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“The commodity index offerings, currently available, vary significantly in their respective representations of the commodity market. We feel we have designed a commodity benchmark that is truly transparent and representative of the commodity market while providing a weighting scheme that will appeal to investors,” said Nicholas Gendron, global head of Indices.
The LBCI will be an objective and rules-based index of U.S. dollar-denominated commodities futures that uses liquidity as defined by futures trading volumes as the primary criteria for commodity selection and weighting. The weights of the individual commodities will be re-set annually and will fluctuate throughout the course of the year based on price movements. The weights of the major components of the index as of the beginning of 2006 were: 56.2% Energy, 22.8% Metals, 18.2% Agriculture and 2.8% Livestock. Based on price movements during 2006, the current weights (as of June 23) were: 52.9% Energy, 27.2% Metals, 17.4% Agriculture and 2.5% Livestock.
Lehman Brothers also plans to release future versions of the LBCI that include commodities from other non-U.S. exchanges and denominated in non-U.S. currencies in order to capture the global nature of the commodities market. “Similar to our fixed income index offerings, it is clear the commodities market has evolved to the point where we believe there is demand for both global and regionalized versions of the LBCI,” said Neil Wardley, a senior vice president in Lehman Brothers’ index strategy group.
Lehman Brothers has more than 30 years of experience in structuring indices. The Firm’s fixed income indices are the most widely accepted benchmarks in the asset management industry, used by over 90 percent of the U.S. institutional investors, a majority of large European investors, and a growing share of Asian-Pacific managers. Lehman Brothers has been the top ranked U.S. bond index provider each year since rankings began in 1997 in Institutional Investor magazine’s All-America Fixed Income Research Team survey, and was top ranked in Europe by Institutional Investor magazine’s All-Europe Fixed Income Research Team survey and Euromoney’s Credit Research poll in 2005 and in 2006.
Lehman Brothers (ticker symbol: LEH), an innovator in global finance, serves the financial needs of corporations, governments and municipalities, institutional clients and high-net-worth individuals worldwide. Founded in 1850, Lehman Brothers maintains leadership positions in equity and fixed income sales, trading and research, investment banking, private investment management, asset management and private equity. The Firm is headquartered in New York, with regional headquarters in London and Tokyo, and operates in a network of offices around the world. For further information about Lehman Brothers’ services, products and recruitment opportunities, visit the Firm's Web site at www.lehman.com.
