S&P GSCI Dynamic Roll

Methodology

December 2021
S&P Dow Jones Indices: Index Methodology
Table of Contents
Introduction 2
Index Objective 2
Highlights 2
The S&P GSCI Dynamic Roll Methodology 2
Supporting Documents 3
Dynamic Roll Selection Process 4
Dynamic Roll Selection for a Given Commodity, C 4
Monthly Dynamic Roll Schedule 6
Index Maintenance 16
Monthly Roll Determination 16
Annual Contract Eligibility Review 16
Currency of Calculation and Additional Index Return Series 17
Index Governance 18
Index Committee 18
Index Policy 19
Announcements 19
Contact Information 19
Index Dissemination 20
Tickers 20
Index Data 21
Web site 21
Appendix A – Calculation of the S&P GSCI Dynamic Roll Select 22
Appendix B – Calculation of the S&P GSCI Dynamic Roll Alpha Light Energy 23
Appendix C – Calculation of the S&P GSCI Dynamic Roll 12-Month Petroleum Index 25
Appendix D – Glossary 27
Appendix E – Methodology Changes 28
Appendix F – EU Required ESG Disclosures 29
EU Required ESG Disclosures 29
Disclaimer 30

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 1

Introduction
Index Objective

The S&P GSCI Dynamic Roll (S&P GSCI DR) is a commodity index that measures the performance of
the same underlying commodities as the S&P GSCI while utilizing a more flexible monthly futures contract
rolling strategy to determine the new futures contract months for the underlying commodities.

At each Roll Determination Date, the Dynamic Roll Algorithm (DRA) measures the current shape of the
f orward curves of the S&P GSCI DR designated eligible futures contract prices, for each commodity listed
in the respective Dynamic Roll Matrices. The contract rolling strategy is based on the implied roll yields
with specific Rank Orders assigned to each of the S&P GSCI Commodities. See Dynamic Roll Selection
Process section for further details.

For information on the S&P GSCI, please refer to the S&P GSCI Methodology, available at
www.spdji.com.

For a list of defined terms used throughout this document, please refer to Appendix D.

Highlights

The S&P GSCI roll schedule is limited to the most liquid nearby contract months, whereas the S&P GSCI
Dynamic Roll Matrix use a systematic methodology to search for the contract months with the largest roll
yield f or each commodity along the curve to roll into, subject to buffers and to using only the most liquid of
all available contracts of a given commodity.

When the f utures curve for a given commodity is in a general state of contango, the S&P GSCI Dynamic
Roll methodology will generally use futures contracts months that are further out on the futures curve,
with the intention of minimizing the effects of negative roll yields. When the futures curve for a given
commodity is in a general state of backwardation, the nature of the S&P GSCI Dynamic Roll
methodology, the Index is to generally use nearby futures contracts.

The S&P GSCI Dynamic Roll Methodology

This methodology uses various terms and definitions from the S&P GSCI Methodology, henceforth
ref erred to as the S&P GSCI Methodology. Where not specifically noted otherwise in this document, the
rules of the S&P GSCI Methodology will prevail. Where the terms in this document are also defined in the
S&P GSCI Methodology, the definitions in this document prevail.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 2

Supporting Documents

This methodology is meant to be read in conjunction with supporting documents providing greater detail
with respect to the policies, procedures and calculations described herein. References throughout the
methodology direct the reader to the relevant supporting document for further information on a specific
topic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:

Supporting Document URL

S&P Dow Jones Indices’ Commodities Indices
Commodities Indices Policies & Practices
Policies & Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Index Mathematics Methodology
Methodology

This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of
measuring the underlying interest of each index governed by this methodology document. Any changes to
or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones
Indices so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 3

Dynamic Roll Selection Process
Based on the closing values on the Roll Determination Date, the DRA(k) algorithms are run f or each of
the commodities included in the S&P GSCI, based on the respective Rank Orders of the commodities.
The Dynamic Roll selections of all the S&P GSCI commodities are assembled into the Monthly Dynamic
Roll Schedule (see below). The Monthly Dynamic Roll Schedule is applied to the S&P GSCI Dynamic Roll
calculations at the beginning of the S&P GSCI Roll Period.

For a given S&P GSCI Commodity, the roll schedule follows the S&P GSCI roll schedule; i.e., there is no
need to perform the monthly Dynamic Roll Selection Process for those commodities on the months in
which the S&P GSCI roll schedule uses the same contracts as in the prior month.

Dynamic Roll Selection for a Given Commodity, C

Create a selected forward curve based on the Dynamic Roll Matrix. For any given commodity, C,
each component of its Dynamic Roll Matrix is:

C(i,j) = The jth f utures contract month for month i

Def ine:
M[C(i,j-1)] = The calendar month of the (j-1)th contract for month i,
M[C(i,j)] = The calendar month of the jth contract for month i, and
Interval d = M[C(i,j)] – M[C(i,j-1)]

Thus, the selected forward curve, for month i, can be viewed as a series of eligible futures contract prices:

C(i,1), C(i,2), C(i,3), … up to C(i,j), where j is the number of eligible contracts in month i.

Calculate the implied roll yield of each consecutive pair of contracts on the selected forward
curve. The implied roll yield of the consecutive contracts C(i,j-1) and C(i,j) is computed as follows:

 C (i, j − 1) − C (i, j ) 
Implied roll yield_C(i,j) =  
 C (i, j ) * d 

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 4

Rank the Contract Months from best to worst, based on their implied roll yields. The Contract
Months are ranked based on their implied roll yields, with the best candidate for the new Rolled-in
Contract Month being that having the largest implied roll yield, and the next best candidate being that
having the second largest implied roll yield, and so on:

Best(1) = C(i,f),

where:

Implied roll yield_C(i,f) = Largest{Implied roll yield_C(i,j), j=1, …, number of eligible contracts in month
i},

Best(2) = C(i,g),

where:

Implied roll yield_C(i,g) = Second largest (Implied roll yield_C(i,j), j=1, …, number of eligible contracts
in month i}

and so on.

Create the Optimum Set of Contract Months based on the Rank Order of the Commodity. Select
the f irst k Contract Months based on their rankings, where k is the Rank Order of the given commodity,
and create the Optimum Set of Contracts for that commodity.

{Best(1), Best(2), … , Best(k)}

Apply the Dynamic Roll Parity Principle. For a given commodity, if the Rolled-out Contract is included
in the Optimum Set of Contract Months, continue to use the same contract month as the Rolled-in
Contract for the current month; otherwise, choose the first ranked contract month in the Optimum Set of
Contract Months to be the new Rolled-in Contract for the current month.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 5

Monthly Dynamic Roll Schedule

Assemble the New Rolled-in Contract Months. S&P Dow Jones Indices creates a Monthly Dynamic
Roll Schedule of the S&P GSCI DR by assembling all the new Rolled-in Contract Months for all the S&P
GSCI Commodities. This set of Contract Months is effective for the upcoming monthly Roll Period, from
the f if th (5th) business day to the ninth (9th) business day.

The Rank Orders of the S&P GSCI Commodities. As applied in the calculation of the S&P GSCI
Dynamic Roll, the Rank Orders of the S&P GSCI Commodities are given as follows:

Commodity Code Rank Order

Chicago Wheat W 2
Kansas Wheat KW 2
Corn C 1
Soybeans S 1
Cof fee KC 1
Sugar SB 1
Cocoa CC 1
Cotton CT 1
Lean Hogs LH 1
Live Cattle LC 1
Feeder Cattle FC 1
WTI Crude Oil CL 3
Heating Oil HO 2
RBOB Gasoline RB 2
Brent Crude Oil LCO 2
Gas Oil LGO 3
Natural Gas NG 1
Aluminum MAL 2
Copper MCU 3
Nickel MNI 2
Lead MPB 1
Zinc MZN 2
Gold GC 1
Silver SI 2

Rank order descriptions are as follows:

• Rank Order of 1 – Use the DRA(1) Algorithm, with the Optimum Set of Contracts consisting of
only the top one contract
• Rank Order of 2 – Use the DRA(2) Algorithm, with the Optimum Set of Contracts consisting of the
top two ranked contracts
• Rank Order of 3 – Use the DRA(3) Algorithm, with the Optimum Set of Contracts consisting of the
top three ranked contracts
• Rank Order of 4 – Use the DRA(4) Algorithm, with the Optimum Set of Contracts consisting of the
top four ranked contracts

For example, Corn has a Rank Order of 1. If the Rolled-out Contract for corn is not the same as the top
ranked contract, use the top-ranked contract in the Optimum Set of Contracts as the new Rolled-In
Contract Month. Otherwise, if the Rolled-Out Contract Month is the same as the top ranked contract, then
the same Rolled-out Contract Month will continue to be used as the new Rolled-in Contract Month.

In the case of Crude Oil, which has a Rank Order of 3, this means if the Rolled-out Contract is not one of
the top three Contract Months in the Optimum Set of Contracts for Crude Oil, the top ranked Contract

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 6

Month is selected as the new Rolled-in Contract Month. Otherwise, if the Rolled-out Contract is among
the top three Contract Months in the Optimum Set of Contracts, then the same Rolled-Out Contract
Month will continue to be used as the new Rolled-In Contract Month.

The Dynamic Roll Matrices of the S&P GSCI Commodities. The Dynamic Roll Matrix of a given
commodity is a listing of all eligible contract months for that commodity, on a month by month basis. The
eligible contract months are determined based on the liquidity profile measured by open interest and
volume, which are verified annually.

The f ollowing tables represent the Dynamic Roll Matrices for the current year, with column headers as
f ollows: The column “0” is the “f ront futures” contract. The eligible contracts for each month are listed from
column “1” onward. Contract months listed under “1” are the same as the S&P GSCI Roll Schedule for
that commodity. Rows excluding contract months indicate non-roll months.

CL Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1 M2 Z2
Feb 2 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 U1 Z1 M2 Z2
Mar 3 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 M1 U1 Z1 M2 Z2
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 U1 Z1 M2 Z2
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 Z1 M2 Z2 Z3
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Aug 8 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 H2 M2 Z2 Z3
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 H2 M2 Z2 Z3
Nov 11 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 H2 M2 Z2 Z3
Dec 12 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2 H2 M2 Z2 M3 Z3

LCO Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1 M2 Z2 Z3
Feb 2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 M1 Z1 M2 Z2 Z3
Mar 3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 M1 U1 Z1 M2 Z2 Z3
Apr 4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 X1 Z1 M2 Z2 Z3
May 5 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Jun 6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Jul 7 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 M2 Z2 Z3
Aug 8 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 M2 Z2 Z3
Sep 9 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2 M2 Z2 Z3
Oct 10 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2 H2 M2 Z2 Z3
Nov 11 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2 H2 M2 Z2 Z3
Dec 12 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2 H2 M2 Z2 Z3

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 7

 NG Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 H1 J1
Feb 2 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 H1 J1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 H1 J1
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 V1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 J1 K1 V1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1 V1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 N1 V1 Z1
Nov 11 Z0 F1 G1 H1 J1 K1 M1 N1 V1 Z1
Dec 12 F1 G1 H1 J1 K1 M1 N1 Q1 V1 Z1 F2

LGO Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 Q0 U0 V0 Z0 M1 Z1
Feb 2 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 M1 Z1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 M1 Z1
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1 Z2
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1 Z2
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 K1 M1 Z1 Z2
Aug 8 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 N1 U1 Z1 Z2
Nov 11 Z0 F1 G1 H1 J1 K1 M1 N1 U1 V1 Z1 F2 Z2
Dec 12 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 Z1 F2 M2 Z2

HO Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0
Mar 3 J0 K0 M0 N0 Q0 U0 V0 Z0
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 M1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 M1
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 M1 Z1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 M1 Z1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 M1 Z1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 Z1
Nov 11 Z0 F1 G1 H1 J1 K1 M1 Z1
Dec 12 F1 G1 H1 J1 K1 M1 Z1

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 8

 RB Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0
Mar 3 J0 K0 M0 N0 Q0 U0 Z0
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0
May 5 M0 N0 Q0 U0 V0 X0 Z0
Jun 6 N0 Q0 U0 V0 X0 Z0 F1
Jul 7 Q0 U0 V0 X0 Z0 F1 H1
Aug 8 U0 V0 X0 Z0 F1 H1 M1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 M1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1
Nov 11 Z0 F1 G1 H1 J1 K1 M1
Dec 12 F1 G1 H1 J1 K1 M1 U1 Z1

GC Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 J0 M0 Q0 Z0
Feb 2
Mar 3 J0 M0 Q0 V0 Z0 G1
Apr 4
May 5 M0 Q0 V0 Z0 G1
Jun 6
Jul 7 Q0 Z0 G1 J1 M1
Aug 8
Sep 9
Oct 10
Nov 11 Z0 G1 J1 M1 Q1 Z1
Dec 12

SI Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0
May 5
Jun 6 N0 U0 Z0
Jul 7
Aug 8 U0 Z0 H1
Sep 9
Oct 10
Nov 11 Z0 H1 K1
Dec 12

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 9

 MAL Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0 Z1
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0 Z1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 Z0 Z1
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 Z1
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 M1 Z1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 H1 M1 Z1
Jul 7 Q0 U0 V0 X0 Z0 F1 H1 M1 Z1
Aug 8 U0 V0 X0 Z0 F1 H1 M1 Z1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Nov 11 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Dec 12 F1 G1 H1 J1 K1 M1 N1 Z1 Z2

MPB Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0
Feb 2 H0 J0
Mar 3 J0 K0
Apr 4 K0 M0
May 5 M0 N0
Jun 6 N0 Q0
Jul 7 Q0 U0
Aug 8 U0 V0
Sep 9 V0 X0
Oct 10 X0 Z0
Nov 11 Z0 F1
Dec 12 F1 G1 H1

MNI Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 Z0
Feb 2 H0 J0 K0 M0 N0 Z0
Mar 3 J0 K0 M0 N0 U0 Z0
Apr 4 K0 M0 N0 Q0 U0 Z0
May 5 M0 N0 Q0 U0 Z0
Jun 6 N0 Q0 U0 X0 Z0
Jul 7 Q0 U0 V0 X0 Z0 F1
Aug 8 U0 V0 X0 Z0 F1
Sep 9 V0 X0 Z0 F1 Z1
Oct 10 X0 Z0 F1 H1 Z1
Nov 11 Z0 F1 G1 H1 Z1
Dec 12 F1 G1 H1 J1 K1 Z1

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 10

MCU Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0 Z1
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0 Z1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 Z0 Z1
Apr 4 K0 M0 N0 Q0 U0 V0 Z0 H1 Z1
May 5 M0 N0 Q0 U0 V0 X0 Z0 H1 Z1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 H1 Z1
Jul 7 Q0 U0 V0 X0 Z0 F1 H1 Z1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 M1 Z1 Z2
Sep 9 V0 X0 Z0 F1 G1 H1 M1 Z1 Z2
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Nov 11 Z0 F1 G1 H1 J1 K1 M1 Z1 Z2
Dec 12 F1 G1 H1 J1 K1 M1 N1 U1 Z1 Z2

MZN Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 H0 J0 K0 M0 Z0
Feb 2 H0 J0 K0 M0 N0 Z0
Mar 3 J0 K0 M0 N0 U0 Z0
Apr 4 K0 M0 N0 Q0 U0 Z0
May 5 M0 N0 Q0 U0 Z0
Jun 6 N0 Q0 U0 X0 Z0
Jul 7 Q0 U0 V0 X0 Z0 F1
Aug 8 U0 V0 X0 Z0 F1
Sep 9 V0 X0 Z0 F1 H1
Oct 10 X0 Z0 F1 G1 H1
Nov 11 Z0 F1 G1 H1
Dec 12 F1 G1 H1

CC Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 U0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0
May 5
Jun 6 N0 U0 Z0
Jul 7
Aug 8 U0 Z0 H1
Sep 9
Oct 10
Nov 11 Z0 H1 K1
Dec 12

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 11

 CT Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 Z0
Mar 3
Apr 4 K0 N0 Z0
May 5
Jun 6 N0 Z0 H1
Jul 7
Aug 8
Sep 9
Oct 10
Nov 11 Z0 H1 K1
Dec 12

KC Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 U0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0 H1
May 5
Jun 6 N0 U0 Z0 H1
Jul 7
Aug 8 U0 Z0 H1 K1
Sep 9
Oct 10
Nov 11 Z0 H1 K1 N1
Dec 12

SB Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 V0 H1
Mar 3
Apr 4 K0 N0 V0 H1
May 5
Jun 6 N0 V0 H1 K1 N1 V1
Jul 7
Aug 8
Sep 9 V0 H1 K1 N1 V1
Oct 10
Nov 11
Dec 12

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 12

 W Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 U0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0
May 5
Jun 6 N0 U0 Z0
Jul 7
Aug 8 U0 Z0 H1 N1
Sep 9
Oct 10
Nov 11 Z0 H1 K1 N1
Dec 12

KW Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0
May 5
Jun 6 N0 U0 Z0
Jul 7
Aug 8 U0 Z0 H1
Sep 9
Oct 10
Nov 11 Z0 H1 N1
Dec 12

C Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 U0 Z0
Mar 3
Apr 4 K0 N0 U0 Z0 H1
May 5
Jun 6 N0 U0 Z0 H1 N1 Z1
Jul 7
Aug 8 U0 Z0 H1 K1 N1 Z1
Sep 9
Oct 10
Nov 11 Z0 H1 K1 N1 U1 Z1
Dec 12

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 13

 S Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 K0 N0 X0 H1
Mar 3
Apr 4 K0 N0 Q0 X0 F1 H1 K1
May 5
Jun 6 N0 X0 F1 H1 K1 N1
Jul 7
Aug 8
Sep 9
Oct 10 X0 F1 H1 K1 N1 X1
Nov 11
Dec 12 F1 H1 K1 N1 X1

LC Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 J0 M0 Q0
Feb 2
Mar 3 J0 M0 Q0 V0
Apr 4
May 5 M0 Q0 V0 Z0
Jun 6
Jul 7 Q0 V0 Z0 G1
Aug 8
Sep 9 V0 Z0 G1 J1 M1
Oct 10
Nov 11 Z0 G1 J1 M1
Dec 12

FC Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1
Feb 2 H0 J0 K0 Q0
Mar 3 J0 K0 Q0
Apr 4 K0 Q0
May 5
Jun 6
Jul 7 Q0 U0 V0
Aug 8 U0 V0 X0
Sep 9 V0 X0
Oct 10 X0 F1
Nov 11
Dec 12 F1 H1

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 14

 LH Month 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Jan 1 G0 J0 M0
Feb 2
Mar 3 J0 M0 N0 Q0 V0
Apr 4
May 5 M0 N0 Q0 V0 Z0
Jun 6 N0 Q0 V0 Z0
Jul 7 Q0 V0 Z0
Aug 8
Sep 9 V0 Z0 G1
Oct 10
Nov 11 Z0 G1 J1 M1
Dec 12

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 15

Index Maintenance
Monthly Roll Determination

The S&P GSCI Dynamic Roll performs the Dynamic Roll Selection Process on a monthly basis.

Annual Contract Eligibility Review

The eligible contract months are reviewed annually based on liquidity rules following the S&P GSCI. For
the S&P GSCI Dynamic Roll, a contract must have a Monthly Dollar Value Traded (MDVT) of at least U.S.
$1.2 billion (U.S. $15 billion over 12 months) to be included as an eligible contract for the calendar month,
and a Monthly Dollar Value Traded (MDVT) of at least U.S. $0.4 billion (U.S. $5 billion over 12 months) to
remain eligible for the calendar month.

In addition to the MDVT requirement, a contract must meet the same requirement on Monthly Dollar Open
Interest (MDOI). The Annual Calculation Period is defined as the 12-month period ending on August 31st
of the calendar year immediately prior to the year f or which the eligible contracts are being determined. If
a contract is eligible for inclusion in a particular calendar month, it stays eligible for the subsequent
calendar months until its expiry. There is no restriction on the number of eligible contracts included in
each calendar month.

Calculation of Monthly Dollar Value Traded and Monthly Dollar Open Interest:
𝑛

𝑀𝐷𝑉𝑇𝑖 = ∑( 𝑉𝑡 ∗ 𝐷𝐶𝑅𝑃𝑡 ) ∗ 𝐶𝑆
𝑡=1

where:
MDVTi = Monthly Dollar Value Traded of contract i
Vt = Volume on day t
DCRPt = Daily Contract Reference Price on day t
n = Number of business days in the calendar month
CS = Contract Size
𝑛
1
𝑀𝐷𝑂𝐼𝑖 = ∑( 𝑂𝐼𝑡 ∗ 𝐷𝐶𝑅𝑃𝑡 ) ∗ 𝐶𝑆
𝑛
𝑡 =1

where:
MDOI i = Monthly Dollar Open Interest of contract i
OI t = Open Interest on day t
DCRPt = Daily Contract Reference Price on day t
n = Number of business days in the calendar month
CS = Contract Size

For inclusion as an eligible contract:

MDVT and MDOI >= U.S. $1.2 Billion

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 16

To remain as an eligible contract:

MDVT and MDOI >= U.S. $0.4 Billion

Currency of Calculation and Additional Index Return Series

In addition to the indices detailed in this methodology, additional return series versions of the indices may
be available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse,
leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI
Methodology & Regulatory Status Database.

For information on index calculation, please refer to S&P Dow Jones Indices’ Index Mathematics
Methodology.

For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair
value, and risk control indices, please refer to the Parameters documents available at www.spdji.com.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 17

Index Governance
Index Committee

An S&P Dow Jones Indices’ Index Committee maintains the index. The Index Committee meets regularly.
At each meeting, the Index Committee reviews any significant market events. In addition, the Index
Committee may revise index policy for timing of rebalancings or other matters.

S&P Dow Jones Indices considers information about changes to its indices and related matters to be
potentially market moving and material. Theref ore, all Index Committee discussions are confidential.

S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying the
methodology if the need arises. In any scenario where the treatment differs from the general rules stated
in this document or supplemental documents, clients will receive sufficient notice, whenever possible.

In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.

For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Commodities Indices Policies & Practices document.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 18

Index Policy
Announcements

Announcements of the daily index values are made after the futures market close each day.

Announcements of the new futures contract months to be rolled into are made following the close of
business on the third business day of each month.

For information on Calculations and Pricing Disruptions, Expert Judgment, Data Hierarchy and
Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Commodities Indices Policies &
Practices Methodology.

Contact Information

For questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 19

Index Dissemination
Index levels are available through S&P Dow Jones Indices’ Web site at www.spdji.com, major quote
vendors (see codes below), numerous investment-oriented Web sites, and various print and electronic
media.

Tickers

The table below lists headline indices covered by this document. All versions of the below indices that
may exist are also covered by this document. Please refer to the S&P DJI Methodology & Regulatory
Status Database for a complete list of indices covered by this document.

Bloomberg:
Index Name Launch Date Base Date Index Code
S&P GSCI Dynamic Roll 1/26/2011 1/16/1995 SPDYCI
S&P GSCI Wheat Dynamic Roll 1/26/2011 1/16/1995 SPDYWH
S&P GSCI Kansas Wheat Dynamic Roll 1/26/2011 1/15/1999 SPDYKW
S&P GSCI Corn Dynamic Roll 1/26/2011 1/16/1995 SPDYCN
S&P GSCI Soybeans Dynamic Roll 1/26/2011 1/16/1995 SPDYSO
S&P GSCI Coffee Dynamic Roll 1/26/2011 1/16/1995 SPDYKC
S&P GSCI Sugar Dynamic Roll 1/26/2011 1/16/1995 SPDYSB
S&P GSCI Cocoa Dynamic Roll 1/26/2011 1/16/1995 SPDYCC
S&P GSCI Cotton Dynamic Roll 1/26/2011 1/16/1995 SPDYCT
S&P GSCI Lean Hogs Dynamic Roll 1/26/2011 5/14/2001 SPDYLH
S&P GSCI Live Cattle Dynamic Roll 1/26/2011 1/16/1995 SPDYLC
S&P GSCI Feeder Cattle Dynamic Roll 1/26/2011 1/14/2002 SPDYFC
S&P GSCI Heating Oil Dynamic Roll 1/26/2011 1/16/1995 SPDYHO
S&P GSCI Gas Oil Dynamic Roll 1/26/2011 1/15/1999 SPDYGO
S&P GSCI Crude Oil Dynamic Roll 1/26/2011 1/16/1995 SPDYCL
S&P GSCI Brent Crude Oil Dynamic Roll 1/26/2011 1/15/1999 SPDYBR
S&P GSCI Natural Gas Dynamic Roll 1/26/2011 1/16/1995 SPDYNG
S&P GSCI Aluminum Dynamic Roll 1/26/2011 8/14/1997 SPDYIA
S&P GSCI Copper Dynamic Roll 1/26/2011 8/14/1997 SPDYIC
S&P GSCI Lead Dynamic Roll 1/26/2011 11/14/1997 SPDYIL
S&P GSCI Nickel Dynamic Roll 1/26/2011 8/14/1997 SPDYIK
S&P GSCI Zinc Dynamic Roll 1/26/2011 8/14/1997 SPDYIZ
S&P GSCI Gold Dynamic Roll 1/26/2011 1/16/1995 SPDYGC
S&P GSCI Silver Dynamic Roll 1/26/2011 1/16/1995 SPDYSI
S&P GSCI Unleaded Gas Dynamic Roll 1/26/2011 1/16/1995 SPDYHU
S&P GSCI Agriculture Dynamic Roll 2/17/2011 1/16/1995 SPDYAG
S&P GSCI Energy Dynamic Roll 2/17/2011 1/16/1995 SPDYEN
S&P GSCI Industrial Metals Dynamic Roll 2/17/2011 1/16/1995 SPDYIN
S&P GSCI Livestock Dynamic Roll 2/17/2011 1/16/1995 SPDYLV
S&P GSCI Precious Metals Dynamic Roll 2/17/2011 1/16/1995 SPDYPM
S&P GSCI Light Energy Dynamic Roll 4/15/2011 1/16/1995 SPDYLE
S&P GSCI Dynamic Roll Capped Commodity 5/4/2011 10/6/2006 SPDYP
S&P GSCI Energy Dynamic Roll Capped Commodity 5/4/2011 1/8/1999 SPDYPE
S&P GSCI Industrial Metals Dynamic Roll Capped Commodity 5/4/2011 1/9/1995 SPDYPI
S&P GSCI Agriculture Dynamic Roll Capped Component 5/4/2011 1/9/1995 SPDYPA
S&P GSCI Dynamic Roll Equal Weight Select 3/6/2012 12/7/1994 SPDYEW
S&P GSCI Dynamic Roll Select 8/7/2012 1/16/1995 SPDYSE

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 20

Index Data

Daily index level data is available via subscription.

For product information, please contact S&P Dow Jones Indices, www.spdji.com/contact-us.

Web site

For further information, please refer to S&P Dow Jones Indices’ Web site at www.spdji.com.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 21

Appendix A – Calculation of the S&P GSCI
Dynamic Roll Select
The S&P GSCI Dynamic Roll Select (the Index) ref lects the total return available through an unleveraged
investment in the S&P GSCI Dynamic Roll; however, rather than using the 24 commodities from the S&P
GSCI, only the select 14 commodities of the S&P GSCI Equal Weight Select are included in the Index.

Methodology Overview. During the January roll period at the beginning of each calendar year, the S&P
GSCI Dynamic Roll Select includes only the same select commodities as the S&P GSCI Equal Weight
Select. The select commodities are weighted based on the same Contract Production Weights (CPWs) as
the commodities in S&P GSCI Dynamic Roll. The CPWs are updated annually and instituted during the
January roll period. The periodic rolling process of the individual commodities follows the methodology
specified by the S&P GSCI Dynamic Roll. Announcements of the new futures contract months to be rolled
into are made following the close of business on the second business day of each month.

The S&P GSCI Equal Weight Select. The S&P GSCI Equal Weight Select sorts the S&P GSCI
commodity space into six commodity groups and selectively includes only the largest and most liquid
commodities in each commodity group.

The S&P GSCI Equal Weight Select is comprised of 14 commodities, categorized into six commodity
groups, where:
• No single group accounts for more than 30 % of the total.
• Rules-based annual reconstitution.
• Turnover minimized through an annual rebalancing.
• Fewer commodities than the S&P GSCI which results in fewer monthly rolls.

For more information on the S&P GSCI Equal Weight Select please refer to the S&P GSCI Equal Weight
Select Methodology available on our Web site, www.spdji.com.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 22

Appendix B – Calculation of the S&P GSCI
Dynamic Roll Alpha Light Energy
The S&P GSCI Dynamic Roll Alpha Light Energy index measures a long position in the S&P GSCI
Dynamic Roll Light Energy ER index and a short position in the S&P GSCI Light Energy ER index (the
benchmark index), on a market neutral basis.

The Index aims to measure the effects of the different roll strategies between the S&P GSCI Dynamic Roll
Light Energy index and the S&P GSCI Light Energy index while neutralizing the market directional bias.

Long-Short Index. The index value is determined by measuring the difference between a long position
in the S&P GSCI Dynamic Roll Light Energy ER index and a short position in the S&P GSCI Light Energy
ER index.

Calculation. On each Index Level Determination Date, t, a reference index level is determined by the
f ollowing formula:

𝐸𝑛ℎ𝑎𝑛𝑐𝑒𝑑 𝑡 𝐵𝑒𝑛𝑐ℎ𝑡
𝑅𝑒𝑓𝑡 = 𝑅𝑒𝑓𝑡𝑟 ∗ [1 + − ]
𝐸𝑛ℎ𝑎𝑛𝑐𝑒𝑑 𝑡𝑟 𝐵𝑒𝑛𝑐ℎ𝑡𝑟
where:
Ref t = the Long-Short reference index level on date t
Enhancedt = the S&P GSCI Dynamic Roll Light Energy ER index on date t
Bencht = the S&P GSCI Light Energy ER index on date t
tr = the last Rebalancing Day preceding the date t (The rebalancing dates are the 9th S&P
GSCI day of each month)

Market Neutral Exposure. The f inal index value is determined by measuring the daily return of the
Long-Short Index adjusted by the return of a target exposure weighted benchmark index.

Market Neutral Exposure Calculation. On each Index Level Determination Date t, the index exposure
to the benchmark index is determined by the following formulae:

𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 = 𝑇𝑎𝑟𝑔𝑒𝑡𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡−2

𝑅𝑒𝑓𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡
𝑇𝑎𝑟𝑔𝑒𝑡𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡 = − ∗ 𝐶𝑜𝑟𝑟𝑒𝑙𝑡
𝐵𝑒𝑛𝑐ℎ𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡
where:
TargetExposuret = the exposure multiplier for the benchmark index
RefVolatilityt = the 120-day volatility of the reference index (of the daily natural log (ln) return)
BenchVolatilityt = the 120-day volatility of the benchmark index (of the daily ln-return)
Correlt = the 120-day correlation of the reference and benchmark indices (of the daily ln-
return)

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 23

Index Calculation. On each Index Level Determination Date t, the index level is determined by the
f ollowing formula:

𝑅𝑒𝑓𝑡 𝐵𝑒𝑛𝑐ℎ𝑡
𝐼𝑛𝑑𝑒𝑥𝑡 = 𝐼𝑛𝑑𝑒𝑥𝑡−1 ∗ [ + 𝐸𝑥𝑝𝑜𝑠𝑢𝑟𝑒𝑡−1 ∗ ( − 1)]
𝑅𝑒𝑓𝑡−1 𝐵𝑒𝑛𝑐ℎ𝑡−1
where:
Index t = the index level on Index Level Determination Date t

The index start date is July 14, 1995, with a base level of 100.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 24

Appendix C – Calculation of the S&P GSCI
Dynamic Roll 12-Month Petroleum Index
Index Objective. The index measures the performance of the constituents of the S&P GSCI Dynamic
Roll Index within the petroleum sector and with eligible contracts expiring in 12 months or less.

Index Eligibility. The index is comprised of commodities in the petroleum sector, specifically WTI Crude
Oil (CL), Brent Crude Oil (LCO), RBOB Gasoline (RB), Gas Oil (LGO) and Heating Oil (HO). It uses the
same selection criteria as the S&P GSCI Dynamic Roll Index with the exception that no single contract
can be more than 12 months out in the future chain during monthly selections.

Index Maintenance. All index adjustments follow the S&P GSCI Dynamic Roll Index.

Rebalancing. The index utilizes the same CPWs as the S&P GSCI Dynamic Roll Index. New constituent
contract months are selected monthly on the third business day and implemented after the close of the
f if th business day with the same roll schedule as the underlying index. The Dynamic Roll Matrices,
provided below, are reviewed annually along with the underlying index.

Dynamic Roll Matrices. Futures contracts roll according to the schedules provided below:

CL Month 0 1 2 3 4 5 6 7 8 9 10 11
Jan 1 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Feb 2 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1
Nov 11 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1
Dec 12 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1

LCO Month 0 1 2 3 4 5 6 7 8 9 10 11
Jan 1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Feb 2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Mar 3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Apr 4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
May 5 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Jun 6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1
Jul 7 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Aug 8 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1
Sep 9 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1
Oct 10 Z0 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1
Nov 11 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1
Dec 12 G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 25

 LGO Month 0 1 2 3 4 5 6 7 8 9 10 11
Jan 1 G0 H0 J0 K0 M0 N0 Q0 U0 V0 Z0
Feb 2 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Mar 3 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 M1
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 K1 M1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 K1 M1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1 N1 U1
Nov 11 Z0 F1 G1 H1 J1 K1 M1 N1 U1 V1
Dec 12 F1 G1 H1 J1 K1 M1 N1 Q1 U1 V1 Z1

HO Month 0 1 2 3 4 5 6 7 8 9 10 11
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0
Mar 3 J0 K0 M0 N0 Q0 U0 V0 Z0
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0
May 5 M0 N0 Q0 U0 V0 X0 Z0 F1
Jun 6 N0 Q0 U0 V0 X0 Z0 F1 M1
Jul 7 Q0 U0 V0 X0 Z0 F1 G1 H1 M1
Aug 8 U0 V0 X0 Z0 F1 G1 H1 M1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 M1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1
Nov 11 Z0 F1 G1 H1 J1 K1 M1
Dec 12 F1 G1 H1 J1 K1 M1 Z1

RB Month 0 1 2 3 4 5 6 7 8 9 10 11
Jan 1 G0 H0 J0 K0 M0 N0 U0 Z0
Feb 2 H0 J0 K0 M0 N0 Q0 U0 Z0
Mar 3 J0 K0 M0 N0 Q0 U0 Z0
Apr 4 K0 M0 N0 Q0 U0 V0 X0 Z0
May 5 M0 N0 Q0 U0 V0 X0 Z0
Jun 6 N0 Q0 U0 V0 X0 Z0 F1
Jul 7 Q0 U0 V0 X0 Z0 F1 H1
Aug 8 U0 V0 X0 Z0 F1 H1 M1
Sep 9 V0 X0 Z0 F1 G1 H1 J1 M1
Oct 10 X0 Z0 F1 G1 H1 J1 K1 M1
Nov 11 Z0 F1 G1 H1 J1 K1 M1
Dec 12 F1 G1 H1 J1 K1 M1 U1 Z1

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 26

Appendix D – Glossary
DRA(k) Algorithm. The DRA(k) Algorithm is the k th Dynamic Roll Algorithm, with k indicating the number
of top-ranked futures contract months included in the Optimum Set of Contract Months for that algorithm.
The values of k are from 1 through 4.

Dynamic Roll Matrix. The Dynamic Roll Matrix of a given commodity lists all the eligible futures contract
months for that commodity, for each calendar month of the year. The eligible contract months are
determined based on the liquidity profile measured by open interest and volume, which are verified
annually.

Dynamic Roll Parity Principle. For a given commodity, if the Rolled-out Contract is included in the
Optimum Set of Contract Months, continue to use the same contract month as the Rolled-in Contract for
the current month; otherwise, choose the first ranked contract month in the Optimum Set of Contract
Months to be the new Rolled-in Contract for the current month.

Monthly Dynamic Roll Schedule. Refer to the next chapter, Dynamic Roll Selection Process.

Optimum Set of Contract Months. For a given commodity, the Optimum Set of Contract Months is the
set of top-ranked contract months determined by that commodity’s Dynamic Roll Algorithm. The number
of contract months included in the Optimum Set of Contract Months is governed by the Rank Order of the
given commodity.

Rank Order. The Rank Order of a given commodity, denoted by k, refers to the choice of the DRA(k)
algorithm for that commodity during the monthly Dynamic Roll Selection Process, detailed in the next
chapter. The values of Rank Order are from 1 through 4.

Rolled-in Contract Month. For a given commodity’s Roll Determination Date, the Rolled-in Contract
Month is the contract month selected via the Dynamic Roll Selection Process for that commodity. At the
end of the S&P GSCI Roll Period it, then, becomes the Rolled-out Contract Month for the upcoming Roll
Determination Date.

Rolled-out Contract Month. For a given commodity, the Rolled-out Contract Month is the current active
f utures contract month in use for that commodity.

Roll Determination Date. The Roll Determination Date is the third S&P GSCI Business Day of each
month, two days prior to the start of the S&P GSCI Roll Period.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 27

Appendix E – Methodology Changes
Methodology changes as of January 31, 2015 are as follows:

Effective Date Methodology

Change (After Close) Previous Updated
Annual Contract 01/06/2017 Existing eligibility months are verified Liquidity rules added to make the eligibility
Eligbility Review annually. rules-based. Reviewed in November for the
annual January rebalance.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 28

Appendix F – EU Required ESG Disclosures
EU Required ESG Disclosures

EXPLANATION OF HOW ENVIRONMENTAL, SOCIAL & GOVERNANCE (ESG) FACTORS ARE

REFLECTED IN THE KEY ELEMENTS OF THE BENCHMARK METHODOLOGY 1
1. Name of the benchmark administrator. S&P Dow Jones Indices LLC.
Underlying asset class of the ESG
2. N/A
benchmark. 2
Name of the S&P Dow Jones Indices
3. S&P DJI Futures Indices Benchmark Statement
benchmark or family of benchmarks.
Do any of the indices maintained by this
4. methodology take into account ESG No
factors?
Appendix latest update: January 2021
Appendix first publication: January 2021

1
The information contained in this Appendix is intended to meet the requirements of the European Union Commission Delegated
Regulation (EU) 2020/1817 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards
the minimum content of the explanation of how environmental, social and governance factors are reflected in the benchmark
methodology.
2
The ‘underlying assets’ are defined in European Union Commission Delegated Regulation (EU) 2020/1816 supplementing
Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards the explanation in the benchmark statement
of how environmental, social and governance factors are reflected in each benchmark provided and published.

S&P Dow Jones Indices: S&P GSCI Dynamic Roll Methodology 29

Disclaimer
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