The GSCI Excess Return Index differs from the GSCI Spot Index in that it incorporates the returns of the Index as well as the discount or premium obtained by “rolling” hypothetical positions in such contracts as they approach delivery. It also differs in that it is a long-dated contract, about 5 years from initial listing, while the GSCI Spot Index futures contracts have a monthly listing and expiration schedule.
By design the GSCI reflects a passive portfolio of long positions in futures. However, unlike the GSCI Spot Index, the GSCI Excess Return Index already incorporates the return from rolling each month and so does not need to be rolled forward each month. Currently 24 liquid, exchange-traded futures contracts are included in the GSCI Index. This new future will also be used in the creation of a new commodity Exchange Traded Product that Barclays Global Investors, N.A., plans to launch.
The GSCI has become the premier global commodity benchmark for measuring investment performance in the commodity markets. Designed as a reliable and publicly available benchmark, the GSCI tracks real economic activity as well as measuring the level of world commodity prices. CME introduced futures and options on the GSCI Spot Index in July 1992. For the first six months of 2005, more than 250,000 CME GSCI Index futures contacts traded, an increase in volume of 18.5 percent over the same period in 2005.
For more information on this product, please visit www.cme.com/gsciexcessreturn.
Goldman Sachs is a leading global investment banking, securities and investment management firm that provides a wide range of services worldwide to a substantial and diversified client base that includes corporations, financial institutions, governments and high net worth individuals. Founded in 1869, it is one of the oldest and largest investment banking firms. The firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centers around the world.
Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.6 billion per day in settlement payments in the first half of 2005 and managed $43.7 billion in collateral deposits at June 30, 2005, including $4.0 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE, NASDAQ: CME), which is part of the Russell 1000® Index.
Statements in this news release that are not historical facts are forward-looking statements. These statements are not guarantees of future performance and involve risks, uncertainties and assumptions that are difficult to predict. Therefore, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statements. More detailed information about factors that may affect our performance may be found in our filings with the Securities and Exchange Commission, including our most recent Quarterly Report on Form 10-Q, which can be obtained at its Web site at www.sec.gov. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.
Chicago Mercantile Exchange, CME, the globe logo and CME Globex are registered trademarks of Chicago Mercantile Exchange Inc. E-mini is a trademark of CME. CLEARING 21 is a registered trademark of CME and New York Mercantile Exchange, Inc. S&P, S&P 500, NASDAQ-100, Nikkei 225, Russell 1000, Russell 2000, TRAKRS, Total Return Asset Contracts and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license.
