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Commodity Enhanced Curve Index - Excess Return

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Main characteristics

Bloomberg Code ComcurveRules
Inception Date 20/01/2020
Return Type Excess Return
Currency USD
Calculated By Compass

Objective

The Commodity Enhanced Curve Index (USD - Excess Return) (the “ Index”) is a diversified commodity index designed to outperform its benchmark, the Bloomberg Commodity Excess Return Index (BCOM <Index>). The Index seeks outperformance under tracking error constraint by positioning its commodity exposure at various points on the commodity futures curve according to a proprietary algorithm run by the Index Sponsor.

 

The Index is calculated and published by Compass (the “ Index Calculation Agent”) and is sponsored by Société Générale. (the “ Index Sponsor”).

Mechanism

Indices Composition

The index uses either a static or a dynamic rolling methodology applied on each contract, as described herein. The Underlying Contracts are based on the commodities listed in appendix 1 (each, a “Commodity”). The Index is comprised of commodity futures contracts on the 23 different Commodities that are part of the BCOM, each with specified delivery dates and traded on the Relevant Exchange in respect of such Commodity. From time to time, Commodities may be added to or removed from the BCOM resulting in a similar alteration to the composition of the Index.

 

Roll Mechanism

Rolls from one Underlying Contract to the next Underlying Contract are implemented during a period (the “Roll Period”) from the close of the 5th Calculation Date of any given month (the “Roll Start Date”) to the close of the 9th Calculation Date of such month (the “Roll End Date”), provided that if a Commodity Disruption Event occurs at any time during the Monthly Roll Period, any required and appropriate adjustments shall be made with respect to the calculation of the Index by the Index Calculation Agent to reflect the fact that the Roll of certain Eligible Components may need to be postponed as outlined in the Index Disruption Event section of this document.

 


The Commodity Enhanced Curve Index is calculated by COMPASS FINANCIAL TECHNOLOGIES SA. COMPASS FINANCIAL TECHNOLOGIES SA uses its best efforts to ensure that the Index is calculated correctly. Not with standing its obligations towards the issuer of the product, COMPASS FINANCIAL TECHNOLOGIES SA has no obligation to point out errors in the Index to third parties including without limitation to investors and/or financial intermediaries. The calculation, the publication and the dissemination of the Index by COMPASS FINANCIAL TECHNOLOGIES SA does not constitute a recommendation by COMPASS FINANCIAL TECHNOLOGIES SA to invest capital in the product nor does it in any way represent an assurance or opinion of COMPASS FINANCIAL TECHNOLOGIES SA with regard to any investment the rein. Purchasers of the product are made aware, and accept, that index calculations are based on large quantities of data provided by third parties and are thus susceptible to errors, interruptions and delays. This may result in errors, interruptions and delays in the Index which may have impact on the product

 

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