Commodities

Commodity Curve Index

In November 2007, J.P. Morgan launched the first commodity index that captures investment opportunities across the entire futures curve, while tracking the performance of 35 commodity markets. The J.P. Morgan Commodity Curve Index (JPMCCI) is a family of passive benchmark indices that are 'curve-neutral' and diversified across a broad universe of commodities.

Despite the growth of commodity investor products over the past five years, the market has lacked an index that not only reflected available investment opportunities along the curve, but adapted to evolving liquidity conditions over time. The JPMCCI fills this gap. By investing along the entire length of the futures curve in proportion to its open interest, the index avoids the front-end bias of traditional indices.

Investors gain diversification benefits by investing both within and across a broad set of commodity markets. Additional benefits of the JPMCCI include better-balanced sector allocation, significantly reduced roll drag, and enhanced risk-adjusted returns compared to traditional passive indices.

Investors will be able to gain exposure to the JPMCCI through typical performance replication products such as delta-1 certificates and notes, excess/total return swaps or structured products (capital guarantee, leverage) or other bespoke solutions.

Introducing the JPMCCI Energy Light Total Return Index
The JPMCCI Energy Light Total Return Index is the most recent addition to the JPMCCI family. This representative, robust and diversified index has a maximum allocation of 33% to energy, captures a broad share of the investable commodities universe and is diversified across maturities.

J.P. Morgan has also launched the JPMCCI Energy Light Fund, an open-ended fund that is UCITS III compliant, and has been designed to replicate the performance of the JPMCCI Energy Light Total Return Index. The fund is available through distributors in France, Austria, Germany, Italy and the Netherlands only.

The JPMCCI performance data is available on MorganMarkets, Dataquery, and Bloomberg page <JMCX>.

For additional information, contact the Commodity Investments team:
Email: commodity.investments@jpmorgan.com
London: +44 20 7777 3050

or Commodity Index Research:
Email: Commodity_Index_Research@jpmorgan.com
London: +44 20 7777 0070

Downloads

Introducing the J.P. Morgan Commodity Curve Index (JPMCCI) - Research document (.pdf)

JPMCCI Rules Document (includes JPMCCI Energy Light) 2009 edition (.pdf)

JPMCCI Energy Light TR Q&A (.pdf)
JPMCCI Energy Light TR - Risk Disclosure (.pdf)

JPMCCI Composition File & Daily Performance (.xls)
JPMCCI Contract Weights: Jan - June 2009 (.pdf)
JPMCCI Contract Weights: July - Dec 2009 (.pdf)
JPMCCI Rebalancing Announcement (.pdf)

JPMCCI Disclaimer