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Wednesday, July 12, 2006
On June 29, 2006
Goldman, Sachs & Co. ("Goldman Sachs") announced that it was giving further
consideration to the question of whether, and the extent to which, the portion
of the Goldman Sachs Commodity Index ("GSCI") attributable to the New York
Harbor Unleaded Gasoline ("HU") futures contract would be rolled into the
Reformulated Gasoline Blendstock for Oxygen Blending ("RB") futures contract on
the New York Mercantile Exchange.
Goldman Sachs has determined that for the roll occurring
in September 2006 (the "September Roll") in relation to the GSCI futures
contract expiring in October 2006 it will roll the existing portion of the GSCI
that is attributable to RB contract but will not roll any portion of the GSCI
that is attributable to the HU contract into the RB contract. Accordingly, for
the September Roll one half of the portion of the GSCI that, as of the time
immediately preceding such roll, is attributable to the HU contract will be
distributed to other contracts included in the non-RB petroleum product complex
of the GSCI. The precise weights of the contracts to be included in the GSCI for
purposes of the GSCI futures contract expiring in October 2006 are attached.
Goldman Sachs will continue to monitor market conditions and keep market
participants apprised of its intentions with respect to the GSCI and the
gasoline futures market, and will make additional announcements, as necessary or
appropriate in connection with any further developments.
| Contract |
Aug Roll |
Sep Roll |
|
|
|
| Crude WTI |
11730.68 |
12121.69 |
| Crude Brent |
5555.881 |
5741.070 |
| No 2 Heating Oil |
111515.9 |
115233.0 |
| Gasoil |
194.4298 |
200.9106 |
| Unl. Gasoline (HU) |
72221.80 |
36110.90 |
| Unl. Gasoline (RB) |
36110.90 |
36110.90 |
|
|
