The RICI® Handbook 2011

The RICI® Handbook, January 21, 2011

The Guide to the Rogers International Commodity Index®

  • How it works
  • Who calculates it
  • What it tracks and more

Amendments to the previous Handbook include:

  • The Committee governing the Rogers International Commodity Index® decided to increase the weight of Rice (CBOT) from 0.50% to 0.75%, decrease the weight of Wheat (CBOT) from 6.0% to 4.75%, and to add Milling Wheat (NYSE Liffe) at 1.0%.

    These changes will be implemented during the January roll period, occurring at the end of
    January 2011.

    • Tullett Prebon is now the source of foreign exchange values for the computation of the RICI®, replacing EBS.

    • Amendment to Section 3.6 (Exceptional Committee Meeting) to clarify that any Index calculation issue that may arise, the treatment for which is not sufficiently documented in this Handbook, promptly shall be referred to the RICI® Committee for deliberation.

    • Amendment to Section 4.4.4.2 (Market Disruption Event) to provide that a Market Disruption Event will be declared if “the settlement price for the contract as determined by the exchange is at the limit of its permissible trading range” (Section 4.4.4.2.a.), and to provide that “[A] local holiday or an exceptional exchange closure day is deemed a Market Disruption Event.” (Section 4.4.4.2.e.)

  • Definitions and descriptions for the RICI® Industrial Metals sub-index (RICI® - IM℠) and the RICI® Precious Metals sub-index (RICI® - PM℠) have been added.

Contents

  • I.   OVERVIEW
  • II.   RICI® INCLUSION PROCESS
  • III.  RICI® WEIGHTS
  • IV.   RICI® STANDARD CALCULATION
  • V.    RICI® - A℠
  • VI.   RICI® - E℠
  • VII.  RICI® - M℠
  • VIII.  RICI® - IM℠
  • IX.    RICI® - PM℠
  • APPENDIX A - Rolling rules
  • APPENDIX B - Index compositions