Th GSCI index committee has announced a change in the composition of the commodity index with an increase in the allocation to Brent crude and a reduction in WTI. Brent is more of a world benchmark so this will make the index more representative of the true world market. However, changes in the composition of the index will create new demand for commodity and change spread relationships. In this case, there will be an increase in demand for Brent at the expense of WTI which should increase the Brent -WTI spread.
The changes for 2013:
The changes for 2013:
2013 2012 Change Vs 2012
WTI Crude 24.71% 30.96% -6.25
Kansas Wheat 0.68% 0.88% -0.20
Live Cattle 2.62% 2.71% -0.09
Sugar 1.85% 1.90% -0.05
Cotton 1.07% 1.12% -0.05
Gold 3.00% 3.05% -0.05
Soybeans 2.62% 2.63% -0.01
Coffee 0.82% 0.83% -0.01
Natural Gas 2.02% 2.03% -0.01
Zinc 0.51% 0.52% -0.01
Cocoa 0.23% 0.23% 0.00
Nickel 0.58% 0.58% 0.00
Silver 0.49% 0.49% 0.00
Aluminum 2.13% 2.12% +0.01
Lead 0.40% 0.38% +0.02
Corn 4.69% 4.66% +0.03
Feeder Cattle 0.52% 0.49% +0.03
LME Copper 3.28% 3.24% +0.04
Lean Hogs 1.58% 1.52% +0.06
Chicago Wheat 3.22% 3.04% +0.18
Gas Oil 8.56% 8.11% +0.45
RBOB Gasoline 5.90% 5.02% +0.88
Heating Oil 6.17% 5.13% +1.04
Brent Crude 22.34% 18.35% +3.99
Along with the oil change, there were increased weights for gasoil, heating oil and RBOB gasoline by the GSCI index committee. A similsr move occurred with the DJUBS index. The Brent weight will move from 5.3 to 5.8% while the WTI will be cut form 9.7 to 9.2 percent.
The Roger's index has also announced change in their index with a switch form New York to London coffee. This will be a switch from Arabica to Robusta beans,. there will also be a switch from New York to London cocoa.
These changes will all cause adjustments in volume and open interest next year.
These changes will all cause adjustments in volume and open interest next year.
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