSCI or which are active participants or observers of the global commodities markets. This group meets annually, or more often at the request of the Index Committee, to discuss developments in the markets and possible adjustments or changes to the S&P GSCI. Its role is advisory; there are no votes and it cannot bind or require the Index Committee to make any changes to the S&P GSCI. S&P values the advice provided by the Advisory Panel.

Index Licensing

As the owner of the S&P GSCI, S&P is the sole licensing agent for the index. S&P is pleased to report that the Index continues to be the most widely used index of global commodity futures prices and that numerous investment organizations, commodity users and trading firms are active users of the S&P GSCI. Index licensing activities at S&P are separate from index management and oversight. Questions about index licensing can be directed to the product management or marketing individuals listed at the end of this Methodology.

The 2011 S&P GSCI Rebalancing

There are no substantive modifications that have been made to the S&P GSCI Index Methodology since the prior edition. The “Related Contract” criterion set up for the 2007 methodology was used for the 2011 edition. Only the Intercontinental Exchange (ICE) traded WTI Crude contract and the Henry Hub Natural Gas cleared Swap qualified as Related Contracts. For purposes of calculating the Total Dollar Value Traded (TDVT) and Trading Value Multiples (TVM), the NYMEX traded WTI Crude contract took into account the trading volume of the ICE WTI crude contract and the NYMEX traded


Natural Gas contract took into account the trading volume of ICE traded Henry Hub Natural Gas cleared Swap. This edition of the S&P GSCI Index Methodology incorporated new World Production Quantity (WPQ) sources for cattle, cotton, hogs and sugar. The 2007 edition of the United Nations Industrial Commodity Statistics Yearbook reincorporated the Industrial Production figures needed to calculate the World Production Quantity for cattle. Due to a 2008 change in selection criteria for cotton and sugar from the Food and Agriculture Organization on their FAOSTAT Web site, S&P incorporated new world production data from the United States Department of Agriculture (USDA). The Investment Support Level (as set forth in the definition of that term) has been increased from US$ 170 billion to US$ 190 billion, to better reflect a realistic estimate of the general level of investment in the S&P GSCI and other commodity indices, which can be supported by liquidity in the relevant Designated Contracts. This change will not have a material effect on the composition or calculation of the S&P GSCI at this time. Nevertheless, this change reflects the fact that S&P remains committed to modifying the methodology for determining the composition of and calculating the S&P GSCI, as necessary, in order to preserve and enhance the utility of the S&P GSCI as a benchmark for commodity market performance and as a tradable index that enables market participants to obtain broad-based exposure to these markets.

This edition of the S&P GSCI Index Methodology reflects the methodology that is used with respect to the determination and calculation of the S&P GSCI for 2011 and should not be relied upon in connection with any prior years. The methodology is subject to change in the future. Standard & Poor’s © 2011. Standard & Poor’s. All Rights Reserved. S&P GSCI® is a registered service mark and trademark of S&P.


Table of Contents

S&P GSCI 1

S&P GSCI® Index Methodology 2

Foreword 3

Revisions to Index Governance 3

Index Licensing 3

The 2011 S&P GSCI Rebalancing 3

I. Introduction 8

I.1 Overview of the S&P GSCI 8

I.2 The S&P GSCI Index Methodology 8

I.3 The S&P GSCI and Related Indices 9

I.4 Index Committee 10

I.5 Commodity Index Advisory Panel 10

I.6 Definitions 11

II. Identification of Contracts for Inclusion in the S&P GSCI 18

II.1 Overview of Identification Process 18

II.2 General Eligibility Requirements 18

II.3 Total Dollar Value Trading Requirement 21

II.4 Reference Percentage Dollar Weight Requirement 22

II.5 Determination of the Number of Contracts 22

II.6 Intra-Year Changes in the Composition of the S&P GSCI 23

II.7 Sources of Information 24

III. Calculation of the Contract Production Weights 25

III.1 Overview of the Contract Production Weights 25

III.2 World Production Quantities 25

III.3 World Production Averages 27

III.4 Contract Production Weights 27


III.5 CPW Adjustment Procedure 27

III.6 Monthly Review of Index Composition 28

III.7 Sources of Information 29

IV. Designated Contract Expirations 30

IV.1 Use of Designated Contract Expirations in Calculating the S&P GSCI 30

IV.2 Identification of Designated Contract Expirations 30

IV.3 Failure to Trade Designated Contract Expirations 31

IV.4 Replacement of Contracts 31

V. The Normalizing Constant 33

V.1 Purpose of the Normalizing Constant 33

V.2 Calculation of the Total Dollar Weight of the S&P GSCI on Non-Roll Days 33

V.3 Calculation of the Normalizing Constant 34

VI. Calculation of the S&P GSCI and Related Indices 35

VI.1 Overview of the Calculation Process 35

VI.2 Calculation of the S&P GSCI 36

VI.3 Calculation of the S&P GSCI ER 39

VI.4 Calculation of the S&P GSCI TR 42

VI.5 Calculation of the Sub-Indices 42

VI.6 Calculation of the S&P GSCI FPI Index 43

VI.7 CPWs for the S&P GSCI Reduced Energy Index, S&P GSCI Light Energy Index, S&P GSCI Ultra-Light Energy Index, and S&P GSCI Non-Energy Index. 43

Appendix A: Contracts Included in the S&P GSCI for 2011 44

Contracts included in the 2011 S&P GSCI 44

Composition of S&P GSCI Sub-Indices 46

WPAs and Conversion Factors 47

Contract Units and Conversion Factors for 2011 S&P GSCI Contracts 48

Sources for World Production Data 49

Example for Calculating the Normalizing Constant 50

Appendix B: S&P GSCI Policy Decisions 51


Determinations with Respect to the S&P GSCI and the Index Methodology 51

Appendix C: Calculation of S&P GSCI Forwards 53

Appendix D: Calculation of S&P GSCI, Non-US Dollar Denominations 54

Currency-Hedged Index Computation 54

Appendix E: Calculation of the S&P GSCI Enhanced Index 56

Appendix F: S&P GSCI Capped Indices 58

Appendix G: S&P GSCI Covered Call Select Index 59

Appendix H: S&P GSCI Single Commodity Indices Contract Schedule 60

Appendix I: S&P GSCI Tickers 61

S&P Contact Information 79

Index Management 79

Product Management 79

Media Relations 79

Index Operations & Business Development 80

Disclaimer 81


I. Introduction

I.1 Overview of the S&P GSCI

The S&P GSCI is designed as a benchmark for investment in the commodity markets and as a measure of commodity market performance over time. It is also designed as a tradable index that is readily accessible to market participants. In order to accomplish these objectives, the S&P GSCI is calculated primarily on a world production-weighted basis and comprises the principal physical commodities that are the subject of active, liquid futures markets. There is no limit on the number of contracts that may be included in the S&P GSCI; any contract that satisfies the eligibility criteria and the other conditions specified in this methodology are included. This feature enhances the suitability of the S&P GSCI as a benchmark for commodity market performance and to reflect general levels of price movements and inflation in the world economy. The S&P GSCI is calculated and maintained by S&P (S&P).

I.2 The S&P GSCI Index Methodology

On any given day, the composition and value of the S&P GSCI, as determined and published by S&P, are dispositive. This document describes the methodology used by S&P in determining such composition and calculating such value. Neither this methodology nor any set of procedures, however, are capable of anticipating all possible circumstances and events that may occur with respect to the S&P GSCI and the methodology for its composition, weighting and calculation. Accordingly, a number of subjective judgments are made in connection with the operation of the S&P GSCI that cannot be adequately reflected in this methodology. All questions of interpretation with respect to the application of the provisions of this methodology, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by S&P in consultation with the Index Committee, or the Index Advisory Panel where appropriate. S&P is committed to maintaining the S&P GSCI as a liquid, tradable index that serves as a principal benchmark for commodity investing. We also recognize that the detailed rules-based approach contained in the Index Methodology may not at all times reflect the underlying liquidity and condition of a specific market, particularly in periods of extraordinary market volatility or rapid technological change. Therefore, S&P may determine that a given Contract that satisfies the eligibility criteria set forth in this methodology should nevertheless be excluded from the S&P GSCI if inclusion of such Contract is inconsistent with, or would undermine, the purposes of the S&P GSCI as a benchmark for commodity market performance and a tradable index, or if inclusion of such Contract in the S&P GSCI would otherwise not be in the best interests of market participants.


Further, modifications to the methodology used to calculate the S&P GSCI may be necessary from time to time. S&P reserves the right to make such changes or refinements to the methodology set forth in this document as it believes necessary in order to preserve and enhance the utility of the S&P GSCI as a benchmark for commodity market performance and the tradability of the S&P GSCI. S&P also reserves the right to take such action, with respect to the S&P GSCI, as it deems necessary or appropriate, in order to address market emergencies or other extraordinary market events or conditions. Wherever practicable, any such changes or actions are publicly announced prior to their effective date. Certain of the provisions of this methodology are expressed in formulaic as well as descriptive terms. In the event of any conflict between the descriptions of these provisions and the corresponding formulae, the descriptions will govern. This methodology is divided into five substantive sections: (1) the selection criteria for inclusion of contracts in the S&P GSCI; (2) the methodology for determining the weight of each such contract; (3) the methodology for determining the contract expirations of each such contract; (4) the methodology for determining the normalizing constant used in calculating the value of the S&P GSCI; and (5) the methodology for calculating the value of the S&P GSCI. Together, these elements determine the value of the S&P GSCI on any given day.

I.3 The S&P GSCI and Related Indices

In order to reflect the performance of a total return investment in commodities, four separate but related indices have been developed based on the S&P GSCI — (1) the S&P GSCI Spot Index, which is based on price levels of the contracts included in the S&P GSCI; (2) the S&P GSCI Excess Return Index (S&P GSCI ER), which incorporates the returns of the S&P GSCI Spot Index as well as the discount or premium obtained by “rolling” hypothetical positions in such contracts forward as they approach delivery; (3) the S&P GSCI Total Return Index (S&P GSCI TR), which incorporates the returns of the S&P GSCI ER and interest earned on hypothetical fully collateralized contract positions on the commodities included in the S&P GSCI; and (4) the S&P GSCI Futures Price Index (S&P GSFPI), which is intended to serve as a benchmark for the fair value of the futures contracts on the S&P GSCI traded on the Chicago Mercantile Exchange (CME). S&P also calculates a number of sub-indices representing components of the S&P GSCI. These include the S&P GSEN (reflecting the energy components of the S&P GSCI), S&P GSNE (all components other than energy), S&P GSAG (agriculture), S&P GSLV (livestock), S&P GSIN (industrial metals) and S&P GSPM (precious metals) as well as other sub-indices. Excess Return and Total Return sub-indices are also calculated and published on each of these market sectors. Goldman Sachs first began publishing the GSCI, as well as the related indices, in 1991. In addition, although the GSCI was not published prior to that time, Goldman Sachs has calculated the historical value of the GSCI and related indices beginning on January 2, 1970, based on actual prices from that date forward and the selection criteria, methodology and procedures in effect during the applicable periods of calculation (or, in the case of all calculation periods prior to 1991, based on the selection criteria,


methodology and procedures adopted in 1991). The GSCI has been normalized to a value of 100 on January 2, 1970, in order to permit comparisons of the value of the GSCI to be made over time. Futures contracts on the GSFPI, as well as options on such futures contracts, began trading on the CME in July 1992. S&P acquired the indices in February 2007. S&P calculates and publishes the value of the S&P GSCI, the S&P GSFPI, the S&P GSCI ER and the S&P GSCI TR, as well as each of the sub-indices, continuously on each business day, with such values updated every 15 seconds. In addition, a number of data vendors publish S&P GSCI quotations. S&P publishes an official daily settlement price for each of the indices and sub-indices on each S&P GSCI Business Day at approximately 03:45 PM, Eastern Time. Further, quotations for futures contracts and options on futures contracts on the S&P GSFPI, which are traded on the CME, are published by the CME on a continuous basis and are available through a number of data vendors.

I.4 Index Committee

S&P has established an Index Committee to oversee the daily management and operations of the S&P GSCI, and is responsible for all analytical methods and calculation in the indices. The Committee is comprised of full-time professional members of S&P staff. At each meeting, the Committee reviews any issues that may affect index constituents, statistics comparing the composition of the indices to the market, commodities that are being considered as candidates for addition to an index, and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting commodities, or other matters. S&P considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential. All references to methodology-related decisions made by S&P in this document represent decisions made by the Index Committee.

I.5 Commodity Index Advisory Panel

S&P has established a Commodity Index Advisory Panel to assist it in connection with the operation of the S&P GSCI. The Panel meets on an annual basis and at other times at the request of the Index Committee. The principal purpose of the Panel is to advise the Index Committee with respect to, among other things, the calculation of the S&P GSCI, the effectiveness of the S&P GSCI as a measure of commodity futures market performance and the need for changes in the composition or methodology of the S&P GSCI. The Panel acts solely in an advisory and consultative capacity; the Index Committee makes all decisions with respect to the composition, calculation and operation of the S&P GSCI. Certain members of the Panel may be affiliated with clients of S&P. Also, certain members of the Panel may be affiliated with entities which, from time to time, may have investments linked to the S&P GSCI, either through transactions in the Contracts included in the S&P GSCI, futures contracts on the S&P GSCI or derivative products linked to the S&P GSCI.


I.6 Definitions

As used in this methodology, the following terms have the meanings indicated: Active Contract. A liquid, actively traded Contract with respect to a Designated Contract and Contract Expiration, as defined or identified by the relevant Trading Facility or, if no such definition or identification is provided by the Trading Facility, as defined by standard custom and practice in the industry. Annual Calculation Period. The 12-month period ending on August 31st of the calendar year immediately preceding the S&P GSCI Year for which the composition of the S&P GSCI is being determined. If not all of the necessary data are reasonably available at the time of the annual determination of the composition and weighting of the S&P GSCI, the Annual Calculation Period will be the most recent 12-month period for which such data are available, as determined by S&P. Annual Observation Period. With respect to each Annual Calculation Period, the three 12-month periods, consisting of the Annual Calculation Period and the two 12-month periods immediately preceding. Average Contract Reference Price (ACRP). For any Annual Observation Period and with respect to a particular Contract, the average of the Daily Contract Reference Prices for the First Nearby Contract Expiration on the last day of each month during that Annual Observation Period on which such price is available. Contract. Any contract that is traded on or through a Trading Facility and that provides for physical delivery of, or is based on the price of, a deliverable commodity. For this purpose, the term “Contract” does not include any contract based on the spread, differential or other relationship between different delivery months, locations, or other terms or features of the underlying commodity or contracts on such commodity. Contract Business Day. A day on which (i) the Trading Facility on or through which a Designated Contract Expiration is traded is scheduled to be open for trading for at least three hours, (ii) such Contract Expiration is available for trading during the hours referred to in clause (i) (as defined by the rules or policies of the Trading Facility, or if not so defined, as defined by S&P) and (iii) a Daily Contract Reference Price for such Contract Expiration is published by the Trading Facility. An early closing of the Trading Facility or an early closing of trading in such Contract Expiration will not affect the characterization of a day as a Contract Business Day, provided that the circumstances set forth in (i) through (iii) exist. Contract Daily Return (CDR). On any given S&P GSCI Business Day, the amount determined by dividing the Total Dollar Weight Obtained on such Day by the Total Dollar Weight Invested on the preceding S&P GSCI Business Day. This value is represented as the percentage change in the Total Dollar Weight of the S&P GSCI. Contract Expiration. A date or term specified by the Trading Facility on or through which a Contract is traded, during or after which such Contract will expire, or delivery or


settlement will occur. The contract expiration may, but is not required to, be a particular contract month. Contract Production Weight (CPW). With respect to each Designated Contract, an amount calculated according to the rules in section III, based on world production and trading volume; provided that when calculating the composition of the S&P GSCI, the CPW of any Contract that is part of a prospective index composition shall be determined based on such prospective index composition. The final CPWs are rounded to seven digits of precision. Contract Roll Weight (CRW). With respect to the calculation of the S&P GSCI on any given S&P GSCI Business Day other than during a Roll Period, and for each Designated Contract Expiration, a factor of 1.0 if such Designated Contract Expiration is the First Nearby Contract Expiration and zero for all other Designated Contract Expirations. During a Roll Period, the Contract Roll Weight for the First Nearby Contract Expiration or the Roll Contract Expiration will be either 1.0, 0.8, 0.6, 0.4, 0.2, or zero, determined according to the procedure set forth in section VI.2(c) of this methodology, depending on the portion of the First Nearby Contract Expiration that has been rolled into the Roll Contract Expiration, and will be zero for all other Designated Contract Expirations. Daily Contract Reference Price (DCRP). With respect to each Contract Expiration and Contract Business Day, the price of the relevant Contract, expressed in U.S. dollars, that is generally used by participants in the related cash or over-the-counter market as a benchmark for transactions related to such Contract. The Daily Contract Reference Price may, but is not required to, be the price (i) used by such Trading Facility or related clearing facility to determine the margin obligations (if any) of its members or participants or (ii) referred to generally as the reference, closing or settlement price of the relevant Contract. If a Trading Facility publishes a daily settlement price for a particular Contract Expiration, such settlement price will generally serve as the Daily Contract Reference Price for such Contract Expiration unless S&P determines such settlement price does not satisfy the criteria set forth in this definition. The Daily Contract Reference Price of a Contract may be determined and published either by the relevant Trading Facility or by one or more third parties. Designated Contract. A particular Contract included in the S&P GSCI for a given S&P GSCI Period, based on the eligibility criteria set forth in section II of this methodology. All references to the term “Designated Contract” in this methodology shall be deemed to include all Designated Contract Expirations with respect to the Contract in question. Designated Contract Expiration. A Contract Expiration with respect to a Designated Contract that has been designated by S&P for inclusion in the S&P GSCI. Dollar Weight. On any given S&P GSCI Business Day and with respect to any Designated Contract and its First Nearby Contract Expiration and Roll Contract Expiration, the product of (i) the CPW of such Contract, (ii) the Daily Contract Reference Price for the appropriate Contract Expiration or Expirations on such day, and (iii) the Contract Roll Weight of the appropriate Contract Expiration.


FIA Reports. The Monthly Volume Report and the International Report published by the Futures Industry Association. First Nearby Contract Expiration. In connection with the calculation of the S&P GSCI on any given S&P GSCI Business Day, the first available Designated Contract Expiration (after the date or term on or during which the calculation is made), provided that the Roll Period with respect to such Designated Contract Expiration has not yet been completed. After the completion of the Roll Period, the Designated Contract Expiration that was the Roll Contract Expiration becomes the First Nearby Contract Expiration. Notwithstanding the foregoing, with respect to any Designated Contract whose last trading day occurs on or before the eleventh (11th) S&P GSCI Business Day of the month, the First Nearby Contract Expiration is the second available Designated Contract Expiration (after the date or term on or during which the calculation is made). Interim Calculation Period. With respect to any Monthly Observation Date, the three-month period ending on the last day of the month immediately preceding the date on which such Monthly Observation Date is scheduled to occur. Investment Support Level (ISL). The targeted amount of investment in the S&P GSCI and related indices, expressed in U.S. dollars, that S&P, in consultation with the Index Advisory Panel, reasonably believes may need to be supported by liquidity in the relevant Designated Contracts, based on the estimated aggregate outstanding level of investment in S&P GSCI-related investments. The Investment Support Level generally will not reflect the actual levels of such investment and will generally include amounts estimated to have been invested in similar indices, as well as any amount that is reasonably expected to be invested in the S&P GSCI or related or similar indices within the next 12-month period. For this purpose, “similar indices” means indices of physical commodities (or futures contracts or other derivatives on such commodities) that S&P, in consultation with the Index Advisory Panel, determines can reasonably be used by market participants to achieve trading and investment objectives that are substantially similar to those for which the S&P GSCI is used. The ISL is currently set at US$ 190 billion. Limit Price. On any Contract Business Day, a Daily Contract Reference Price for the First Nearby Contract Expiration or the Roll Contract Expiration that represents the minimum or maximum price for such Contract Expiration on such Day, as determined by the rules or policies of the relevant Trading Facility (if any). Monthly Observation Date. As determined by S&P, the earliest day in each calendar month (except for the month in which the composition of the S&P GSCI for the next S&P GSCI Year is determined) on which the data necessary to perform the calculations and make the determinations required pursuant to Section III.6 of this methodology are available. If such day is not an S&P GSCI Business Day, it is the next S&P GSCI Business Day. If S&P determines such data are not available on or before the last day of such month, the Monthly Observation Date may change. Normalizing Constant (NC). The divisor determined in the manner set forth in section V of this methodology that is used in calculating the value of the S&P GSCI on any given S&P GSCI Business Day in order to assure the continuity of the Index over time and to enable comparisons to be made between the values of the Index at various times.


Overall Trading Window (OTW). With respect to any Contract, the period of time during which such Contract is available for trading. Percentage Dollar Weight. With respect to any Designated Contract, the Dollar Weight of such Contract divided by the Total Dollar Weight (TDW) of the relevant index. Percentage TQT. With respect to each Designated Contract, an amount equal to the Total Quantity Traded (TQT) of such Contract divided by the aggregate of the TQTs of all the Designated Contracts on the same S&P GSCI Commodity. If there is only one Designated Contract on an S&P GSCI Commodity, its Percentage TQT is one (1). Reference Dollar Weight. With respect to any Contract, the product of (i) the CPW of such Contract, multiplied by (ii) the applicable Average Contract Reference Price. Reference Percentage Dollar Weight. With respect to any Contract, the quotient of (i) the Reference Dollar Weight of such Contract, and (ii) the sum of the Reference Dollar Weights of all Designated Contracts, provided that, when calculating the composition of the S&P GSCI, the Reference Percentage Dollar Weight of any Contract that is part of a prospective index composition is determined based on such composition. Related Contract. With respect to any Contract (the First Contract), another Contract traded on the same or a different Trading Facility (the Second Contract) that provides for final settlement, at expiration or maturity of the Second Contract, based upon the final settlement price of the First Contract. A Second Contract will be considered a Related Contract only if (i) the TDVT of the Second Contract is greater than or equal to US$ 30 billion; and (ii) the TQT of the Second Contract over the relevant Calculation Period is greater than or equal to 25% of the TQT of the First Contract over such Period. Roll Contract Expiration. On any given S&P GSCI Business Day, with respect to each Designated Contract and the calculation of the S&P GSCI, it is the Contract Expiration that becomes the First Nearby Contract Expiration on the first S&P GSCI Business Day of the month following the month during which the calculation is made. Roll Period. With respect to any Designated Contract, the period of five (5) S&P GSCI Business Days beginning on the fifth (5th) and ending on the ninth (9th) S&P GSCI Business Day of each calendar month. With respect to any Designated Contract, the Roll Period will be adjusted according to the procedure set forth in VI.2(d) if any of the circumstances identified in such section exists on any such S&P GSCI Business Day. S&P GSCI. S&P Commodity Index, known under the proprietary name S&P GSCI. S&P GSCI Business Day. A day on which the indices are calculated, as determined by the NYSE Euronext Holiday & Hours schedule. Any deviation from this schedule will be announced to clients in advance. S&P GSCI CME Futures Contracts. The futures contracts on the S&P GSFPI, which are listed for trading on the CME.


S&P GSCI Commodity. A commodity or group of commodities which, based on such factors as physical characteristics, trading, production, use or pricing, is determined by S&P to be sufficiently related to constitute a single commodity and on which there are one or more Contracts. S&P GSCI ER. The S&P GSCI Excess Return Index, which is the accretion of the Contract Daily Return, indexed to a base value of 100 on January 2, 1970. S&P GSCI Period. The period beginning on the fifth (5th) S&P GSCI Business Day of the calendar month in which new CPWs (determined according to the procedure set forth in section III.4) first become effective, and ending on the S&P GSCI Business Day immediately preceding the first day of the next S&P GSCI Period. S&P GSCI Settlement Time. On each S&P GSCI Business Day, the time at which that day’s S&P GSCI calculation is made. The S&P GSCI Settlement Time is currently between 04:00 PM and 06:00 PM, Eastern Time. S&P GSCI Spot Index. The index that reflects the price levels of the Designated Contracts and the CPW of each such Contract, and is calculated in the manner set forth in section VI of this methodology. S&P GSCI TR. The S&P GSCI Total Return Index, which incorporates the returns of the S&P GSCI ER and the Treasury Bill Return. S&P GSCI Year. The period beginning on the fifth (5th) S&P GSCI Business Day of each calendar year and ending on the fourth (4th) S&P GSCI Business Day of the following calendar year. S&P GSFPI. The S&P GSCI Futures Price Index, which serves as a benchmark for the fair value of the S&P GSCI CME Futures Contracts. Total Dollar Value Traded (TDVT). With respect to a given Contract, for any Annual Observation Period or Interim Calculation Period, the annualized TQT of such Contract over such period multiplied by the Average Contract Reference Price of such Contract for such period. Total Dollar Weight of the S&P GSCI (TDW). On any given S&P GSCI Business Day, the sum of the Dollar Weights of all Designated Contracts. Total Dollar Weight Invested (TDWI). On any given S&P GSCI Business Day, the Total Dollar Weight of the S&P GSCI on the preceding S&P GSCI Business Day. Total Dollar Weight Obtained (TDWO). On any given S&P GSCI Business Day, the amount obtained from an investment in the S&P GSCI on the preceding S&P GSCI Business Day. For a given S&P GSCI Business Day, the TDWO is calculated as the Total Dollar Weight of the S&P GSCI for such Day, using the CPWs and Contract Roll Weights in effect on the preceding S&P GSCI Business Day and the Daily Contract Reference Prices used to calculate the S&P GSCI on the S&P GSCI Business Day on which the calculation is made.


Total Dollar Weight Ratio (TDWR). The ratio of (i) the Total Dollar Weight of the S&P GSCI on the fourth (4th) S&P GSCI Business Day of the relevant month, using the CPWs that will be in effect for the S&P GSCI Period beginning on the next S&P GSCI Business Day, and (ii) the Total Dollar Weight of the S&P GSCI on such day, using the CPWs in effect for the S&P GSCI Period ending on such day. Total Quantity Traded (TQT). With respect to any Contract, the total annualized quantity traded in such Contract during the relevant Annual Calculation Period or Interim Calculation Period, expressed in physical units. Trading Facility. The exchange, facility or platform on or through which a particular contract is traded. A Trading Facility may, but is not required to, be a contract market, exempt electronic trading facility, derivatives transaction execution facility, exempt board of trade or foreign board of trade, as such terms are defined in the U.S. Commodity Exchange Act and the rules and regulations promulgated thereunder. Trading Volume Multiple (TVM). With respect to any Contract, the quotient of (i) the product of (a) the TQT of such Contract and (b) the sum of the products of (x) the CPW of each Contract that is included in the S&P GSCI or of a prospective index and (y) the corresponding Average Contract Reference Price, and (ii) the product of (a) the Investment Support Level for the relevant S&P GSCI Year and (b) the CPW of such Contract. In formulaic terms

c

k kkc

c CPWISL

ACRPCPWTQTTVM

Algebraically, this is equal to:

ISLRPDW

TDVTTVM

c

cc *

Treasury Bill Rate (TBARd-1). On any S&P GSCI Business Day, d, the 91-day discount rate for U.S. Treasury Bills, as reported by the U.S. Department of the Treasury’s Treasury Direct service at http://www.treasurydirect.gov/RI/OFBills on the most recent of the weekly auction dates prior to such S&P GSCI Business Day, d. Treasury Bill Return. A daily rate of return calculated according to the procedure set forth in VI.4(a) of this methodology and based on (i) the Treasury Bill Rate, (ii) a 360 day year and (iii) a period of 91 days. TVM Reweighting Level (TVMRL). The minimum TVM that must be achieved as a result of a calculation of the CPW for each Designated Contract on the relevant S&P GSCI Commodity, according to the procedure set forth in sections III.4 and III.5 of this methodology. The TVM Reweighting Level is the same for all Designated Contracts and is currently set at 50.


TVM Threshold (TVMT). The TVM level, specified by S&P, which triggers a recalculation of the CPWs for all Designated Contracts on a given S&P GSCI Commodity according to the procedure set forth in section III.4 of this methodology, if the TVM of any such Contract falls below such level. The TVM Threshold is currently set at 30. TVM Upper Level (TVMUL). The TVM level, specified by S&P, which triggers the exclusion of one or more Designated Contracts on a given S&P GSCI Commodity from the S&P GSCI according to the procedure set forth in section II.5(b) of this methodology, if the average of the TVMs of all the Designated Contracts on such Commodity exceeds such level. The TVM Upper Level is currently set at 200 for those Contracts that are not currently included in the S&P GSCI at the time of determination and at 300 for those Contracts that are currently included in the S&P GSCI at the time of determination. The time of determination may be either a Monthly Observation Date or the time of the annual determination of the composition of the S&P GSCI. World Production Average (WPA). The average annual world production quantity of an S&P GSCI Commodity determined by dividing its World Production Quantity by five. (The number of years over which we measure world production quantities.) World Production Quantity (WPQ). The total quantity of an S&P GSCI Commodity produced throughout the world during the WPQ Period, subject to adjustment as set forth in section III of this methodology. WPQ Period. The period over which the WPQ of a S&P GSCI Commodity is determined, which is defined as the most recent five year period for which complete world production data for all S&P GSCI Commodities are available from sources determined by S&P to be reasonably accurate and reliable at the time the composition of the S&P GSCI is determined. For the year 2011 the S&P GSCI WPQ Period is the five-year period from 2003 to 2007.


II. Identification of Contracts for Inclusion in the S&P GSCI

II.1 Overview of Identification Process

The Contracts to be included in the S&P GSCI for a given S&P GSCI Year must satisfy several sets of eligibility criteria. First, S&P identifies those contracts that meet the general criteria for eligibility (section II.2). Second, the Contract volume and weight requirements are applied (sections II.3 and II.4) and the number of Contracts is determined (section II.5), which serves to reduce the list of eligible Contracts. At that point, the list of Designated Contracts for the relevant S&P GSCI Year is complete and the process moves to the determination of the production weights, as discussed in the next section of this methodology.

II.2 General Eligibility Requirements

In determining the Contracts to be included in the S&P GSCI for a given S&P GSCI Year, S&P first identifies the Contracts that satisfy the general eligibility criteria set forth below. These criteria are intended only to identify Contracts with characteristics (e.g., dollar denomination) that will facilitate the calculation of the S&P GSCI and are consistent with the general purposes of the S&P GSCI as a benchmark for commodity market performance and a tradable index. This process generally produces a substantial list of Contracts potentially eligible for inclusion in the S&P GSCI. The list is narrowed through the application of the more specific criteria described below. The sources of the information used to determine the Contracts that satisfy the general eligibility criteria are identified in section II.7. The general eligibility criteria are the following: II.2(a) Non-Financial Commodities. To be eligible for inclusion in the S&P GSCI, a Contract must be on a physical commodity and may not be on a financial commodity (e.g., securities, currencies, interest rates, etc.). The Contracts on a particular commodity need not require physical delivery by their terms in order for the commodity to be considered a physical commodity. The S&P GSCI is intended in part to measure performance in the physical commodity markets and to correlate with general price movements in the world economy. The limitation to Contracts on physical commodities and the exclusion of Contracts on financial commodities serve to limit the eligible commodities to those Contracts on commodities that are the subject of production or distribution processes in the world economy and that have a direct effect on price levels and inflation.


II.2(b) Certain Contract Characteristics. In order for a Contract to be eligible for inclusion in the S&P GSCI, the following criteria must be satisfied: (i) the Contract must have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified time period, in the future; and (ii) the Contract must, at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement; and (iii) the Trading Facility on which the Contract is traded must allow market participants to execute spread transactions, through a single order entry, between the pairs of Contract Expirations included in the S&P GSCI that, at any given point in time, will be involved in the rolls to be effected in the next three Roll Periods. The requirements in this section reflect the fact that some of the products from time to time traded on or through Trading Facilities, in particular certain electronic platforms, may not display traditional characteristics of a futures contract, such as particular contract months. While it is not necessary for a Contract Expiration to be expressed as a calendar month, the S&P GSCI and its underlying methodology are premised upon the existence of specified dates or time periods for delivery or settlement. It is assumed that Contracts traded on contract markets, exempt electronic trading facilities, derivatives transaction execution facilities, exempt boards of trade and foreign boards of trade (as such terms are defined in the U.S. Commodity Exchange Act and the rules and regulations promulgated thereunder) will generally satisfy the above requirements, unless S&P determines that any such Contract does not satisfy the foregoing criteria. The requirement that the Contract be available for trading at least five months prior to its expiration is designed to ensure that a genuine trading market in the Contract exists prior to the time established for delivery or settlement, when trading conditions can be affected by the impending expiration of the Contract. The final requirement in this Section, regarding execution of spread transactions, is designed to allow market participants to effect the rolling of contracts included in the S&P GSCI more efficiently. II.2(c) Denomination and Geographical Requirements. To be eligible for inclusion in the S&P GSCI, a Contract must be denominated in U.S. dollars and traded on or through a Trading Facility that has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and Development (OECD) during the relevant Annual Calculation Period or Interim Calculation Period. The requirement that Contracts be U.S. dollar denominated facilitates the calculation and consistency of the S&P GSCI, since numerous currency conversions and other adjustments would need to be made in order to accommodate contracts denominated in other currencies. The requirement that a Contract be traded on or through a Trading Facility in an OECD country assures that the S&P GSCI will be limited to those commodities for which there are Trading Facilities in industrialized countries.

II.2(d) Availability of Daily Contract Reference Prices.

i. For a Contract to be eligible for inclusion in the S&P GSCI, Daily Contract Reference Prices for such Contract generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion. In appropriate circumstances, S&P may determine that a shorter time period is sufficient


or that historical Daily Contract Reference Prices for such Contract may be derived from Daily Contract Reference Prices for a similar or related Contract.

ii. At and after the time a particular Contract is included in the S&P GSCI, the Daily Contract Reference Price for such Contract must be published between 10:00 AM and 4:00 PM, Eastern Time, on each Contract Business Day by the Trading Facility on or through which it is traded and must generally be available to all members of, or participants in, such Facility (and S&P) on the same Contract Business Day from the Trading Facility or through a recognized third-party data vendor. Such publication must include, at all times, Daily Contract Reference Prices for at least one Contract Expiration that is five months or more from the date the determination is made, as well as for all Contract Expirations during such five-month period.

The requirement that a Contract have a continuous price history of at least two years is intended to ensure the reliability and availability of the prices necessary to enable S&P to calculate the S&P GSCI. In addition, in order to calculate the S&P GSCI on an ongoing basis, S&P must be able to obtain Daily Contract Reference Prices for certain Contract Expirations with respect to each Designated Contract prior to the S&P GSCI Settlement Time on each Contract Business Day. This requirement is intended to assure that the value of the S&P GSCI can be reliably calculated based on prices that are both announced and, in general, readily available to the members of, or participants in, the relevant Trading Facility (and S&P). II.2(e) Availability of Volume Data. For a Contract to be eligible for inclusion in the S&P GSCI, volume data with respect to such Contract must be available, from sources satisfying the criteria specified in Section II.7(b), for at least the three months immediately preceding the date on which the determination is made. II.2(f) Other Requirements with respect to Trading Facilities. The Trading Facility on or through which a Contract is traded must:

(i) make price quotations generally available to its members or participants (and to S&P) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;

(ii) make reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations described in section II.6;

(iii) accept bids and offers from multiple participants or price providers (i.e., it must not be a single-dealer platform); and

(iv) be accessible by a sufficiently broad range of participants. Such access may be provided either (a) by the Trading Facility making clearing services reasonably available, thereby eliminating counterparty credit considerations, or (b) by a network of brokers or dealers who are willing to intermediate transactions with third parties, thereby enabling such third parties to enter into transactions based on prices posted on such Facility.

These requirements are intended to establish certain minimum standards for Trading Facilities. If trading in certain commodities is shifted to electronic platforms that are largely unregulated, or subject to different levels or types of regulation than traditional exchanges, these standards will serve to ensure that the S&P GSCI includes only


Contracts for which sufficient and reliable data, and in particular price data developed in a competitive process, are available. It is assumed that contract markets and foreign boards of trade (as such terms are defined in the U.S. Commodity Exchange Act and the rules and regulations promulgated thereunder) will generally satisfy the above requirements, unless S&P determines otherwise. II.2(g) Contract Trading Hour Requirements. S&P may exclude a Contract from the S&P GSCI that otherwise satisfies the criteria and conditions for inclusion if it finds such Contract's Overall Trading Window is insufficient to support the tradability of the S&P GSCI taken as a whole. This requirement is intended to support and enhance the tradability of the S&P GSCI, by ensuring that all Designated Contracts are available for trading during at least a minimum period of time.

II.3 Total Dollar Value Trading Requirement

The S&P GSCI is limited to those Contracts that are actively traded in order to assure that the prices generated by the markets for such Contracts represent reliable, competitive prices. The Contracts that satisfy the general eligibility requirements set forth in section II.2, therefore, must also satisfy the volume trading requirements described below before being included in the S&P GSCI. In order to be added to the S&P GSCI, a Contract that is not included in the S&P GSCI at the time of determination (which may be either a Monthly Observation Date or the time of the annual determination of the composition of the S&P GSCI), and is based on a commodity that is not represented in the S&P GSCI at such time, must have an annualized Total Dollar Value Traded, over the relevant Annual Calculation Period or Interim Calculation Period, of at least US$ 15 billion. In order to continue to be included in the S&P GSCI, a Contract already in the S&P GSCI at the time of determination, and that is the only Designated Contract on the relevant S&P GSCI Commodity, must have an annualized Total Dollar Value Traded of at least US$ 5 billion over the relevant Annual Calculation Period or Interim Calculation Period, and of at least US$ 10 billion during at least one of the three Annual Observation Periods. In order to be added to the S&P GSCI, a Contract that is not in the S&P GSCI at the time of determination, and is based on a S&P GSCI Commodity on which there are one or more Designated Contracts already in the S&P GSCI at such time, must have an annualized Total Dollar Value Traded, over the relevant Annual Calculation Period or Interim Calculation Period, of at least US$ 30 billion. In order to continue to be included in the S&P GSCI, a Contract that is already in the S&P GSCI at the time of determination, and is based on a S&P GSCI Commodity on which there are one or more Designated Contracts already in the S&P GSCI at such time, must have an annualized Total Dollar Value Traded of at least US$ 10 billion over the relevant Annual Calculation Period or Interim Calculation Period, and of at least US$ 20 billion during at least one of the three Annual Observation Periods.


For these purposes, in determining whether a particular Contract is included in the S&P GSCI, any changes in the composition of the S&P GSCI that have been determined according to the procedures set forth in this methodology, but that have not yet become effective, shall be deemed to have been already made. Notwithstanding any provisions to this methodology, the Total Dollar Value Traded (TDVT) and Total Quantity Traded (TQT) of any Contract are calculated based on the relevant volume of such Contract together with the volume of any Related Contract. Any other modifications to the definitions included in this methodology that are necessary are deemed to have been made for purposes of calculating the relevant TDVTs and TQTs. The Total Dollar Value Traded measures the extent to which a commodity is the subject of Contract trading. Analyzing this feature through the use of dollar values is free from contract-dependent characteristics such as contract size and, thus, makes it possible to compare the results for all Contracts. The minimum TDVT requirement, therefore, further enhances the tradability of the S&P GSCI by excluding those Contracts that do not represent sufficient trading activity in the relevant commodity.

II.4 Reference Percentage Dollar Weight Requirement

In addition to the volume requirements described above, in order to be included in the S&P GSCI a Contract must have a minimum Reference Percentage Dollar Weight. In order to continue to be included in the S&P GSCI, at the time of determination, a Contract must have a Reference Percentage Dollar Weight of at least 0.10%. In order to be added to the S&P GSCI, a Contract must have a Reference Percentage Dollar Weight of at least 1.00% at the time of determination. In determining whether a particular Contract is included in the S&P GSCI, any changes in the composition of the Index that have been determined according to the procedures set forth in this methodology, but that have not yet become effective, shall be deemed to have been already made. The Reference Percentage Dollar Weight is calculated based on the proposed composition of the S&P GSCI determined according to the procedures set forth above. Any Contract that does not satisfy the applicable Reference Percentage Dollar Weight requirement is excluded from such proposed composition, and the CPWs of the remaining Contracts are recalculated according to the procedure set forth in section III.4, until the proposed S&P GSCI contains only Contracts that satisfy the applicable Reference Percentage Dollar Weight requirements. This provision is designed to enhance the tradability of the S&P GSCI by eliminating those Contracts that would account for de minimis percentages of the S&P GSCI, thereby requiring traders to maintain and roll small positions.

II.5 Determination of the Number of Contracts

II.5(a). Determination of Commodity Groups. S&P will from time to time determine which commodities, based on such factors as physical characteristics, trading, production,


use or pricing, are sufficiently related to constitute a single S&P GSCI Commodity for purposes of the methodology and procedures described in this methodology. II.5(b). Selection of Contracts on the same S&P GSCI Commodity and among several S&P GSCI Commodities. In the event that two or more Contracts on the same S&P GSCI Commodity satisfy the eligibility criteria set forth above, such Contracts are included in the S&P GSCI in the order of their respective TQTs, with the Contract having the highest TQT being included first. No further Contracts are included if such inclusion results in the TVM for such Commodity exceeding the TVM Upper Level. If under the procedure set forth in the preceding paragraph, additional Contracts could be included with respect to several S&P GSCI Commodities at the same time, the procedure is first applied to the S&P GSCI Commodity that has the lowest TVM at the time of determination. Subject to the other eligibility criteria, the Contract with the highest TQT on such Commodity is included. Before any additional Contract on any S&P GSCI Commodity is included, the TVMs for all S&P GSCI Commodities are recalculated. The selection procedure described above is, then, repeated with respect to the Contracts on the S&P GSCI Commodity that then has the lowest TVM. Notwithstanding the above or any other provisions of this methodology, the TVM of any Contract and all other measures related to the TVM are calculated based on the relevant volume of such Contract together with the volume of any Related Contract. Any other modifications to the definitions included in this methodology that are necessary in order to implement such calculations are hereby deemed to have been made for purposes of calculating the relevant TVMs. Notwithstanding the foregoing, between the First and a Related Contract, only the Contract with the greater TQT over the relevant Calculation Period is included in the S&P GSCI. As described above, within each commodity group, the order in which additional Contracts are added is based on the TQTs of the relevant Contracts. If the Contracts on a particular S&P GSCI Commodity have sufficient liquidity to support the portion of the S&P GSCI that is attributable to such Commodity (as measured by the TVM), then no further Designated Contracts on such Commodity are necessary. If, however, the TVM of such Commodity is relatively low, it may be necessary or appropriate to include additional Contracts as Designated Contracts. This serves to spread the liquidity attributable to the relevant S&P GSCI Commodity across a broader range of Contracts, thereby enhancing the tradability of the S&P GSCI. However, no additional Contracts are added if their addition would cause the TVM of the relevant S&P GSCI Commodity to exceed the TVM Upper Level. In those circumstances, no further liquidity in the relevant S&P GSCI Commodity is necessary.

II.6 Intra-Year Changes in the Composition of the S&P GSCI

As described in greater detail in section III.6, the composition of the GSCI is reviewed on a quarterly basis during any given S&P GSCI Year. If on any Monthly Observation Date, the TVM of any Designated Contract is below the TVM Threshold for the relevant


S&P GSCI Year, the composition of the S&P GSCI with respect to the S&P GSCI Commodity underlying such Contract will be re-determined.

II.7 Sources of Information

The following are the sources of the information used to determine the eligibility of Contracts for inclusion in the S&P GSCI pursuant to the requirements set forth in sections II.2(b) through II.2(g). If any of the sources identified below is unavailable with respect to the determination of the S&P GSCI for a particular S&P GSCI Year, S&P will identify appropriate alternative sources and the composition of the S&P GSCI for such S&P GSCI Year will be based on such alternative sources. In addition, if S&P believes that one or more of the sources identified below contains a manifest error, it may use an alternative source to obtain the necessary information. Any such alternative sources used by S&P will be publicly disclosed at the time that the composition of the S&P GSCI for the next S&P GSCI Year is announced. II.7(a) General Eligibility Requirements. The identification of those commodities that satisfy the general eligibility requirements set forth in section II.2 is based on the FIA Reports that are published with respect to the relevant Annual Calculation Period or Interim Calculation Period, and in the most recent version of the Futures and Options Fact Book, published by the Futures Industry Institute, available on the date of determination. The determination as to whether a particular Trading Facility has its principal place of business or operations in an OECD country is based on the most recent data published by the OECD available on the date of determination. II.7(b) Contract Volume and Liquidity Requirements. In order to determine whether a particular Contract satisfies the volume and liquidity requirements described above, S&P may use any available sources that it believes to be reasonably reliable including, but not limited to, data contained in the FIA Reports. In the event of manifest error, S&P may supplement, and make corrections to, any such data. Volume data used to determine whether a particular Contract is eligible to be included in the S&P GSCI are the data for the relevant Annual Calculation Period or Interim Calculation Period, provided that in the case of a Contract that has been trading for fewer than 12 months, the determination is made based on data for the period of time during which the Contract has been trading, with such data being annualized. Volume data with respect to a given Contract are calculated based on the volumes of all Contract Expirations of such Contract that have been traded within the relevant Annual Calculation Period or Interim Calculation Period. II.7(c) Adjustments in Special Circumstances. In applying volume data for purposes of calculating the S&P GSCI, S&P may make any such adjustments as it believes to be reasonably necessary in order to take into account any unique or unusual factors with respect to the relevant S&P GSCI Commodity.


III. Calculation of the Contract Production Weights

III.1 Overview of the Contract Production Weights

The S&P GSCI is a production-weighted index, designed to reflect the relative significance of each of the constituent commodities to the world economy, while preserving the tradability of the index by limiting eligible Contracts to those with adequate liquidity. In addition to determining the list of Designated Contracts S&P ascertains the quantity of each such Designated Contract to be included in the S&P GSCI, i.e. the Contract Production Weights (CPWs). The calculation of the CPWs of the Designated Contracts involves a four-step process: (1) determination of the World Production Quantity (WPQ) of each S&P GSCI Commodity (section III.2); (2) determination of the World Production Average (WPA) of each S&P GSCI Commodity over the WPQ Period (section III.3); (3) calculation of the CPW based on the Contract's percentage of the relevant TQT (section III.4); and (4) certain adjustments to the CPWs (sections III.5 and III.6). The procedure for selecting the data sources from which the WPQs, WPAs, and CPWs are derived is described in section III.7.

III.2 World Production Quantities

III.2(a) Determination of WPQs. The WPQ of each S&P GSCI Commodity is equal to the total world production of the S&P GSCI Commodity (except as otherwise set forth in this section) over the WPQ Period. The use of the five-year WPQ Period (and the averaging of that five-year period to determine the WPAs) is intended to mitigate the effect of any aberrational years with respect to the production of a particular commodity. For example, if a given commodity is produced primarily in one part of the world that suffers damage from hurricanes or earthquakes in a particular year, resulting in curtailed production levels, the use of that year's production figures might not accurately reflect the significance of the commodity to the world economy. Commodity production in a particular year may also be higher or lower than would normally be the case as a result of general production cycles, supply and demand cycles, or worldwide economic conditions. Measuring production levels over a five-year period should generally smooth out any such aberrational years. The definition of the WPQ Period imposes a delay of approximately one-and-one-half (1 ½) years between the end of the WPQ Period and the end of the relevant Annual Calculation Period. This delay is because world production statistics are often incomplete and subject to revision after their original publication. Imposing a delay on the WPQ Period generally enhances their accuracy and reliability.


The WPQ Period is defined as the most recent five-year period for which complete world production data is available for all S&P GSCI Commodities from sources determined by S&P to be reasonably accurate and reliable. This procedure is intended to assure that the same WPQ Period is used for all S&P GSCI Commodities, which allows comparisons between production figures to be made without taking into account temporary aberrations in different time periods. III.2(b) Livestock Production Quantities. The annual production quantity for cattle, which is stated in terms of carcass weight, is converted into an equivalent quantity of live cattle by multiplying the production quantity of cattle for a given year by the ratio of live weight of cattle to the dressed weight of cattle (ALW/ADW) for that year, based on sources selected pursuant to section III.7. In addition, cattle and hog production quantities are based on world industrial production data, rather than total world production data, derived from sources selected pursuant to section III.7. III.2(c) Orange Juice Production Quantities. The annual production quantity for orange juice, which is stated as boxes of oranges produced, is converted into an equivalent quantity of pounds of solid frozen concentrated orange juice by multiplying the production quantity of oranges for a given year, in metric tons, by a conversion factor to convert to pounds, and dividing by the number of pounds of oranges per box. The result is, then, multiplied by the ratio of gallons of orange juice per box of oranges and by the ratio of pounds of solid frozen concentrated orange juice per gallon of orange juice for that year, based on sources selected pursuant to section III.7. The Designated Contracts on live cattle and frozen concentrated orange juice are based on live weights of cattle and pounds of solid frozen concentrated orange juice, respectively. As a result, the conversion that must be made with respect to each of these commodities differs somewhat from the conversion made in connection with other Designated Contracts. For this reason, special provisions have been implemented for these conversions. The ALW/ADW ratio used in adjusting the annual livestock production quantity is derived from U.S. statistics, although this ratio is applicable to cattle production throughout the world. Similarly, the conversion ratio used in adjusting the annual production quantity of orange juice is derived from Florida statistics, although this ratio is applicable to orange juice production throughout the world. In addition, the production data for live cattle and lean hogs used in calculating the S&P GSCI are based on industrial production rather than total world production. This is because a significant portion of total world livestock production is used for local consumption and never enters distribution and production channels. As a result, the inclusion of world production in determining the CPWs would overstate the importance of livestock to the world economy. It is possible that in the future S&P will conclude that it is appropriate to use industrial production figures for other commodities, where available. Any such determination will be publicly announced prior to its effectiveness. III.2(d) Regional Production Data. If an S&P GSCI Commodity is primarily a regional commodity, based on its production, use, pricing, transportation or other factors, S&P may determine the WPQ of such S&P GSCI Commodity based on regional, rather


than world, production. At present, natural gas is the only S&P GSCI Commodity where the WPQ is determined based on regional (North American) production. Certain commodities, such as natural gas, are primarily regional commodities, due to the prohibitive cost of transporting such commodities from one part of the world to another or for other reasons. In such instances, it might not be appropriate to determine the WPQ of the commodity based on world production data. For this reason, the definition of the term S&P GSCI Commodity in this methodology includes any group of commodities that, based on such factors as physical characteristics, trading, production, use or pricing, is determined by S&P to be sufficiently related to constitute a single commodity. In those cases in which an S&P GSCI Commodity is a regional commodity, S&P may determine the WPQ of such Commodity based on regional production data.

III.3 World Production Averages

The WPA of each S&P GSCI Commodity is equal to its WPQ over the WPQ Period, divided by five. The WPA is simply the average annual production amount of the S&P GSCI Commodity based on the WPQ over a five-year period.

III.4 Contract Production Weights

In calculating the CPW of each Designated Contract on a particular S&P GSCI Commodity, the WPA of such Commodity is allocated to those Designated Contracts that can best support liquidity. With respect to each Designated Contract, the CPW is equal to (i) the Percentage TQT for such Contract multiplied by (ii) the WPA of the underlying S&P GSCI Commodity (after any necessary conversion made for purposes of the calculation) and divided by (iii) 1,000,000. However, if the calculation of the CPWs for the Designated Contracts on a particular S&P GSCI Commodity results in the TVM of such Contracts being below the TVM Reweighting Level, then the CPWs for all such Contracts are reduced until the TVM of such Contracts is equal to the TVM Reweighting Level. This is achieved by setting the TVM for each such Contract at the TVM Reweighting Level, and reducing the CPW for such Contract accordingly. The adjustment procedure is designed to ensure that the CPW of each Designated Contract is at a level sufficient to support trading activity in the S&P GSCI, but not disproportionately high. The final CPWs are rounded to seven digits of precision. The new CPWs are implemented at the beginning of each S&P GSCI Period according to the rolling procedure set forth in section VI.2(d).

III.5 CPW Adjustment Procedure

The following procedure is used to adjust the CPWs of Designated Contracts, under the circumstances described above:

1. Determine the set “A” of all Designated Contracts to be re-weighted. If the set A is empty, then no adjustment is necessary.

2. Compute the CPWs for all Designated Contracts in A according to the following formula:


000,000,1ii

i

WPATQTPercentageCPW

3. Re-compute the TVMs for all Contracts in A and partition A into the following subsets: AL = {Contracts with TVM below the TVM Reweighting Level} AE = {Contracts with TVM at the TVM Reweighting Level} and AH = {Contracts with TVM above the TVM Reweighting Level}

4. If AL is empty, then no further adjustment is necessary.

5. For each of the Contracts in AH, leave the CPW as specified in step (2).

6. Solve the set of linear equations for the CPWs of all Contracts in AL and AE

TVMRLCPWISLACRPCPWTQT iCk

kki

(where C is the set of all Contracts in the prospective index composition).

7. Repeat steps (3) through (6) until no further adjustment is necessary.

III.6 Monthly Review of Index Composition

On each Monthly Observation Date, S&P calculates the TVM of each Designated Contract, based on volume data for the relevant Interim Calculation Period. If on any such Date, the TVM of any Designated Contract is below the TVM Threshold, S&P adjusts the composition of the S&P GSCI, with respect to the S&P GSCI Commodity underlying such Contract (but not with respect to any other S&P GSCI Commodities), according to the following principles:

a. All eligible Contracts, whether previously included in the S&P GSCI or not, on such Commodity as of such Date are identified, based on the eligibility criteria and subject to the limits set forth in section II.

b. The CPWs of all Contracts so identified are determined according to the procedure set forth in sections III.4 and III.5, provided that the Percentage TQT for each such Contract is determined based on volume data for the relevant Interim Calculation Period for which such data are available for all Contracts on the relevant S&P GSCI Commodity.

c. At the beginning of the new S&P GSCI Period following the foregoing adjustments, the S&P GSCI is re-normalized according to the procedure set forth in section V.

In order to maintain the liquidity and tradability of the S&P GSCI throughout each S&P GSCI Year, this section provides a mechanism to review and reallocate the distribution of CPWs among the Designated Contracts on a particular S&P GSCI Commodity in the course of such Year, if there has been a significant decline in the liquidity of any such Contract. Any such reallocation may result in new Contracts on the same S&P GSCI Commodity being included in the S&P GSCI, or Designated Contracts that have been previously included in the S&P GSCI being excluded. For this purpose, the liquidity of each Designated Contract is measured by its Trading Volume Multiple, which is calculated and reviewed on each Monthly Observation Date.


If any changes are made to the composition of the S&P GSCI (including changes regarding the relative weight of any Designated Contract) according to the procedure described above, the manner in which such changes are effected are determined by S&P, based on market conditions and other relevant factors, and publicly announced as soon as reasonably practicable, which is expected to be at least three weeks prior to the implementation of such changes.

III.7 Sources of Information

III.7(a) Sources of Information for the Determination of CPWs. S&P decides the sources of information used in determining the CPWs for a given S&P GSCI Period. S&P will generally use the same sources of information used to determine the CPWs for or during the immediately preceding S&P GSCI Year. If such sources are not reasonably available or do not contain the necessary information, or if S&P determines the information included in any such sources is inaccurate, unreliable or contains manifest error, S&P will identify alternative sources of information. To the extent practicable, S&P will publicly announce the sources used to determine the CPWs for or during a given S&P GSCI Period at the time that the composition of the S&P GSCI and the calculation of the CPWs for such Period are announced. III.7(b). Sources of Conversion Factors. The factors used to effect the conversions mentioned in section III.2, which are necessary in order to convert the units of measurement used in the WPQs into the units of measurement used with respect to the applicable Contracts are derived from publicly available sources selected by S&P. III.7(c) Sources for Cattle Adjustment Factors. The factor used to make the adjustment mentioned in section III.2(b), with respect to the conversion of dressed weight for cattle into live cattle weight, is derived from publicly available sources selected by S&P, such as the U.S. Department of Agriculture, Agricultural Statistics. III.7(d) Sources for Orange Juice Adjustment. The factor used to make the adjustment mentioned in section III.2(c), with respect to the conversion of boxes of oranges produced into pounds of solid frozen concentrated orange juice, is derived from publicly available sources selected by S&P, such as the USDA Florida Agricultural Statistics Citrus Summary.


IV. Designated Contract Expirations

IV.1 Use of Designated Contract Expirations in Calculating the S&P GSCI

As indicated above, the Total Dollar Weight of the S&P GSCI can only be determined based on the prices of actual Contracts. Because Designated Contracts by definition call for delivery or settlement on specified dates or during specified terms, it is necessary to determine the Designated Contract Expirations that will be included in the S&P GSCI in order to identify the appropriate prices of such Contracts to be used in calculating the value of the S&P GSCI. The identification of the Designated Contract Expirations during a given S&P GSCI Year is made by S&P at the time that the composition of the S&P GSCI for such Year is determined or when contracts are added. This section of the methodology sets forth the procedures for determining the Designated Contract Expirations for each Designated Contract.

IV.2 Identification of Designated Contract Expirations

S&P determines the Designated Contract Expirations for each Designated Contract during a given S&P GSCI Year, provided that each such Designated Contract Expiration must be an Active Contract. With respect to certain Contracts, a number of Contract Expirations have historically exhibited low trading volumes and are generally regarded as inactive. This may be due to seasonal cycles of supply and demand in the underlying commodity or other production, distribution, or economic factors. Inactive Contracts, although available for trading, might not generate accurate and reliable market prices because of the low level of trading activity. For this reason, the S&P GSCI is calculated only based on the prices of Active Contracts. Once a Contract Expiration is identified as a Designated Contract Expiration, the S&P GSCI is calculated based on such Contract Expiration for the given S&P GSCI Year, according to the procedures set forth in section VI of this methodology. However, if S&P determines during the course of an S&P GSCI Year that a Contract Expiration that has been included as a Designated Contract Expiration is no longer an Active Contract, such Designated Contract Expiration will be deleted from the S&P GSCI for the remainder of that S&P GSCI Year. Conversely, if a new Contract is added to the S&P GSCI on an intra-year basis, S&P will identify the Designated Contract Expirations with respect to such Contract for the remainder of the relevant S&P GSCI Year.


IV.3 Failure to Trade Designated Contract Expirations

IV.3(a) Deletion of Designated Contract Expirations. If a Trading Facility deletes a Contract Expiration that is a Designated Contract Expiration, such Contract Expiration will no longer constitute a Designated Contract Expiration for the remainder of the S&P GSCI Year in which the deletion occurs. The S&P GSCI will be calculated based on the remaining Designated Contract Expirations for the rest of the relevant S&P GSCI Year. IV.3(b) Delay in Trading of Designated Contract Expirations. If two consecutive Designated Contract Expirations for a particular Designated Contract have not been made available for trading on or through the relevant Trading Facility at least six months prior to the date on which the Roll Period is scheduled to begin, with respect to the first of these two Designated Contract Expirations, pursuant to section VI.2(c), S&P will determine what action should be taken. Such action may include a decision to delete the Designated Contract Expirations or the Designated Contract from the S&P GSCI for the remainder of the S&P GSCI Year, or a to include such Contract Expirations or Designated Contract if the Designated Contract Expiration is made available by a specified date. In unusual situations, a Trading Facility may not officially delete or replace Designated Contracts on a particular commodity but may, nevertheless, delay the availability of Contracts for particular expirations by the time the Designated Contract Expirations for the next S&P GSCI Year are determined. The provision set forth above is designed to address this type of unusual situation. Any action taken will be publicly announced prior to the effective date of the change in the composition of the S&P GSCI. For example, if the Designated Contract Expirations for a given Designated Contract are scheduled to include the month of July, and the respective Trading Facility deletes the July Contract Expiration for that year but an August Contract Expiration is made available for trading, the S&P GSCI will be calculated based on the August Contract Expiration, subject to the rolling procedures set forth in section VI.2(c) of this methodology, provided that the August Contract Expiration had been made available for trading sufficiently early as specified in section II.2(d).

IV.4 Replacement of Contracts

If trading in all Contract Expirations with respect to a particular Designated Contract is terminated, or the relevant Trading Facility announces that no additional Contract Expirations will be made available with respect to a Designated Contract, an eligible replacement Contract on the relevant S&P GSCI Commodity may be included in the S&P GSCI. To the extent practicable, any such replacement will be in effect on the next Monthly Observation Date, and according to the procedure set forth in section III.6. If another Contract replaces a Designated Contract and the timing or procedure contemplated above is not practicable, a determination will be made as to the date from which the S&P GSCI will be calculated using the replacement Contract. In making this determination, S&P expects to take into account a number of factors, including any differences between the existing Contract and the replacement Contract specifications, Contract Expirations, and other matters. These factors may make it necessary or


advisable to effect the transfer from the existing Contract to the replacement Contract over a series of days. It is anticipated that such a transfer will be implemented in a manner similar to the rolling of the S&P GSCI that takes place during each Roll Period, as described in section VI.2(c). If a replacement contract is to be included in the S&P GSCI, S&P will publicly announce the manner in which the transfer from the existing Contract to the replacement Contract will be implemented, and whether the CPWs of the other Designated Contracts on the relevant S&P GSCI Commodity and/or the Normalizing Constant will be recalculated.


V. The Normalizing Constant

V.1 Purpose of the Normalizing Constant

In order to assure continuity of the S&P GSCI and to allow comparisons of the value of the S&P GSCI to be made over time, it is necessary to make an adjustment to the calculation of the S&P GSCI each time the CPWs are changed. The factor used to make this adjustment is the Normalizing Constant (NC) and is used in the same manner as similar factors applied to the calculation of other published financial market indices. The NC is determined each time the composition of the S&P GSCI is changed pursuant to the procedures set forth in this methodology.

V.2 Calculation of the Total Dollar Weight of the S&P GSCI on Non-Roll Days

The formula for calculating the Total Dollar Weight of the S&P GSCI on any S&P GSCI Business Day that does not occur during a Roll Period is the following:

c

cd

cdd )DCRPCPW(TDW

where:

c = the Designated Contract

d = the S&P GSCI Business Day on which the calculation is made

DCRP = the Daily Contract Reference Price

The Total Dollar Weight, which forms the basis for the calculation of the Normalizing Constant, is equal to the sum of the Dollar Weights of all Designated Contracts. The Dollar Weight of each Designated Contract is in turn calculated by multiplying the appropriate CPW by the applicable Daily Contract Reference Price (DCRP) on the day on which the calculation is made. Accordingly, the formula above can generally be used to calculate the Total Dollar Weight. However, during a Roll Period, as described in section VI.2 of this methodology, the S&P GSCI is calculated based on the DCRP of the First Nearby Contract Expiration and the Roll Contract Expiration of each Designated Contract, reflecting the fact that the S&P GSCI is being rolled from one Contract Expiration to the next. As a result, the calculation of the Total Dollar Weight of the S&P GSCI during a Roll Period is adjusted to reflect the fact that different DCRPs are used for each Designated Contract (e.g., the respective DCRP of the First Nearby Contract Expiration and the Roll Contract Expiration). The formula for calculation of the Total Dollar Weight during a Roll Period (other than a January Roll Period or any other Roll Period in which a re-weighting is implemented) is set forth in section VI.3(a). Further, because the roll


implemented in January (and in any other Roll Period in which a re-weighting is implemented) involves changes not only in the Contract Roll Weights but also the CPWs, a special formula is needed for calculation of the Total Dollar Weight during such Roll Periods. This formula is set forth in section VI.3(b).

V.3 Calculation of the Normalizing Constant

V.3(a) The Total Dollar Weight Ratio. The Total Dollar Weight Ratio is calculated according to the following:

TDWR =

c

cd

cold

c

cd

cnew

)DCRPCPW(

)DCRPCPW(

where:

c = the Designated Contract


CPWnew = CPWs that take effect on the first day of the new S&P GSCI Period

CPWold = the CPWs for the prior S&P GSCI Period

DCRP = the Daily Contract Reference Price

V.3(b) The Normalizing Constant. With respect to a given S&P GSCI Period, the Normalizing Constant (NCnew) is calculated on the last S&P GSCI Business Day of the previous S&P GSCI Period and is equal to the product of (i) the Normalizing Constant for the S&P GSCI Period ending on such day (NCold) and (ii) the Total Dollar Weight Ratio on such day, based on the Daily Contract Reference Price of the First Nearby Contract Expiration for each Designated Contract on such Day. The Normalizing Constant is rounded to seven digits of precision. The formula for calculating the Normalizing Constant is the following:

TDWR*NCNC oldnew


VI. Calculation of the S&P GSCI and Related Indices

VI.1 Overview of the Calculation Process

Because the S&P GSCI is designed as a tradable index that can be used to replicate actual commodity market performance, the calculation of the S&P GSCI takes into account the fact that a person holding positions in the First Nearby Contract Expiration of each Designated Contract would need to roll such positions forward as they approach settlement or delivery. For this reason, the methodology for calculating the S&P GSCI includes a rolling procedure designed to replicate the rolling of actual positions in the Designated Contracts. Moreover, because the rolling of actual positions in a Designated Contract on a single day could be difficult to implement or, if completed on a single day, could have an adverse impact on the market, such rolling would most likely take place over a period of several days. The rolling of the S&P GSCI into new Designated Contract Expirations (Roll Contract Expirations), therefore, similarly takes place over periods of several days, which constitute the Roll Periods. The calculation of the S&P GSCI, consequently, takes into account price levels of the First Nearby Contract Expiration on each S&P GSCI Commodity and, during the Roll Periods, price levels of the Roll Contract Expirations as well. Once the Roll Period has been completed, the Roll Contract Expiration becomes the First Nearby Contract Expiration. In contrast, the S&P GSCI ER represents the return of a portfolio of commodity futures contracts, the composition of which reflects the CPWs of all Designated Contracts and the CRWs of all Designated Contract Expirations. The S&P GSCI ER is, therefore, calculated based on the Contract Daily Return. The S&P GSCI TR reflects the performance of a total return investment in commodities — Contract Daily Return plus the daily interest on the funds hypothetically committed to the investment. The S&P GSFPI is designed as a measure of the fair value of the S&P GSCI CME Futures Contracts and, therefore, does not reflect the rolling of the hypothetical positions in the S&P GSCI Commodities included in the S&P GSCI. In addition, the S&P GSFPI is calculated based on the CPWs and NC scheduled to be in implemented on the first S&P GSCI Business Day of the month in which the first available S&P GSCI CME Futures Contract expires, which might not be the same as the CPWs and NC in effect on the day of calculation.


VI.2 Calculation of the S&P GSCI

VI.2(a) Daily Calculation of the S&P GSCI. The value of the S&P GSCI on each S&P GSCI Business Day is equal to the Total Dollar Weight of the S&P GSCI divided by the Normalizing Constant. The value of the S&P GSCI is calculated on each S&P GSCI Business Day at such time as Daily Contract Reference Prices for the relevant Contract Expirations become available but, in any event, by no later than the S&P GSCI Settlement Time. The Daily Contract Reference Price for each First Nearby Contract Expiration or Roll Contract Expiration used in calculating the S&P GSCI is determined according to the procedure set forth in section VI.2(b). The S&P GSCI is indexed to a value of 100 on January 2, 1970. In formulaic terms, the calculation of the S&P GSCI is as follows, with the results of such calculation rounded to seven digits of precision:

NC

TDW GSCI P&S d

d

The S&P GSCI, above, is the S&P GSCI Spot Index. The S&P GSCI Spot Index reflects only the prices of the First Nearby Contract Expirations, and during a Roll Period, the Roll Contract Expirations, on each S&P GSCI Business Day. The value of the S&P GSCI, therefore, is calculated solely based on the CPW of each Designated Contract, and of the Daily Contract Reference Prices of the First Nearby Contract Expiration and/or the Roll Contract Expiration of each Designated Contract. These components together constitute the Total Dollar Weight (TDW) of the S&P GSCI. The TDW of the S&P GSCI is, then, divided by the Normalizing Constant to assure index continuity. VI.2(b) Determination of Daily Contract Reference Prices. The Daily Contract Reference Prices used in performing the calculations described in any of the provisions of this methodology are the most recent Daily Contract Reference Prices of the First Nearby Contract Expirations or Roll Contract Expirations as made available by the relevant Trading Facility to its members or participants (and S&P) as of the S&P GSCI Settlement Time on the S&P GSCI Business Day on which the calculation is made, subject to the following:

i. If the relevant Trading Facility fails to make available a Daily Contract Reference Price on a day that is a Contract Business Day, or if S&P determines the available Daily Contract Reference Price reflects a manifest error, the relevant calculation is delayed until such time as such Price is made available or corrected. If a Daily Contract Reference Price has not been made available or the error has not been corrected, by the relevant Trading Facility by 04:00 PM, Eastern Time, S&P may determine the appropriate Daily Contract Reference Price for the relevant Designated Contract for purposes of calculating the S&P GSCI. In that event, S&P will disclose the basis for its determination of such Daily Contract Reference Price

ii. If any S&P GSCI Business Day is not a Contract Business Day with respect to any Designated Contract Expiration, then the calculations will be made based on the most recently available Daily Contract Reference Price for the First Nearby Contract


Expiration or Roll Contract Expiration on the most recent Contract Business Day, regardless of whether such Contract Business Day is also a S&P GSCI Business Day.

iii. Notwithstanding the foregoing provisions of this section, if the Daily Contract Reference Price for any Contract Expiration on any S&P GSCI Business Day is corrected or finally made available by the relevant Trading Facility sufficiently early on the next S&P GSCI Business Day to enable S&P to recalculate the S&P GSCI, then the value of the S&P GSCI for such S&P GSCI Business Day will be recalculated based on such Daily Contract Reference Price.

iv. A Daily Contract Reference Price determined according to the procedure set forth in this section will be used in calculating the S&P GSCI regardless of whether such Price is a Limit Price.

VI.2(c) Contract Roll Weights and Roll Contract Expirations. In calculating the Total Dollar Weight of the S&P GSCI during a Roll Period, the Contract Roll Weights of the First Nearby Contract Expiration and the Roll Contract Expiration of each S&P GSCI Commodity are equal to: (i) on the first day of the Roll Period with respect to such Commodity, 0.8 and 0.2, respectively; (ii) on the second day of the Roll Period, 0.6 and 0.4, respectively; (iii) on the third day of the Roll Period, 0.4 and 0.6 respectively; (iv) on the fourth day of the Roll Period, 0.2 and 0.8, respectively; and (v) on the fifth day of the Roll Period, 0.0 and 1.0, respectively, subject to the provisions of section VI.2(d). This section specifies the procedures for rolling the First Nearby Contract Expiration of each Designated Contract into the appropriate Roll Contract Expiration. The roll is essentially implemented by adjusting the Contract Roll Weights of each of the First Nearby Contract Expiration and the Roll Contract Expiration, on each day of the Roll Period, in a manner that shifts the calculation of the S&P GSCI by a pro rata amount per day from the First Nearby Contract Expiration to the Roll Contract Expiration for each Designated Contract. The roll is reflected in the modified procedures for determining the Total Dollar Weight of the S&P GSCI during a Roll Period (sections VI.3(a) and V.3(b)). VI.2(d) Adjustment of Roll Period. On any S&P GSCI Business Day, the occurrence of any of the following circumstances will result in an adjustment of a Roll Period according to the procedure set forth in this section:

i. if such S&P GSCI Business Day is not a Contract Business Day with respect to any First Nearby Contract Expiration or Roll Contract Expiration;

ii. the applicable Daily Contract Reference Price of any such Contract Expiration on such S&P GSCI Business Day is a Limit Price;

iii. S&P determines the Daily Contract Reference Price published by a Trading Facility for a particular Designated Contract Expiration reflects manifest error and such error is not corrected by the S&P GSCI Settlement Time, or the Trading Facility for any reason fails to publish a Daily Contract Reference Price for such Contract Expiration by 04:00 PM, Eastern Time. If the day is otherwise a Contract Business Day and the circumstances described in clauses (ii) and (iv) of this section do not exist with respect to such Contract Expiration on the relevant day, S&P may determine the appropriate Daily Contract Reference Price for the relevant Designated Contract and determine the rolling of the S&P GSCI based on such Daily Contract Reference Price. S&P will disclose the basis for its determination of such Daily Contract


Reference Price. If the Trading Facility makes available a Daily Contract Reference Price or corrected Daily Contract Reference Price for such Contract Expiration prior to the opening of trading in such Contract Expiration on the next Contract Business Day, then the rolling of the portion of the S&P GSCI implemented on the prior S&P GSCI Business Day will be revised based on such Daily Contract Reference Price; or

iv. trading in the relevant Contract Expiration for such S&P GSCI Business Day is terminated prior to the time at which, as of the opening of trading on such Day (as defined under the rules or policies of the relevant Trading Facility), trading in such Contract Expiration was scheduled to close, and trading in such Contract Expiration does not resume at least 10 minutes prior to, and continue until, the scheduled closing time (or the rescheduled closing time if such closing time was rescheduled as a result of the termination).

In any such event, the portion of the roll that would otherwise have taken place on such S&P GSCI Business Day will take place on the next Contract Business Day (provided that such Day is also a S&P GSCI Business Day) on which none of the circumstances identified in this section exist. If on any day during a Roll Period the Daily Contract Reference Price of any First Nearby Contract Expiration or Roll Contract Expiration is a Limit Price, no Daily Contract Reference Price is available, or trading in the relevant Designated Contract is terminated earlier than scheduled (and does not resume within the specified time period), the portion of the roll that would otherwise have taken place on that day will be deferred until the next day on which such circumstances do not exist. This limitation is based on the fact that, under the circumstances described in this section, it would be difficult or impossible to liquidate and/or establish actual positions in the market and to perform the roll. Delaying the rolling of the S&P GSCI, therefore, serves to replicate the steps that would need to be taken in rolling actual market positions. Under this procedure, if any of the enumerated circumstances exists on the first day of the Roll Period with respect to a First Nearby Contract Expiration or a Roll Contract Expiration, then no portion of the roll will be performed and 40% of the roll will be implemented on the next S&P GSCI Business Day. If such circumstances also exist on the second S&P GSCI Business Day of the Roll Period, then 60% of the roll will be performed on the third day, and so forth. If such circumstances exist throughout the five S&P GSCI Business Days initially designated as the Roll Period, then the entire roll will be performed on the next succeeding S&P GSCI Business Day on which none of these circumstances exist. This roll procedure also applies to the rolling of the S&P GSCI into the new CPWs and Normalizing Constant during the January Roll Period, or during any other Roll Period in which a re-weighting of the S&P GSCI is effected, as set forth in section VI.3(b). The only exception to the foregoing is that if the relevant Trading Facility makes available a Daily Contract Reference Price that reflects manifest error, and such error is not corrected by the S&P GSCI Settlement Time, or if the Trading Facility fails to make available any Daily Contract Reference Price by 4:00 PM, Eastern Time, on a day on which trading otherwise occurred (and none of the other conditions specified in section VI.2(d) exist), S&P may determine the Daily Contract Reference Price to be used in implementing that day's roll. In such instances, S&P will disclose the basis for its


determination. If the Trading Facility, then, makes available a Daily Contract Reference Price or a corrected Daily Contract Reference Price prior to the opening of trading on the next Contract Business Day, S&P will revise the calculation accordingly. This provision is intended to address the unlikely situation in which trading has taken place on or through a Trading Facility during the trading day, and market participants may therefore have rolled actual positions, but the Trading Facility, due to communications or equipment failures or other problems, publishes an erroneous Daily Contract Reference Price or fails to publish a Daily Contract Reference Price by 04:00 PM, Eastern Time.

VI.3 Calculation of the S&P GSCI ER

VI.3(a) Calculation of TDW During a Roll Period. The formula for calculating the Total Dollar Weight of the S&P GSCI on any S&P GSCI Business Day that occurs during a Roll Period (other than a January Roll Period or any other Roll Period in which a re-weighting of the S&P GSCI is effected) is the following:

TDWd = )2DCRP2CRW1DCRP1CRW(CPW cd

cd

cd

cd

c

c

where

c = each Designated Contract


CRW1 = the Contract Roll Weight of the First Nearby Contract Expiration

CRW2 = the Contract Roll Weight of the Roll Contract Expiration

DCRP = the Daily Contract Reference Price of each respective Contract Expiration

On any S&P GSCI Business Day that does not occur during a Roll Period, the Total Dollar Weight of the S&P GSCI is calculated according to the procedure set forth in section V.2. During a Roll Period, however, the Total Dollar Weight reflects the fact that the S&P GSCI is being rolled from one Contract Expiration to the next. As a result, the formula for Total Dollar Weight during a Roll Period must be adjusted to reflect the fact that different Daily Contract Reference Prices are for each Designated Contract (i.e., the respective Daily Contract Reference Prices of the First Nearby Contract Expiration and the Roll Contract Expiration). VI.3(b) Calculation of TDW in Connection with Changes in the Composition of the S&P GSCI. The CPWs and NC for a given S&P GSCI Period are implemented during the Roll Period of the calendar month in which such S&P GSCI Period begins. In calculating the value of the S&P GSCI on each day of such Roll Period, (i) the Contract Roll Weight of the First Nearby Contract Expiration of each Designated Contract, as determined and adjusted in prior sections, is multiplied by the applicable Daily Contract Reference Price of such Contract Expiration and the CPW of the relevant Designated Contract for the prior S&P GSCI Period, and divided by the NC for the prior S&P GSCI Period, and (ii) the Contract Roll Weight of the Roll Contract Expiration of each Designated Contract, as determined and adjusted in prior sections, is multiplied by the applicable Daily Contract Reference Price of such Contract Expiration and the CPW of


the relevant Designated Contract for the new S&P GSCI Period and divided by the NC for such new S&P GSCI Period. The formula for calculating the Total Dollar Weight of the S&P GSCI on any S&P GSCI Business Day that occurs during the January Roll Period, or during any other Roll Period in which a re-weighting of the S&P GSCI is effected, is the following:

TDWd =

c

cd

cd

c

c

cd

cd

c

old

new )2DCRP2CRW2CPW()1DCRP1CRW1CPW(NC

NC

where

c = each Designated Contract


CRW1 = the Contract Roll Weight of the First Nearby Contract Expiration

CRW2 = the Contract Roll Weight of the Roll Contract Expiration

CPW1 = the CPW of the First Nearby Contract Expiration

CPW2 = the CPW of the Roll Contract Expiration

DCRP = the Daily Contract Reference Price of each respective Contract Expiration

During the January Roll Period, and during any other Roll Period in which a re-weighting of the S&P GSCI is implemented, the S&P GSCI rolls into the new CPWs and NC during the regularly scheduled monthly Roll Period. For example, on the first day of the January Roll Period, which is the fifth (5th) S&P GSCI Business Day of the month, 80% of the S&P GSCI is calculated based on the CPWs and NC for the prior S&P GSCI Period and 20% of the S&P GSCI is calculated based on the CPWs and NC for the S&P GSCI Period beginning on such Day. On the sixth (6th) through ninth (9th) S&P GSCI Business Days, the percentages are 60/40, 40/60, 20/80 and 0/100, respectively. On the ninth (9th) S&P GSCI Business Day, the roll is completed, unless the Roll Period is extended as a result of the occurrence of one of the events specified in section VI.2(d). In order to reflect this roll into the new CPWs and Normalizing Constant, the formula for the Total Dollar Weight of the S&P GSCI requires the additional adjustments detailed above. Specifically, because the CPWs of the First Nearby Contract Expiration and the Roll Contract Expiration will be different, CPW1 and CPW2, as set forth above, must enter the calculation. In addition, the result of this calculation must be multiplied by the Total Dollar Weight Ratio, which reflects the change in the Total Dollar Weight resulting from the shift to new CPWs and, therefore, when multiplied by CRW1 and CRW2, rolls the S&P GSCI into the new CPWs and the new Normalizing Constant. VI.3(c) Calculation of the Contract Daily Return. On any S&P GSCI Business Day, the Contract Daily Return is equal to the ratio of the Total Dollar Weight Obtained (TDWO) on such Day and the Total Dollar Weight Invested (TDWI) on the preceding S&P GSCI Business Day, minus one.


In formulaic terms, the Contract Daily Return is calculated as follows:

CDRd = 1TDWI

TDWO

1d

d

The principal component of the calculation of the S&P GSCI ER is the determination of the Contract Daily Return (CDR) for a given S&P GSCI Business Day. The CDR is calculated by reference to the Total Dollar Weight of the S&P GSCI. The Contract Daily Return is generally defined as the percentage change in the Total Dollar Weight of the S&P GSCI from one S&P GSCI Business Day to the next. The Contract Daily Return, therefore, reflects the returns that would be realized by holding positions in the Designated Contract Expirations, appropriately weighted to reflect the CPWs, from the closing of the Trading Facilities on the prior day to the closing of such Trading Facilities on the day on which the calculation is performed. This feature of replicating the performance of actual market positions makes the S&P GSCI a tradable index. As set forth in prior sections, the formula for calculation of the Total Dollar Weight of the S&P GSCI on those days that occur during a Roll Period differs from the formula used on other days. In addition, during the January Roll Period, or any other Roll Period in which a re-weighting of the S&P GSCI is implemented, a further adjustment to this formula must be made. Once the appropriate formula for calculating the Total Dollar Weight of the S&P GSCI is determined, the Total Dollar Weight Invested, which reflects a hypothetical investment in the S&P GSCI based on the CPWs, CRWs and Daily Contract Reference Prices on the preceding S&P GSCI Business Day, and the Total Dollar Weight Obtained, which reflects the return on the hypothetical investment and is calculated based on the CPWs and CRWs in effect on the preceding day but on the Daily Contract Reference Prices used to calculate the S&P GSCI on the current day, can be determined. The Contract Daily Return can, then, be calculated by dividing the Total Dollar Weight Obtained on the day on which the calculation is made by the Total Dollar Weight Invested of the preceding day. VI.3(d) Daily Calculation of the S&P GSCI ER. On any S&P GSCI Business Day, the value of the S&P GSCI ER is equal to the product of (i) the value of the S&P GSCI ER on the preceding S&P GSCI Business Day and (ii) one plus the Contract Daily Return on the S&P GSCI Business Day on which the calculation is made. The value of the S&P GSCI ER is indexed to a base value of 100 on January 2, 1970. The result of the foregoing calculation is then rounded to seven digits of precision. In formulaic terms, the S&P GSCI ER is:

S&P GSCI ERd = ) CDR(1 ER GSCI P&S d1-d The S&P GSCI ER is calculated on a cumulative basis beginning with the first day for which the S&P GSCI ER was calculated, which was January 2, 1970. The value of the S&P GSCI ER on any S&P GSCI Business Day, therefore, can be determined by


reference to the value on the preceding S&P GSCI Business Day and the Contract Daily Return on the day of calculation.

VI.4 Calculation of the S&P GSCI TR

VI.4(a) The Treasury Bill Return. On any given calendar day, the Treasury Bill Return is equal to:

1

TBAR 360

911

1= TBR

91

1

1d-

d

The subscript d-1 on TBAR indicates that the Treasury Bill Rate used in the calculation is the Rate available on the preceding S&P GSCI Business Day. VI.4(b) Daily Calculation of the S&P GSCI TR. On any S&P GSCI Business Day, the value of the S&P GSCI TR is equal to the product of (i) the value of the S&P GSCI TR on the preceding S&P GSCI Business Day and (ii) one plus the sum of the Contract Daily Return and the Treasury Bill Return on the S&P GSCI Business Day on which the calculation is made and (iii) one plus the Treasury Bill Return for each non S&P GSCI Business Day since the preceding S&P GSCI Business Day. The result of the foregoing calculation is, then, rounded to seven digits of precision. In formulaic terms:

S&P GSCI TRd = daysddd1-d )TBR (1*)TBR CDR (1*TR GSCI P&S

where days is the number of non S&P GSCI Business Days since the preceding S&P GSCI Business Day. The S&P GSCI TR is set equal to 100 on January 2, 1970.

VI.5 Calculation of the Sub-Indices

Each of the sub-indices reflecting portions of the S&P GSCI, the S&P GSCI ER, or the S&P GSCI TR is calculated in the same manner as the respective index, except that: (i) the Daily Contract Reference Prices, CPWs and Contract Roll Weights used in performing such calculations are limited to those of the S&P GSCI Commodities included in the relevant sub-index; and (ii) each sub-index has a separate Normalizing Constant, which is calculated according to the procedures set forth in section V of this methodology. The Dollar Weights and Daily Contract Reference Prices used in calculating such Normalizing Constant are limited to those of the Designated Contracts included in the relevant sub-index.


VI.6 Calculation of the S&P GSCI FPI Index

The S&P GSCI FPI is an index designed to mimic the S&P GSCI Index, with the following exceptions:

1. The FPI Index does not incorporate the standard 5-day roll monthly period. There is no roll period.

2. The index always has a 100% weight in the current contract, and always uses the current Contract Production Weights (CPW) for the underlying contracts and current Normalizing Constant (NC) based on the S&P GSCI Index to calculate the index level through the 11th business day of the month. On the 12th business day of the month, the current contracts, CPWs and NCs are changed to reflect the current composition of the S&P GSCI.

The purpose of the S&P GSCI FPI Index is to serve as the underlying index for the S&P GSCI Futures Contracts available for trade at CME Group, which expire on the 11th business day of every month. The index also serves as a benchmark for the fair value of such futures contracts.

VI.7 CPWs for the S&P GSCI Reduced Energy Index, S&P GSCI Light Energy Index, S&P GSCI Ultra-Light Energy Index, and S&P GSCI Non-Energy Index.

The S&P GSCI Reduced Energy Index, S&P GSCI Light Energy Index and S&P GSCI Ultra-Light Energy Index are three indices that are comprised of the same Designated Contracts as the S&P GSCI but whose Contract Production Weights (CPW) of all Designated Contracts in the energy sector have been divided by two (S&P GS Reduced Energy Index), by four (S&P GSCI Light Energy Index), or by eight (S&P GSCI Ultra-Light Energy Index). Because the CPWs of energy-related S&P GSCI Commodities are reduced in these indices, the relative weights of other S&P GSCI Commodities are necessarily increased. As a result, although the S&P GSCI Reduced Energy Index, the S&P GSCI Light Energy Index and the S&P GSCI Ultra-Light Energy Index contain all of the S&P GSCI Commodities that are included in the S&P GSCI, they are not world-production weighted in the same manner as the S&P GSCI. The S&P GSCI Non-Energy Index excludes the energy commodities.


Appendix A: Contracts Included in the S&P GSCI for 2011

S&P has performed the annual calculation to determine the initial CPWs for the S&P GSCI 2011, as required by the S&P GSCI Index Methodology, based on trading volume from September 2009 to August 2010. The audited results of the calculations are presented in this Appendix. No new commodities will enter at this time and no existing commodities will be removed.

Contracts included in the 2011 S&P GSCI

Table 1 (on the next page) identifies the Contracts included in the 2011 S&P GSCI as well as the Contract Production Weights and Designated Contract Expirations for each such Contract in 2011. The Reference Percentage Dollar Weights were calculated based on the Average Contract Reference Prices for the 2011 Annual Calculation Period; actual Percentage Dollar Weights on any given S&P GSCI Business Day will vary depending on actual 2010 Daily Contract Prices.

Standard & Poor’s: S&P GSCI® Index Methodology, 2010 Edition 45

1 2 3 4 5 6 7 8 9 10 11 12

CBT Chicago Wheat W 18450.31 18188.56 5.262 bu 3.10% 3.00% 568.9 99.7 H H K K N N U U Z Z Z H

KBT Kansas City Wheat KW 3598.646 4134.2 5.355 bu 0.62% 0.69% 131.6 99.7 H H K K N N U U Z Z Z H

CBT Corn C 26774.03 28210.87 3.801 bu 3.25% 3.37% 1102.9 172.5 H H K K N N U U Z Z Z H

CBT Soybeans S 7428.744 7708.699 9.736 bu 2.31% 2.36% 1692.8 378.3 H H K K N N X X X X F F

ICE - US Coffee KC 16656.42 16710 1.442 lbs 0.77% 0.76% 293 203.9 H H K K N N U U Z Z Z H

ICE - US Sugar #11 SB 334848.9 340773.4 0.211 lbs 2.25% 2.25% 664 155.2 H H K K N N V V V H H H

ICE - US Cocoa CC 3.84132 4.015306 3085.833 MT 0.38% 0.39% 111 150.3 H H K K N N U U Z Z Z H

ICE - US Cotton #2 CT 48373.16 51632.55 0.765 lbs 1.18% 1.24% 179.5 76.2 H H K K N N Z Z Z Z Z H

CME Lean Hogs LH 66871.24 70271.76 0.723 lbs 1.55% 1.59% 218.7 72.2 G J J M M N Q V V Z Z G

CME Live Cattle LC 91113.18 91458.23 0.903 lbs 2.63% 2.59% 382.1 77.6 G J J M M Q Q V V Z Z G

CME Feeder Cattle FC 13344.92 13417.1 1.052 lbs 0.45% 0.44% 65.3 77.6 H H J K Q Q Q U V X F F

NYM / ICE Crude Oil CL 14756.45 14314 77.265 bbl 36.45% 34.71% 16347.6 247.9 G H J K M N Q U V X Z F

NYM Heating Oil HO 69497.32 72571.85 2.045 gal 4.54% 4.66% 2193.9 247.9 G H J K M N Q U V X Z F

NYM RBOB Gasoline RB 68687.43 72504.78 2.054 gal 4.51% 4.67% 2201.5 247.9 G H J K M N Q U V X Z F

ICE - UK Brent Crude Oil LCO 5889.402 6262.977 77.420 bbl 14.58% 15.22% 7167.1 247.9 H J K M N Q U V X Z F G

ICE - UK Gasoil LGO 278.6346 313.6761 640.438 MT 5.70% 6.30% 2969.4 247.9 G H J K M N Q U V X Z F

NYM / ICE Natural Gas NG 28572.22 28797.24 4.645 MMBtu 4.24% 4.20% 5035.9 631.5 G H J K M N Q U V X Z F

LME Aluminum MAL 38.13 41.288 2081.396 MT 2.54% 2.70% 2301.8 449.3 G H J K M N Q U V X Z F

LME Copper MCU 16.18 16.62 7015.313 MT 3.63% 3.66% 4790.1 689.1 G H J K M N Q U V X Z F

LME Lead MPB 7.278 7.574 2129.083 MT 0.50% 0.51% 373.7 388.7 G H J K M N Q U V X Z F

LME Nickel MNI 1.274 1.286 20388.833 MT 0.83% 0.82% 890.6 569.7 G H J K M N Q U V X Z F

LME Zinc MZN 10.264 10.68 2136.490 MT 0.70% 0.72% 930.4 683.9 G H J K M N Q U V X Z F

CMX Gold GC 80.11967 78.12632 1143.433 oz 2.93% 2.80% 5069.4 951.8 G J J M M Q Q Z Z Z Z G

CMX Silver SI 632.0837 649.4452 17.644 oz 0.36% 0.36% 927.2 1357.1 H H K K N N U U Z Z Z H

2011 RPDW2011 TDVT (USD bn) 2011 TVM2011 CPW

2011 ACRP ($) Unit 2010 PDW(2)

Table 1: Contracts Included in the S&P GSCI for 2011Designated Contract

Expirations at Month Begin(3)Trading Facility Ticker(1)Commodity 2010 CPW

(1) Tickers are Reuters RIC Codes. (2) Using the ACRPs for the 2010 Annual Calculation Period.

(3) Future Months included in the S&P GSCI at the beginning of each calendar month, starting with January 2010. Table 2 contains Month letter codes.

Abbreviations:

bbl Barrels lbs Pounds bu Bushel MMBtu Million British Thermal Units

gal U.S. Gallons oz. Troy Ounces kg Kilograms MT Metric Tons


Table 2: Month Letter CodesMonth Letter CodeJanuary FFebruary GMarch HApril JMay KJune MJuly NAugust QSeptember UOctober VNovember XDecember Z

Composition of S&P GSCI Sub-Indices

Table 3 (below) demonstrates the effects of re-weighting on the principal S&P GSCI Sub-Indices. The Reference Percentage Dollar Weights were calculated based on Average Contract Reference Prices for the 2010 Annual Calculation Period; actual Daily Percentage Dollar Weights will vary, depending on actual 2010 Daily Contract Prices.

Energy 70.03% 69.75% Crude Oil (and supporting contracts) and Natural GasNon-Energy 29.97% 30.25% (All commodities not included in Energy Sub-Index)Petroleum 65.79% 65.56% Crude Oil (and supporting contracts) Agriculture 13.87% 14.05% Wheat (Chi. & Kan.), Corn, Soybeans, Coffee, Sugar, Cocoa, and CottonLivestock 4.63% 4.63% Lean Hogs, Live Cattle and Feeder CattleIndustrial Metals 8.19% 8.40% Aluminum, Copper, Lead, Nickel and ZincPrecious Metals 3.29% 3.16% Gold and Silver

Table 3: Composition of S&P GSCI Sub-Indices

Sub-Index 2010 PDW*

2011 RPDW Included Commodities

* Based on the Average Contract Reference Prices for the 2010 Annual Calculation Period.


WPAs and Conversion Factors

The WPAs, relevant units and conversion factors used for the Designated Contracts becoming effective during the first Roll Period for the S&P GSCI year 2010 are shown below.

S&P GSCI Commodity WPQ Units 2010 WPA 2011 WPAPercentage

ChangeWheat 1000 M ton 599,732 607,179 1.2%Corn 1000 M ton 680,060 716,556 5.4%Soybeans 1000 M ton 202,062 209,677 3.8%Coffee 1000 M ton 7,555 7,580 0.3%Sugar #11 1000 M ton 151,885 154,572 1.8%Cocoa 1000 M ton 3,841 4,015 4.5%Cotton #2 1000 M ton 21,942 23,420 6.7%Lean Hogs 1000 M ton 30,332 31,875 5.1%Cattle 1000 M ton 47,381 47,571 0.4%Crude Oil 1000 M ton 3,520,117 3,566,557 1.3%Natural Gas 1 Petajoule 30,169 30,406 0.8%Aluminum 1000 M ton 38,130 41,288 8.3%Copper 1000 M ton 16,180 16,620 2.7%Lead 1000 M ton 7,278 7,574 4.1%Nickel 1 M ton 1,274 1,286 0.9%Zinc 1000 M ton 10,264 10,680 4.1%Gold 1 kg 2,492,000 2,430,000 -2.5%Silver 1 M ton 19,660 20,200 2.7%

Table 4: World Production Averages for 2011 S&P GSCI Commodities

Note: the contracts considered for inclusion in the S&P GSCI 2010 table is available on the S&P Web site.


Contract Units and Conversion Factors for 2011 S&P GSCI Contracts

CBT Chicago Wheat 5,000 bu 1,000/27.2KBT Kansas City Wheat 5,000 bu 1,000/27.2CBT Corn 5,000 bu 1,000/25.4CBT Soybeans 5,000 bu 1,000/27.2

ICE - US Coffee 37,500 lbs 2,204.62ICE - US Sugar #11 112,000 lbs 2,204.62ICE - US Cocoa 10 M ton 1ICE - US Cotton #2 50,000 lbs 2,204.62

CME Lean Hogs 40,000 lbs 2,204.62CME Live Cattle 40,000 lbs 2,204.62CME Feeder Cattle 50,000 lbs 2,204.62

NYM / ICE Crude Oil 1,000 bbl 7.32NYM Heating Oil 42,000 gal 304NYM RBOB Gasoline 42,000 gal 357

ICE - UK Brent Crude Oil 1,000 bbl 7.32ICE - UK Gasoil 100 M ton 1

NYM / ICE Natural Gas 10,000 MMBtu 947,086.29LME Aluminum 25 M ton 1LME Copper 25 M ton 1LME Lead 25 M ton 1LME Nickel 6 M ton 1LME Zinc 25 M ton 1CMX Gold 100 oz. 32.15075CMX Silver 5,000 oz. 32,150.75

Table 5: Contract Units and Conversion Factors for 2011 S&P GSCI ContractsConversion Factor

Between Contract Units and WPQ Units

Trading Facility Contract Contract Size

Units

Sources and Notes: Contract Size / Units (Domestic Trading Facilities): Futures Industry Association, Monthly Volume Report. Contract Size / Units (Foreign Trading Facilities): Futures Industry Association, Futures and Options Fact Book. Bloomberg Abbreviations: Bbl: Barrels Gal: Gallons Lbs: Pounds MMBtu: Million British Thermal Units Kg: Kilograms M Ton: Metric Tons Oz: Ounces Bu: Bushels


Sources for World Production Data

According to the S&P GSCI Index Methodology, the WPQ Period for the 2010 S&P GSCI is 2003-2007. This is the most recent period for which data was available for all S&P GSCI Commodities.

Commodity Primary Source for Production Data

Wheat FAOSTAT http://faostat.fao.org/site/567/default.aspx#ancor (Commodity: "Wheat", Year 2003-2007)

Corn FAOSTAT http://faostat.fao.org/site/567/default.aspx#ancor (Commodity: "Maize", Year 2003-2007)

Soybeans FAOSTAT http://faostat.fao.org/site/567/default.aspx#ancor (Commodity: "Soybeans", Year 2003-2007)

Coffee FAOSTAT http://faostat.fao.org/site/567/default.aspx#ancor (Commodity: "Coffee, green", Year 2003-2007)FAOSTAT http://faostat.fao.org/site/567/DesktopDefault.aspx?PageID=567 (Commodity: "Sugars +", Year 2003-2006)

*USDA http://w w w .fas.usda.gov/psdonline/psdQuery.aspx (Commodity: "Sugar, Centrifugal", Year 2007+)

Cocoa FAOSTAT http://faostat.fao.org/site/567/default.aspx#ancor (Commodity: "Cocoa beans", Year 2003-2007)FAOSTAT http://faostat.fao.org/site/567/DesktopDefault.aspx?PageID=567 (Commodity: "Cotton lint", Year 2003-2006)

*USDA http://w w w .fas.usda.gov/psdonline/psdQuery.aspx (Commodity: "Cotton", Year 2007+)

UN Data http://data.un.org/Data.aspx?q=pork&d=ICS&f=cmID%3a21110-2FAOSTAT http://faostat.fao.org/site/569/DesktopDefault.aspx?PageID=569'#ancor (Commodity: "Pig meat", Year 2003-2007)FAOSTAT http://faostat.fao.org/site/569/DesktopDefault.aspx?PageID=569'#ancor (Commodity: "Cattle meat", Year 2003-2007)

UN Data http://data.un.org/Data.aspx?q=beef&d=ICS&f=cmID%3a21110-1

USDA ALW/ADW data: http://w w w .nass.usda.gov/Publications/Ag_Statistics/index.asp (Tables 7-9 and 7-69)

Crude Oil UN Data http://data.un.org/Data.aspx?q=crude+petroleum&d=ICS&f=cmID%3a12010-0

Natural Gas UN Data http://data.un.org/Data.aspx?q=natural+gas+&d=ICS&f=cmID%3a12020-1

Aluminum USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/aluminum/ (Table 12: Aluminum, Primary: World Production By Country)

Copper USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/copper/ (Table 22: Copper: World Refinery Production By Country)

Lead USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/lead/ (Table 14: Lead: World Refinery Production By Country)

Nickel USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/nickel/ (Table 11: Nickel: World Plant Production By Country)

Zinc USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/zinc/ (Table 16: Zinc: World Smelter Production By Country)

Gold USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/gold/ (Table 8: Gold: World Mine Production By Country)

Silver USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/silver/ (Table 8: Silver: World Mine Production By Country)

Platinum USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/platinum/ (Table 5: Platinum-Group Metals: World Production By Country)

Tin USGS - MYB 2007 http://minerals.usgs.gov/minerals/pubs/commodity/tin/ (Table 10: Tin: World Smelter Production By Country)

FAOSTAT http://faostat.fao.org/site/567/DesktopDefault.aspx?PageID=567 (Commodity: "Oranges", Year 2003-2007)USDA OJ Yield http://w w w .nass.usda.gov/Statistics_by_State/Florida/Publications/Citrus/index.asp (Citrus Summary 2007-08, p. 17)

Oranges

Cattle

Sugar

Cotton

Lean Hogs


Example for Calculating the Normalizing Constant

The Normalizing Constant becoming effective during the first Roll Period for the S&P GSCI Year 2011 depends on the Daily Contract Reference Prices of the relevant Designated Contracts on the 4th business day of January. At the time of the compilation of this methodology, such prices are obviously not available. Therefore, for demonstration purposes, we carry on the calculation using the Average Contract Reference Prices. The rules are described in section V.

CBT Chicago Wheat 18450.31 18188.56 5.262 97,079.38 95,702.14

KBT Kansas City Wheat 3598.646 4134.2 5.355 19,270.00 22,137.78

CBT Corn 26774.03 28210.87 3.801 101,774.78 107,236.57

CBT Soybeans 7428.744 7708.699 9.736 72,323.47 75,049.00

ICE - US Coffee 16656.42 16710 1.442 24,019.25 24,096.52

ICE - US Sugar #11 334848.9 340773.4 0.211 70,485.69 71,732.80

ICE - US Cocoa 3.84132 4.015306 3085.833 11,853.67 12,390.57

ICE - US Cotton #2 48373.16 51632.55 0.765 37,018.37 39,512.67

CME Lean Hogs 66871.24 70271.76 0.723 48,360.44 50,819.66

CME Live Cattle 91113.18 91458.23 0.903 82,299.88 82,611.55

CME Feeder Cattle 13344.92 13417.1 1.052 14,035.52 14,111.43

NYM / ICE Crude Oil 14756.45 14314 77.265 1,140,157.11 1,105,971.21

NYM Heating Oil 69497.32 72571.85 2.045 142,137.66 148,425.76

NYM RBOB Gasoline 68687.43 72504.78 2.054 141,096.57 148,938.11

ICE - UK Brent Crude Oil 5889.402 6262.977 77.420 455,957.50 484,879.68

ICE - UK Gasoil 278.6346 313.6761 640.438 178,448.05 200,889.94

NYM / ICE Natural Gas 28572.22 28797.24 4.645 132,706.06 133,751.18

LME Aluminum 38.13 41.288 2081.396 79,363.62 85,936.67

LME Copper 16.18 16.62 7015.313 113,507.76 116,594.49

LME Lead 7.278 7.574 2129.083 15,495.47 16,125.68

LME Nickel 1.274 1.286 20388.833 25,975.37 26,220.04

LME Zinc 10.264 10.68 2136.490 21,928.93 22,817.71

CMX Gold 80.11967 78.12632 1143.433 91,611.50 89,332.24

CMX Silver 632.0837 649.4452 17.644 11,152.27 11,458.59

3,128,058.33 3,186,742.00

2011 Normalizing ConstantTrading Facility 2010 CPW 2011 CPW 2011

ACRP ($) 2010 TDW 2011 TDWDesignated Contract

NC 2010 = 6165.64 NC 2011 = 6281.31

Based on the Normalizing Constant effective for the 2010 January Roll Period equal to 6165.64, using the formula in section V and rounding to seven (7) significant digits, the new 2010 Normalizing Constant is:

NCnew = TDWRNCold = 333,128,058.

003,186,742. 6165.64 = 6281.31


Appendix B: S&P GSCI Policy Decisions

Determinations with Respect to the S&P GSCI and the Index Methodology

The following is a summary of determinations that were made by S&P, after a discussion of the issues and principal considerations with the, S&P GSCI Index Committee, with respect to certain issues related to the S&P GSCI Commodity Index (the “S&P GSCI”). Item #1 — Investment Support Level. The Investment Support Level (“ISL”) will be increased from the current level of US$ 170 billion to US$ 190 billion, effective, January, 2011. The ISL is a measure of the liquidity in the contracts included in the S&P GSCI that needs to be maintained in order to support the level of investment in commodity indices. This is not a change in the S&P GSCI Index Methodology, but rather a change in the level according to the Index Methodology. Item #2 — Sugar. Issue: The Food and Agriculture Organization of the United Nations (FAO) changed the criteria for sugar in May of 2008. The new FAOSTAT criteria are not comparable to previously available data. Thus, the 2010 WPA (from 2002 to 2006) is based on data compiled prior to the criteria change. Resolution: S&P is changing the data source for Sugar from FAOSTAT to the USDA for the following reasons:

1. FAOSTAT changed their product codes and no longer provides the production data the same way (split up into Beet Sugar & Sugar Cane).

2. Using these data causes the production data to increase by a factor of 10.

3. The USDA provides Raw Sugar world production data and the production figures are comparable to the figures used previously.

The new USDA world production data will be incorporated a year at a time.

Item #3 — Cotton. Issue: Similar to sugar, the FAO changed the criteria for cotton in May of 2008. The new criteria are not comparable to previously available data. Thus, the 2010 WPA for cotton (from 2002 to 2006) is based on data compiled prior to the criteria change. Resolution: S&P is changing the data source for cotton from FAOSTAT to the USDA for the following reasons:

1. FAOSTAT changed their product codes and no longer provides the production data the same way (Cotton Lint is no longer available, only Seed Cotton is available) and the production numbers are not comparable.

2. The USDA provides cotton world production data and the production figures are comparable to the figures used previously.

The new USDA world production data will be incorporated a year at a time.

Item #4 – Cattle. Issue: Some World Production Quantities (WPQ) reported in the 2006 edition of the United Nations Industrial Commodity Statistics Yearbook (UNICS) were adjusted based on discussions with various data sources and comparative analysis


with data obtained from the Food and Agriculture Organization of the United Nations (FAO). Resolution: S&P obtained updated Industrial Production figures through 2007 from the UN. The data have been incorporated into the world production average for cattle. Item #5 – Hogs. Issue: Data obtained from the UN contained many blank values or ‘data unavailable’ in 2006 for France and Netherlands. The data were carried over from 2005. For Australia, Italy and the UK, the data contained many blank values or ‘data unavailable’ in 2006 and 2005. The data were carried over from 2004. Resolution: S&P is incorporating FAOSTAT data, along with the UN data, to make the world production quantity statistics more robust by filling in the missing country data from the UN statistics. The new FAOSTAT world production data will be incorporated a year at a time. Item #6 — Related Contracts. Similar to the previous edition of this methodology, only the Intercontinental Exchange (ICE) traded WTI Crude contract and Henry Hub Swap qualified as Related Contracts. For purposes of calculating the Total Dollar Value Traded (TDVT) and Trading Value Multiples (TVM), the NYMEX traded WTI Crude contract took into account the trading volume of the ICE WTI crude contract and the NYMEX traded Natural Gas contract took into account the trading volume of ICE traded Henry Hub Natural Gas cleared Swap. S&P will continue to monitor the trading volumes in these contracts in order to determine whether further action is warranted. In addition, S&P will consider whether changes should be made to the S&P GSCI Index Methodology to provide, on an ongoing basis, for the inclusion of trading volumes of related contracts in calculating the TQTs of contracts included in the S&P GSCI.


Appendix C: Calculation of S&P GSCI Forwards

S&P calculates forward month versions of the S&P GSCI indices. S&P GSCI forward indices measure the S&P GSCI Spot, Excess Return, and Total Return indices based on First Nearby Contract Expirations that would be in the index on the specified forward dates. For example, on December 11, 2009 the Designated Contracts of the S&P GSCI three-month forward include those Designated Contract Expirations which would be in the S&P GSCI on March 11, 2010 -- i.e. the First Nearby Contract Expiration is moved forward three-months. The forward indices follow the same rules, weights and calculation methodology as the S&P GSCI, with the exception that the Designated Contract Expirations are advanced (contract months specified in Table 1) by the number of months identified by the specific forward (1 through 5). There are five forward month versions of the S&P GSCI: one-month forward, two-months forward, three-months forward, four-months forward, and five-months forward.


Appendix D: Calculation of S&P GSCI, Non-US Dollar Denominations

S&P calculates a number of non-US dollar denominated versions of the S&P GSCI. Currently, S&P GSCI versions for the five following currencies are being calculated: the Australia Dollar (AUD), the Euro, the Japanese Yen, the Swiss Franc (CHF) and the United Kingdom Pound (GBP). Based on the specific currency involved, Hedged and Unhedged versions of the S&P GSCI Spot, S&P GSCI Excess Return, and S&P GSCI Total Return are calculated. The Euro and Yen Unhedged versions of the S&P GSCI represent the value of the S&P GSCI translated into the specific currency. They are calculated by multiplying the previous day’s S&P GSCI currency index by the ratio of the current underlying index level to the previous session’s underlying index level, multiplied by the ratio of the current FX rate to the previous session’s FX rate. The FX rates are obtained from WM using the 11:00 am NY (ET) rate. The currency Hedged versions of the S&P GSCI offer an investment in the S&P GSCI based on the specific currency, but with minimal exchange rate risk. The Hedged indices are calculated by hedging the beginning-of-period balances using rolling one-month forward contracts. This shields the hypothetical value of the index at the start of each month from exchange rate fluctuations.

Currency-Hedged Index Computation

Let m = 0, 1, 2…, be an index for the end of the month m GSCI_EH = S&P GSCI Currency-Hedged Index GSCI_E = S&P GSCI in foreign currency GSCI_EHm0 = the level of the S&P GSCI Hedged Index at the end of the last

month HR = hedge return (%) S = spot foreign currency rate per local currency F = 1-month forward foreign currency rate per local currency m0 = last month’s last business day’s value d = today’s value

For each month, m, there are d = 1,2,3…D calendar days, so md is day d for month m, and m0 is the last day of the month m-1. On day d of month m,

md

0m

md0mmd HR

E_GSCI

E_GSCI*EH_GSCIEH_GSCI


where,

d

0m

0m

0md

F

S

F

SHR

The forward rate for a business day,

F*Days.of.#Total

mainingRe.Days.of#SF

modd

Note: the total number of days includes all calendar days until the last business day, excluding the last non-business days, if any. For example, if calendar days = 31 but the 30th and 31st fall on the weekend, the total number of days for this month is 29. The end of month calculated forward level matches the spot rate due to a zero day count.


Appendix E: Calculation of the S&P GSCI Enhanced Index

The S&P GSCI Enhanced Commodity Total Return Strategy Index applies certain dynamic and seasonal rolling rules to specific commodity components of the S&P GSCI. Although the S&P GSCI Enhanced Commodity Total Return Strategy Index includes the same futures contracts as the S&P GSCI, the contract months will vary and the returns and values will differ from the S&P GSCI. The five day roll begins on the first business day of the month, and the closing futures prices on the 3rd to last business day of the month are used to determine the dynamic roll check. Most of the S&P GSCI futures contracts in the S&P GSCI Enhanced Index follow the normal schedule with the following exceptions:

WTI crude oil rolls from the 1st contract month to the 6th contract month if the contango between the 1st and 2nd contact month is more than 0.50%.

Brent crude oil rolls from the 2nd to the 7th contract month if the contango between the 2nd and the 3rd contract month is more than 0.50%.

Heating oil is rolled only to the December contract annually (during the November roll period).

Natural gas is rolled only to the January contract annually (during the December roll period).

Chicago Wheat is rolled only to the December contract annually (during the November roll period).

Corn is rolled only to the July contract annually (during the May roll period). Lean Hogs are rolled only to the April and August contracts biannually (April

during the July roll, and August during the March roll). Live Cattle is rolled only to the April and October contracts biannually (April

during the September roll and October during the March roll). The table on the following page identifies the Contracts included in the 2011 S&P GSCI Enhanced Commodity Total Return Strategy Index that have specifically different Designated Contract Expirations than the S&P GSCI. A methodology supplement for the S&P GSCI Enhanced Index is available on the S&P Web site at: www.indices.standardandpoors.com.


1 2 3 4 5 6 7 8 9 10 11 12CBT Chicago Wheat W Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z2

CBT Corn C N1 N1 N1 N1 N1 N2 N2 N2 N2 N2 N2 N2

CME Lean Hogs LH J1 J1 J1 Q1 Q1 Q1 Q1 J2 J2 J2 J2 J2

CME Live Cattle LC J1 J1 J1 V1 V1 V1 V1 V1 V1 J2 J2 J2

NYM Heating Oil HO Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z1 Z2

NYM / ICE Natural Gas NG F2 F2 F2 F2 F2 F2 F2 F2 F2 F2 F2 F2

Enhanced Strategy Contract roll Schedule for 2011

Contract Expirations at Month Begin1

(1) Future Months included in the Enhanced Strategy Index at the beginning of each calendar month, starting with January 2011. Month letter codes are shown in Table 2.

Month:TickerCommodityFacility


Appendix F: S&P GSCI Capped Indices

On September 22, 2009, S&P announced the launch of the S&P GSCI Capped family of indices. These are commodity indices which limit constituent weights and provide greater diversification for investors and structured product providers seeking to comply with the European Union UCITS III directives. The S&P GSCI Capped Indices institute periodic weight caps on the index constituents of the S&P GSCI. All indices limit index constituent weights and, thus, provide versions of the S&P GSCI that are more equally weighted among constituents. The S&P GSCI Capped Indices are intended to be European Union UCITS (Undertakings for Collective Investments in Transferable Securities) III directives compliant. The S&P GSCI Capped Commodity, the S&P GSCI Capped Component and the S&P GSCI Enhanced Capped Component Indices 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 Index allows only one of the 24 commodities to reach a maximum weight of 35%. The remaining commodities are capped at 20% while maintaining continuity with the S&P GSCI sector weights. The S&P GSCI Capped Component Index narrows the 24 S&P GSCI commodities to 18 components, and caps the highest component at 35%. The remaining components are capped at 20% 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 Index is the S&P GSCI Enhanced Index with the component weights capped based on the S&P GSCI Capped Component Index methodology. Individual methodology supplements for the S&P GSCI Capped Indices are available on the S&P Web site at: www.indices.standardandpoors.com.


Appendix G: S&P GSCI Covered Call Select Index

On October 7, 2010, S&P announced the launch of the S&P GSCI Covered Call Select Index, an innovative new index that offers investors exposure to commodity price returns at lower levels of volatility. The Index satisfies the demand of commodity investors seeking more stable, long-only exposure to commodity markets at a time of historically high volatility. The S&P GSCI Covered Call Select Index seeks to simulate a covered call strategy on the commodities with the most active options markets included in the S&P GSCI. There are 10 commodities included in the index: Coffee, Corn, Cotton, Crude Oil, Gold, Natural Gas, Silver, Soybeans, Sugar, and Wheat. For each commodity, a covered call index is created reflecting an investment in the rolling active futures contract and the systematic writing of out-of-the-money calls on the same contract. It is calculated on a hypothetical portfolio consisting of a long futures position and a short out-of-the-money call position, both of which are rolled monthly. The 10 individual covered call indices are, then, included in a composite covered call index on an equal-weighted basis, which is rebalanced on a yearly basis during the January roll period. The S&P GSCI Covered Call Select Index is based on the S&P GSCI methodology and forms part of the next generation of the S&P GSCI family of indices for commodity investors. A primer and methodology on the use of covered call index strategies has been published by S&P and can be found at: www.indices.standardandpoors.com. For complete details of the S&P GSCI index methodology visit: www.spgsci.standardandpoors.com.


Appendix H: S&P GSCI Single Commodity Indices Contract Schedule

1 2 3 4 5 6 7 8 9 10 11 12

CMX Copper HG 1 1 318.983 lbs 756.7 H H K K N N U U Z Z Z H

IPE Orange Juice OJ 5643.639 5643.639 132.221 lbs 13.2 H H K K N N U U X X F F

NYM Platinum PL 4.636138 4.636138 1515.442 oz 94.7 J J J N N N V V V F F F

NYM Palladium PA 1 1 432.442 oz 30.9 H H M M M U U U Z Z Z H

CBOT Soybean Oil BO 1 1 38.380 lbs 431.6 H H K K N N Z Z Z Z Z F

LME Tin MSN 0.2226 0.2226 17390.542 MT 333.4 G H J K M N Q U V X Z F

UnitDesignated Contract

Expirations at Month Begin(2)2011 TDVT (USD bn)

Contracts for the S&P GSCI Single Commoditiy Indices 2011

Trading Facility Commodity Ticker(1) 2010 CPW 2011 CPW

2011 ACRP ($)

(1) Tickers are Reuters RIC Codes.

(2) Future months included in the S&P GSCI at the beginning of each calendar month, starting with January 2011.

Abbreviations:

bbl Barrels lbs Pounds bu Bushel MMBtu Million British Thermal Units

gal U.S. Gallons oz. Troy Ounces kg Kilograms MT Metric Tons


Appendix I: S&P GSCI Tickers

Official Index Name Bloomberg Ticker, Real Time Bloomberg Ticker Reuters RIC

S&P GSCI Index SPGSCI SPGCCI .SPGSCI

S&P GSCI Index ER SPGSCIP SPGCCIP .SPGSCIP

S&P GSCI Index TR SPGSCITR SPGCCITR .SPGSCITR

S&P GSCI Capped Component Index SPGSUC SPGCUC .SPGSUC

S&P GSCI Capped Component Index ER SPGSUCP SPGCUCP .SPGSUCP

S&P GSCI Capped Component Index TR SPGSUCTR SPGCUCTR .SPGSUCTR

S&P GSCI Capped Commodity Index SPGSCP SPGCCP .SPGSCP

S&P GSCI Capped Commodity Index ER SPGSCPP SPGCCPP .SPGSCPP

S&P GSCI Capped Commodity Index TR SPGSCPTR SPGCCPTR .SPGSCPTR

S&P GSCI Equal Weighted Select Index SPGSEW .SPGSEW

S&P GSCI Equal Weighted Select Index ER SPGSEWP .SPGSEWP

S&P GSCI Equal Weighted Select Index TR SPGSEWTR .SPGSEWTR

S&P GSCI Agriculture Capped Component Index SPGSGP SPGCGP .SPGSGP

S&P GSCI Agriculture Capped Component Index ER SPGSGPP SPGCGPP .SPGSGPP

S&P GSCI Agriculture Capped Component Index TR SPGSGPTR SPGCGPTR .SPGSGPTR

S&P GSCI All Metals Capped Commodity Index SPGSAP SPGCAP .SPGSAP

S&P GSCI All Metals Capped Commodity Index ER SPGSAPP SPGCAPP .SPGSAPP

S&P GSCI All Metals Capped Commodity Index TR SPGSAPTR SPGCAPTR .SPGSAPTR

S&P GSCI Energy Index SPGSEN SPGCEN .SPGSEN

S&P GSCI Energy Index ER SPGSENP SPGCENP .SPGSENP

S&P GSCI Energy Index TR SPGSENTR SPGCENTR .SPGSENTR

S&P GSCI Petroleum Index SPGSPT SPGCPT .SPGSPT

S&P GSCI Petroleum Index ER SPGSPTP SPGCPTP .SPGSPTP

S&P GSCI Petroleum Index TR SPGSPTTR SPGCPTTR .SPGSPTTR

S&P GSCI Non-Energy Index SPGSNE SPGCNE .SPGSNE

S&P GSCI Non-Energy Index ER SPGSNEP SPGCNEP .SPGSNEP

S&P GSCI Non-Energy Index TR SPGSNETR SPGCNETR .SPGSNETR

S&P GSCI Reduced Energy Index SPGSRE SPGCRE .SPGSRE

S&P GSCI Reduced Energy Index ER SPGSREP SPGCREP .SPGSREP

S&P GSCI Reduced Energy Index TR SPGSRETR SPGCRETR .SPGSRETR

S&P GSCI Light Energy Index SPGSLE SPGCLE .SPGSLE

S&P GSCI Light Energy Index ER SPGSLEP SPGCLEP .SPGSLEP

S&P GSCI Light Energy Index TR SPGSLETR SPGCLETR .SPGSLETR


Official Index Name Bloomberg Ticker,

Real Time Bloomberg Ticker Reuters RIC S&P GSCI Ultra-Light Energy Index SPGSUE SPGCUE .SPGSUE

S&P GSCI Ultra-Light Energy Index ER SPGSUEP SPGCUEP .SPGSUEP

S&P GSCI Ultra-Light Energy Index TR SPGSUETR SPGCUETR .SPGSUETR

S&P GSCI Energy & Metals Index SPGSEM SPGCEM .SPGSEM

S&P GSCI Energy & Metals Index ER SPGSEMP SPGCEMP .SPGSEMP

S&P GSCI Energy & Metals Index TR SPGSEMTR SPGCEMTR .SPGSEMTR

S&P GSCI Industrial Metals Index SPGSIN SPGCIN .SPGSIN

S&P GSCI Industrial Metals Index ER SPGSINP SPGCINP .SPGSINP

S&P GSCI Industrial Metals Index TR SPGSINTR SPGCINTR .SPGSINTR

S&P GSCI Precious Metals Index SPGSPM SPGCPM .SPGSPM

S&P GSCI Precious Metals Index ER SPGSPMP SPGCPMP .SPGSPMP

S&P GSCI Precious Metals Index TR SPGSPMTR SPGCPMTR .SPGSPMTR

S&P GSCI Agriculture Index SPGSAG SPGCAG .SPGSAG

S&P GSCI Agriculture Index ER SPGSAGP SPGCAGP .SPGSAGP

S&P GSCI Agriculture Index TR SPGSAGTR SPGCAGTR .SPGSAGTR

S&P GSCI Livestock Index SPGSLV SPGCLV .SPGSLV

S&P GSCI Livestock Index ER SPGSLVP SPGCLVP .SPGSLVP

S&P GSCI Livestock Index TR SPGSLVTR SPGCLVTR .SPGSLVTR

S&P GSCI Agricultural & Livestock Index SPGSAL SPGCAL .SPGSAL

S&P GSCI Agricultural & Livestock Index ER SPGSALP SPGCALP .SPGSALP

S&P GSCI Agricultural & Livestock Index TR SPGSALTR SPGCALTR .SPGSALTR

S&P GSCI Grains Index SPGSGR SPGCGR .SPGSGR

S&P GSCI Grains Index ER SPGSGRP SPGCGRP .SPGSGRP

S&P GSCI Grains Index TR SPGSGRTR SPGCGRTR .SPGSGRTR

S&P GSCI All Cattle Index SPGSAC SPGCAC .SPGSAC

S&P GSCI All Cattle Index ER SPGSACP SPGCACP .SPGSACP

S&P GSCI All Cattle Index TR SPGSACTR SPGCACTR .SPGSACTR

S&P GSCI All Wheat Index SPGSWT SPGCWT .SPGSWT

S&P GSCI All Wheat Index ER SPGSWTP SPGCWTP .SPGSWTP

S&P GSCI All Wheat Index TR SPGSWTTR SPGCWTTR .SPGSWTTR

S&P GSCI All Crude Index SPGSCR SPGCCR .SPGSCR

S&P GSCI All Crude Index ER SPGSCRP SPGCCRP .SPGSCRP

S&P GSCI All Crude Index TR SPGSCRTR SPGCCRTR .SPGSCRTR

S&P GSCI All Metals Index SPGSAM SPGCAM .SPGSAM

S&P GSCI All Metals Index ER SPGSAMP SPGCAMP .SPGSAMP

S&P GSCI All Metals Index TR SPGSAMTR SPGCAMTR .SPGSAMTR

S&P GSCI Softs Index SPGSSF SPGCSF .SPGSSF

S&P GSCI Softs Index ER SPGSSFP SPGCSFP .SPGSSFP

S&P GSCI Softs Index TR SPGSSFTR SPGCSFTR .SPGSSFTR



S&P GSCI Non-Livestock Index SPGSNL SPGCNL .SPGSNL

S&P GSCI Non-Livestock Index ER SPGSNLP SPGCNLP .SPGSNLP

S&P GSCI Non-Livestock Index TR SPGSNLTR SPGCNLTR .SPGSNLTR

S&P GSCI Non-Precious Index SPGSXP SPGCXP .SPGSXP

S&P GSCI Non-Precious Index ER SPGSXPP SPGCXPP .SPGSXPP

S&P GSCI Non-Precious Index TR SPGSXPTR SPGCXPTR .SPGSXPTR

S&P GSCI Petroleum ex-Gasoil Index SPGSXG SPGCXG .SPGSXG

S&P GSCI Petroleum ex-Gasoil Index ER SPGSXGP SPGCXGP .SPGSXGP

S&P GSCI Petroleum ex-Gasoil Index TR SPGSXGTR SPGCXGTR .SPGSXGTR

S&P GSCI Non-Natural Gas Index SPGSXN SPGCXN .SPGSXN

S&P GSCI Non-Natural Gas Index ER SPGSXNP SPGCXNP .SPGSXNP

S&P GSCI Non-Natural Gas Index TR SPGSXNTR SPGCXNTR .SPGSXNTR

S&P GSCI Biofuel Index SPGSBF SPGCBFS .SPGSBF

S&P GSCI Biofuel Index ER SPGSBFP SPGCBFP .SPGSBFP

S&P GSCI Biofuel Index TR SPGSBFTR SPGCBFT .SPGSBFTR

S&P GSCI Crude Oil Index SPGSCL SPGCCL .SPGSCL

S&P GSCI Crude Oil Index ER SPGSCLP SPGCCLP .SPGSCLP

S&P GSCI Crude Oil Index TR SPGSCLTR SPGCCLTR .SPGSCLTR

S&P GSCI Brent Crude Index SPGSBR SPGCBR .SPGSBR

S&P GSCI Brent Crude Index ER SPGSBRP SPGCBRP .SPGSBRP

S&P GSCI Brent Crude Index TR SPGSBRTR SPGCBRTR .SPGSBRTR

S&P GSCI Heating Oil Index SPGSHO SPGCHO .SPGSHO

S&P GSCI Heating Oil Index ER SPGSHOP SPGCHOP .SPGSHOP

S&P GSCI Heating Oil Index TR SPGSHOTR SPGCHOTR .SPGSHOTR

S&P GSCI Unleaded Gasoline Index SPGSHU SPGCHU .SPGSHU

S&P GSCI Unleaded Gasoline Index ER SPGSHUP SPGCHUP .SPGSHUP

S&P GSCI Unleaded Gasoline Index TR SPGSHUTR SPGCHUTR .SPGSHUTR

S&P GSCI Gasoil Index SPGSGO SPGCGO .SPGSGO

S&P GSCI Gasoil Index ER SPGSGOP SPGCGOP .SPGSGOP

S&P GSCI Gasoil Index TR SPGSGOTR SPGCGOTR .SPGSGOTR

S&P GSCI Natural Gas Index SPGSNG SPGCNG .SPGSNG

S&P GSCI Natural Gas Index ER SPGSNGP SPGCNGP .SPGSNGP

S&P GSCI Natural Gas Index TR SPGSNGTR SPGCNGTR .SPGSNGTR

S&P GSCI Live Cattle Index SPGSLC SPGCLC .SPGSLC

S&P GSCI Live Cattle Index ER SPGSLCP SPGCLCP .SPGSLCP

S&P GSCI Live Cattle Index TR SPGSLCTR SPGCLCTR .SPGSLCTR

S&P GSCI Lean Hogs Index SPGSLH SPGCLH .SPGSLH

S&P GSCI Lean Hogs Index ER SPGSLHP SPGCLHP .SPGSLHP

S&P GSCI Lean Hogs Index TR SPGSLHTR SPGCLHTR .SPGSLHTR



S&P GSCI Feeder Cattle Index SPGSFC SPGCFC .SPGSFC

S&P GSCI Feeder Cattle Index ER SPGSFCP SPGCFCP .SPGSFCP

S&P GSCI Feeder Cattle Index TR SPGSFCTR SPGCFCTR .SPGSFCTR

S&P GSCI Wheat Index SPGSWH SPGCWH .SPGSWH

S&P GSCI Wheat Index ER SPGSWHP SPGCWHP .SPGSWHP

S&P GSCI Wheat Index TR SPGSWHTR SPGCWHTR .SPGSWHTR

S&P GSCI Kansas Wheat Index SPGSKW SPGCKW .SPGSKW

S&P GSCI Kansas Wheat Index ER SPGSKWP SPGCKWP .SPGSKWP

S&P GSCI Kansas Wheat Index TR SPGSKWTR SPGCKWTR .SPGSKWTR

S&P GSCI Corn Index SPGSCN SPGCCN .SPGSCN

S&P GSCI Corn Index ER SPGSCNP SPGCCNP .SPGSCNP

S&P GSCI Corn Index TR SPGSCNTR SPGCCNTR .SPGSCNTR

S&P GSCI Soybeans Index SPGSSO SPGCSO .SPGSSO

S&P GSCI Soybeans Index ER SPGSSOP SPGCSOP .SPGSSOP

S&P GSCI Soybeans Index TR SPGSSOTR SPGCSOTR .SPGSSOTR

S&P GSCI Sugar Index SPGSSB SPGCSB .SPGSSB

S&P GSCI Sugar Index ER SPGSSBP SPGCSBP .SPGSSBP

S&P GSCI Sugar Index TR SPGSSBTR SPGCSBTR .SPGSSBTR

S&P GSCI Coffee Index SPGSKC SPGCKC .SPGSKC

S&P GSCI Coffee Index ER SPGSKCP SPGCKCP .SPGSKCP

S&P GSCI Coffee Index TR SPGSKCTR SPGCKCTR .SPGSKCTR

S&P GSCI Cocoa Index SPGSCC SPGCCC .SPGSCC

S&P GSCI Cocoa Index ER SPGSCCP SPGCCCP .SPGSCCP

S&P GSCI Cocoa Index TR SPGSCCTR SPGCCCTR .SPGSCCTR

S&P GSCI Cotton Index SPGSCT SPGCCT .SPGSCT

S&P GSCI Cotton Index ER SPGSCTP SPGCCTP .SPGSCTP

S&P GSCI Cotton Index TR SPGSCTTR SPGCCTTR .SPGSCTTR

S&P GSCI Silver Index SPGSSI SPGCSI .SPGSSI

S&P GSCI Silver Index ER SPGSSIP SPGCSIP .SPGSSIP

S&P GSCI Silver Index TR SPGSSITR SPGCSITR .SPGSSITR

S&P GSCI Gold Index SPGSGC SPGCGC .SPGSGC

S&P GSCI Gold Index ER SPGSGCP SPGCGCP .SPGSGCP

S&P GSCI Gold Index TR SPGSGCTR SPGCGCTR .SPGSGCTR

S&P GSCI Aluminum Index SPGSIA SPGCIA .SPGSIA

S&P GSCI Aluminum Index ER SPGSIAP SPGCIAP .SPGSIAP

S&P GSCI Aluminum Index TR SPGSIATR SPGCIATR .SPGSIATR

S&P GSCI Zinc Index SPGSIZ SPGCIZ .SPGSIZ

S&P GSCI Zinc Index ER SPGSIZP SPGCIZP .SPGSIZP

S&P GSCI Zinc Index TR SPGSIZTR SPGCIZTR .SPGSIZTR



S&P GSCI Nickel Index SPGSIK SPGCIK .SPGSIK

S&P GSCI Nickel Index ER SPGSIKP SPGCIKP .SPGSIKP

S&P GSCI Nickel Index TR SPGSIKTR SPGCIKTR .SPGSIKTR

S&P GSCI Copper Index SPGSIC SPGCIC .SPGSIC

S&P GSCI Copper Index ER SPGSICP SPGCICP .SPGSICP

S&P GSCI Copper Index TR SPGSICTR SPGCICTR .SPGSICTR

S&P GSCI Lead Index SPGSIL SPGCIL .SPGSIL

S&P GSCI Lead Index ER SPGSILP SPGCILP .SPGSILP

S&P GSCI Lead Index TR SPGSILTR SPGCILTR .SPGSILTR

S&P GSCI Platinum Index SPGSPL SPGCPL .SPGSPL

S&P GSCI Platinum Index ER SPGSPLP SPGCPLP .SPGSPLP

S&P GSCI Platinum Index TR SPGSPLTR SPGCPLTR .SPGSPLTR

S&P GSCI Palladium Index SPGSPA SPGCPA .SPGSPA

S&P GSCI Palladium Index ER SPGSPAP SPGCPAP .SPGSPAP

S&P GSCI Palladium Index TR SPGSPATR SPGCPATR .SPGSPATR

S&P GSCI Soybean Oil Index SPGSBO SPGCBO .SPGSBO

S&P GSCI Soybean Oil Index ER SPGSBOP SPGCBOP .SPGSBOP

S&P GSCI Soybean Oil Index TR SPGSBOTR SPGCBOTR .SPGSBOTR

S&P GSCI Orange Juice Index SPGCOJ

S&P GSCI Orange Juice Index ER SPGCOJP

S&P GSCI Orange Juice Index TR SPGCOJTR

S&P GSCI North American Copper Index SPGSHG SPGSHG .SPGSHG

S&P GSCI North American Copper Index ER SPGSHGP SPGSHGP .SPGSHGP

S&P GSCI North American Copper Index TR SPGSHGTR SPGSHGTR .SPGSHGTR

S&P GSCI Tin Index SPGCIS .SPGSIS

S&P GSCI Tin Index ER SPGCISP .SPGSISP

S&P GSCI Tin Index TR SPGCISTR .SPGSISTR

S&P GSCI T-Bill Rate Index TR SPGCTBTR .SPGSTBTR

S&P GSCI 1 Month Forward Index SG1MCI .SG1MCI

S&P GSCI 1 Month Forward Index ER SG1MCIP .SG1MCIP

S&P GSCI 1 Month Forward Index TR SG1MCITR .SG1MCITR

S&P GSCI Energy 1 Month Forward Index SG1MEN

S&P GSCI Energy 1 Month Forward Index ER SG1MENP

S&P GSCI Energy 1 Month Forward Index TR SG1MENTR

S&P GSCI Brent Crude 1 Month Forward Index SG1MBR

S&P GSCI Brent Crude 1 Month Forward Index ER SG1MBRP

S&P GSCI Brent Crude 1 Month Forward Index TR SG1MBRTR

S&P GSCI Cocoa 1 Month Forward Index SG1MCC

S&P GSCI Cocoa 1 Month Forward Index ER SG1MCCP

S&P GSCI Cocoa 1 Month Forward Index TR SG1MCCTR



S&P GSCI Crude Oil 1 Month Forward Index SG1MCL

S&P GSCI Crude Oil 1 Month Forward Index ER SG1MCLP

S&P GSCI Crude Oil 1 Month Forward Index TR SG1MCLTR

S&P GSCI Corn 1 Month Forward Index SG1MCN

S&P GSCI Corn 1 Month Forward Index ER SG1MCNP

S&P GSCI Corn 1 Month Forward Index TR SG1MCNTR

S&P GSCI Cotton 1 Month Forward Index SG1MCT

S&P GSCI Cotton 1 Month Forward Index ER SG1MCTP

S&P GSCI Cotton 1 Month Forward Index TR SG1MCTTR

S&P GSCI Feeder Cattle 1 Month Forward Index SG1MFC

S&P GSCI Feeder Cattle 1 Month Forward Index ER SG1MFCP

S&P GSCI Feeder Cattle 1 Month Forward Index TR SG1MFCTR

S&P GSCI Gold 1 Month Forward Index SG1MGC

S&P GSCI Gold 1 Month Forward Index ER SG1MGCP

S&P GSCI Gold 1 Month Forward Index TR SG1MGCTR

S&P GSCI Gasoil 1 Month Forward Index SG1MGO

S&P GSCI Gasoil 1 Month Forward Index ER SG1MGOP

S&P GSCI Gasoil 1 Month Forward Index TR SG1MGOTR

S&P GSCI Heating Oil 1 Month Forward Index SG1MHO

S&P GSCI Heating Oil 1 Month Forward Index ER SG1MHOP

S&P GSCI Heating Oil 1 Month Forward Index TR SG1MHOTR

S&P GSCI Unleaded Gasoline 1 Month Forward Index SG1MHU

S&P GSCI Unleaded Gasoline 1 Month Forward Index ER SG1MHUP

S&P GSCI Unleaded Gasoline 1 Month Forward Index TR SG1MHUTR

S&P GSCI Aluminum 1 Month Forward Index SG1MIA

S&P GSCI Aluminum 1 Month Forward Index ER SG1MIAP

S&P GSCI Aluminum 1 Month Forward Index TR SG1MIATR

S&P GSCI Copper 1 Month Forward Index SG1MIC

S&P GSCI Copper 1 Month Forward Index ER SG1MICP

S&P GSCI Copper 1 Month Forward Index TR SG1MICTR

S&P GSCI Nickel 1 Month Forward Index SG1MIK

S&P GSCI Nickel 1 Month Forward Index ER SG1MIKP

S&P GSCI Nickel 1 Month Forward Index TR SG1MIKTR

S&P GSCI Lead 1 Month Forward Index SG1MIL

S&P GSCI Lead 1 Month Forward Index ER SG1MILP

S&P GSCI Lead 1 Month Forward Index TR SG1MILTR

S&P GSCI Zinc 1 Month Forward Index SG1MIZ

S&P GSCI Zinc 1 Month Forward Index ER SG1MIZP

S&P GSCI Zinc 1 Month Forward Index TR SG1MIZTR



S&P GSCI Coffee 1 Month Forward Index SG1MKC

S&P GSCI Coffee 1 Month Forward Index ER SG1MKCP

S&P GSCI Coffee 1 Month Forward Index TR SG1MKCTR

S&P GSCI Kansas Wheat 1 Month Forward Index SG1MKW

S&P GSCI Kansas Wheat 1 Month Forward Index ER SG1MKWP

S&P GSCI Kansas Wheat 1 Month Forward Index TR SG1MKWTR

S&P GSCI Live Cattle 1 Month Forward Index SG1MLC

S&P GSCI Live Cattle 1 Month Forward Index ER SG1MLCP

S&P GSCI Live Cattle 1 Month Forward Index TR SG1MLCTR

S&P GSCI Lean Hogs 1 Month Forward Index SG1MLH

S&P GSCI Lean Hogs 1 Month Forward Index ER SG1MLHP

S&P GSCI Lean Hogs 1 Month Forward Index TR SG1MLHTR

S&P GSCI Natural Gas 1 Month Forward Index SG1MNG

S&P GSCI Natural Gas 1 Month Forward Index ER SG1MNGP

S&P GSCI Natural Gas 1 Month Forward Index TR SG1MNGTR

S&P GSCI Sugar 1 Month Forward Index SG1MSB

S&P GSCI Sugar 1 Month Forward Index ER SG1MSBP

S&P GSCI Sugar 1 Month Forward Index TR SG1MSBTR

S&P GSCI Silver 1 Month Forward Index SG1MSI

S&P GSCI Silver 1 Month Forward Index ER SG1MSIP

S&P GSCI Silver 1 Month Forward Index TR SG1MSITR

S&P GSCI Soybeans 1 Month Forward Index SG1MSO

S&P GSCI Soybeans 1 Month Forward Index ER SG1MSOP

S&P GSCI Soybeans 1 Month Forward Index TR SG1MSOTR

S&P GSCI Wheat 1 Month Forward Index SG1MWH

S&P GSCI Wheat 1 Month Forward Index ER SG1MWHP

S&P GSCI Wheat 1 Month Forward Index TR SG1MWHTR







S&P GSCI Energy 3 Month Forward Index SG3MEN

S&P GSCI Energy 3 Month Forward Index ER SG3MENP

S&P GSCI Energy 3 Month Forward Index TR SG3MENTR

S&P GSCI Petroleum 3 Month Forward Index SG3MPT

S&P GSCI Petroleum 3 Month Forward Index ER SG3MPTP

S&P GSCI Petroleum 3 Month Forward Index TR SG3MPTTR



S&P GSCI Brent Crude 3 Month Forward Index SG3MBR

S&P GSCI Brent Crude 3 Month Forward Index ER SG3MBRP

S&P GSCI Brent Crude 3 Month Forward Index TR SG3MBRTR

S&P GSCI Cocoa 3 Month Forward Index SG3MCC

S&P GSCI Cocoa 3 Month Forward Index ER SG3MCCP

S&P GSCI Cocoa 3 Month Forward Index TR SG3MCCTR

S&P GSCI Crude Oil 3 Month Forward Index SG3MCL

S&P GSCI Crude Oil 3 Month Forward Index ER SG3MCLP

S&P GSCI Crude Oil 3 Month Forward Index TR SG3MCLTR

S&P GSCI Corn 3 Month Forward Index SG3MCN

S&P GSCI Corn 3 Month Forward Index ER SG3MCNP

S&P GSCI Corn 3 Month Forward Index TR SG3MCNTR

S&P GSCI Cotton 3 Month Forward Index SG3MCT

S&P GSCI Cotton 3 Month Forward Index ER SG3MCTP

S&P GSCI Cotton 3 Month Forward Index TR SG3MCTTR

S&P GSCI Feeder Cattle 3 Month Forward Index SG3MFC

S&P GSCI Feeder Cattle 3 Month Forward Index ER SG3MFCP

S&P GSCI Feeder Cattle 3 Month Forward Index TR SG3MFCTR

S&P GSCI Gold 3 Month Forward Index SG3MGC

S&P GSCI Gold 3 Month Forward Index ER SG3MGCP

S&P GSCI Gold 3 Month Forward Index TR SG3MGCTR

S&P GSCI Gasoil 3 Month Forward Index SG3MGO

S&P GSCI Gasoil 3 Month Forward Index ER SG3MGOP

S&P GSCI Gasoil 3 Month Forward Index TR SG3MGOTR

S&P GSCI Heating Oil 3 Month Forward Index SG3MHO

S&P GSCI Heating Oil 3 Month Forward Index ER SG3MHOP

S&P GSCI Heating Oil 3 Month Forward Index TR SG3MHOTR S&P GSCI Unleaded Gasoline 3 Month Forward Index SG3MHU S&P GSCI Unleaded Gasoline 3 Month Forward Index ER SG3MHUP S&P GSCI Unleaded Gasoline 3 Month Forward Index TR SG3MHUTR

S&P GSCI Aluminum 3 Month Forward Index SG3MIA

S&P GSCI Aluminum 3 Month Forward Index ER SG3MIAP

S&P GSCI Aluminum 3 Month Forward Index TR SG3MIATR

S&P GSCI Copper 3 Month Forward Index SG3MIC

S&P GSCI Copper 3 Month Forward Index ER SG3MICP

S&P GSCI Copper 3 Month Forward Index TR SG3MICTR

S&P GSCI Nickel 3 Month Forward Index SG3MIK

S&P GSCI Nickel 3 Month Forward Index ER SG3MIKP

S&P GSCI Nickel 3 Month Forward Index TR SG3MIKTR



S&P GSCI Lead 3 Month Forward Index SG3MIL

S&P GSCI Lead 3 Month Forward Index ER SG3MILP

S&P GSCI Lead 3 Month Forward Index TR SG3MILTR

S&P GSCI Zinc 3 Month Forward Index SG3MIZ

S&P GSCI Zinc 3 Month Forward Index ER SG3MIZP

S&P GSCI Zinc 3 Month Forward Index TR SG3MIZTR

S&P GSCI Coffee 3 Month Forward Index SG3MKC

S&P GSCI Coffee 3 Month Forward Index ER SG3MKCP

S&P GSCI Coffee 3 Month Forward Index TR SG3MKCTR

S&P GSCI Kansas Wheat 3 Month Forward Index SG3MKW

S&P GSCI Kansas Wheat 3 Month Forward Index ER SG3MKWP

S&P GSCI Kansas Wheat 3 Month Forward Index TR SG3MKWTR

S&P GSCI Live Cattle 3 Month Forward Index SG3MLC

S&P GSCI Live Cattle 3 Month Forward Index ER SG3MLCP

S&P GSCI Live Cattle 3 Month Forward Index TR SG3MLCTR

S&P GSCI Lean Hogs 3 Month Forward Index SG3MLH

S&P GSCI Lean Hogs 3 Month Forward Index ER SG3MLHP

S&P GSCI Lean Hogs 3 Month Forward Index TR SG3MLHTR

S&P GSCI Natural Gas 3 Month Forward Index SG3MNG

S&P GSCI Natural Gas 3 Month Forward Index ER SG3MNGP

S&P GSCI Natural Gas 3 Month Forward Index TR SG3MNGTR

S&P GSCI Sugar 3 Month Forward Index SG3MSB

S&P GSCI Sugar 3 Month Forward Index ER SG3MSBP

S&P GSCI Sugar 3 Month Forward Index TR SG3MSBTR

S&P GSCI Silver 3 Month Forward Index SG3MSI

S&P GSCI Silver 3 Month Forward Index ER SG3MSIP

S&P GSCI Silver 3 Month Forward Index TR SG3MSITR

S&P GSCI Soybeans 3 Month Forward Index SG3MSO

S&P GSCI Soybeans 3 Month Forward Index ER SG3MSOP

S&P GSCI Soybeans 3 Month Forward Index TR SG3MSOTR

S&P GSCI Wheat 3 Month Forward Index SG3MWH

S&P GSCI Wheat 3 Month Forward Index ER SG3MWHP

S&P GSCI Wheat 3 Month Forward Index TR SG3MWHTR








Official Index Name Bloomberg Ticker, Real Time

Bloomberg Ticker Reuters RIC

S&P GSCI Enhanced Commodity Index SPGSES SPGCES .SPGSES

S&P GSCI Enhanced Commodity Index ER SPGSESP SPGCESP .SPGSESP

S&P GSCI Enhanced Commodity Index TR SPGSESTR SPGCESTR .SPGSESTR

S&P GSCI Enhanced Capped Component Index SGESCI SGECCI .SGESCI

S&P GSCI Enhanced Capped Component Index ER SGESCIP SGECCIP .SGESCIP

S&P GSCI Enhanced Capped Component Index TR SGESCITR SGECCITR .SGESCITR

S&P GSCI Enhanced Capped Commodity Index SGECCP

S&P GSCI Enhanced Capped Commodity Index ER SGECCPP

S&P GSCI Enhanced Capped Commodity Index TR SGECCPTR

S&P GSCI Agriculture Enhanced Capped Component Index SGECCAG

S&P GSCI Agriculture Enhanced Capped Component Index ER SGECCAGP

S&P GSCI Agriculture Enhanced Capped Component Index TR SGECCAGT

S&P GSCI Energy Enhanced Capped Commodity Index SGECCP

S&P GSCI Energy Enhanced Capped Commodity Index ER SGECCPP

S&P GSCI Energy Enhanced Capped Commodity Index TR SGECCPTR

S&P GSCI Industrial Metals Enhanced Capped Commodity Index SGECCIN

S&P GSCI Industrial Metals Enhanced Capped Commodity Index ER SGECCINP

S&P GSCI Industrial Metals Enhanced Capped Commodity Index TR SGECCINT

S&P GSCI Agriculture Enhanced Index SGECAG

S&P GSCI Agriculture Enhanced Index ER SGECAGP

S&P GSCI Agriculture Enhanced Index TR SGECAGTR

S&P GSCI Agriculture Enhanced Select Index SGECAS

S&P GSCI Agriculture Enhanced Select Index ER SGECASP

S&P GSCI Agriculture Enhanced Select Index TR SGECASTR

S&P GSCI Energy Enhanced Index SGECEN

S&P GSCI Energy Enhanced Index ER SGECENP

S&P GSCI Energy Enhanced Index TR SGECENTR

S&P GSCI Energy & Metals Enhanced Index SGECEM

S&P GSCI Energy & Metals Enhanced Index ER SGECEMP

S&P GSCI Energy & Metals Enhanced Index TR SGECEMTR

S&P GSCI Livestock Enhanced Index SGECLV

S&P GSCI Livestock Enhanced Index ER SGECLVP

S&P GSCI Livestock Enhanced Index TR SGECLVTR

S&P GSCI Agriculture & Livestock Enhanced Index SGECAL

S&P GSCI Agriculture & Livestock Enhanced Index ER SGECALP

S&P GSCI Agriculture & Livestock Enhanced Index TR SGECALTR

S&P GSCI Brent Crude Oil Enhanced Index SGECBR

S&P GSCI Brent Crude Oil Enhanced Index ER SGECBRP

S&P GSCI Brent Crude Oil Enhanced Index TR SGECBRTR



S&P GSCI Corn Enhanced Index SGECCN

S&P GSCI Corn Enhanced Index ER SGECCNP

S&P GSCI Corn Enhanced Index TR SGECCNTR

S&P GSCI Heating Oil Enhanced Index SGECHO

S&P GSCI Heating Oil Enhanced Index ER SGECHOP

S&P GSCI Heating Oil Enhanced Index TR SGECHOTR

S&P GSCI Live Cattle Enhanced Index SGECLC

S&P GSCI Live Cattle Enhanced Index ER SGECLCP

S&P GSCI Live Cattle Enhanced Index TR SGECLCTR

S&P GSCI Lean Hogs Enhanced Index SGECLH

S&P GSCI Lean Hogs Enhanced Index ER SGECLHP

S&P GSCI Lean Hogs Enhanced Index TR SGECLHTR

S&P GSCI Natural Gas Enhanced Index SGECNG

S&P GSCI Natural Gas Enhanced Index ER SGECNGP

S&P GSCI Natural Gas Enhanced Index TR SGECNGTR

S&P GSCI Wheat Enhanced Index SGECWH

S&P GSCI Wheat Enhanced Index ER SGECWHP

S&P GSCI Wheat Enhanced Index TR SGECWHTR

S&P GSCI Crude Oil Enhanced Index SGECCL

S&P GSCI Crude Oil Enhanced Index ER SGECCLP

S&P GSCI Crude Oil Enhanced Index TR SGECCLTR

S&P GSCI Crude Oil Annual Roll Index SPGCCLA

S&P GSCI Crude Oil Annual Roll Index ER SPGCCLAP

S&P GSCI Crude Oil Annual Roll Index TR SPGCCLAT

S&P GSCI Index EUR SGCUE .SGCUE

S&P GSCI Index ER EUR SGCUEP .SGCUEP

S&P GSCI Index TR EUR SGCUETR .SGCUETR

S&P GSCI Index EUR Hedged SGCUEH .SGCUEH

S&P GSCI Index ER EUR Hedged SGCUEHP .SGCUEHP

S&P GSCI Index TR EUR Hedged SGCUEHTR .SGCUEHTR

S&P GSCI Index JPY SGCUJ .SGCUJ

S&P GSCI Index ER JPY SGCUJP .SGCUJP

S&P GSCI Index TR JPY SGCUJTR .SGCUJTR

S&P GSCI Index JPY Hedged SGCUJH .SGCUJH

S&P GSCI Index ER JPY Hedged SGCUJHP .SGCUJHP

S&P GSCI Index TR JPY Hedged SGCUJHTR .SGCUJHTR

S&P GSCI Index AUD SGCUA .SGCUA

S&P GSCI Index ER AUD SGCUAP .SGCUAP

S&P GSCI Index TR AUD SGCUATR .SGCUATR



S&P GSCI Index AUD Hedged SGCUAH .SGCUAH

S&P GSCI Index ER AUD Hedged SGCUAHP .SGCUAHP

S&P GSCI Index TR AUD Hedged SGCUAHTR .SGCUAHTR

S&P GSCI Index CHF SGCUS

S&P GSCI Index ER CHF SGCUSP

S&P GSCI Index TR CHF SGCUSTR

S&P GSCI Index CHF Hedged SGCUSH

S&P GSCI Index ER CHF Hedged SGCUSHP

S&P GSCI Index TR CHF Hedged SGCUSHTR

S&P GSCI Index CAD SGCUC

S&P GSCI Index ER CAD SGCUCP

S&P GSCI Index TR CAD SGCUCT

S&P GSCI Index CAD Hedged SGCUCH

S&P GSCI Index ER CAD Hedged SGCUCHP

S&P GSCI Index TR CAD Hedged SGCUCHT

S&P GSCI Index GBP SGCUG .SPGSCIG

S&P GSCI Index ER GBP SGCUGP .SPGSCIERG

S&P GSCI Index TR GBP SGCUGTR .SPGSCITRG

S&P GSCI Index GBP Hedged SGCUGH .SPGSCIGH

S&P GSCI Index ER GBP Hedged SGCUGHP .SPGSCIERGH

S&P GSCI Index TR GBP Hedged SGCUGHTR .SPGSCITRGH

S&P GSCI Index SGD SGCUN

S&P GSCI Index ER SGD SGCUNP

S&P GSCI Index TR SGD SGCUNT

S&P GSCI Index SGD Hedged SGCUNH

S&P GSCI Index ER SGD Hedged SGCUNHP

S&P GSCI Index TR SGD Hedged SGCUNHT

S&P GSCI Capped Component Index EUR SGCUUCE

S&P GSCI Capped Component Index ER EUR SGCUUCEP

S&P GSCI Capped Component Index TR EUR SGCUUCET

S&P GSCI Capped Component Index EUR Hedged SGCUUEH

S&P GSCI Capped Component Index ER EUR Hedged SGCUUEHP

S&P GSCI Capped Component Index TR EUR Hedged SGCUUEHT

S&P GSCI Capped Commodity Index EUR SGCUCPE

S&P GSCI Capped Commodity Index ER EUR SGCUCPEP

S&P GSCI Capped Commodity Index TR EUR SGCUCPET

S&P GSCI Capped Commodity Index EUR Hedged SGCUCEH

S&P GSCI Capped Commodity Index ER EUR Hedged SGCUCEHP

S&P GSCI Capped Commodity Index TR EUR Hedged SGCUCEHT



S&P GSCI Agriculture Capped Component Index EUR SGCRGPE SGCUGPE .SGCRGPE

S&P GSCI Agriculture Capped Component Index ER EUR SGCRGPEP SGCUGPEP .SGCRGPEP

S&P GSCI Agriculture Capped Component Index TR EUR SGCRGPET SGCUGPET .SGCRGPET

S&P GSCI All Metals Capped Commodity Index EUR SGCRAPE SGCUAPE .SGCRAPE

S&P GSCI All Metals Capped Commodity Index ER EUR SGCRAPEP SGCUAPEP .SGCRAPEP

S&P GSCI All Metals Capped Commodity Index TR EUR SGCRAPET SGCUAPET .SGCRAPET

S&P GSCI Agriculture Index EUR SGCUAGE

S&P GSCI Agriculture Index ER EUR SGCUAGEP

S&P GSCI Agriculture Index TR EUR SGCUAGET

S&P GSCI Agriculture Index EUR Hedged SGCUREH

S&P GSCI Agriculture Index ER EUR Hedged SGCUREHP

S&P GSCI Agriculture Index TR EUR Hedged SGCUREHT

S&P GSCI Agriculture Index JPY SGCUAGJ .SGCUAGJ

S&P GSCI Agriculture Index ER JPY SGCUAGJP .SGCUAGJP

S&P GSCI Agriculture Index TR JPY SGCUAGJT .SGCUAGJT

S&P GSCI Agriculture Index JPY Hedged SGCURJH

S&P GSCI Agriculture Index ER JPY Hedged SGCURJHP

S&P GSCI Agriculture Index TR JPY Hedged SGCURJHT

S&P GSCI Agriculture Index CHF SGCUAGS

S&P GSCI Agriculture Index ER CHF SGCUAGSP

S&P GSCI Agriculture Index TR CHF SGCUAGST

S&P GSCI Agriculture Index CHF Hedged SGCURSH

S&P GSCI Agriculture Index ER CHF Hedged SGCURSHP

S&P GSCI Agriculture Index TR CHF Hedged SGCURSHT

S&P GSCI Agriculture & Livestock Index EUR SGCUALE

S&P GSCI Agriculture & Livestock Index ER EUR SGCUALEP

S&P GSCI Agriculture & Livestock Index TR EUR SGCUALET

S&P GSCI Agriculture & Livestock Index EUR Hedged SGCUAEH

S&P GSCI Agriculture & Livestock Index ER EUR Hedged SGCUAEHP

S&P GSCI Agriculture & Livestock Index TR EUR Hedged SGCUAEHT

S&P GSCI Agriculture & Livestock Index JPY SGCUALJ .SGCUALJ

S&P GSCI Agriculture & Livestock Index ER JPY SGCUALJP .SGCUALJP

S&P GSCI Agriculture & Livestock Index TR JPY SGCUALJT .SGCUALJT

S&P GSCI Agriculture & Livestock Index JPY Hedged SGCUAJH

S&P GSCI Agriculture & Livestock Index ER JPY Hedged SGCUAJHP

S&P GSCI Agriculture & Livestock Index TR JPY Hedged SGCUAJHT

S&P GSCI Agriculture & Livestock Index CHF SGCUALS

S&P GSCI Agriculture & Livestock Index ER CHF SGCUALSP

S&P GSCI Agriculture & Livestock Index TR CHF SGCUALST



S&P GSCI Agriculture & Livestock Index CHF Hedged SGCUASH

S&P GSCI Agriculture & Livestock Index ER CHF Hedged SGCUASHP

S&P GSCI Agriculture & Livestock Index TR CHF Hedged SGCUASHT

S&P GSCI Energy & Metals Index EUR SGCUEME .SGCUEME

S&P GSCI Energy & Metals Index ER EUR SGCUEMEP .SGCUEMEP

S&P GSCI Energy & Metals Index TR EUR SGCUEMET .SGCUEMEP

S&P GSCI Energy & Metals Index EUR Hedged SGCUEMH .SGCUEMH

S&P GSCI Energy & Metals Index ER EUR Hedged SGCUEMHP .SGCUEMHP

S&P GSCI Energy & Metals Index TR EUR Hedged SGCUEMHT .SGCUEMHT

S&P GSCI Energy Index EUR SGCUENE

S&P GSCI Energy Index ER EUR SGCUENEP

S&P GSCI Energy Index TR EUR SGCUENET

S&P GSCI Energy Index EUR Hedged SGCUEEH

S&P GSCI Energy Index ER EUR Hedged SGCUEEHP

S&P GSCI Energy Index TR EUR Hedged SGCUEEHT

S&P GSCI Energy Index JPY SGCUENJ .SGCUENJ

S&P GSCI Energy Index ER JPY SGCUENJP .SGCUENJP

S&P GSCI Energy Index TR JPY SGCUENJT .SGCUENJT

S&P GSCI Energy Index JPY Hedged SGCUEJH

S&P GSCI Energy Index ER JPY Hedged SGCUEJHP

S&P GSCI Energy Index TR JPY Hedged SGCUEJHT

S&P GSCI Energy Index CHF SGCUENS

S&P GSCI Energy Index ER CHF SGCUENSP

S&P GSCI Energy Index TR CHF SGCUENST

S&P GSCI Energy Index CHF Hedged SGCUESH

S&P GSCI Energy Index ER CHF Hedged SGCUESHP

S&P GSCI Energy Index TR CHF Hedged SGCUESHT

S&P GSCI Grains Index EUR SGCUGRE

S&P GSCI Grains Index ER EUR SGCUGREP

S&P GSCI Grains Index TR EUR SGCUGRET

S&P GSCI Grains Index EUR Hedged SGCUGEH

S&P GSCI Grains Index ER EUR Hedged SGCUGEHP

S&P GSCI Grains Index TR EUR Hedged SGCUGEHT

S&P GSCI Grains Index JPY SGCUGRJ .SGCUGRJ

S&P GSCI Grains Index ER JPY SGCUGRJP .SGCUGRJP

S&P GSCI Grains Index TR JPY SGCUGRJT .SGCUGRJT

S&P GSCI Grains Index JPY Hedged SGCUGJH

S&P GSCI Grains Index ER JPY Hedged SGCUGJHP

S&P GSCI Grains Index TR JPY Hedged SGCUGJHT



S&P GSCI Grains Index CHF SGCUGRS

S&P GSCI Grains Index ER CHF SGCUGRSP

S&P GSCI Grains Index TR CHF SGCUGRST

S&P GSCI Grains Index CHF Hedged SGCUGSH

S&P GSCI Grains Index ER CHF Hedged SGCUGSHP

S&P GSCI Grains Index TR CHF Hedged SGCUGSHT

S&P GSCI Industrial Metals Index EUR SGCUINE

S&P GSCI Industrial Metals Index ER EUR SGCUINEP

S&P GSCI Industrial Metals Index TR EUR SGCUINET

S&P GSCI Industrial Metals Index EUR Hedged SGCUIEH

S&P GSCI Industrial Metals Index ER EUR Hedged SGCUIEHP

S&P GSCI Industrial Metals Index TR EUR Hedged SGCUIEHT

S&P GSCI Industrial Metals Index JPY SGCUINJ .SGCUINJ

S&P GSCI Industrial Metals Index ER JPY SGCUINJP .SGCUINJP

S&P GSCI Industrial Metals Index TR JPY SGCUINJT .SGCUINJT

S&P GSCI Industrial Metals Index JPY Hedged SGCUIJH

S&P GSCI Industrial Metals Index ER JPY Hedged SGCUIJHP

S&P GSCI Industrial Metals Index TR JPY Hedged SGCUIJHT

S&P GSCI Industrial Metals Index CHF SGCUINS

S&P GSCI Industrial Metals Index ER CHF SGCUINSP

S&P GSCI Industrial Metals Index TR CHF SGCUINST

S&P GSCI Industrial Metals Index CHF Hedged SGCUISH

S&P GSCI Industrial Metals Index ER CHF Hedged SGCUISHP

S&P GSCI Industrial Metals Index TR CHF Hedged SGCUISHT

S&P GSCI Light Energy Index EUR SGCRLEE SGCULEE .SGCRLEE

S&P GSCI Light Energy Index ER EUR SGCRLEEP SGCULEEP .SGCRLEEP

S&P GSCI Light Energy Index TR EUR SGCRLEET SGCULEET .SGCRLEET

S&P GSCI Livestock Index EUR SGCULVE

S&P GSCI Livestock Index ER EUR SGCULVEP

S&P GSCI Livestock Index TR EUR SGCULVET

S&P GSCI Livestock Index EUR Hedged SGCULEH

S&P GSCI Livestock Index ER EUR Hedged SGCULEHP

S&P GSCI Livestock Index TR EUR Hedged SGCULEHT

S&P GSCI Livestock Index JPY SGCULVJ .SGCULVJ

S&P GSCI Livestock Index ER JPY SGCULVJP .SGCULVJP

S&P GSCI Livestock Index TR JPY SGCULVJT .SGCULVJT

S&P GSCI Livestock Index JPY Hedged SGCULJH

S&P GSCI Livestock Index ER JPY Hedged SGCULJHP

S&P GSCI Livestock Index TR JPY Hedged SGCULJHT



S&P GSCI Livestock Index CHF SGCULVS

S&P GSCI Livestock Index ER CHF SGCULVSP

S&P GSCI Livestock Index TR CHF SGCULVST

S&P GSCI Livestock Index CHF Hedged SGCULSH

S&P GSCI Livestock Index ER CHF Hedged SGCULSHP

S&P GSCI Livestock Index TR CHF Hedged SGCULSHT

S&P GSCI Non Energy Index EUR SGCRNEE SGCUNEE .SGCRNEE

S&P GSCI Non Energy Index ER EUR SGCRNEEP SGCUNEEP .SGCRNEEP

S&P GSCI Non Energy Index TR EUR SGCRNEET SGCUNEET .SGCRNEET

S&P GSCI Precious Metals Index EUR SGCUPME

S&P GSCI Precious Metals Index ER EUR SGCUPMEP

S&P GSCI Precious Metals Index TR EUR SGCUPMET

S&P GSCI Precious Metals Index EUR Hedged SGCUMEH

S&P GSCI Precious Metals Index ER EUR Hedged SGCUMEHP

S&P GSCI Precious Metals Index TR EUR Hedged SGCUMEHT

S&P GSCI Precious Metals Index JPY SGCUPMJ .SGCUPMJ

S&P GSCI Precious Metals Index ER JPY SGCUPMJP .SGCUPMJP

S&P GSCI Precious Metals Index TR JPY SGCUPMJT .SGCUPMJT

S&P GSCI Precious Metals Index JPY Hedged SGCUMJH

S&P GSCI Precious Metals Index ER JPY Hedged SGCUMJHP

S&P GSCI Precious Metals Index TR JPY Hedged SGCUMJHT

S&P GSCI Precious Metals Index CHF SGCUPMS

S&P GSCI Precious Metals Index ER CHF SGCUPMSP

S&P GSCI Precious Metals Index TR CHF SGCUPMST

S&P GSCI Precious Metals Index CHF Hedged SGCUMSH

S&P GSCI Precious Metals Index ER CHF Hedged SGCUMSHP

S&P GSCI Precious Metals Index TR CHF Hedged SGCUMSHT

S&P GSCI Petroleum Index EUR SGCUPTE

S&P GSCI Petroleum Index ER EUR SGCUPTEP

S&P GSCI Petroleum Index TR EUR SGCUPTET

S&P GSCI Petroleum Index EUR Hedged SGCUPEH

S&P GSCI Petroleum Index ER EUR Hedged SGCUPEHP

S&P GSCI Petroleum Index TR EUR Hedged SGCUPEHT

S&P GSCI Petroleum Index JPY SGCUPTJ .SGCUPTJ

S&P GSCI Petroleum Index ER JPY SGCUPTJP .SGCUPTJP

S&P GSCI Petroleum Index TR JPY SGCUPTJT .SGCUPTJT

S&P GSCI Petroleum Index JPY Hedged SGCUPJH

S&P GSCI Petroleum Index ER JPY Hedged SGCUPJHP

S&P GSCI Petroleum Index TR JPY Hedged SGCUPJHT



S&P GSCI Petroleum Index CHF SGCUPTS

S&P GSCI Petroleum Index ER CHF SGCUPTSP

S&P GSCI Petroleum Index TR CHF SGCUPTST

S&P GSCI Petroleum Index CHF Hedged SGCUPSH

S&P GSCI Petroleum Index ER CHF Hedged SGCUPSHP

S&P GSCI Petroleum Index TR CHF Hedged SGCUPSHT

S&P GSCI Softs Index EUR SGCUSFE

S&P GSCI Softs Index ER EUR SGCUSFEP

S&P GSCI Softs Index TR EUR SGCUSFET

S&P GSCI Softs Index EUR Hedged SGCUSEH

S&P GSCI Softs Index ER EUR Hedged SGCUSEHP

S&P GSCI Softs Index TR EUR Hedged SGCUSEHT

S&P GSCI Softs Index JPY SGCUSFJ .SGCUSFJ

S&P GSCI Softs Index ER JPY SGCUSFJP .SGCUSFJP

S&P GSCI Softs Index TR JPY SGCUSFJT .SGCUSFJT

S&P GSCI Softs Index JPY Hedged SGCUSJH

S&P GSCI Softs Index ER JPY Hedged SGCUSJHP

S&P GSCI Softs Index TR JPY Hedged SGCUSJHT

S&P GSCI Softs Index CHF SGCUSFS

S&P GSCI Softs Index ER CHF SGCUSFSP

S&P GSCI Softs Index TR CHF SGCUSFST

S&P GSCI Softs Index CHF Hedged SGCUSSH

S&P GSCI Softs Index ER CHF Hedged SGCUSSHP

S&P GSCI Softs Index TR CHF Hedged SGCUSSHT

S&P GSCI Brent Crude Oil Index EUR SGCUBRE

S&P GSCI Brent Crude Oil Index ER EUR SGCUBREP

S&P GSCI Brent Crude Oil Index TR EUR SGCUBRET

S&P GSCI Brent Crude Oil Index EUR Hedged SGCUBEH

S&P GSCI Brent Crude Oil Index ER EUR Hedged SGCUBEHP

S&P GSCI Brent Crude Oil Index TR EUR Hedged SGCUBEHT

S&P GSCI Crude Oil Index EUR SGCUCLE

S&P GSCI Crude Oil Index ER EUR SGCUCLEP

S&P GSCI Crude Oil Index TR EUR SGCUCLET

S&P GSCI Crude Oil Index EUR Hedged SGCUOEH

S&P GSCI Crude Oil Index ER EUR Hedged SGCUOEHP

S&P GSCI Crude Oil Index TR EUR Hedged SGCUOEHT

S&P GSCI Natural Gas Index EUR SGCUNGE

S&P GSCI Natural Gas Index ER EUR SGCUNGEP

S&P GSCI Natural Gas Index TR EUR SGCUNGET



S&P GSCI Natural Gas Index EUR Hedged SGCUTEH

S&P GSCI Natural Gas Index ER EUR Hedged SGCUTEHP

S&P GSCI Natural Gas Index TR EUR Hedged SGCUTEHT

S&P GSCI Covered Call Select Index SPCLCI

S&P GSCI Covered Call Select Index ER SPCLCIP

S&P GSCI Covered Call Select Index TR SPCLCITR

S&P GSCI Wheat Covered Call Index SPCLWH

S&P GSCI Wheat Covered Call Index ER SPCLWHP

S&P GSCI Wheat Covered Call Index TR SPCLWHTR

S&P GSCI Corn Covered Call Index SPCLCN

S&P GSCI Corn Covered Call Index ER SPCLCNP

S&P GSCI Corn Covered Call Index TR SPCLCNTR

S&P GSCI Soybeans Covered Call Index SPCLSO

S&P GSCI Soybeans Covered Call Index ER SPCLSOP

S&P GSCI Soybeans Covered Call Index TR SPCLSOTR

S&P GSCI Sugar Covered Call Index SPCLSB

S&P GSCI Sugar Covered Call Index ER SPCLSBP

S&P GSCI Sugar Covered Call Index TR SPCLSBTR

S&P GSCI Coffee Covered Call Index SPCLKC

S&P GSCI Coffee Covered Call Index ER SPCLKCP

S&P GSCI Coffee Covered Call Index TR SPCLKCTR

S&P GSCI Cotton Covered Call Index SPCLCT

S&P GSCI Cotton Covered Call Index ER SPCLCTP

S&P GSCI Cotton Covered Call Index TR SPCLCTTR

S&P GSCI Crude Oil Covered Call Index SPCLCL

S&P GSCI Crude Oil Covered Call Index ER SPCLCLP

S&P GSCI Crude Oil Covered Call Index TR SPCLCLTR

S&P GSCI Natural Gas Covered Call Index SPCLNG

S&P GSCI Natural Gas Covered Call Index ER SPCLNGP

S&P GSCI Natural Gas Covered Call Index TR SPCLNGTR

S&P GSCI Gold Covered Call Index SPCLGC

S&P GSCI Gold Covered Call Index ER SPCLGCP

S&P GSCI Gold Covered Call Index TR SPCLGCTR

S&P GSCI Silver Covered Call Index SPCLSI

S&P GSCI Silver Covered Call Index ER SPCLSIP

S&P GSCI Silver Covered Call Index TR SPCLSITR


S&P Contact Information

Index Management

David M. Blitzer, Ph.D. – Managing Director & Chairman of the Index Committee [email protected] +1.212.438.3907 Mark Berkenhopf – Index Manager [email protected] +1.212.438.3244

Product Management

Michael McGlone – Senior Director, Commodity Indexing [email protected] +1.212.438.4127 Jodie Gunzberg –Director, Commodities [email protected] +1.212.438.1560

Media Relations

David Guarino – Communications [email protected] +1.212.438.1471


Index Operations & Business Development

North America New York – Client Services [email protected] +1.212.438.2046 Europe London Susan Fagg +44.20.7176.8888 Asia Tokyo Masako Cox +813.4550.8564 Beijing Andrew Webb +86.10.6569.2919 Sydney Guy Maguire +61.2.9255.9822 Mumbai Koel Ghosh +91.22.26598359 Middle East & North Africa Dubai Charbel Azzi +971.4.3727100


Disclaimer

Copyright © 2011 by The McGraw-Hill Companies, Inc. Redistribution, reproduction and/or photocopying in whole or in part is prohibited without written permission. All rights reserved. “S&P” and “Standard & Poor’s” are registered trademarks of Standard & Poor’s Financial Services LLC. 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. All information provided by Standard & Poor’s is impersonal and not tailored to the needs of any person, entity or group of persons. Standard & Poor’s and its affiliates do not sponsor, endorse, sell, promote or manage any investment fund or other vehicle that is offered by third parties and that seeks to provide an investment return based on the returns of any Standard & Poor’s index. Standard & Poor’s is not an investment advisor, and Standard & Poor’s and its affiliates make no representation regarding the advisability of investing in any such investment fund or other vehicle. A decision to invest in any such investment fund or other vehicle should not be made in reliance on any of the statements set forth in this presentation. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Inclusion of a security within an index is not a recommendation by Standard & Poor’s to buy, sell, or hold such security, nor is it considered to be investment advice. Standard & Poor’s does not guarantee the accuracy and/or completeness of any Standard & Poor’s index, any data included therein, or any data from which it is based, and Standard & Poor’s shall have no liability for any errors, omissions, or interruptions therein. Standard & Poor’s makes no warranties, express or implied, as to results to be obtained from use of information provided by Standard & Poor’s and used in this service, and Standard & Poor’s expressly disclaims all warranties of suitability with respect thereto. While Standard & Poor’s has obtained information believed to be reliable, Standard & Poor’s shall not be liable for any claims or losses of any nature in connection with information contained in this document, including but not limited to, lost profits or punitive or consequential damages, even if it is advised of the possibility of same. These materials have been prepared solely for informational purposes based upon information generally available to the public from sources believed to be reliable. Standard & Poor’s makes no representation with respect to the accuracy or completeness of these materials, the content of which may change without notice. The methodology involves rebalancings and maintenance of the indices that are made periodically during each year and may not, therefore, reflect real time information. Analytic services and products provided by Standard & Poor’s are the result of separate activities designed to preserve the independence and objectivity of each analytic process. Standard & Poor’s has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process. Standard & Poor's and its affiliates


provide a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. Analytic services and products provided by Standard & Poor’s are the result of separate activities designed to preserve the independence and objectivity of each analytic process. Standard & Poor’s has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process.

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