CONSULTATIONS

S&P Dow Jones Indices Consultation on Proposals Related to Negatively Priced Commodities Futures Contracts

Open for comment until May 11, 2020

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    S&P DJI makes responses to consultations freely available upon request with redacted individual and company names unless requested to be confidential. Do you wish for your response to remain confidential?*


      • For multi-commodity indices, S&P DJI is proposing to drop the current contract from the index and adjust the weights of other contracts down proportionally to reflect the loss in value if the current contract in the index settles at zero or a negative price outside of a scheduled roll period. Are there circumstances where a different treatment should be considered?
      • For single-commodity, unlevered, long-only indices outside of the roll period, S&P DJI will publish the negative index level as the official close value and continue to calculate the impacted index going forward if a negative index value was a direct result of one or more of the underlying futures contracts settling below zero. Do you agree with this treatment or do you prefer a different treatment (please specify)?
      • For the purposes of determining constituent weights at a given index rebalancing date, how should S&P DJI approach negative commodity futures prices in capped commodity indices and in commodity indices that are constructed as an index of indices?
      • S&P DJI is proposing to establish a floor weight of 0% for all commodities in capped commodity indices and for all commodity index of indices, except those that specifically allow a negative weight at rebalancing. If you disagree with the proposal, please specify when and what alternative treatment would be warranted.
      • Given the current spike in volatility and lower levels of liquidity, has the investabililty and replicability of the commodity benchmarks, which primarily track front-month commodity futures contacts, been diminished? If so, please provide details on the areas in which difficulties have taken place.
  • Please be advised that all comments from this consultation will be reviewed and considered before a final decision is made; however, S&P DJI makes no guarantee nor is under any obligation to comply with any of the responses. The survey may result in no changes or outcome of any kind. If S&P DJI decides to change the index methodology, an announcement will be posted on our website.


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