CalPERS

Inflation Assets Glossary

This Glossary identifies, defines, and clarifies the meaning of investment terms used by CalPERS in our investment policies. The purpose of the Glossary is to establish a uniform vocabulary of terms for users of these policies.

Choose from the letters below to find a specific Inflation Assets Investment Policy term or phrase. You'll also find information about the related policies and asset classes for each term.

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S&P GSCI TR - The S&P GSCI Total Return Index (S&P GSCI TR) (formerly the Goldman Sachs Commodity Index ? Total Return) is an index which measures the returns from maintaining a passive, long only exposure to a basket of 1st nearby commodity futures contracts. There are currently 24 commodities that meet the requirements for inclusion. Since the 24 commodity futures contracts will come to expiry (often into physical delivery), the S&P GSCI TR deals with this by assuming that the index mechanically rolls out of the 1st nearby contracts into the next liquid nearby contracts at the official settlement prices on the 5th-9th business day of each month (essentially 20% per day). The S&P GSCI TR also includes the return on collateral, assumed to be cash in the amount equal to the value of the commodities, earning a daily Treasury bill rate.

Related Policy

  • No related policies

Standard & Poor's (S&P) - A nationally-recognized credit rating agency that grades the investment quality of bonds in a 10-symbol system. The ranges extend from the highest investment quality, which is AAA, to the lowest credit rating, which is D. Securities rated BBB- or greater are considered investment grade. Securities rated BB+ or below are considered speculative.

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State Street Bank Short-Term Investment Fund (STIF) - An institutional money market mutual fund managed by State Street Global Advisors.

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Structured Note - An instrument representing a financial obligation created by modifying one or more standard financial obligations or instruments (i.e., a bond or mortgage) to create a risk/return profile or cash flow payment stream. This type of risk or return profile differs from the standard financial instrument from which it derives.

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Swap - Private agreement between two companies to exchange cash flows in the future according to a prearranged formula.

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