bloomberg commodity index (bcom) july 2016 edition ags ... · - crude oil began the month near...

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Bloomberg Commodity Index (BCOM) Tables & Charts July 2016 Edition Gold Futures Revisit 2008 Extremes - Supply issues in grains and energy were primary July pressure factors - Crude oil began the month near $50/bbl ending near $40/bbl - Industrial metals buck the bearish trend while precious continue to shine - Rain makes grain, soybeans and corn adjust to potential record production - Futures curves move away from contango with the notable exception of precious metals Mike McGlone BI Senior Analyst; Commodities Energy and Ags Lead July Losses Performance: July -5.1%, YTD +7.5% (returns are total return (TR) unless noted) The BCOM gave up nearly a half of 2016 gains in July, led by continuing supply issues in energy and grains. Post the US July 4 th holiday, selling prevailed, notably in soybeans and crude oil. Fluctuations in the value of the US dollar in July had little effect as macro influences took a back seat to more commodity specific supply and demand forces. The 10.7% July decline in the Bloomberg Energy Index was the biggest sector drag on BCOM total returns as crude oil futures essentially dropped a handle - from near $50/bbl. to near $40/bbl. July 2016 was the worst month for energy since July 2015 (-14.5%). Increased prospects for record US grain harvests resulted in a 9.9% July decline in the Bloomberg Grains Index, led by mean reverting soybean prices. Despite a stronger US dollar for most of the month and risk-on in most capital markets, precious metals continued to be the best performing sector, but industrial metals were essentially the July stars, bucking the overall bearish trend. The last week of July abruptly reversed the month’s US dollar gains, which may have carry over implications for August. The US Dollar and the BCOM (inverse) Precious Metals Offer Conflicting Signals. Despite overall reduced Federal Reserve tightening expectations, gold and silver futures have shifted steeper into contango in 2016. Historically, this is an oxymoron that could have significant implications - more in the subsequent precious metals section. Macro Markets - The Tone Abruptly Shifts. For most of July, the macro trends of new record stock market highs and increasing treasury bond yields were clouded by the sharp decline in the BCOM. A higher BCOM would have provided a clearer indication from the markets for the Fed to resume tightening. On the last day of the month, the sharp rally in the Japanese Yen and disappointing US GDP data sparked an abrupt shift in treasury bond yields (and the US dollar) from a healthy increase, to a monthly decline, in-line with the BCOM decline. At the month’s conclusion, July market trends appeared a bit less cloudy at the expense of a murkier outlook for the overall US and global economy. Commodities plunged in July Looking Ahead, Watch the Olympics and the US dollar in August - Additional focus is warranted on the potential for a resumption of the 2016 reversion trend in the value of the US dollar. The Bloomberg US Dollar Index ended July with a potential weekly key reversal down pattern, from a good resistance level (chart on the left). The 2-year percentage decline of -34% in the BCOM compared to the increase of +16% in the Bloomberg US Dollar Index indicates a BCOM to US dollar beta near -2 (table above). Market Commentary 1 Energy 2 Metals 4 Ags & Livestock 6 Performance 9 Attribution & Weights 12 Volatility 14 Correlation 17 Commitment of Traders 22 Inventories & Sales 26 Term Structures 28 Research Dashboards 30 Cheat Sheet 31 1

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Gold Futures Revisit 2008 Extremes

- Supply issues in grains and energy were primary July pressure factors

- Crude oil began the month near $50/bbl ending near $40/bbl

- Industrial metals buck the bearish trend while precious continue to shine

- Rain makes grain, soybeans and corn adjust to potential record production

- Futures curves move away from contango with the notable exception of precious metals

Mike McGlone – BI Senior Analyst; Commodities

Energy and Ags Lead July Losses Performance: July -5.1%, YTD +7.5% (returns are total return (TR) unless noted)

The BCOM gave up nearly a half of 2016 gains in July, led by continuing supply issues in energy and grains. Post the US July 4th holiday, selling prevailed, notably in soybeans and crude oil. Fluctuations in the value of the US dollar in July had little effect as macro influences took a back seat to more commodity specific supply and demand forces. The 10.7% July decline in the Bloomberg Energy Index was the biggest sector drag on BCOM total returns as crude oil futures essentially dropped a handle - from near $50/bbl. to near $40/bbl. July 2016 was the worst month for energy since July 2015 (-14.5%). Increased prospects for record US grain harvests resulted in a 9.9% July decline in the Bloomberg Grains Index, led by mean reverting soybean prices. Despite a stronger US dollar for most of the month and risk-on in most capital markets, precious metals continued to be the best performing sector, but industrial metals were essentially the July stars, bucking the overall bearish trend. The last week of July abruptly reversed the month’s US dollar gains, which may have carry over implications for August.

The US Dollar and the BCOM (inverse)

Precious Metals Offer Conflicting Signals. Despite overall reduced Federal Reserve tightening expectations, gold and silver futures have shifted steeper into contango in 2016. Historically, this is an oxymoron that could have significant implications - more in the subsequent precious metals section.

Macro Markets - The Tone Abruptly Shifts. For most of July, the macro trends of new record stock market highs and increasing treasury bond yields were clouded by the sharp decline in the BCOM. A higher BCOM would have provided a clearer indication from the markets for the Fed to resume tightening. On the last day of the month, the sharp rally in the Japanese Yen and disappointing US GDP data sparked an abrupt shift in treasury bond yields (and the US dollar) from a healthy increase, to a monthly decline, in-line with the BCOM decline. At the month’s conclusion, July market trends appeared a bit less cloudy at the expense of a murkier outlook for the overall US and global economy.

Commodities plunged in July

Looking Ahead, Watch the Olympics and the US dollar in August - Additional focus is warranted on the potential for a resumption of the 2016 reversion trend in the value of the US dollar. The Bloomberg US Dollar Index ended July with a potential weekly key reversal down pattern, from a good resistance level (chart on the left). The 2-year percentage decline of -34% in the BCOM compared to the increase of +16% in the Bloomberg US Dollar Index indicates a BCOM to US dollar beta near -2 (table above).

Market Commentary 1 Energy 2 Metals 4 Ags & Livestock 6 Performance 9 Attribution & Weights 12 Volatility 14 Correlation 17 Commitment of Traders 22 Inventories & Sales 26 Term Structures 28 Research Dashboards 30 Cheat Sheet 31

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Shifting Futures Curves Indicate Rebalancing Supply/Demand Forces - The number of BCOM commodity one-year futures curves in backwardation has doubled from a year ago, from 3 to 6. Contango retracement has been the 2016 theme in the aftermath of the past few years of near historic price plunges on the back of excess supply forces. Futures curves moving away from contango (when further out prices are higher), towards backwardation (the opposite of contango) is a sign of tightening supply/demand conditions (see table page 7).

Sector Performance - Metals Prevail in July

BCOM Performance Attribution – Energy reverted from being a strong index performance support factor to be the primary drag on returns in July, subtracting 0.5% from BCOM YTD gains. Precious metals remained as the primary contributor to BCOM total returns, accounting for 4.7% of the return in 2016 to date {PORT <GO>}. On an YTD basis, base metals accounted for 2.0% and the agriculture sector 1.5% of total index returns. Gold, with the highest single commodity weight in the BCOM (12.2% at the end of July) was also the most significant single commodity contributor to returns, adding 3.0% to the total. The 20.4% YTD decline in the Bloomberg Unleaded Gas Index accounted for the single commodity largest drag on total BCOM returns, subtracting 0.8% from 2016 total index returns.

BCOM Sector Attribution YTD – {PORT <GO>}

Note, PORT data for the BCOM are approximate

Energy (Index weight: 31.7% of BCOM.

Performance: July -10.7%, YTD -2.5%) *Note index weights are the YTD average

All about Plunging WTI in July The world’s most widely traded commodity, WTI crude oil, was the primary BCOM pressure factor in July. ‘Glut’ appeared the most popular words used to describe the energy market. WTI declined from near $50/bbl. at the beginning of the month to near $40/bbl., resulting in a July decline of 15.1% in the Bloomberg Crude Oil Index. The July decline in the energy markets was an indication that the rebalance adjustment process to the substantial shift lower in prices the past few years is unlikely to be a quick V bottom.

BCOM Individual Energy Indices Performance

Warmer weather and power use supported natural gas to be the standout in the energy market in July as measured by the -1.4% monthly decline in the Bloomberg Natural Gas Index.

High Negative Roll Yields and Contango Reversion - Movement in energy futures curves away from the steep contango shapes in the aftermath of the highest negative annual roll yield for the Bloomberg Energy Index since 2010 is an indication the worst may be over. The performance table above depicts the near historic plunge in energy commodities the past 2-years. Most of the negative returns are price declines, but due to the excess supply factor and resulting steeply contango shaped futures curves, the resulting negative roll yield in the energy sector reached a 5-year annualized high in July. Indicating shifting market forces and potential improved returns ahead, all of the energy commodity one year curves, with the exception of unleaded gas, have moved away from the steep contango shapes of a year ago (see One-Year Futures Curves table page 7)

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Annual BCOM Sector Roll Yields: Elevated

Low Estimated Gas Storage Build May Do Little to Support Prices - Resilient U.S. output and more moderate summer temperatures may further pressure benchmark gas prices as oversupply concerns persist. Despite a seasonally weak U.S. storage build in the week ended July 22, storage sits 19% above the five-year average. Domestic gas production is down nearly 3% from its 1Q peak, but shows signs of recovery as prices improve. Demand may be the crucial balancing mechanism as baseload power burn rises and supplies to Mexico advance above 4 billion cubic feet a day. Low Estimated Gas Storage Build May Do Little to Support Prices. Vincent G Piazza - BI Senior Industry Analyst. Daniel Krauser - BI Associate {NSN OB0XHT6JIJV3 <GO>}

U.S. Natural Gas Inventories

Warmer Weather, Power Use Limit U.S. Natural Gas Storage Build - A seasonally weak increase in U.S. natural gas inventories may bolster benchmark prices. The gain in the week ended July 15 was 35% below the five-year average injection. With weekly U.S. cooling-

degree days 6% above last year, domestic power consumption added 1.75 billion cubic feet a day of gas demand, helping to tighten balances. Still, domestic gas storage sits at near-record highs. Following a mild winter, injections will need to remain depressed to keep storage below 4 trillion cubic feet by October. Warmer Weather,

Power Use Limit U.S. Natural Gas Storage Build. Vincent G Piazza - BI Senior Industry Analyst. Daniel Krauser - BI Associate {NSN OAOB096JTSEJ <GO>}

Oil Oversupply Concerns Linger as U.S. Output Declines Stabilize - U.S. crude oil production gained for a third straight week, driven by rebounding Alaskan supplies, though output in the lower 48 states fell further. Domestic output sits 10% below last year's levels as low oil prices constrain E&P upstream investments. Still, U.S. onshore rig counts have improved from May lows. Near-high U.S. oil inventories may counteract volume declines as oversupply concerns persist. Total domestic output rose 0.3% to 8.52 million barrels a day in the week ended July 22. Oil Oversupply Concerns Linger as U.S. Output Declines

Stabilize. Vincent G Piazza - BI Senior Industry Analyst. Gurpal Dosanjh - BI Industry Analyst {NSN OAZGUK6JIJVF <GO>}

U.S. Crude Oil Production (MBPD)

Gasoline Builds and Glut Likely to Weigh on Refiner Margins - Gasoline inventory built for the second week, adding to the glut weighing on refiner's margins. Since the first week of May, gasoline stockpiles are up 888,000 barrels at a time of year when they're expected to decline. During the same period in 2015, gasoline stockpiles fell by 10.8 million barrels, highlighting how increased production and imports are outweighing rising demand. Stockpiles rose by 452,000 barrels in the week ended July 22, with imports again little changed. Gasoline Builds and Glut Likely to Weigh on Refiner Margins. Vincent G Piazza - BI Senior Industry Analyst. Gurpal Dosanjh - BI Industry Analyst {NSN OAZEFP6JIJV2 <GO>}

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Metals

Industrial (Index weight: 16.4% of BCOM.

Performance: July +3.2%, YTD +12.0%)

Precious (Index weight: 16.3% of BCOM.

Performance: July +4.3%, YTD +32.5%)

Precious Metals - Remain UnfazedA return to risk-on in most financial markets failed to pressure the precious metals in July as evidenced by the 4.3% monthly gain in the Bloomberg Precious Metals Index, resulting in an YTD increase of 32%. Indicating resilience, both gold and silver ended July above the widely watched pivotal levels of $1,300/oz. and $20/oz. A significant portion of global debt markets with negative yields is a strong foundation of support for the quintessential non-income producing alternative assets – gold and silver. Extolling the virtues of diversification in the commodity space, the precious metals 16% BCOM index weight has been responsible for the majority of index gains in 2016. A primary benefit of high precious metals allocation is the close historical relationship between total returns and spot changes, normally with the difference being mainly the minimal cost of carry.

Gold and Silver Shift Deeper into Contango

A Rare Divergence, Gold and Silver Shift into Steeper Contango - Gold and silver have shifted more steeply into contango despite reduced Federal Reserve tightening expectations. Historically, this is an oxymoron. Interest rate expectations are the primary factor in the shape of the futures curves for gold and silver, which typically behave as currencies (a bit less so in silver). Gold and silver futures curves appear to be sniffing out

some combination of more aggressive Fed tightening than expected, a sharp increase in spot prices or may be jumping the gun. November 2008 marked the last time the gold and silver one-year futures curves were in steeper contango than the end of July. The previous chart depicts a rare shift deeper into contango in gold and silver, absent a similar decline in the fed funds futures price.

The POUND and Silver have had a Close Relationship

Precious-Metals ETF Flows Reverse Course Ahead of Fed Decision - Precious metals exchange-traded funds may be losing their luster. ETFs tracking gold and silver took in about $16 billion in 1H, boosting assets by 27%, as investors sought a hedge amid concerns about the global economy and the U.K.'s Brexit vote. Flows reversed in the week ended July 15, with almost $283 million exiting after $1.9 billion entered in the previous week. The SPDR Gold Trust (GLD) had $1.2 billion in outflows since July 5 as investors braced for the Federal Reserve's July 27 policy decision. July ETF Flows Change Course Before Fed Meets. Eric Balchunas - BI Industry Analyst. {NSN OAZGCE6JTSER <GO>}

China's PBOC Gold Reserves Are Now Updated

Frequently - The People's Bank of China is increasingly

transparent about its gold-reserve holdings after years of being opaque. China said it added 480,000 troy ounces (1,823 metric tons) in June, after no additions in May. The country's reserves of 58.62 million ounces are still well behind the U.S., which holds 261.5 million ounces. Until 2015, China's central bank had gone six years without making an announcement on a change in holdings. Global Gold Reserve. Kenneth W Hoffman – BI Senior Industry Analyst. {NSN OAXZX46JIJUU <GO>}

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Industrial Metals - May be Beginning a

Value Recovery Buck the bear strength in the industrial metals in July may be the beginning of a more sustained recovery. By some measures, industrial metals are potentially just recovering from near historic low relative values. Despite the sharp decline in the broad BCOM, the Bloomberg Industrial Metals Index gained 3.2% on the month. With a high monthly correlation near 0.7 (since 2000), the month of July disparity between the Industrial Metals Index and the broad BCOM Index return above 8% was among the highest monthly spreads since 2008.

Relative to gold, copper is near the extreme disparity peak from 2009. Gold is the quintessential store of value metal, copper is known as the doctor of global economics. The ratio of the BCOM Industrial Metals Index divided by the BCOM Precious Metals Index recently extended a new history of BCOM low (since 1991).

The Gold/Copper Ratio is Near the Historic 2008 Peak

Nickel and Zinc Lead Gainers The Bloomberg Nickel, Silver and Zinc Indices were among the four top performing BCOM indices in July, gaining 12.4%, 9.3% and 6.5% respectively. Lesser known than copper and aluminum, nickel and zinc have been closely associated with organic infrastructure and steel demand. Nickel and zinc are primary used with other metals for their anti-corrosion qualities. Silver, the quasi-currency precious metal with over 50% industrial demand has also seen some strong mean reversion price recovery in 2016.

Nickel and Zinc Among BCOM Gainers in July

CRR <GO>

From the 2011 peak to the low in January 2016, the Bloomberg Industrial Metals Index declined about 60%. It ended July with an YTD gain of 12.0% YTD representing only a 13% retracement of that decline. Sharply lower prices appear to have sufficiently rebalanced most industrial metals supply/demand conditions.

High Yield Strength May be a Vote of Confidence in Base Metals - For the past few years, high yield bond returns have trended in a similar pattern as the BCOM, notably the energy and industrial metals sectors. The chart below depicts the sharp divergence since February, albeit in the same direction. The Bloomberg Energy Index declined sharply in July, but industrial metals did not, potentially responding more in-sync with high yield. The recent improvement in high yield investment returns may be a vote of confidence for further increases in commodities, potentially led by the industrial metals. High yield may be vulnerable if commodities return to a high velocity decline similar to 2015.

Base Metals and High Yield - Recently Diverged

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Zinc Surges to Highest Quarterly Average in Year Amid Deficit - Zinc prices could rise gradually as supply cuts and increased demand narrow market balances. A deficit of 1.7 million metric tons is projected for 2016, based upon a Bloomberg Intelligence study of zinc mines. The average 2Q price of $1,925 a ton was down about 12% from the year-earlier period, yet up 14% from the 1Q average. Inventories inched up 1.8% during the same period. Prices have recovered from a six-year low and consensus expects zinc to reach $2,000 in 2017. Zinc Surges to Highest Quarterly Average in Year Amid Deficit Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN OAVDHB6JTSEO <GO>}

Global Nickel Market's Price Recovery Signals Possible Bottom - The nickel market may have bottomed in 1Q. Prices recovered to an average of $8,862 a metric ton in 2Q, up from the previous quarter's $8,545, the lowest since 2003. While nickel was still down 32% from a year earlier, current prices are close to 20% above the 2Q average and the market is in deficit for the first time since 2011. Globally, low prices have finally led to mine closings and production cuts. Shutdowns in the Philippines have raised questions about the availability of nickel ore. Nickel Supply, Demand & Pricing Trends. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN OAX9966JIJUR <Go>}

China's Economic Trends Have Direct Effect on Copper Prices - Mixed economic data in China, which consumes half of global refined copper, have influenced the metal's price this year. Weak manufacturing indicators and plunging foreign exchange reserves signal a slowdown in apparent copper demand in China, pressuring prices. Better-than-expected industrial production growth could support prices. The yuan may be an indicator of the direction of copper, given the currency's weakness could be negative for the metal. China Macroeconomic Trends & Metals. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN OAPTR26JIJUV <Go>}

China's Surging Aluminum Capacity May Weigh on Global Prices - Chinese aluminum makers may add more capacity in 2016 than the rest of the world combined, giving them an increasingly important role in global markets. The surge risks denting prices, given that it may exacerbate the nation's oversupply of the metal. Pricing pressures may be worsened further because half of China's expansion will take place in Xinjiang province. Smelters there have significantly lower power costs than other regions because most have captive coal mines and power plants. Key Themes in Global Aluminum Industry. Yi Zhu - BI Senior,

Industry Analyst {NSN O55B066JIJUP <GO>}

Agriculture (Index weight: 30.3% of BCOM.

Performance: July -7.4%, YTD +5.1%)

Grains (Index Weight: 22.9% of BCOM. Performance:

July -9.9%, YTD -3.3%)

Softs (Weight: 7.4% of BCOM. Performance: July

-0.8%, YTD +18.4%)

Blame Beans July 4

th traditionally marks the height of the growing

season in the northern hemisphere, centered in the US grain belt. In the aftermath of this 2016 holiday, traders came out hitting bids in the grain pits. The soybean complex (soybeans, soybean oil and soybean meal) was the biggest agriculture decliner in July as measured by the 13.0% decline in the Bloomberg Soybeans Index. Soybeans basically had the most to lose.

The Soybean/Corn Ratio Retreated in July

Beans were less rich at the end of July than the beginning and remain relatively elevated. Walking into July, soybeans were historically elevated relative to corn. The widely watched soybean/corn ratio began July at 3.3 and ended the month at 3. Since 2000, the historic average is 2.5 and the mean and high since then have been 2.5 and 3.5 respectively. On a year-over-year (YOY) basis, the front soybean and soybean oil futures were the only grain commodities still up in price compared to the 9.0% decline in the front corn price. Corn and soybeans are world’s primary grains (on a global production basis) often competing for acreage and rotated for optimizing yields.

A notable mention in direct commodity investing is the example of the difference in total returns among the members of the soybean family and compared to corn. Contango has been historically more prevalent in corn

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

than soybeans, as evidenced by the 395% increase in the Bloomberg Soybean Index, since the end of 1999 (through the end of June 2016) compared to the 67% decline in the Bloomberg Corn Index over the same period of time. Over this time period, the spot soybean price has increased roughly double the corn price (+154% soybeans Vs +75% corn), but the disparity in the investible total return versus the non investible spot change exemplifies the differences in commodity investments. Roll yield is a primary factor in longer-term commodity investing.

On a YOY basis, the Bloomberg Soybean Meal Index has been the best grain sector performer with a gain of 7.3% despite an unchanged spot price at the end of July. The positive roll yield was 7.3%. Over this same time period, the Bloomberg Soybean Oil Index declined -4.3% compared to a spot gain of 0.5% for a negative roll yield of 4.8% The soybean meal one-year futures curve (measured on a percentage basis of the spread between the first future contract minus the one-year out divided by the first) was 7% in backwardation at the end of July. Soybean meal was second only to live cattle among the BCOM commodities in the level of backwardation.

Wheat Reached Lowest Since 2006 Wheat/Corn Ratio Lowest Since 2013

Wheat – Feeding the Grain Bears Wheat remained the primary commodity dragging down the grains, leaving many producers pondering just how much cheaper it can go. In July, the world’s most widely traded primary wheat future (on the CME) reached the lowest price since 2006 and the wheat/corn ratio dipped to the lowest since 2013. When the word ‘feed’ is used ahead of wheat, it is generally a sign of either relatively cheap wheat or rich corn. When livestock producers start substituting increasing amounts of wheat for corn in feed usage, it has often been a good indication of support in

the wheat price (previous chart). The chart also indicates that wheat can remain for extended periods near or below the price of corn, which contains a lesser protein content. On a 2-year basis the Bloomberg HRW Wheat Index and Bloomberg Wheat Index were the worst performing grain indices with declines of 45.6% and 29.8% respectively. Such substantial price declines to multi-years lows offer little incentive for farmers to increase wheat production, until or unless they expect to market at higher prices. New Shorts - Notable in wheat futures, open interest jumped to the highest level since February 2013 indicating new shorts in the market.

One-Year Futures Curves

Measured on a percentage basis of the spread between the first future contract minus the one-year out, divided by the first.

BCOM Individual Commodities Open Interest

Softs – Sugar Declines Offset Cotton

Gains in July Despite a 0.8% July decline, the Bloomberg Softs Index ended July as one of the best performing BCOM sub-sector indices in 2016 with an YTD gain of 18.4%. Cotton was the primary gainer in July. Coffee ended near flat.

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Bloomberg Commodity Index (BCOM) Tables & Charts – July 2016 Edition

Hot weather in the US and stockpiles being depleted more rapidly than expected helped to nudge cotton prices to a 2-year high. The +15.4% July increase in the Bloomberg Cotton Index marked the months best performing BCOM commodity.

Cotton open interest jumped as the curve shifted to near backwardation. Indicating a strong market rally, cotton had the largest percent increase in open interest (OI) among the BCOM commodities in July, jumping 28% to the highest level since 2010 (see open interest table on following page). In addition, the cotton one-year futures curve shifted into backwardation (table above).

Sugar has been the primary driver of the softs returns in 2016 on the back of the 23.4% YTD change in the Bloomberg Sugar Index, which was lessened by the 6.3% decline in July. Sugar is the most significant softs commodity with the highest weight in the sector (3.8% BCOM weight average in 2016). In July, sugar appeared to be consolidating some of the high velocity gains since recovering from the 8-year low near $10/lb. reached in 2015. Front sugar futures backed away from $20/lb. resistance in July, ending the month at $19.0/lb. The sharp rise in sugar prices appeared to join the club including many commodities that were rebalancing to more neutral supply/demand conditions in the aftermath of significant price declines. Fundamentally, unfavorable growing conditions in Brazil (the world’s largest sugar producer) and India (the world’s second-largest producer and largest importer) have supported sugar prices in 2016. Indicating tightening supply/demand conditions, the sugar one-year sugar futures curve ended July 5.1% in backwardation, compared to 2.5% a year ago.

BCOM Individual Commodities Annualized Roll Yields

Livestock (Index weight: 5.3% of BCOM.

Performance: July -9.3%, YTD -9.9%)

Plenty of Bacon Smokes Livestock The Bloomberg Lean Hogs Index July decline of 17.5% marked the worst month for lean hogs in 14-years (August 2002, -25.9%). Reports of greater than previously expected pork supplies and less demand sparked the high velocity sell off in lean hogs futures. At the end of July, both the Bloomberg Lean Hogs and Live Cattle indices had YTD declines near 10% reflecting generally well supplied markets. Looking ahead, the live cattle futures curve is indicating the opposite - tight/supply demand conditions. Live cattle ended July with the steepest level of backwardation among all the BCOM commodities at 8.6% in the one-year out futures compared to the first. Historically, this one-year measure of the live cattle futures curve has averaged -0.6%, since 1966.

BCOM Sector Annualized Roll Yields

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Composite Indices * Click hyperlinks to open in Bloomberg

2016Jul Jun Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity ER BCOM -5.13% 4.11% 12.71% 0.34% 7.28% -8.17% -33.19% -48.24% -52.66% -24.82%Bloomberg Commodity TR BCOMTR -5.11% 4.13% 12.78% 0.42% 7.46% -7.98% -33.01% -48.02% -48.27% 18.25%

Bloomberg Commodity Spot BCOMSP -5.18% 4.90% 15.49% 3.58% 13.42% 1.69% -22.25% -35.40% 8.41% 171.26%Bloomberg Roll Select BCOMRST -4.19% 4.59% 12.56% 1.64% 9.62% -4.71% -28.52% -43.43% -24.44% 173.04%

1 Month Forward BCOMF1T -5.02% 4.44% 12.88% 1.09% 8.38% -6.12% -29.88% -44.22% -35.99% 121.50% 2 Month Forward BCOMF2T -4.57% 4.36% 12.56% 1.28% 8.79% -5.66% -29.73% -45.63% -34.20% 157.22% 3 Month Forward BCOMF3T -4.49% 4.37% 12.29% 1.50% 8.86% -4.78% -28.44% -43.81% -26.49% 174.51% 4 Month Forward BCOMF4T -4.12% 4.33% 12.34% 1.72% 9.56% -3.35% -26.31% -41.76% -18.93% 5 Month Forward BCOMF5T -3.99% 4.36% 12.15% 1.80% 9.61% -3.13% -26.54% -41.57% -16.05% 6 Month Forward BCOMF6T -3.66% 4.31% 11.87% 1.98% 9.90% -2.58% -25.91% -41.11% -11.99%

Energy BCOMENTR -10.69% 2.93% 20.35% -9.31% -2.52% -31.58% -62.78% -70.29% -89.86% -54.20%Petroleum BCOMPETR -13.86% -2.35% 17.01% -5.69% -4.95% -33.04% -67.55% -65.84% -77.15% 31.08%Agriculture BCOMAGTR -7.42% 1.78% 12.67% 0.71% 5.06% 1.03% -23.14% -35.65% 5.76% -29.49%

Grains BCOMGRTR -9.94% -2.93% 7.25% 0.12% -3.29% -11.44% -33.83% -37.30% 0.59% -49.10%Industrial Metals BCOMINTR 3.17% 6.76% 6.11% 2.29% 11.99% -1.47% -20.97% -50.22% -46.66% 89.57%Precious Metals BCOMPRTR 4.29% 10.60% 10.24% 15.29% 32.54% 26.98% 1.86% -28.46% 93.25% 261.89%

Softs BCOMSOTR -0.76% 13.55% 20.46% -0.98% 18.38% 32.34% -10.12% -46.09% -18.90% -25.34%Livestock BCOMLITR -9.25% -0.73% -1.86% 1.15% -9.91% -15.87% -16.36% -25.05% -55.39% -59.61%Ex-Energy BCOMXETR -2.20% 4.76% 9.31% 4.54% 11.77% 5.03% -15.97% -36.33% -2.01% 32.39%

Ex-Petroleum BCOMXPET -2.10% 6.54% 11.44% 1.55% 10.79% 0.53% -20.47% -43.87% -40.97%Ex-Natural Gas BCOMXNGT -5.47% 2.68% 11.31% 2.51% 7.87% -5.73% -31.24% -43.10% -24.66%Ex-Agriculture BCOMXAGT -4.15% 5.14% 12.81% 0.14% 8.29% -12.02% -37.68% -53.30% -63.91%

Ex-Grains BCOMXGRT -4.20% 5.58% 13.89% 0.40% 9.54% -7.53% -33.25% -50.83% -57.67%Ex-Industrial Metals BCOMXIMT -6.65% 3.66% 14.14% 0.00% 6.54% -9.21% -35.34% -47.71% -51.50%Ex-Precious Metals BCOMXPMT -6.88% 3.00% 13.28% -2.40% 2.96% -13.78% -38.60% -51.74% -58.01%

Ex-Softs BCOMXSOT -5.48% 3.41% 12.19% 0.56% 6.64% -10.76% -34.83% -48.41% -50.97%Ex-Livestock BCOMXLIT -4.91% 4.39% 13.64% 0.38% 8.47% -7.54% -33.99% -49.23% -48.14%

Ex-Agriculture & Livestock BCOMXALT -3.79% 5.59% 14.06% 0.06% 9.81% -11.75% -39.46% -55.36% -65.44%S&P 500 Total Return SPXT 3.69% 0.26% 2.46% 1.35% 7.66% 5.61% 37.35% 87.36% 110.89% 393.65%

Bloomberg US Treasury Bond BUSY 0.39% 2.21% 2.11% 3.18% 5.76% 5.68% 12.37% 17.76%Bloomberg USD IG Corporate Bond BUSC 1.47% 2.25% 3.54% 3.93% 9.19% 8.43% 17.70% 29.09%Bloomberg USD HY Corporate Bond BUHY 2.62% 1.13% 5.69% 3.69% 12.45% 5.80% 14.26% 34.02%

Bloomberg Dollar Spot BBDXY -0.39% -1.40% 0.27% -4.08% -4.20% -2.29% 15.11% 28.98% 13.80%

Single Commodity Indices

2016Jul Jun Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNGTR -1.41% 22.27% 30.96% -21.75% 1.03% -29.93% -53.93% -81.38% -98.86% -98.99%WTI Crude BCOMCLTR -15.10% -2.35% 18.72% -11.51% -10.81% -37.00% -72.29% -72.27% -84.97% -11.21%

Brent Crude BCOMCOT -13.58% -1.13% 19.59% -0.38% 2.96% -32.05% -68.71% -68.13% -67.34% 221.98%ULS Diesel BCOMHOTR -13.29% -0.39% 23.18% 0.61% 7.45% -29.44% -62.42% -62.97% -66.14% 46.69%

Unleaded Gasoline BCOMRBTR -12.45% -6.99% 3.08% -11.75% -20.36% -34.14% -61.65% -52.44% -53.99% 199.64%Corn BCOMCNTR -8.46% -10.52% 2.26% -3.26% -9.44% -16.83% -46.54% -50.41% -25.84% -84.87%

Soybeans BCOMSYTR -13.01% 8.83% 27.77% 4.96% 16.66% 6.35% 2.17% 12.78% 157.58% 267.13%Wheat BCOMWHTR -8.45% -6.15% -9.22% -0.11% -16.99% -23.06% -48.65% -58.57% -68.37% -92.98%

Soybean Oil BCOMBOTR -3.78% -1.32% -8.94% 10.52% -3.16% -3.62% -36.05% -54.48% -30.85% -40.33%Soybean Meal BCOMSMT -13.27% 3.32% 50.33% 1.10% 31.81% 7.72% 42.52% 84.55% 465.52% 1253.87%HRW Wheat BCOMKWT -2.99% -8.71% -16.21% -0.43% -19.07% -28.43% -53.45% -63.83% -63.44% -77.52%

Copper BCOMHGTR 1.21% 4.57% 0.03% 2.18% 3.45% -7.20% -29.95% -53.05% -41.17% 230.85%Alumnium BCOMALTR -0.64% 6.11% 8.13% -0.13% 7.29% -2.32% -23.27% -53.94% -61.83% -33.47%

Zinc BCOMZSTR 6.49% 9.38% 15.55% 12.40% 38.31% 14.50% 12.49% -24.05% -49.11% 52.32%Nickel BCOMNITR 12.44% 11.83% 10.81% -4.12% 19.46% -5.11% -26.96% -60.60% -56.28% 165.58%Gold BCOMGCTR 2.25% 8.49% 6.75% 16.49% 27.14% 23.06% 1.88% -19.17% 96.64% 231.09%Silver BCOMSITR 9.28% 16.12% 19.86% 11.95% 46.64% 36.46% 0.00% -52.00% 60.34% 263.19%Sugar BCOMSBTR -6.27% 15.84% 29.93% 1.36% 23.43% 56.37% -23.64% -53.59% -38.63% 3.40%Coffee BCOMKCTR 0.40% 18.16% 10.97% -1.11% 10.18% 5.75% -7.68% -61.21% -39.80% -61.90%Cotton BCOMCTTR 15.41% 0.04% 10.37% -8.39% 16.68% 14.74% -7.33% -18.40% 1.97% -74.36%

Live Cattle BCOMLCTR -2.39% -2.71% -4.67% -2.43% -9.21% -17.27% -2.21% -11.63% -33.91% -9.76%Lean Hogs BCOMLHTR -17.54% 1.49% 1.40% 7.38% -10.22% -12.54% -35.58% -43.51% -77.58% -90.32%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices

9

Composite Roll Select Indices * Click hyperlinks to open in Bloomberg

2016Jul Jun Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

BCOM Roll Select BCOMRST -4.19% 4.59% 12.56% 1.64% 9.62% -4.71% -28.52% -43.43% -24.44% 173.04%Roll Select Agriculture BCOMRAGT -6.60% 2.71% 11.94% 0.87% 5.46% 0.65% -23.07% -34.72% 37.61% 27.84%

Roll Select Ex-Ags & Livestock BBURXALT -2.76% 5.68% 13.84% 2.10% 13.02% -6.74% -33.58% -49.57% -49.00%Roll Select Grains BCOMRGRT -8.83% -2.30% 6.85% -0.08% -2.65% -10.87% -35.32% -37.97% 32.51% -5.00%Roll Select Softs BCOMRSOT 0.07% 13.48% 20.47% 0.19% 20.78% 30.63% -4.41% -41.53% 9.35% 37.43%

Roll Select Livestock BCOMRLIT -9.93% 0.65% -0.96% -0.82% -11.53% -16.36% -9.79% -21.06% -16.11% 56.29%Roll Select Energy BCOMRENT -8.46% 3.30% 19.75% -4.19% 5.02% -21.84% -54.04% -61.53% -78.10% 140.97%

Roll Select Ex-Energy BCOMRXET -1.82% 5.29% 9.15% 4.37% 11.85% 4.92% -15.04% -35.22% 25.43% 131.24%Roll Select Petroleum BCOMRPET -11.63% 0.25% 18.33% -2.32% 2.14% -23.16% -60.12% -57.97% -54.89% 388.51%

Roll Select Industrial Metals BCOMRINT 3.27% 6.57% 5.96% 2.05% 11.67% -1.58% -20.20% -48.91% -34.31% 189.12%Roll Select Precious Metals BCOMRPRT 4.37% 10.64% 10.55% 15.27% 33.00% 27.42% 2.34% -27.89% 94.62% 273.29%

Single Commodity Roll Select Indices

2016Jul Jun Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas RS BCOMRNGT -0.21% 13.01% 23.22% -11.20% 9.18% -21.46% -41.87% -71.10% -96.06% -79.95%WTI Crude RS BCOMRCLT -11.78% 0.57% 19.08% -2.46% 2.47% -19.60% -61.32% -60.05% -57.57% 415.87%

Brent Crude RS BCOMRCOT -11.54% 0.45% 17.65% -2.81% 1.15% -27.74% -62.27% -62.78% -52.22% 485.78%ULS Diesel RS BCOMRHOT -11.22% 1.20% 22.75% -0.31% 8.64% -25.03% -59.07% -61.27% -56.66% 221.29%

Unleaded Gasoline RS BCOMRRBT -12.06% -2.21% 13.15% -2.85% -3.33% -21.76% -54.69% -45.37% -43.08% 516.88%Corn RS BCOMRCNT -7.65% -9.37% 3.48% -3.81% -8.08% -16.24% -47.28% -53.21% -6.43% -71.81%

Soybeans RS BCOMRSYT -12.35% 9.26% 24.79% 5.22% 15.10% 5.45% -1.13% 14.88% 185.38% 334.55%Wheat RS BCOMRWHT -5.71% -6.29% -9.32% -0.50% -14.93% -20.50% -49.04% -58.22% -39.53% -67.86%

Soybean Oil RS BCOMRBOT -3.78% -1.32% -8.40% 10.46% -2.64% -2.81% -33.68% -51.73% -16.81% -2.45%Soybean Meal RS BCOMRSMT -13.36% 8.59% 43.67% 1.21% 25.99% 3.25% 31.77% 90.61% 525.91% 1381.49%HRW Wheat RS BCOMRKWT -2.46% -7.81% -15.30% -0.28% -17.61% -26.60% -52.32% -61.88% -39.86% -47.16%

Copper RS BCOMRHGT 1.20% 4.50% 0.09% 1.76% 3.07% -7.60% -30.44% -53.17% -29.86% 394.47%Alumnium RS BCOMRALT -0.13% 5.44% 7.49% -0.13% 7.21% -2.08% -20.38% -50.60% -53.05% 2.13%

Zinc RS BCOMRZST 6.34% 9.48% 15.54% 11.68% 37.22% 14.12% 12.34% -22.77% -35.93% 133.03%Nickel RS BCOMRNIT 12.32% 11.82% 10.81% -3.92% 19.59% -4.58% -25.62% -59.43% -41.94% 340.53%Gold RS BCOMRGCT 2.36% 8.57% 7.13% 16.53% 27.79% 23.67% 2.33% -18.68% 96.71% 234.11%Silver RS BCOMRSIT 9.31% 16.09% 19.94% 11.81% 46.59% 36.46% 0.73% -51.23% 65.14% 301.37%Sugar RS BCOMRSBT -4.82% 15.29% 29.64% 4.10% 28.44% 52.52% -13.94% -45.47% -5.13% 125.44%Coffee RS BCOMRKCT 0.54% 18.14% 11.07% -1.08% 10.47% 5.64% -5.33% -59.49% -29.26% -33.24%Cotton RS BCOMRCTT 15.48% 1.00% 11.08% -8.92% 16.83% 15.57% -4.03% -16.67% 29.81% -58.04%

Live Cattle RS BCOMRLCT -3.77% -2.71% -4.67% -2.88% -10.91% -17.37% -5.90% -16.10% -4.83% 72.65%Lean Hogs RS BCOMRLHT -17.62% 5.12% 4.10% 1.77% -12.73% -14.92% -18.20% -30.78% -37.51% -1.20%

PERFORMANCE: Bloomberg Commodity Roll Select Indices

Index Name Ticker

Index Name Ticker

10

PERFORMANCE: Historical Return * Click hyperlinks to open in Bloomberg

Bloomberg Commodity Composite Indices

Commodities vs. Equities vs. Bonds vs. USD

Bloomberg Commodity Energy Subindices

Bloomberg Commodity Forward Indices

Bloomberg Commodity Group Subindices

Bloomberg Commodity Grains Subindices

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

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BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

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Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

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BloombergCommodity Index TR

S&P 500 Total ReturnIndex

Bloomberg USTreasury Bond Index

Bloomberg USCorporate Bond Index

Bloomberg USD HYCorporate Bond Index

Bloomberg U.S. DollarSpot Index

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11

BCOM Constituent Weights BCOM Index MEMB <GO> * Click hyperlinks to open in Bloomberg

Group Commodity Ticker Jul 2016 Contrib to Return %

Jul 29 2016 Weight

Jun 30 2016 Weight

Jul 2016 Weight Change

2016 Target Weight

Natural Gas NG -0.10 9.1% 8.8% 0.4% 8.4% WTI Crude CL -1.30 7.6% 8.5% -0.9% 7.5%

Brent Crude CO -1.23 8.2% 8.8% -0.6% 7.5% ULS Diesel HO -0.58 3.9% 4.3% -0.4% 3.8% Gasoline XB -0.48 3.6% 3.9% -0.3% 3.7%Subtotal -3.69 32.5% 34.2% -1.7% 31.0%

Corn C -0.52 6.0% 6.2% -0.2% 7.4% Soybeans S -0.80 5.7% 6.2% -0.5% 5.7%

Wheat W -0.22 2.5% 2.6% -0.1% 3.3% Soybean Oil BO -0.09 2.5% 2.5% 0.0% 2.8%

Soybean Meal SM -0.46 3.2% 3.5% -0.3% 2.8% HRW Wheat KW -0.03 0.9% 0.9% 0.0% 1.2%

Subtotal -2.12 20.8% 21.8% -1.0% 23.2% Copper HG 0.08 7.0% 6.5% 0.5% 7.6%

Aluminum LA -0.03 4.3% 4.2% 0.1% 4.6% Zinc LX 0.18 3.1% 2.8% 0.3% 2.5%

Nickel LN 0.26 2.5% 2.1% 0.4% 2.4%Subtotal 0.50 16.9% 15.7% 1.3% 17.1%

Gold GC 0.25 12.2% 11.2% 1.0% 11.4% Silver SI 0.42 5.3% 4.6% 0.7% 4.2%

Subtotal 0.67 17.5% 15.8% 1.7% 15.6% Sugar SB -0.27 4.1% 4.2% 0.0% 3.6% Coffee KC 0.01 2.4% 2.3% 0.1% 2.3% Cotton CT 0.19 1.5% 1.3% 0.3% 1.5%

Subtotal -0.06 8.1% 7.7% 0.4% 7.4% Live Cattle LC -0.06 2.5% 2.5% 0.1% 3.6% Lean Hogs LH -0.37 1.7% 2.3% -0.6% 2.1%Subtotal -0.43 4.2% 4.8% -0.5% 5.6%

Total -5.13 100% 100% 100%

Commodity Price ForecastsCPFC <GO>

Group Commodity Q3 16 Q4 16 Q1 17 Q2 17Forward 2.86 3.26 3.23 3.05Forecast 2.60 2.80 2.90 2.90Forward 42.68 43.49 45.08 46.09Forecast 47.15 49.85 51.00 53.00Forward 44.42 44.65 45.98 47.10Forecast 48.40 50.00 52.00 55.00Forward 133.43 136.50 133.15 133.15Forecast 136.00 148.00 131.46 131.46Forward 129.76 120.83 131.57 145.25Forecast 149.41 149.00 157.14 172.62Forward 336.37 340.28 348.71 356.08Forecast 380.00 392.00 400.00 385.00Forward 1,013.18 978.25 968.48 963.40Forecast 1,100.00 1,077.00 1,096.00 1,072.00Forward 418.05 441.57 464.78 479.03Forecast 453.50 476.00 490.00 498.00Forward 4,884 4,902 4,912 4,920Forecast 4,836 4,913 4,950 4,980Forward 1,612 1,614 1,623 1,632Forecast 1,570 1,613 1,622 1,629Forward 2,197 2,208 2,208 2,207Forecast 1,979 1,990 2,000 2,070Forward 10,546 10,712 10,749 10,781Forecast 9,277 9,777 9,500 10,724Forward 1,336 1,340 1,346 1,350Forecast 1,325 1,325 1,300 1,283Forward 20.12 20.29 20.37 20.45Forecast 18.20 18.00 17.75 17.38Forward 19.07 19.18 18.96 18.27Forecast 17.50 17.70 17.10 17.40Forward 143.23 145.73 148.53 150.69Forecast 130.00 135.00 133.00 135.15Forward 72.24 73.09 73.22 72.96Forecast 63.00 63.50 62.70 63.90

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains

Coffee

Cotton

Zinc

Nickel

Gold

Silver

Sugar

Softs

Bloomberg survey of commodity analysts

Energy

Grains

Industrial Metals

Precious Metals

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

Corn

Soybeans

Wheat

Copper

Aluminum

12

Composite Indices

Bloomberg Commodity ER BCOM 16.09% 15.83% 16.22% 13.35% 13.82% 17.86% 16.12%Bloomberg Commodity TR BCOMTR 16.08% 15.83% 16.22% 13.35% 13.82% 17.86% 16.11%

Bloomberg Commodity Spot BCOMSP 16.09% 15.88% 16.34% 13.44% 13.90% 17.95% 16.21%Bloomberg Roll Select BCOMRST 14.69% 14.73% 14.99% 12.45% 13.01% 16.83% 14.72%

1 Month Forward BCOMF1T 15.95% 15.67% 15.90% 13.01% 13.52% 17.52% 15.57% 2 Month Forward BCOMF2T 15.53% 15.28% 15.52% 12.70% 13.25% 17.22% 15.06% 3 Month Forward BCOMF3T 15.43% 15.13% 15.25% 12.41% 13.03% 16.94% 14.63% 4 Month Forward BCOMF4T 14.85% 14.60% 14.90% 12.13% 12.78% 16.68% 5 Month Forward BCOMF5T 14.43% 14.08% 14.47% 11.72% 12.39% 16.19% 6 Month Forward BCOMF6T 14.43% 14.08% 14.47% 11.72% 12.39% 16.19%

Energy BCOMENTR 32.74% 30.63% 36.11% 28.67% 26.03% 29.30% 30.87%Petroleum BCOMPETR 37.16% 35.24% 44.66% 33.76% 30.04% 33.87% 33.43%Agriculture BCOMAGTR 21.35% 20.48% 16.02% 15.34% 16.71% 20.98% 18.39%

Grains BCOMGRTR 27.85% 25.28% 19.69% 19.11% 20.80% 25.25% 22.55%Industrial Metals BCOMINTR 17.01% 17.68% 19.91% 16.89% 19.24% 25.17% 22.34%Precious Metals BCOMPRTR 15.16% 16.68% 17.85% 18.04% 20.79% 22.57% 19.86%

Softs BCOMSOTR 23.97% 23.68% 21.73% 20.80% 20.10% 22.64% 20.82%Livestock BCOMLITR 20.34% 16.46% 17.49% 14.57% 13.50% 14.19% 14.53%Ex-Energy BCOMXETR 12.77% 12.83% 11.68% 10.79% 12.61% 16.42% 13.84%

Ex-Petroleum BCOMXPET 13.68% 12.90% 11.73% 10.92% 12.38% 16.20%Ex-Agriculture BCOMXAGT 18.17% 17.46% 20.17% 16.08% 16.02% 19.59%

Ex-Grains BCOMXGRT 12.77% 12.83% 11.68% 10.79% 12.61% 16.42%Ex-Industrial Metals BCOMXIMT 16.82% 16.48% 18.19% 14.61% 14.75% 18.46%Ex-Precious Metals BCOMXPMT 16.50% 16.63% 17.03% 14.32% 14.44% 18.21%

Ex-Softs BCOMXSOT 19.36% 18.64% 18.63% 14.97% 14.88% 18.94%Ex-Livestock BCOMXLIT 16.97% 16.21% 16.87% 13.90% 14.32% 18.38%

Ex-Agriculture & Livestock BCOMXALT 18.17% 17.46% 20.17% 16.08% 16.02% 19.59%S&P 500 Total Return Index SPXT 7.43% 13.20% 17.04% 13.50% 15.66% 20.89% 19.66%

Bloomberg US Treasury Bond Index BUSY 4.06% 4.23% 4.02% 3.91% 4.08%Bloomberg USD IG Corporate Bond Index BUSC 3.94% 3.70% 3.75% 3.95% 4.30%Bloomberg USD HY Corporate Bond Index BUHY 3.23% 3.98% 4.98% 3.58% 3.54%

Bloomberg U.S. Dollar Spot Index BBDXY 6.70% 7.90% 6.90% 6.25% 6.45% 7.13%

Single Commodity Indices

Natural Gas BCOMNGTR 46.73% 40.47% 39.51% 39.53% 39.46% 42.57% 46.88%WTI Crude BCOMCLTR 38.47% 36.04% 48.05% 37.15% 33.41% 36.31% 35.04%

Brent Crude BCOMCOT 39.09% 37.29% 47.14% 35.32% 30.71% 33.84% 32.61%ULS Diesel BCOMHOTR 35.60% 34.69% 42.99% 31.32% 27.36% 31.37% 32.87%

Unleaded Gasoline BCOMRBTR 35.35% 34.44% 42.76% 33.06% 29.70% 34.70% 34.47%Corn BCOMCNTR 30.54% 30.20% 22.88% 23.14% 25.55% 30.93% 26.82%

Soybeans BCOMSYTR 39.34% 32.73% 22.51% 20.92% 21.09% 24.98% 23.90%Wheat BCOMWHTR 26.68% 26.93% 24.89% 25.80% 27.72% 34.01% 29.60%

Soybean Oil BCOMBOTR 23.52% 21.52% 21.29% 20.40% 19.75% 23.94% 23.45%Soybean Meal BCOMSMT 38.55% 35.71% 25.40% 25.21% 25.27% 28.26% 26.76%HRW Wheat BCOMKWT 24.12% 24.95% 23.93% 24.20% 25.83% 30.84% 26.84%

Copper BCOMHGTR 19.31% 19.95% 22.81% 19.40% 22.41% 30.18% 27.51%Alumnium BCOMALTR 16.59% 17.31% 17.64% 16.92% 18.89% 23.01% 20.61%

Zinc BCOMZSTR 21.32% 23.59% 28.72% 21.76% 22.88% 33.32% 28.48%Nickel BCOMNITR 37.16% 31.78% 32.63% 28.82% 29.39% 38.63% 35.79%Gold BCOMGCTR 12.79% 16.22% 16.51% 16.14% 18.44% 19.79% 17.76%Silver BCOMSITR 24.72% 22.28% 25.91% 26.96% 31.67% 34.91% 30.69%Sugar BCOMSBTR 31.74% 32.28% 32.91% 26.71% 26.32% 33.48% 32.07%Coffee BCOMKCTR 29.54% 31.75% 30.49% 36.17% 33.77% 31.46% 36.64%Cotton BCOMCTTR 24.42% 22.51% 18.86% 18.88% 21.90% 27.11% 25.98%

Live Cattle BCOMLCTR 24.10% 20.95% 20.04% 15.66% 14.41% 14.39% 14.48%Lean Hogs BCOMLHTR 24.71% 21.69% 25.72% 23.12% 21.00% 22.58% 24.16%

5-Year 10-Year

5-Year 10-Year 20-Year

20-Year

VOLATILITY: Realized

Index Name Ticker

Index Name Ticker

3-Mon 1-Year 3-Year1-Mon

1-Mon 3-Mon 1-Year 3-Year

13

VOLATILITY: ImpliedVCA <GO> OVDV <GO>

TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%

End of Jul 2% 39% -1% 1% 38% 0% 0% 41% 3%End of Jun 4% 38% 0% 2% 39% -1% 0% 38% 0%End of Jul 4% 39% 0% 2% 41% -2% 1% 40% -2%End of Jun 6% 37% -4% 3% 37% -3% 2% 37% -2%End of Jul 1% 40% -1% 1% 42% -2% 1% 41% -2%End of Jun 5% 36% -3% 3% 37% -2% 2% 37% -2%End of Jul 1% 37% -1% 1% 36% -1% 1% 36% 0%End of Jun 3% 32% -1% 1% 31% 0% 1% 32% 0%End of Jul 2% 42% 0% 0% 43% -1% 0% 40% 0%End of Jun 1% 36% 0% 0% 38% 0% 0% 38% 0%End of Jul 1% 26% 4% -1% 24% 2% -1% 22% 1%End of Jun -3% 28% 7% -3% 27% 4% -2% 25% 2%End of Jul 0% 26% 5% -1% 25% 3% -1% 23% 2%End of Jun -1% 27% 4% -2% 27% 3% -2% 23% 2%End of Jul -3% 27% 6% -2% 24% 3% -2% 24% 2%End of Jun -1% 24% 6% -3% 24% 4% -2% 24% 2%End of Jul 1% 21% 7% 0% 20% 3% 0% 19% 2%End of Jun 2% 22% 5% 0% 20% 2% 0% 19% 1%End of Jul -1% 32% 4% -1% 29% 3% -1% 24% 2%End of Jun -1% 34% 4% -2% 31% 3% -2% 25% 2%End of Jul -3% 27% 6% -2% 23% 4% -2% 23% 2%End of Jun -2% 24% 6% -4% 23% 4% -3% 23% 2%End of Jul 2% 17% 0% 1% 20% -1% 2% 20% -1%End of Jun 3% 18% 0% 2% 20% -1% 1% 21% -1%End of Jul 0% 18% 0% 0% 18% 0% 0% 17% 0%End of Jun 0% 18% 0% 0% 17% 1% 0% 17% 1%End of Jul 0% 22% 0% 0% 22% 0% 0% 22% 0%End of Jun 0% 7% 0% 0% 24% 0% 0% 26% 0%End of Jul 0% 25% 0% 0% 25% 0% 0% 25% 0%End of Jun 0% 20% 0% 0% 20% 0% 0% 20% 0%End of Jul 0% 14% 1% 0% 15% 1% 0% 16% 0%End of Jun -1% 16% 1% -1% 17% 1% 0% 17% 1%End of Jul 0% 27% 4% -1% 28% 3% -1% 29% 2%End of Jun -1% 28% 1% 0% 26% 3% 0% 27% 2%End of Jul 3% 31% 2% -2% 31% 2% -2% 31% 2%End of Jun 1% 37% 2% -2% 36% 3% -2% 34% 2%End of Jul -1% 32% 4% -2% 33% 2% -2% 32% 2%

End of Jun 1% 38% 4% -2% 35% 2% -2% 34% 2%End of Jul 0% 25% 4% -1% 24% 2% -1% 22% 1%End of Jun 2% 19% 1% 0% 19% 1% 0% 19% 1%End of Jul 6% 22% -1% 3% 21% -3% 2% 18% -2%

End of Jun 11% 21% 7% 2% 20% -1% 1% 18% -1%End of Jul 10% 25% 0% 3% 33% -5% 2% 29% -3%End of Jun 7% 15% 4% 4% 22% -2% 3% 22% -2%

3M 6M

Corn

Soybeans

Wheat

1M

Live

stoc

k Live Cattle

Lean Hogs

Grai

nsPr

ecio

us

Met

als Gold

Silver

Softs

Sugar

Coffee

Cotton

Soybean Oil

Soybean Meal

HRW Wheat

Indu

stria

l Met

als Copper

Aluminum

Zinc

Nickel

Ener

gy

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

14

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

Bloomberg Commodity Energy Subindices Bloomberg Commodity Grains Subindices

VOLATILITY: Historical 1-Year RealizedBloomberg Commodity Composite Indices Bloomberg Commodity Forward Indices

Commodities vs. Equities vs. Bonds vs. USD Bloomberg Commodity Group Subindices

5%

10%

15%

20%

25%

30%

35%

92 94 96 98 00 02 04 06 08 10 12 14 16

BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

5%

10%

15%

20%

25%

30%

35%

02 03 04 05 06 07 08 09 10 11 12 13 14 15 16

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

0%

5%

10%

15%

20%

25%

11 12 13 14 15 16

BloombergCommodity Index TRS&P 500 Total ReturnIndexBloomberg USTreasury Bond IndexBloomberg USCorporate Bond IndexBloomberg USD HYCorporate Bond IndexBloomberg U.S. DollarSpot Index

5%10%15%20%25%30%35%40%45%50%

92 94 96 98 00 02 04 06 08 10 12 14 16

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock

10%

20%

30%

40%

50%

60%

70%

92 94 96 98 00 02 04 06 08 10 12 14 16

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Unleaded Gasoline10%

15%

20%

25%

30%

35%

40%

45%

50%

92 94 96 98 00 02 04 06 08 10 12 14 16

Corn

Soybeans

Wheat

Soybean Oil

Soybean Meal

HRW Wheat

10%

20%

30%

40%

50%

60%

70%

92 94 96 98 00 02 04 06 08 10 12 14 16

Copper

Alumnium

Zinc

Nickel0%

10%

20%

30%

40%

50%

60%

92 94 96 98 00 02 04 06 08 10 12 14 16

Gold

Silver

10%

20%

30%

40%

50%

60%

92 94 96 98 00 02 04 06 08 10 12 14 16

Sugar

Coffee

Cotton

5%

10%

15%

20%

25%

30%

35%

40%

92 94 96 98 00 02 04 06 08 10 12 14 16

Live Cattle

Lean Hogs

15

Bloo

mbe

rg

Com

mod

ity

Roll

Sele

ct

1 M

onth

Fo

rwar

d

3 M

onth

Fo

rwar

d

6 M

onth

Fo

rwar

d

Ener

gy

P etr

oleu

m

Agric

ultu

re

Gra

ins

Indu

stria

l M

etal

s

Prec

ious

M

etal

s

Soft

s

Live

stoc

k

Ex-E

nerg

y

Ex-A

gs &

Li

vest

ock

Bloomberg Commodity 99% 100% 100% 99% 89% 86% 57% 44% 66% 31% 41% 28% 77% 95%Roll Select 99% 100% 100% 100% 87% 85% 58% 45% 67% 33% 42% 27% 78% 94%

1 Month Forward 100% 100% 100% 99% 88% 86% 57% 45% 67% 32% 41% 28% 77% 95%3 Month Forward 100% 100% 100% 100% 88% 86% 58% 45% 67% 32% 42% 27% 77% 95%6 Month Forward 99% 100% 99% 100% 87% 86% 57% 44% 67% 32% 42% 26% 77% 94%

Energy 89% 87% 88% 88% 87% 96% 25% 16% 45% 8% 24% 19% 39% 94%Petroleum 86% 85% 86% 86% 86% 96% 26% 16% 45% 6% 27% 20% 39% 90%Agriculture 57% 58% 57% 58% 57% 25% 26% 93% 33% 9% 51% 22% 80% 31%

Grains 44% 45% 45% 45% 44% 16% 16% 93% 20% 3% 18% 17% 68% 19%Industrial Metals 66% 67% 67% 67% 67% 45% 45% 33% 20% 23% 31% 16% 70% 65%Precious Metals 31% 33% 32% 32% 32% 8% 6% 9% 3% 23% 11% 0% 51% 33%

Softs 41% 42% 41% 42% 42% 24% 27% 51% 18% 31% 11% 17% 50% 29%Livestock 28% 27% 28% 27% 26% 19% 20% 22% 17% 16% 0% 17% 30% 19%Ex-Energy 77% 78% 77% 77% 77% 39% 39% 80% 68% 70% 51% 50% 30% 60%

Ex-Agriculture & Livestock 95% 94% 95% 95% 94% 94% 90% 31% 19% 65% 33% 29% 19% 60%S&P 500 Total Return Index 42% 43% 42% 43% 44% 43% 46% 20% 12% 38% -12% 22% 19% 25% 41%

S&P Energy 66% 66% 66% 66% 66% 72% 74% 19% 10% 43% 2% 23% 16% 32% 70%S&P Financial 41% 41% 40% 41% 42% 42% 45% 22% 14% 36% -18% 22% 17% 23% 39%

S&P Health Care 22% 22% 22% 22% 23% 22% 26% 9% 4% 28% -14% 11% 9% 13% 22%S&P Consumer Discretionary 34% 35% 34% 35% 36% 33% 37% 20% 12% 32% -14% 24% 19% 22% 31%

S&P IT 34% 35% 34% 35% 36% 34% 38% 18% 13% 32% -14% 14% 17% 21% 33%S&P Utilities 17% 17% 16% 17% 17% 14% 13% 7% -2% 13% 11% 23% 10% 15% 17%

S&P Consumers Staples 25% 26% 25% 26% 26% 24% 26% 11% 4% 22% -3% 19% 19% 17% 24%S&P Industrials 44% 45% 44% 45% 46% 43% 45% 22% 13% 42% -8% 24% 20% 29% 43%

S&P Telecommunication 35% 36% 35% 36% 36% 33% 35% 18% 11% 25% 5% 20% 20% 25% 34%S&P Materials 56% 56% 56% 56% 57% 54% 57% 26% 17% 47% -1% 24% 18% 36% 55%

Bloomberg US Treasury -31% -30% -31% -31% -31% -38% -41% -15% -13% -26% 30% -6% -7% -9% -31%Bloomberg USD IG Corporate -22% -20% -22% -21% -21% -30% -33% -9% -11% -16% 28% 3% -3% -2% -22%Bloomberg USD HY Corporate 38% 39% 38% 39% 40% 37% 38% 19% 10% 36% -6% 25% 13% 26% 37%

Bloomberg U.S. Dollar Spot -38% -38% -39% -39% -38% -27% -25% -22% -14% -30% -34% -26% -11% -40% -37%EURUSD 14% 13% 14% 13% 12% 1% -3% 10% 6% 12% 39% 13% 3% 26% 12%JPYUSD -15% -16% -16% -16% -17% -24% -26% -10% -6% -14% 46% -9% -7% 4% -14%CADUSD 60% 60% 60% 60% 60% 54% 54% 24% 13% 47% 26% 32% 20% 46% 61%MXNUSD 59% 60% 59% 60% 60% 54% 55% 31% 18% 50% 6% 38% 18% 44% 57%GBPUSD 32% 32% 32% 33% 33% 28% 28% 15% 9% 29% 5% 16% 11% 24% 32%AUDUSD 50% 50% 50% 51% 51% 37% 38% 28% 16% 53% 23% 32% 20% 49% 48%CHFUSD 2% 2% 2% 2% 1% -7% -11% -1% -5% 3% 37% 9% -3% 14% 3%KRWUSD 43% 44% 43% 44% 44% 30% 29% 25% 12% 42% 28% 35% 14% 44% 41%CNYUSD 27% 27% 27% 27% 27% 17% 17% 27% 23% 29% 4% 14% 9% 31% 22%

Bloo

mbe

rg

Com

mod

ity

Roll

Sele

ct

1 M

onth

Fo

rwar

d

3 M

onth

Fo

rwar

d

6 M

onth

Fo

rwar

d

Ener

gy

P etr

oleu

m

Agric

ultu

re

Gra

ins

Indu

stria

l M

etal

s

Prec

ious

M

etal

s

Soft

s

Live

stoc

k

Ex-E

nerg

y

Ex-A

gs &

Li

vest

ock

Bloomberg Commodity 99% 100% 99% 98% 81% 77% 65% 56% 64% 49% 43% 23% 83% 94%Roll Select 99% 99% 99% 99% 79% 76% 65% 56% 65% 51% 43% 22% 84% 93%

1 Month Forward 100% 99% 100% 99% 80% 77% 66% 56% 65% 50% 43% 23% 83% 93%3 Month Forward 99% 99% 100% 100% 79% 77% 65% 56% 66% 51% 44% 22% 84% 92%6 Month Forward 98% 99% 99% 100% 77% 76% 64% 55% 67% 53% 43% 21% 84% 92%

Energy 81% 79% 80% 79% 77% 89% 26% 20% 34% 15% 20% 15% 35% 89%Petroleum 77% 76% 77% 77% 76% 89% 27% 19% 40% 19% 23% 15% 39% 83%Agriculture 65% 65% 66% 65% 64% 26% 27% 94% 30% 22% 53% 14% 80% 35%

Grains 56% 56% 56% 56% 55% 20% 19% 94% 21% 17% 24% 12% 71% 26%Industrial Metals 64% 65% 65% 66% 67% 34% 40% 30% 21% 41% 30% 12% 71% 65%Precious Metals 49% 51% 50% 51% 53% 15% 19% 22% 17% 41% 19% 4% 65% 51%

Softs 43% 43% 43% 44% 43% 20% 23% 53% 24% 30% 19% 12% 50% 29%Livestock 23% 22% 23% 22% 21% 15% 15% 14% 12% 12% 4% 12% 23% 16%Ex-Energy 83% 84% 83% 84% 84% 35% 39% 80% 71% 71% 65% 50% 23% 65%

Ex-Agriculture & Livestock 94% 93% 93% 92% 92% 89% 83% 35% 26% 65% 51% 29% 16% 65%S&P 500 Total Return Index 36% 37% 37% 38% 38% 32% 39% 20% 15% 39% 4% 19% 11% 28% 36%

S&P Energy 56% 56% 56% 56% 57% 58% 64% 24% 17% 42% 13% 24% 11% 35% 58%S&P Financial 32% 32% 32% 33% 34% 28% 34% 18% 12% 38% -1% 19% 8% 24% 31%

S&P Health Care 23% 23% 24% 24% 25% 20% 25% 13% 10% 28% -1% 13% 9% 18% 22%S&P Consumer Discretionary 28% 29% 29% 30% 30% 25% 31% 17% 13% 34% -2% 15% 10% 22% 27%

S&P IT 31% 32% 32% 33% 33% 26% 33% 18% 13% 35% 3% 15% 11% 25% 30%S&P Utilities 16% 16% 16% 17% 17% 14% 16% 9% 6% 15% 5% 13% 4% 13% 16%

S&P Consumers Staples 23% 23% 23% 24% 24% 19% 23% 13% 9% 25% 3% 14% 10% 19% 22%S&P Industrials 36% 36% 36% 37% 38% 30% 37% 20% 15% 41% 4% 19% 10% 29% 35%

S&P Telecommunication 23% 23% 23% 24% 24% 21% 25% 11% 8% 23% 4% 13% 9% 17% 23%S&P Materials 46% 47% 47% 47% 48% 39% 46% 24% 18% 46% 15% 22% 11% 38% 46%

Bloomberg US Treasury -23% -22% -23% -23% -23% -26% -29% -13% -11% -25% 15% -7% -6% -12% -22%Bloomberg USD IG Corporate -14% -14% -14% -14% -14% -20% -22% -8% -7% -16% 17% -2% -4% -4% -14%Bloomberg USD HY Corporate 28% 29% 28% 29% 30% 23% 28% 16% 11% 29% 5% 16% 9% 23% 27%

Bloomberg U.S. Dollar Spot -42% -42% -42% -43% -43% -28% -30% -25% -17% -33% -36% -28% -8% -40% -41%EURUSD 34% 35% 34% 35% 35% 18% 18% 20% 14% 33% 37% 23% 3% 38% 33%JPYUSD 2% 2% 1% 2% 2% -8% -9% 4% 3% -6% 31% 5% -3% 11% 1%CADUSD 54% 55% 55% 56% 56% 43% 49% 27% 18% 46% 35% 29% 14% 47% 55%MXNUSD 50% 51% 50% 51% 52% 37% 43% 27% 18% 47% 28% 32% 10% 44% 49%GBPUSD 33% 33% 33% 34% 34% 23% 26% 16% 11% 31% 25% 19% 8% 31% 33%AUDUSD 50% 51% 50% 51% 52% 32% 37% 29% 20% 47% 39% 31% 12% 49% 48%CHFUSD 20% 21% 20% 21% 21% 6% 6% 11% 6% 23% 33% 16% -1% 27% 21%KRWUSD 36% 36% 36% 37% 38% 22% 25% 22% 14% 36% 26% 25% 7% 36% 34%CNYUSD 14% 14% 14% 14% 14% 10% 9% 11% 10% 12% 4% 6% 3% 13% 12%

Bond

Curr

ency

Bond

CORRELATION: BCOM Composites vs. Equities vs. Bond vs. Currency Cu

rren

cyCo

mm

oditi

esEq

uitie

s

5-Year

1-Year

Com

mod

ities

Equi

ties

16

Nat

ural

Gas

WTI

Cru

de

Bren

t Cru

de

ULS

Die

sel

Unl

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d G

asol

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Corn

Soyb

eans

Whe

at

Soyb

ean

Oil

Soyb

ean

Mea

l

HRW

Whe

at

Copp

er

Alum

nium

Zinc

Nic

kel

Gol

d

Silv

er

Suga

r

Coffe

e

Cott

on

Live

Cat

tle

Lean

Hog

s

Natural Gas 17% 18% 16% 14% 1% 10% 0% 14% 5% -2% 12% 16% 15% 13% 7% 9% -2% -4% -2% 0% 5%WTI Crude 17% 97% 93% 84% 13% 20% 3% 36% 11% 7% 42% 36% 29% 41% -4% 21% 16% 32% 17% 17% 16%

Brent Crude 18% 97% 96% 86% 14% 20% 4% 35% 11% 8% 41% 35% 29% 40% -4% 21% 14% 32% 17% 15% 14%ULS Diesel 16% 93% 96% 82% 12% 20% 4% 32% 13% 7% 38% 34% 28% 36% 0% 22% 15% 30% 15% 13% 15%

Unleaded Gasoline 14% 84% 86% 82% 9% 18% 2% 33% 10% 6% 39% 33% 26% 32% -3% 20% 10% 22% 18% 10% 13%Corn 1% 13% 14% 12% 9% 58% 67% 34% 54% 64% 10% 13% 4% 9% -1% 4% 5% 20% 17% 10% 13%

Soybeans 10% 20% 20% 20% 18% 58% 42% 59% 89% 40% 28% 27% 24% 28% -1% 19% 7% 30% 17% 16% 10%Wheat 0% 3% 4% 4% 2% 67% 42% 22% 39% 93% 7% 9% 6% 4% 1% 6% 2% 20% 16% 6% 9%

Soybean Oil 14% 36% 35% 32% 33% 34% 59% 22% 26% 22% 37% 34% 32% 27% 7% 28% 1% 39% 21% 23% 11%Soybean Meal 5% 11% 11% 13% 10% 54% 89% 39% 26% 38% 22% 20% 18% 21% -1% 14% 11% 17% 13% 7% 9%HRW Wheat -2% 7% 8% 7% 6% 64% 40% 93% 22% 38% 7% 11% 4% 5% -2% 3% 1% 18% 15% 8% 11%

Copper 12% 42% 41% 38% 39% 10% 28% 7% 37% 22% 7% 58% 63% 65% 7% 36% 19% 30% 25% 11% 17%Alumnium 16% 36% 35% 34% 33% 13% 27% 9% 34% 20% 11% 58% 60% 53% 8% 30% 6% 21% 21% 8% 13%

Zinc 15% 29% 29% 28% 26% 4% 24% 6% 32% 18% 4% 63% 60% 55% 18% 34% 14% 26% 15% 4% 14%Nickel 13% 41% 40% 36% 32% 9% 28% 4% 27% 21% 5% 65% 53% 55% 6% 31% 15% 24% 27% 1% 4%Gold 7% -4% -4% 0% -3% -1% -1% 1% 7% -1% -2% 7% 8% 18% 6% 75% 4% 0% -1% -10% 3%Silver 9% 21% 21% 22% 20% 4% 19% 6% 28% 14% 3% 36% 30% 34% 31% 75% 16% 22% 18% 4% 4%Sugar -2% 16% 14% 15% 10% 5% 7% 2% 1% 11% 1% 19% 6% 14% 15% 4% 16% 26% 6% 7% 10%Coffee -4% 32% 32% 30% 22% 20% 30% 20% 39% 17% 18% 30% 21% 26% 24% 0% 22% 26% 20% 16% 11%Cotton -2% 17% 17% 15% 18% 17% 17% 16% 21% 13% 15% 25% 21% 15% 27% -1% 18% 6% 20% 4% 2%

Live Cattle 0% 17% 15% 13% 10% 10% 16% 6% 23% 7% 8% 11% 8% 4% 1% -10% 4% 7% 16% 4% 26%Lean Hogs 5% 16% 14% 15% 13% 13% 10% 9% 11% 9% 11% 17% 13% 14% 4% 3% 4% 10% 11% 2% 26%

S&P 500 Total Return Index 5% 46% 47% 44% 40% 9% 17% 1% 25% 7% 6% 34% 28% 26% 38% -22% 8% 6% 32% 21% 24% 3%S&P Energy 19% 75% 74% 71% 63% 7% 15% -1% 30% 3% 6% 40% 36% 27% 40% -8% 20% 9% 31% 19% 16% 7%

S&P Financial 4% 45% 46% 42% 39% 11% 19% 3% 24% 10% 8% 33% 28% 24% 37% -29% 3% 6% 32% 22% 24% 0%S&P Health Care -2% 25% 27% 25% 21% 2% 10% -4% 14% 4% -1% 24% 23% 20% 28% -21% 1% 1% 19% 15% 15% -2%

S&P Consumer Discretionary -1% 37% 38% 35% 32% 10% 15% 4% 20% 8% 8% 28% 24% 21% 33% -22% 3% 10% 31% 20% 22% 6%S&P IT 0% 37% 38% 36% 34% 11% 15% 4% 24% 7% 9% 28% 23% 24% 33% -21% 2% 0% 27% 18% 23% 3%

S&P Utilities 8% 14% 15% 13% 8% -6% 4% -2% 10% -3% -3% 14% 2% 12% 16% 7% 16% 14% 23% 16% 15% 0%S&P Consumers Staples 6% 26% 27% 23% 20% 1% 11% -3% 18% 2% 0% 21% 14% 15% 23% -10% 10% 9% 24% 13% 24% 4%

S&P Industrials 7% 45% 46% 42% 40% 10% 19% 1% 24% 10% 6% 40% 28% 29% 40% -19% 12% 9% 34% 20% 23% 7%S&P Telecommunication 6% 34% 37% 35% 27% 9% 16% 1% 21% 5% 5% 25% 17% 16% 24% -2% 17% 7% 27% 18% 25% 5%

S&P Materials 11% 57% 57% 53% 49% 14% 22% 4% 31% 12% 9% 45% 34% 31% 42% -12% 19% 8% 36% 22% 20% 6%Bloomberg US Treasury -2% -43% -41% -38% -36% -12% -13% -6% -13% -11% -9% -27% -21% -10% -24% 37% 15% 4% -19% -14% -10% 0%

Bloomberg USD IG Corporate 2% -34% -32% -31% -28% -12% -8% -3% -7% -8% -6% -17% -13% -2% -15% 30% 19% 10% -10% -5% -3% -2%Bloomberg USD HY Corporate 7% 37% 39% 37% 30% 4% 14% 10% 14% 13% 12% 32% 30% 28% 29% -16% 13% 13% 28% 22% 19% 0%

Bloomberg U.S. Dollar Spot -12% -27% -24% -24% -20% -10% -12% -15% -14% -12% -12% -28% -27% -24% -17% -31% -33% -13% -30% -18% -2% -17%EURUSD 9% -1% -4% -1% -5% 3% 1% 13% 5% 2% 9% 13% 10% 9% 5% 40% 29% 5% 14% 16% -4% 11%JPYUSD -3% -26% -27% -25% -22% -1% -16% 3% -19% -7% 0% -15% -7% -5% -20% 55% 21% -1% -15% -15% -19% 9%CADUSD 15% 56% 54% 52% 44% 10% 12% 11% 27% 7% 9% 41% 41% 39% 35% 17% 38% 16% 38% 19% 14% 16%MXNUSD 13% 55% 55% 52% 48% 11% 24% 9% 27% 18% 11% 45% 41% 38% 43% -5% 25% 23% 41% 16% 18% 10%GBPUSD 5% 29% 27% 25% 27% 7% 9% 7% 15% 9% 4% 29% 23% 19% 17% -1% 15% 3% 21% 22% 10% 6%AUDUSD 6% 38% 38% 36% 34% 11% 19% 12% 30% 13% 11% 47% 45% 47% 36% 14% 36% 16% 40% 19% 18% 13%CHFUSD 7% -8% -12% -11% -12% -5% -9% 4% 2% -9% 2% 0% 5% 5% -1% 40% 24% 6% 6% 7% -11% 7%KRWUSD 11% 30% 29% 28% 26% 8% 14% 8% 22% 12% 6% 40% 30% 37% 32% 18% 39% 23% 37% 14% 10% 12%CNYUSD 4% 20% 17% 17% 9% 20% 21% 17% 22% 20% 15% 26% 21% 24% 25% -1% 11% 7% 20% 9% 8% 5%

Nat

ural

Gas

WTI

Cru

de

Bren

t Cru

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ULS

Die

sel

Unl

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d G

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Corn

Soyb

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Whe

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Soyb

ean

Oil

Soyb

ean

Mea

l

HRW

Whe

at

Copp

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Alum

nium

Zinc

Nic

kel

Gol

d

Silv

er

Suga

r

Coffe

e

Cott

on

Live

Cat

tle

Lean

Hog

s

Natural Gas 15% 14% 14% 12% 10% 6% 8% 8% 4% 9% 2% 6% 2% 3% -1% 2% 2% 2% -2% 5% 6%WTI Crude 15% 93% 89% 83% 15% 22% 11% 35% 13% 13% 40% 33% 30% 31% 14% 26% 17% 18% 21% 14% 12%

Brent Crude 14% 93% 96% 89% 14% 21% 11% 34% 13% 13% 37% 28% 27% 29% 12% 24% 14% 17% 20% 13% 10%ULS Diesel 14% 89% 96% 85% 14% 22% 11% 33% 14% 12% 34% 27% 26% 27% 13% 23% 15% 16% 20% 10% 11%

Unleaded Gasoline 12% 83% 89% 85% 13% 19% 9% 32% 11% 12% 33% 27% 24% 25% 13% 24% 11% 13% 19% 10% 8%Corn 10% 15% 14% 14% 13% 60% 69% 40% 55% 65% 14% 13% 9% 14% 11% 15% 15% 13% 16% 12% 6%

Soybeans 6% 22% 21% 22% 19% 60% 46% 64% 91% 44% 25% 21% 21% 20% 14% 23% 17% 14% 19% 10% 5%Wheat 8% 11% 11% 11% 9% 69% 46% 32% 41% 95% 13% 11% 9% 12% 11% 13% 15% 15% 17% 10% 4%

Soybean Oil 8% 35% 34% 33% 32% 40% 64% 32% 36% 30% 31% 27% 29% 25% 19% 29% 13% 19% 23% 14% 6%Soybean Meal 4% 13% 13% 14% 11% 55% 91% 41% 36% 39% 17% 14% 14% 12% 10% 17% 15% 8% 13% 5% 2%HRW Wheat 9% 13% 13% 12% 12% 65% 44% 95% 30% 39% 13% 10% 8% 13% 10% 12% 14% 13% 15% 10% 4%

Copper 2% 40% 37% 34% 33% 14% 25% 13% 31% 17% 13% 65% 71% 59% 34% 50% 19% 19% 24% 9% 10%Alumnium 6% 33% 28% 27% 27% 13% 21% 11% 27% 14% 10% 65% 68% 54% 28% 38% 17% 15% 19% 8% 8%

Zinc 2% 30% 27% 26% 24% 9% 21% 9% 29% 14% 8% 71% 68% 57% 29% 39% 19% 17% 17% 7% 9%Nickel 3% 31% 29% 27% 25% 14% 20% 12% 25% 12% 13% 59% 54% 57% 19% 31% 20% 15% 22% 4% 5%Gold -1% 14% 12% 13% 13% 11% 14% 11% 19% 10% 10% 34% 28% 29% 19% 83% 10% 13% 10% 2% 1%Silver 2% 26% 24% 23% 24% 15% 23% 13% 29% 17% 12% 50% 38% 39% 31% 83% 15% 20% 16% 6% 3%Sugar 2% 17% 14% 15% 11% 15% 17% 15% 13% 15% 14% 19% 17% 19% 20% 10% 15% 26% 15% 6% 8%Coffee 2% 18% 17% 16% 13% 13% 14% 15% 19% 8% 13% 19% 15% 17% 15% 13% 20% 26% 12% 7% 8%Cotton -2% 21% 20% 20% 19% 16% 19% 17% 23% 13% 15% 24% 19% 17% 22% 10% 16% 15% 12% 7% 5%

Live Cattle 5% 14% 13% 10% 10% 12% 10% 10% 14% 5% 10% 9% 8% 7% 4% 2% 6% 6% 7% 7% 28%Lean Hogs 6% 12% 10% 11% 8% 6% 5% 4% 6% 2% 4% 10% 8% 9% 5% 1% 3% 8% 8% 5% 28%

S&P 500 Total Return Index 2% 39% 37% 35% 33% 11% 17% 10% 22% 10% 12% 39% 30% 30% 29% -1% 13% 13% 12% 22% 12% 4%S&P Energy 13% 64% 62% 59% 54% 14% 18% 12% 27% 11% 15% 42% 33% 32% 31% 8% 21% 18% 15% 23% 11% 6%

S&P Financial 1% 34% 33% 30% 28% 9% 15% 8% 19% 10% 10% 38% 28% 28% 28% -6% 10% 13% 12% 20% 9% 3%S&P Health Care -1% 25% 24% 22% 20% 7% 12% 6% 15% 8% 7% 28% 22% 22% 21% -5% 7% 8% 9% 17% 11% 3%

S&P Consumer Discretionary -1% 31% 30% 28% 26% 10% 14% 9% 17% 9% 11% 34% 26% 25% 27% -7% 6% 10% 9% 19% 12% 3%S&P IT -2% 33% 32% 30% 29% 11% 16% 8% 20% 9% 10% 35% 28% 28% 27% -1% 11% 9% 10% 20% 13% 3%

S&P Utilities 4% 16% 15% 13% 12% 4% 5% 7% 7% 2% 8% 17% 9% 12% 9% 4% 6% 12% 5% 14% 6% 0%S&P Consumers Staples 1% 23% 22% 20% 18% 6% 11% 7% 14% 6% 8% 26% 18% 19% 19% 0% 9% 11% 6% 16% 11% 5%

S&P Industrials 1% 37% 35% 32% 31% 11% 17% 10% 21% 12% 12% 41% 31% 31% 29% -1% 13% 14% 11% 21% 11% 5%S&P Telecommunication 2% 24% 24% 23% 20% 6% 9% 6% 11% 5% 7% 23% 18% 18% 15% 1% 8% 10% 7% 14% 10% 4%

S&P Materials 4% 46% 44% 41% 39% 15% 20% 12% 25% 13% 15% 47% 35% 35% 33% 10% 23% 16% 15% 22% 12% 5%Bloomberg US Treasury -4% -30% -28% -26% -25% -8% -13% -8% -16% -9% -9% -26% -20% -16% -17% 20% 4% -3% -6% -10% -5% -5%

Bloomberg USD IG Corporate -3% -23% -21% -19% -18% -6% -8% -5% -11% -5% -6% -17% -13% -9% -10% 21% 9% 1% -2% -5% -2% -5%Bloomberg USD HY Corporate 0% 27% 29% 28% 22% 8% 14% 5% 17% 11% 7% 27% 23% 25% 23% 0% 13% 12% 11% 16% 10% 3%

Bloomberg U.S. Dollar Spot -7% -32% -28% -27% -25% -12% -17% -15% -18% -13% -16% -34% -27% -26% -21% -34% -34% -18% -22% -23% -4% -9%EURUSD 6% 20% 16% 16% 14% 9% 13% 15% 15% 9% 15% 34% 27% 25% 21% 35% 35% 15% 17% 20% -2% 7%JPYUSD -2% -8% -9% -8% -6% 4% -1% 5% -7% 4% 4% -6% -3% -4% -7% 35% 20% 3% 5% 0% -6% 0%CADUSD 5% 49% 47% 45% 40% 13% 21% 14% 29% 14% 13% 45% 36% 37% 32% 31% 38% 17% 24% 23% 10% 12%MXNUSD 5% 43% 41% 38% 36% 13% 22% 13% 25% 16% 14% 45% 38% 37% 35% 23% 32% 22% 23% 24% 10% 7%GBPUSD 3% 27% 25% 23% 22% 6% 13% 9% 15% 10% 10% 31% 25% 23% 20% 22% 27% 10% 16% 16% 7% 6%AUDUSD 3% 37% 35% 34% 31% 13% 23% 14% 27% 18% 15% 46% 35% 40% 33% 35% 40% 20% 24% 23% 10% 10%CHFUSD 3% 7% 5% 5% 4% 4% 4% 9% 10% 2% 9% 24% 21% 16% 14% 34% 28% 13% 9% 11% -6% 4%KRWUSD 3% 26% 23% 23% 21% 9% 17% 11% 20% 14% 11% 34% 28% 31% 27% 24% 28% 16% 20% 18% 5% 6%CNYUSD 4% 10% 9% 9% 6% 9% 8% 8% 10% 6% 9% 10% 9% 9% 12% 2% 5% 0% 10% 7% 3% 1%

Curr

ency

CORRELATION: BCOM Singles vs. Equities vs. Bond vs. Currency

5-Year

Com

mod

ities

Equi

ties

Bond

1-YearCo

mm

oditi

esEq

uitie

sBo

ndCu

rren

cy

17

All i

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Core

Food

Food

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Food

aw

ay fr

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hom

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Ener

gy

Ener

gy

Com

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Fuel

Oil

Mot

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Ener

gy se

rvic

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Elec

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Util

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as se

rvic

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Com

mod

ities

less

fo

od a

nd e

nerg

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Serv

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less

en

ergy

serv

ices

Shel

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Med

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car

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Tran

spor

tatio

n

Bloomberg Commodity 59% -6% -1% -1% -1% 63% 61% 66% 61% 17% -6% 35% -25% 15% 5% 10% 22%Energy 64% -14% -5% -4% -9% 74% 74% 76% 74% 15% -3% 29% -18% -2% -3% -2% 5%

Petroleum 70% -5% -10% -9% -9% 78% 78% 81% 78% 1% -4% 7% -10% 5% -9% 2% 11%Agriculture 23% -6% -1% -2% 4% 25% 23% 19% 23% 11% -16% 36% -34% 21% 10% 13% 29%

Grains 14% -6% 1% 0% 5% 15% 13% 10% 14% 6% -18% 31% -29% 17% 4% 16% 24%Industrial Metals 43% 9% -4% -3% -6% 41% 39% 45% 39% -3% 2% -5% -2% 14% 6% 9% 17%Precious Metals 23% 20% 15% 13% 16% 13% 8% 24% 8% 13% 8% 13% 4% 23% 10% 18% 15%

Softs 25% -7% 3% 2% 5% 28% 27% 22% 27% 21% -2% 35% -34% 19% 17% 2% 28%Livestock 20% 3% 22% 22% 6% 18% 15% 11% 15% 22% 2% 34% 7% 1% -8% 17% 2%

Natural Gas 13% -23% 11% 14% -5% 21% 20% 18% 19% 35% -1% 57% -21% -13% 11% -10% -6%WTI Crude 65% -5% -7% -7% -5% 73% 74% 74% 73% 4% -2% 9% -14% 7% -8% 7% 11%

Brent Crude 71% -4% -8% -7% -10% 78% 78% 82% 78% 3% -2% 8% -6% 2% -11% -1% 11%ULS Diesel 68% -8% -7% -7% -6% 75% 75% 85% 74% 3% -2% 9% -10% 0% -6% -2% 8%

Unleaded Gasoline 80% 2% -7% -5% -10% 85% 85% 77% 85% -6% -9% 2% -3% 8% -8% -4% 19%Corn 10% -4% 4% 2% 7% 9% 8% 9% 8% 6% -19% 31% -22% 14% 2% 14% 23%

Soybeans 26% -1% -10% -9% -5% 28% 27% 25% 27% 5% -12% 22% -28% 23% 10% 17% 26%Wheat 2% -14% 7% 5% 11% 4% 3% -7% 3% 6% -19% 32% -33% 9% -1% 11% 15%

Soybean Oil 27% 10% -11% -11% -2% 25% 23% 11% 24% 0% -13% 15% -7% 21% 0% -1% 37%Soybean Meal 23% -4% -5% -5% -3% 27% 27% 29% 27% 5% -9% 19% -33% 22% 16% 16% 18%HRW Wheat 7% -14% 12% 11% 11% 8% 6% -1% 6% 17% -11% 40% -24% 4% -11% 8% 17%

Copper 43% 10% -8% -7% -5% 42% 40% 46% 40% -5% 6% -13% 8% 9% -3% 10% 11%Alumnium 33% 1% -6% -7% 1% 32% 31% 32% 31% -13% -12% -6% -9% 8% 15% 1% 10%

Zinc 36% 11% -13% -10% -15% 34% 32% 41% 32% 3% 9% -4% -4% 18% 11% 12% 18%Nickel 34% 6% 20% 22% -5% 31% 29% 34% 29% 14% 8% 17% -12% 20% 5% 8% 24%Gold 17% 21% 22% 18% 21% 6% 1% 18% 1% 13% 7% 14% 11% 19% 6% 18% 13%Silver 32% 15% 2% 1% 5% 25% 20% 32% 20% 12% 9% 10% -9% 27% 16% 15% 16%Sugar 16% 8% -3% -5% 6% 17% 18% 14% 18% 5% -1% 9% -9% 18% 5% 9% 28%Coffee 17% -12% 27% 26% 13% 17% 13% 9% 13% 35% 6% 50% -30% 8% 21% -7% 10%Cotton 22% -16% -24% -22% -20% 27% 26% 28% 26% 4% -12% 21% -36% 10% 10% 0% 17%

Live Cattle 22% -7% 16% 17% 2% 23% 21% 20% 21% 13% 14% 7% 6% -12% -13% 10% -5%Lean Hogs 11% 11% 21% 21% 7% 7% 4% 0% 4% 22% -7% 44% 7% 10% -3% 17% 5%

S&P 500 Total Return Index 29% -40% -31% -29% -23% 44% 43% 37% 44% 5% 7% 0% -34% -23% -11% -11% -13%Bloomberg US Treasury -38% 11% 30% 25% 32% -45% -45% -35% -45% 9% 7% 6% 21% -5% -6% 8% -6%

Bloomberg USD IG Corporate -2% -7% 8% 3% 21% 1% 0% 11% 0% 13% 4% 17% 3% -11% -4% -6% -4%Bloomberg USD HY Corporate 41% -18% -24% -24% -7% 53% 55% 60% 55% 5% -4% 13% -14% -10% -10% -12% 0%

Bloomberg U.S. Dollar Spot -49% -8% 0% 0% -1% -48% -45% -42% -45% -10% 1% -18% 4% -13% -2% 8% -24%

All i

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Core

Food

Food

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Food

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Ener

gy

Ener

gy

Com

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Fuel

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Mot

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Ener

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Util

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as se

rvic

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Com

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ities

less

fo

od a

nd e

nerg

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Serv

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less

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serv

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Shel

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Bloomberg Commodity 68% 6% 4% 7% -13% 69% 67% 67% 66% 30% -3% 40% 0% 9% 1% 9% 20%Energy 68% 1% 9% 13% -10% 72% 70% 69% 69% 37% -2% 48% -2% 5% -1% 3% 14%

Petroleum 72% 4% 8% 10% -7% 75% 76% 72% 75% 22% 1% 29% 2% 7% -1% 5% 17%Agriculture 29% 8% -2% -1% -7% 27% 27% 25% 26% 4% -4% 10% -1% 10% 7% 9% 15%

Grains 23% 7% 1% 2% -3% 20% 20% 20% 20% 1% -3% 5% -2% 10% 9% 9% 10%Industrial Metals 43% 7% -8% -6% -14% 44% 44% 43% 44% 11% 0% 14% 4% 6% -1% 8% 11%Precious Metals 30% 5% 0% 0% 0% 28% 26% 28% 26% 11% 6% 11% 4% 5% -6% 14% 16%

Softs 26% 3% -8% -6% -14% 28% 27% 21% 27% 10% -3% 15% 2% 1% -4% 5% 20%Livestock 15% -4% 17% 20% -9% 13% 10% 9% 10% 16% 9% 16% -12% 7% 5% 9% 2%

Natural Gas 36% -6% 7% 12% -12% 39% 33% 37% 32% 47% -5% 61% -4% -2% -2% -6% 2%WTI Crude 67% 5% 9% 11% -6% 70% 71% 68% 70% 21% 3% 27% 0% 9% 1% 7% 17%

Brent Crude 70% 6% 9% 11% -7% 72% 74% 70% 73% 18% 2% 23% 3% 7% 0% 4% 16%ULS Diesel 69% 2% 11% 13% -4% 72% 72% 77% 71% 26% 2% 33% 1% 4% -4% 2% 18%

Unleaded Gasoline 79% 4% 4% 7% -11% 82% 84% 67% 83% 20% -4% 28% 5% 3% -4% 0% 16%Corn 22% 5% 4% 5% -3% 19% 18% 19% 18% 3% -4% 9% 3% 4% 5% 1% 7%

Soybeans 22% 7% -4% -3% -9% 20% 21% 21% 20% 0% 0% 2% -3% 12% 9% 8% 15%Wheat 15% 7% 1% 0% 4% 13% 13% 9% 13% 0% -6% 4% -5% 11% 11% 14% 2%

Soybean Oil 30% 14% -2% -1% -6% 25% 24% 23% 24% 4% -3% 8% 4% 16% 10% 10% 16%Soybean Meal 17% 4% -3% -2% -6% 17% 18% 18% 17% 0% 4% 0% -5% 8% 6% 5% 14%HRW Wheat 22% 7% 1% 0% 3% 21% 20% 15% 20% 6% -1% 9% 1% 7% 8% 15% 1%

Copper 43% 10% -10% -8% -11% 43% 43% 40% 43% 8% -1% 10% 10% 5% -4% 9% 13%Alumnium 41% 5% 0% 3% -9% 41% 40% 44% 39% 19% 2% 23% 1% 6% 3% 3% 9%

Zinc 24% 6% -20% -19% -16% 26% 27% 22% 27% 0% -1% 1% 7% 3% 1% 3% 3%Nickel 32% -4% -4% 1% -18% 36% 37% 31% 37% 4% -2% 8% -10% 4% -3% 11% 8%Gold 28% 4% 5% 4% 5% 25% 23% 25% 23% 12% 10% 10% 2% 5% -6% 13% 15%Silver 29% 6% -7% -6% -7% 27% 26% 27% 25% 9% 1% 11% 5% 3% -4% 12% 13%Sugar 18% 7% -11% -10% -5% 18% 17% 13% 17% 11% 4% 13% 10% 1% -4% 5% 14%Coffee 13% 5% 1% 3% -8% 13% 13% 8% 13% 3% 0% 5% 2% -1% 1% -4% 4%Cotton 28% -7% -6% -2% -18% 30% 30% 32% 30% 7% -8% 12% -1% -6% -10% 1% 20%

Live Cattle 21% -7% 19% 23% -9% 20% 17% 13% 17% 17% 13% 13% -15% 8% 8% 9% 1%Lean Hogs 4% -3% 10% 12% -7% 3% 0% 3% 0% 11% 4% 13% -8% 3% -1% 8% 1%

CORRELATION: US CPI vs. BCOM Indices & Other Benchmarks

20-Year

US CPI Indices

BCO

M C

ompo

sites

BCO

M S

ingl

esUS CPI Indices

5-Year

BCO

M C

ompo

sites

BCO

M S

ingl

esBe

nchm

arks

18

CORRELATION: World CPI vs. BCOM Indices & Other Benchmarks

US

Chin

a

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n

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man

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UK

Fran

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Braz

il

Italy

Cana

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Sout

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rea

Aust

ralia

Mex

ico

Spai

n

Russ

ia

Indo

nesi

a

Turk

ey

Net

herla

nds

Switz

erla

nd

Bloomberg Commodity 59% 63% 12% 64% 74% 54% 42% -57% 44% 50% 63% 82% 53% 60% -51% -14% -11% 57% 84%Energy 64% 42% 27% 65% 69% 47% 53% -74% 36% 28% 41% 78% 71% 50% -66% 8% 10% 60% 81%

Petroleum 70% 54% 10% 84% 83% 71% 64% -83% 62% 35% 58% 71% 70% 68% -78% -10% 22% 73% 71%Agriculture 23% 53% -23% 42% 52% 41% 31% -22% 39% 38% 53% 46% 21% 55% -32% -37% -36% 38% 57%

Grains 14% 37% -43% 47% 47% 46% 43% -26% 51% 13% 42% 24% 28% 66% -29% -42% -36% 49% 34%Industrial Metals 43% 37% 41% 27% 36% 16% 14% -37% 7% 36% 34% 61% 35% 26% -7% 9% -18% 26% 74%Precious Metals 23% 68% -32% 39% 53% 54% 2% 2% 52% 68% 79% 37% -9% 49% -14% -60% -6% 30% 16%

Softs 25% 63% 19% 17% 40% 19% -5% -4% 6% 72% 55% 63% -2% 12% -23% -15% -15% 2% 69%Livestock 20% 20% 66% 23% 32% 16% 1% -55% 3% 42% 24% 61% 52% 3% -40% 21% 28% 7% 69%

Natural Gas 13% 3% 51% -2% 12% -22% 8% -23% -34% 5% -11% 60% 35% -13% -15% 43% -11% 6% 63%WTI Crude 65% 47% 22% 76% 75% 62% 58% -84% 51% 32% 50% 70% 71% 57% -75% 2% 26% 64% 73%

Brent Crude 71% 65% 4% 87% 89% 76% 63% -79% 67% 44% 69% 76% 64% 73% -77% -16% 18% 74% 71%ULS Diesel 68% 68% 0% 90% 92% 81% 62% -78% 72% 45% 73% 78% 63% 78% -68% -13% 14% 79% 68%

Unleaded Gasoline 80% 65% -15% 91% 91% 81% 69% -71% 76% 40% 72% 68% 59% 84% -77% -33% 13% 84% 61%Corn 10% 51% -61% 51% 55% 55% 38% -12% 60% 24% 57% 25% 15% 72% -20% -53% -35% 56% 19%

Soybeans 26% 32% -11% 48% 47% 40% 50% -48% 39% 13% 32% 34% 42% 53% -51% -21% -26% 42% 62%Wheat 2% -13% -34% 3% -1% -1% 22% 1% 10% -27% -8% -11% 13% 29% 4% -24% -45% 16% 8%

Soybean Oil 27% 71% -52% 42% 53% 47% 26% 5% 48% 47% 68% 32% -12% 56% -24% -49% -33% 39% 30%Soybean Meal 23% -1% 6% 30% 21% 22% 37% -51% 24% -8% 4% 12% 48% 35% -35% -8% -20% 24% 46%HRW Wheat 7% 28% -7% 37% 42% 30% 37% -35% 31% 13% 32% 45% 42% 52% -20% -18% -35% 42% 55%

Copper 43% 55% 13% 51% 55% 39% 35% -44% 33% 35% 51% 64% 38% 53% -21% -1% -23% 50% 70%Alumnium 33% 35% 35% 7% 22% 2% -6% -12% -6% 39% 29% 49% 11% 10% 14% 6% -23% 8% 58%

Zinc 36% 6% 56% 3% 7% -10% 1% -34% -18% 13% 3% 39% 35% 1% 3% 23% -14% 4% 63%Nickel 34% 18% 65% 20% 30% 9% 13% -50% 0% 32% 22% 62% 50% 13% -17% 14% 2% 16% 74%Gold 17% 63% -32% 39% 52% 57% 0% -2% 56% 67% 78% 30% -6% 48% -18% -65% 5% 28% 7%Silver 32% 70% -27% 33% 49% 42% 3% 10% 39% 65% 74% 47% -15% 45% -5% -49% -24% 28% 30%Sugar 16% 74% -21% 40% 55% 46% 21% -11% 40% 61% 69% 42% -6% 36% -46% -44% -9% 23% 44%Coffee 17% 31% 57% -1% 19% 3% -32% -13% -12% 68% 34% 60% 17% -9% -6% 2% 8% -16% 62%Cotton 22% 42% -5% 0% 17% -11% 10% 24% -19% 21% 16% 50% -21% 6% 13% 30% -53% 9% 52%

Live Cattle 22% 1% 71% 1% 5% 1% -28% -33% -8% 34% 8% 38% 39% -11% 12% 30% 23% -11% 36%Lean Hogs 11% 29% 33% 33% 44% 24% 28% -52% 13% 31% 28% 55% 42% 15% -72% 0% 20% 21% 70%

S&P 500 Total Return Index 29% -2% 41% 26% 19% 3% 40% -59% -3% -20% -11% 36% 58% 16% -14% 49% -15% 29% 62%Bloomberg US Treasury -38% 40% 3% 1% 18% 14% -17% 6% 13% 46% 38% 22% -4% 0% -2% -21% -18% -15% 17%

Bloomberg USD IG Corporate -2% 17% 2% 10% 13% 20% -6% -21% 18% 25% 24% 6% 18% 3% -29% -36% -1% -15% 18%Bloomberg USD HY Corporate 41% -4% -14% 19% 10% 19% 16% -33% 16% -14% 0% -9% 23% 12% -37% -25% 6% 7% 7%

Bloomberg U.S. Dollar Spot -49% -71% 4% -56% -69% -50% -37% 37% -39% -56% -68% -73% -26% -50% 65% 31% 5% -46% -75%

US

Chin

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Japa

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UK

Fran

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Indi

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Cana

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Sout

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Aust

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Mex

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Russ

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Turk

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Switz

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Bloomberg Commodity 78% 46% 2% 54% 18% 69% -33% 24% 65% 21% 35% 8% -13% 6% 67%Energy 75% 31% 8% 48% 3% 62% -41% 37% 66% 20% 38% 23% 1% 22% 68%

Petroleum 80% 42% 5% 56% 16% 71% -36% 28% 64% 17% 35% 17% -3% 12% 70%Agriculture 47% 64% 9% 50% 39% 55% 0% 10% 38% 29% 14% -6% -31% -12% 34%

Grains 42% 63% 6% 52% 34% 54% -3% 8% 32% 20% 14% -8% -25% -13% 28%Industrial Metals 50% 18% -5% 23% 9% 34% -23% -10% 32% -8% 13% -12% -11% -12% 42%Precious Metals 41% 31% -31% 28% 41% 51% 0% -10% 30% 19% 23% -30% -19% -31% 36%

Softs 33% 35% 7% 21% 33% 32% 6% 14% 37% 35% 7% 9% -25% 2% 30%Livestock 38% 35% 21% 30% -1% 27% -35% 22% 35% 0% 15% 9% -19% 7% 19%

Natural Gas 53% 16% 27% 25% -14% 32% -36% 38% 53% 25% 26% 31% 4% 28% 46%WTI Crude 78% 41% 9% 54% 14% 70% -37% 28% 63% 16% 34% 20% 2% 14% 72%

Brent Crude 81% 40% -1% 58% 22% 72% -34% 20% 64% 16% 35% 16% 0% 12% 72%ULS Diesel 81% 48% 3% 59% 21% 74% -36% 31% 67% 18% 40% 10% -9% 4% 70%

Unleaded Gasoline 77% 40% -6% 54% 17% 68% -30% 26% 64% 17% 30% 10% -10% 9% 61%Corn 40% 60% 6% 48% 47% 47% 6% 4% 32% 21% 17% -1% -18% -9% 18%

Soybeans 34% 57% 8% 44% 25% 51% -2% 15% 25% 23% 6% -11% -32% -15% 26%Wheat 38% 52% 2% 45% 14% 45% -18% 4% 29% 0% 19% -19% -18% -20% 29%

Soybean Oil 48% 54% 1% 49% 29% 60% -1% 1% 34% 36% 16% -20% -29% -16% 36%Soybean Meal 22% 45% 2% 37% 13% 40% -16% 15% 19% 0% 15% -16% -34% -19% 22%HRW Wheat 54% 54% 12% 54% 28% 53% -16% -2% 42% 14% 25% -7% -14% -13% 44%

Copper 53% 25% -6% 29% 15% 41% -18% -12% 30% -3% 15% -15% -16% -19% 44%Alumnium 61% 21% 5% 33% 9% 44% -29% -4% 47% 3% 20% -11% -6% -2% 54%

Zinc 23% -1% -1% -3% -3% 0% -12% -16% 5% -19% -8% -2% -9% -7% 11%Nickel 28% 0% -18% 5% -3% 19% -30% -1% 27% -21% 11% -12% -1% -7% 28%Gold 39% 31% -33% 28% 40% 54% -4% -2% 33% 8% 32% -38% -20% -39% 37%Silver 39% 28% -21% 24% 36% 39% 2% -17% 25% 29% 9% -16% -14% -14% 31%Sugar 41% 17% -18% 20% 18% 39% -10% 28% 42% 25% 34% 0% -26% -1% 36%Coffee 21% 33% 41% 13% 28% 9% 6% -2% 16% 28% -29% 30% -9% 13% 20%Cotton 19% 37% -1% 3% 29% 14% 19% 10% 26% 5% 7% -7% -11% -18% 11%

Live Cattle 31% 29% 24% 20% -9% 26% -42% 26% 38% -2% 8% 2% -11% 0% 16%Lean Hogs 33% 32% 11% 31% 7% 22% -22% 16% 25% 0% 20% 7% -30% 8% 16%

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CORRELATION: World GDP vs. BCOM Indices & Other Benchmarks

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Bloomberg Commodity 32% 83% -10% -25% -5% -24% 75% 57% -33% 63% -2% 12% 12% -55% 71% 23% -21% -70% 30%Energy 34% 60% -8% -19% 23% -23% 54% 62% -40% 65% 6% -13% 2% -51% 65% 15% -23% -74% 45%

Petroleum 37% 71% -19% -30% 21% -36% 70% 70% -57% 60% -10% -7% 17% -72% 79% 18% -36% -89% 39%Agriculture 5% 72% -15% -23% -18% -16% 66% 51% -19% 46% -2% 32% 2% -49% 60% 18% -10% -46% 15%

Grains -9% 63% -19% -36% -14% -16% 57% 55% -30% 38% -4% 19% -3% -62% 55% 17% -7% -50% 15%Industrial Metals 39% 62% -1% -21% -17% -11% 48% 24% -1% 37% -11% -10% 20% -19% 30% 25% -12% -42% 17%Precious Metals 18% 71% -1% -18% -33% -18% 68% 19% -33% 20% -29% 47% 31% -45% 52% 14% -15% -37% -14%

Softs 28% 66% -2% 8% -21% -9% 63% 28% 5% 42% -2% 49% 15% -13% 50% 13% -14% -25% 10%Livestock 40% 28% -2% -6% 27% -14% 24% 26% -18% 40% -12% -13% 16% -8% 28% 12% -32% -37% 30%

Natural Gas 19% 11% 22% 17% 13% 14% -1% 16% 12% 44% 41% -17% -27% 17% 10% 4% 14% -10% 34%WTI Crude 38% 64% -16% -23% 26% -33% 63% 66% -49% 57% -8% -10% 16% -62% 72% 17% -36% -83% 40%

Brent Crude 38% 79% -17% -31% 13% -37% 78% 68% -60% 62% -9% 3% 21% -75% 85% 17% -34% -90% 34%ULS Diesel 39% 85% -16% -34% 7% -38% 83% 64% -61% 63% -8% 2% 25% -77% 86% 22% -30% -93% 33%

Unleaded Gasoline 29% 81% -20% -38% 10% -35% 80% 72% -65% 62% -14% 4% 20% -85% 88% 17% -32% -90% 32%Corn -9% 71% -11% -28% -28% -11% 65% 50% -34% 31% -6% 32% 1% -64% 58% 16% 2% -50% 9%

Soybeans 3% 55% -20% -34% 8% -29% 52% 59% -28% 51% 2% 7% -2% -56% 59% 18% -19% -54% 19%Wheat -27% 24% -27% -32% -11% 3% 15% 34% 3% 17% 1% -2% -24% -29% 11% 10% 3% -14% 18%

Soybean Oil 4% 75% -12% -11% -35% -12% 75% 41% -17% 34% -9% 54% 18% -48% 62% 17% -4% -37% -1%Soybean Meal -3% 25% -23% -43% 19% -31% 21% 43% -23% 35% -1% -21% -6% -41% 31% 17% -19% -40% 17%HRW Wheat 5% 66% -20% -36% -12% -9% 54% 51% -15% 44% 0% 5% -5% -47% 47% 19% -11% -52% 28%

Copper 33% 80% -11% -31% -23% -22% 68% 38% -16% 51% -9% -1% 29% -44% 52% 30% -13% -59% 19%Alumnium 36% 55% 11% -3% -30% 0% 42% 9% 15% 19% -12% 7% 14% -2% 14% 18% -5% -23% 5%

Zinc 34% 25% 4% -13% -3% -9% 10% 6% 14% 23% -12% -37% 8% 8% -5% 23% -4% -18% 15%Nickel 41% 40% -2% -24% 8% -6% 29% 23% -7% 32% -10% -28% 9% -12% 22% 18% -22% -41% 23%Gold 15% 63% 0% -19% -28% -19% 62% 18% -43% 12% -37% 44% 32% -48% 49% 12% -17% -37% -17%Silver 21% 76% -4% -17% -40% -14% 71% 19% -15% 30% -15% 46% 27% -36% 51% 16% -11% -33% -7%Sugar 18% 67% -8% 0% -18% -22% 72% 40% -23% 36% -9% 59% 21% -43% 68% 10% -21% -38% -2%Coffee 34% 44% 4% 7% -11% -4% 37% 11% 7% 27% -12% 22% 13% 8% 22% 13% -16% -16% 13%Cotton 15% 56% -3% 11% -27% 8% 51% 19% 35% 50% 36% 35% -2% 4% 36% 16% 13% -9% 18%

Live Cattle 34% 16% 1% -5% 0% -2% 8% -7% 1% 6% -22% -24% 23% 14% -8% 20% -13% -18% 16%Lean Hogs 26% 26% -3% -3% 41% -19% 29% 48% -29% 54% 1% 4% 1% -27% 49% -3% -36% -39% 29%

S&P 500 Total Return Index 24% 25% -9% -10% 17% -10% 17% 33% 7% 32% 22% -41% -15% -13% 16% 21% -7% -44% 41%Bloomberg US Treasury -10% 35% 16% 10% -27% 24% 38% 8% -8% -2% -11% 59% 26% -8% 28% 0% 2% -8% -24%

Bloomberg USD IG Corporate -4% 21% -4% -2% 4% -15% 27% 22% -20% -10% -15% 46% -11% -27% 25% -11% -37% -22% -14%Bloomberg USD HY Corporate 23% 5% -24% -12% 25% -51% 8% 22% -27% 4% -13% -3% -43% -32% 14% -6% -32% -27% 9%

Bloomberg U.S. Dollar Spot -32% -75% 12% 14% 2% 27% -74% -55% 31% -65% 0% -34% -13% 52% -76% -11% 31% 56% -22%

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Bloomberg Commodity 42% 47% 13% 30% 34% 33% 53% 4% -2% 39% 33% 37%Energy 37% 15% 7% 10% 27% 20% 38% 4% -8% 23% 33% 21%

Petroleum 38% 28% 8% 14% 28% 19% 44% 7% -6% 28% 25% 29%Agriculture 12% 49% 4% 24% 15% 13% 38% -13% 0% 30% -2% 16%

Grains 6% 42% 2% 16% 10% 9% 31% -11% 2% 22% -6% 9%Industrial Metals 47% 66% 26% 49% 40% 50% 51% 15% 5% 47% 42% 60%Precious Metals 10% 65% 1% 23% 7% 11% 31% 6% 2% 22% -9% 21%

Softs 19% 35% 4% 30% 18% 21% 35% -11% -3% 34% 4% 21%Livestock 45% 14% 21% 28% 37% 32% 24% 6% 11% 32% 32% 35%

Natural Gas 29% -6% 5% 3% 16% 17% 18% -12% -11% 12% 38% 8%WTI Crude 39% 27% 8% 13% 27% 19% 43% 9% -5% 26% 28% 28%

Brent Crude 38% 32% 6% 16% 28% 21% 49% 11% -4% 29% 22% 33%ULS Diesel 34% 29% 6% 12% 24% 14% 40% 3% -10% 26% 19% 26%

Unleaded Gasoline 40% 27% 11% 19% 31% 26% 50% 4% -7% 34% 20% 32%Corn 0% 26% -2% 11% -5% 2% 18% -17% 0% 16% -17% -2%

Soybeans 10% 39% 3% 9% 15% 8% 36% -10% 3% 26% -6% 11%Wheat 5% 48% 7% 27% 19% 11% 31% -3% -5% 16% 9% 16%

Soybean Oil 11% 56% -1% 14% 13% 12% 32% -14% 9% 18% 8% 13%Soybean Meal -1% 25% 3% 8% 8% 5% 30% -2% -8% 22% -14% 13%HRW Wheat 13% 54% 4% 29% 22% 14% 35% -4% -9% 22% 12% 20%

Copper 41% 68% 22% 45% 35% 42% 50% 13% 1% 47% 32% 54%Alumnium 46% 51% 19% 42% 34% 47% 43% 6% 5% 38% 47% 53%

Zinc 47% 53% 35% 54% 38% 52% 40% 12% 5% 52% 41% 61%Nickel 46% 56% 29% 43% 44% 51% 53% 28% 9% 40% 42% 55%Gold 1% 64% 1% 14% 4% -3% 23% 13% -3% 13% -16% 13%Silver 23% 58% 0% 34% 12% 32% 40% -3% 8% 33% 6% 33%Sugar 9% 24% 1% 17% 7% 4% 18% -10% -18% 18% -1% 8%Coffee 25% 27% 4% 18% 14% 24% 26% -10% 13% 37% 11% 31%Cotton 16% 25% 11% 37% 18% 27% 40% 2% -9% 30% 0% 22%

Live Cattle 46% 20% 17% 26% 35% 39% 28% 8% 14% 34% 38% 38%Lean Hogs 33% 7% 21% 21% 31% 17% 13% 2% 6% 21% 17% 25%

20-Year

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COMMITMENT OF TRADERS: Commodity Futures & Options, Money ManagersCOT <GO> * Click hyperlinks to open in Bloomberg

Group Commodity End-Jul Net Position

End-Jun Net Position

Notional Change ($m) using end-

Jul price

End-Jul Notional ($m)

Natural Gas -43,044 -30,520 -360 -1,238 WTI Crude 120,556 213,075 -3,849 5,015

Brent Crude 297,608 362,765 -2,767 12,636 ULS Diesel 12,742 16,528 -208 700 Gasoline -5,078 7,012 -670 -281

Total -7,853 16,832 Corn -65,538 224,827 -4,856 -1,096

Soybeans 121,689 200,789 -4,084 6,282 Wheat -130,184 -63,288 -1,364 -2,654

Soybean Oil -17,218 34,840 -948 -314 Soybean Meal 56,436 65,870 -330 1,975 HRW Wheat -29,268 -3,989 -518 -600

Total -12,100 3,594 Copper 29,328 -27,762 3,171 1,629

Aluminum 125,090 123,597 60 5,000 Zinc 78,260 64,960 732 4,310

Nickel 60,972 41,924 1,219 3,900 Total 5,181 14,840 Gold 256,930 256,898 4 34,660 Silver 96,581 75,155 2,180 9,826 Total 2,184 44,486 Sugar 249,512 261,646 -259 5,324 Coffee 34,412 27,475 380 1,887 Cotton 67,524 35,322 1,194 2,504 Total 1,315 9,714

Live Cattle 28,306 18,570 440 1,280Lean Hogs 45,620 68,795 -639 1,259

Total -199 2,539Total -11,471 92,004

HISTORICAL CORRELATION: BCOM Indices vs. Money Manager Positions

1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 17% 23% -33% -35% 41% 45% WTI Crude 10% 29% -54% -49% 57% 52%

Brent Crude 28% 31% -49% -41% 45% 41% ULS Diesel -13% 23% -58% -36% 50% 42% Gasoline 31% 33% -54% -20% 57% 42%

Corn 60% 56% -49% -50% 59% 63% Soybeans 56% 64% -55% -56% 69% 71%

Wheat 72% 53% -68% -62% 75% 67% Soybean Oil 41% 53% -63% -61% 71% 68%

Soybean Meal 60% 54% -68% -46% 78% 63% HRW Wheat 6% 21% -48% 51% 51%

Copper 39% 47% -59% -54% 61% 58% Aluminum 17% -27% 42%

Zinc 38% -34% 71% Nickel 24% -44% 60% Gold 84% 64% -55% -52% 82% 67% Silver 57% 55% -51% -47% 64% 60% Sugar 54% 49% -70% -61% 68% 64% Coffee 67% 48% -69% -65% 77% 66% Cotton 63% 56% -51% -51% 69% 62%

Live Cattle 30% 22% -13% -5% 30% 18%Lean Hogs -3% 14% 4% -14% -6% 13%

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Softs

Grains

Industrial Metals

Precious Metals

Softs

Livestock

CommodityLong Position Short Position Net Position

Energy

Group

21

Gasoline Corn

COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM LevelsNatural Gas WTI Crude

Brent Crude ULS Diesel

Soybeans Wheat

Soybean Oil Soybean Meal

HRW Wheat

0

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40

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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200000

300000

400000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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200

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0200004000060000

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Money Manager's Net Position Index Level

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20000400006000080000

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

050100150200250300

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COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM LevelsCopper Aluminum

Zinc Nickel

Gold Silver

Sugar Coffee

Cotton Live Cattle

Lean Hogs

020040060080010001200

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020000400006000080000

100000120000

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020040060080010001200

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06 07 08 09 10 11 12 13 14 15 16

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

020406080100120

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020000400006000080000

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Money Manager's Net Position Index Level

020406080100120

-40000-20000

020000400006000080000

100000

06 07 08 09 10 11 12 13 14 15 16

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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COMMODITY INVENTORY & SALESECO17 <GO> * Click hyperlinks to open in Bloomberg

Group Inventory/Sales Ticker Unit End-Jul End-Jun Change (%)

DOE Natural Gas Total Inventory DOENUST1 bcf 3,294 3,140 5%DOE Crude Oil Total Inventory DOESCRUD mm barrels 521 527 -1%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 65 64 2%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 152 151 1%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 241 239 1%USDA Corn Total Export Sales SALECNUM thousand MT 915 1,005 -9%USDA Soybeans Total Export Sales SALESYBN thousand MT 677 1,528 -56%USDA All Wheat Total Export Sales SALEWEAL thousand MT 506 645 -22%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 7 62 -90%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 154 160 -3%Comex Copper Total Inventory COMXCOPR thousand short ton 65 62 5%LME Copper Total Inventory NLSCA thousand MT 209 192 9%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,303 2,388 -4%LME Zinc Total Inventory NLSZS thousand MT 433 443 -2%LME Nickel Total Inventory NLSNI thousand MT 373 379 -2%Comex Gold Total Inventory COMXGOLD mm ounces 11 9 15%Comex Silver Total Inventory COMXSILV mm ounces 154 151 2%

Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 235 197 19%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 22 113 -81%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 94 427 -78%

HISTORICAL CORRELATION: Inventory & Sales vs. BCOM Indices

Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory 45% 1%DOE Crude Oil Total Inventory -66% -92%DOE Cushing Oklahoma Crude Oil Total Stocks -84% -76%DOE Distillate Fuel Oil Total Inventory -78% -66%DOE Motor Gasoline Total Inventory -90% -51%USDA Corn Total Export Sales -4% -37%USDA Soybeans Total Export Sales 6% -5%USDA All Wheat Total Export Sales -16% 17%USDA Soybean Oil Total Export Sales -22% -13%USDA Soybean Cake Meal Total Export Sales 10% 9%Comex Copper Total Inventory -75% 29%LME Copper Total Inventory 59% 32%LME Primary Aluminum Total Inventory 10% 64%LME Zinc Total Inventory -47% 37%LME Nickel Total Inventory 19% -76%Comex Gold Total Inventory 71% 90%Comex Silver Total Inventory -52% -79%

Softs USDA All Upland Cotton Total Export Sales -9% -12%USDA Cattle Slaughter Estimates Daily -16% -23%USDA Hogs Slaughter Estimates Daily 18% -17%

BCOM Index

BCOM WTI Crude IndexBCOM WTI Crude IndexBCOM ULS Diesel Index

BCOM Silver IndexBCOM Gold Index

BCOM Cotton IndexBCOM Live Cattle IndexBCOM Lean Hogs Index

BCOM Natural Gas Index

BCOM Unleaded Gasoline Index

BCOM Copper IndexBCOM Copper IndexBCOM Alumnium IndexBCOM Zinc IndexBCOM Nickel Index

BCOM Corn IndexBCOM Soybeans IndexBCOM Wheat IndexBCOM Soybean Oil IndexBCOM Soybean Meal Index

Livestock

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Energy

Grains

Industrial Metals

Precious Metals

24

Soybeans Wheat

Soybean Oil Soybean Meal

COMMODITY INVENTORY & SALES vs. BCOM INDICESNatural Gas WTI Crude

WTI Crude ULS Diesel

Gasoline Corn

0

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100

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1000150020002500300035004000

93 95 97 99 01 03 05 07 09 11 13 15

DOE Natural Gas Total Inventory BCOM Natural Gas Index

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450000

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91 93 95 97 99 01 03 05 07 09 11 13 15

DOE Crude Oil Total Inventory BCOM WTI Crude Index

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04 05 06 07 08 09 10 11 12 13 14 15 16

DOE Cushing Oklahoma Crude Oil Total Stocks BCOM WTI Crude Index

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80000

100000

120000

140000

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180000

91 93 95 97 99 01 03 05 07 09 11 13 15

DOE Distillate Fuel Oil Total Inventory BCOM ULS Diesel Index

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150000

170000

190000

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91 93 95 97 99 01 03 05 07 09 11 13 15

DOE Motor Gasoline Total Inventory BCOM Unleaded Gasoline Index

020406080100120140160

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91 93 95 97 99 01 03 05 07 09 11 13 15

USDA Corn Total Export Sales BCOM Corn Index

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91 93 95 97 99 01 03 05 07 09 11 13 15

USDA Soybeans Total Export Sales BCOM Soybeans Index

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91 93 95 97 99 01 03 05 07 09 11 13 15

USDA All Wheat Total Export Sales BCOM Wheat Index

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07 08 09 10 11 12 13 14 15 16

USDA Soybean Oil Total Export Sales BCOM Soybean Oil Index

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07 08 09 10 11 12 13 14 15 16

USDA Soybean Cake Meal Total Export Sales BCOM Soybean Meal Index

25

Silver Cotton

Live Cattle Lean Hogs

COMMODITY INVENTORY & SALES vs. BCOM INDICESCopper Copper

Aluminum Zinc

Nickel Gold

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92 94 96 98 00 02 04 06 08 10 12 14

Comex Copper Total Inventory BCOM Copper Index

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600000

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91 93 95 97 99 01 03 05 07 09 11 13 15

LME Copper Total Inventory BCOM Copper Index

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1000000

2000000

3000000

4000000

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6000000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Primary Aluminum Total Inventory BCOM Alumnium Index

050100150200250300350400

0

200000

400000

600000

800000

1000000

1200000

1400000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Zinc Total Inventory BCOM Zinc Index

0

200

400

600

800

1000

1200

0

100000

200000

300000

400000

500000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Nickel Total Inventory BCOM Nickel Index

0

100

200

300

400

500

0

2000000

4000000

6000000

8000000

10000000

12000000

14000000

92 94 96 98 00 02 04 06 08 10 12 14

Comex Gold Total Inventory BCOM Gold Index

0

200

400

600

800

1000

0

50000

100000

150000

200000

250000

300000

92 94 96 98 00 02 04 06 08 10 12 14

Comex Silver Total Inventory BCOM Silver Index

0

20

40

60

80

100

120

-200

0

200

400

600

800

1000

07 08 09 10 11 12 13 14 15 16

USDA All Upland Cotton Total Export Sales BCOM Cotton Index

0

50

100

150

200

250

0

20000

40000

60000

80000

100000

120000

140000

99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15

USDA Cattle Slaughter Estimates Daily BCOM Live Cattle Index

0

20

40

60

80

100

0

100000

200000

300000

400000

500000

99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15

USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index

26

COMMODITY FUND FLOWS FOR US-LISTED ETPsXLTP XETFM <GO>

Report Period: 30 Jun 2016 - 29 Jul 2016

Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

243.5 7,152.2 3.4%640.7 9,189.5 7.0%23.9 1,600.7 1.5%1.1 19.4 5.6%

62.5 197.6 31.6%1,425.7 59,261.0 2.4%2,397.3 77,420.4 3.1%

Top 10 Creations * Click hyperlinks to open in Bloomberg

Name Ticker Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

iShares Gold Trust IAU US 641.5 8,625.8 7.4%VelocityShares 3x Long Crude ETN UWTI US 487.8 1,290.2 37.8%

iShares Silver Trust SLV US 329.8 6,093.4 5.4%SPDR Gold Shares GLD US 208.3 40,243.6 0.5%

ProShares Ultra Bloomberg Crude Oil UCO US 132.3 934.6 14.2%PowerShares DB Precious Metals Fund DBP US 101.4 219.1 46.3%

United States Oil Fund LP USO US 95.8 3,482.8 2.8%PowerShares DB Commodity Index Tracking Fund DBC US 81.8 2,606.3 3.1%

PowerShares DB Silver Fund DBS US 69.8 23.1 301.7%iShares S&P GSCI Commodity Indexed Trust GSG US 64.2 937.5 6.8%

Top 10 Redemptions

Name Ticker Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

VelocityShares 3x Inverse Crude ETN DWTI US -62.5 295.8 -21.1%United States Natural Gas Fund LP UNG US -30.2 578.7 -5.2%PowerShares DB Agriculture Fund DBA US -21.7 878.7 -2.5%

ProShares UltraShort Bloomberg Crude Oil SCO US -20.1 155.6 -12.9%PowerShares DB Energy Fund DBE US -18.5 162.7 -11.4%

VelocityShares 3x Silver ETN linked to GSCI Silver Index USLV US -17.1 251.4 -6.8%ProShares Ultra Silver AGQ US -11.4 380.6 -3.0%

ETFS Physical Palladium Shares PALL US -9.4 180.9 -5.2%PowerShares DB Oil Fund DBO US -8.8 476.3 -1.9%

iPath GSCI Total Return Index ETN GSP US -7.2 47.2 -15.2%

Sector

LivestockIndustrial MetalsPrecious Metals

Total

Broad BasedEnergy

Agriculture

27

COMMODITY FUTURES TERM STRUCTUREENERGY GROUP

GRAINS GROUP

1.5

2.5

3.5

4.5

5.5

AUG

16M

AY 1

7FE

B 18

NO

V 18

AUG

19M

AY 2

0FE

B 21

NO

V 21

AUG

22M

AY 2

3FE

B 24

NO

V 24

AUG

25M

AY 2

6FE

B 27

NO

V 27

AUG

28

Natural Gas

30-Jun-2016

29-Jul-2016

010203040506070

AUG

16DE

C 16

APR

17AU

G 17

DEC

17AP

R 18

AUG

18DE

C 18

APR

19AU

G 19

DEC

19AP

R 20

AUG

20DE

C 20

APR

21AU

G 21

DEC

21

WTI Crude

30-Jun-2016

29-Jul-2016

3035404550556065

AUG

16JA

N 1

7JU

N 1

7N

OV

17AP

R 18

SEP

18FE

B 19

JUL

19DE

C 19

MAY

20

OCT

20

MAR

21

AUG

21JA

N 2

2JU

N 2

2N

OV

22#N

/A In

valid

Brent Crude

30-Jun-2016

29-Jul-2016

0

50

100

150

200

JUL

16

OCT

16

JAN

17

APR

17

JUL

17

OCT

17

JAN

18

APR

18

JUL

18

OCT

18

JAN

19

APR

19

JUL

19

OCT

19

ULS Diesel

30-Jun-2016

29-Jul-2016

100

120

140

160

180

200

JUL

16SE

P 16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17SE

P 17

NO

V 17

JAN

18

MAR

18

MAY

18

JUL

18SE

P 18

NO

V 18

JAN

19

MAR

19

MAY

19

Unleaded Gasoline

30-Jun-2016

29-Jul-2016

0

100

200

300

400

500

JUL

16

SEP

16

DEC

16

MAR

17

JUL

17

SEP

17

DEC

17

MAR

18

JUL

18

SEP

18

DEC

18

Soybean Meal

30-Jun-2016

29-Jul-2016350

400

450

500

550

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

HRW Wheat

30-Jun-2016

29-Jul-2016

300

350

400

450

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

DEC

18

Corn

30-Jun-2016

29-Jul-2016800

900

1000

1100

1200

JUL

16AU

G 16

SEP

16N

OV

16JA

N 1

7M

AR 1

7M

AY 1

7JU

L 17

AUG

17SE

P 17

NO

V 17

JAN

18

MAR

18

MAY

18

JUL

18AU

G 18

SEP

18

Soybeans

30-Jun-2016

29-Jul-2016

350

400

450

500

550

600

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

Wheat

30-Jun-2016

29-Jul-201628293031323334

JUL

16

SEP

16

DEC

16

MAR

17

JUL

17

SEP

17

DEC

17

MAR

18

JUL

18

SEP

18

DEC

18

Soybean Oil

30-Jun-2016

29-Jul-2016

28

INDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

SOFTS GROUP

LIVESTOCK GROUP

214216218220222224226228

JUL

16

OCT

16

JAN

17

APR

17

JUL

17

OCT

17

JAN

18

APR

18

JUL

18

MAR

19

SEP

19

MAY

20

DEC

20

Copper

30-Jun-2016

29-Jul-20161300

1500

1700

1900

2100

2300

JUL

16FE

B 17

SEP

17AP

R 18

NO

V 18

JUN

19

JAN

20

AUG

20M

AR 2

1N

OV

21JU

N 2

2JA

N 2

3AU

G 23

MAR

24

OCT

24

MAY

25

DEC

25JU

L 26

Aluminum

30-Jun-2016

29-Jul-2016

1250

1300

1350

1400

1450

JUL

16

SEP

16

DEC

16

APR

17

AUG

17

DEC

17

APR

18

DEC

18

DEC

19

DEC

20

DEC

21

Gold

30-Jun-2016

29-Jul-201617

18

19

20

21

22

JUL

16AU

G 16

SEP

16DE

C 16

JAN

17

MAR

17

MAY

17

JUL

17SE

P 17

DEC

17JA

N 1

8M

AR 1

8M

AY 1

8JU

L 18

DEC

18JU

L 19

DEC

19JU

L 20

DEC

20

Silver

30-Jun-2016

29-Jul-2016

10121416182022

JUL

16

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

MAR

18

MAY

18

JUL

18

OCT

18

MAR

19

Sugar

30-Jun-2016

29-Jul-2016110120130140150160170

JUL

16SE

P 16

DEC

16M

AR 1

7M

AY 1

7JU

L 17

SEP

17DE

C 17

MAR

18

MAY

18

JUL

18SE

P 18

DEC

18M

AR 1

9M

AY 1

9

Coffee

30-Jun-2016

29-Jul-2016

5055606570758085

JUL

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

MAY

17

JUN

17

JUL

17

AUG

17

OCT

17

Lean Hogs

30-Jun-2016

29-Jul-2016

9095

100105110115120125

JUN

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

JUN

17

AUG

17

Live Cattle

30-Jun-2016

29-Jul-2016

190019502000205021002150220022502300

JUL

16N

OV

16M

AR 1

7JU

L 17

NO

V 17

MAR

18

JUL

18N

OV

18M

AR 1

9JU

L 19

NO

V 19

MAR

20

JUL

20N

OV

20M

AR 2

1JU

L 21

Zinc

30-Jun-2016

29-Jul-2016850090009500

10000105001100011500

JUL

16N

OV

16M

AR 1

7JU

L 17

NO

V 17

MAR

18

JUL

18N

OV

18M

AR 1

9JU

L 19

NO

V 19

MAR

20

JUL

20N

OV

20M

AR 2

1JU

L 21

Nickel

30-Jun-2016

29-Jul-2016

55

60

65

70

75

80

JUL

16

OCT

16

DEC

16

MAR

17

MAY

17

JUL

17

OCT

17

DEC

17

MAR

18

MAY

18

JUL

18

OCT

18

DEC

18

MAR

19

Cotton

30-Jun-2016

29-Jul-2016

29

BLOOMBERG INTELLIGENCE: COMMODITY DASHBOARDS BI <GO> * Click hyperlinks to open in Bloomberg

Crude Oil Production: BI OILS <GO> Natural Gas Production: BI NGAS <GO>

Precious Metal Mining: BI PMET <GO> Agricultural Chemicals: BI AGCH <GO>

Copper: BI COPP <GO> Aluminum: BI ALUM <GO>

BI provides analysis on several key drivers of BCOM performance; industrial and precious metals mining, oil and natural gas production, and agricultural chemicals. The dashboards include key macro data libraries and interactive charting and commentary from analysts with an average of seventeen years of experience.

30

COMMODITY CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE

* Click hyperlinks to open in Bloomberg

Broad Commodities EnergyTop commodity news CTOP Top energy news ETOPGlobal commodity prices GLCO Top oil news OTOP Commodity playbook CPLY Crude Oil Production Dashboard BI OILSCommitments of traders report COT First Word oil NI BFWOIL Calendar of commodity events ECO17 News on oil inventories TNI OIL INV Commodity arbitrage calculator CARC Oil Buyer's Guide newsletter NI OBGBRIEFCommodity fundamental data explorer FDM Pipes & Wires newsletter NI PAWSBRIEFCommodity futures overview CMBQ Oil market analysis BOILSecurity finder SECF Nat gas spot prices BGASCommodity data contributors & broker CDAT Forward European utility markets EUMContract table menu CTM News on oil markets NI OILMARKET Seasonality chart SEAG News on OPEC NI OPEC Commodity curve analysis CCRV OPEC production and prices OPECCommodity fair values CFVL Oil markets menu OIL Commodity price forecasts CPFC Crude stored in tankers NOONCommitments of Traders Report COT Refinery outages REFOCommodity maps BMAP Oil’s decline EXT5 Commodity options monitor OMON Oil versus inflation expectations SWIFCommodities charts COSYCommodity Investors menu CMNV MetalsUS exchange traded product fund flows ETF Top metal news METT

Precious metal dashboard BI PMETGBase metals dashboard BI BMET

Commodity Indices Metals prices and data MINE Index description BCOM Index DES Precious metals prices and rates MTL Index constituent weights BCOM Index MEMB Metals Bulletin MB Listed index futures BCOM Index CT COMEX inventories COMX Option volatility surface BCOM Index OVDV LME monitor LME Seasonality chart BCOMNG Index SEAG LME implied volatilities LMIV Commodity index futures movers FMV LME warehouse inventories LMEI Commodity index ranked returns CRR

AgricultureWeather Top agriculture news YTOP Global weather database WETR Agriculture calendar AGRI US snow monitor SNOW Agriculture spot prices AGGPEU weather & utility models EUMM Agriculture supply & demand AGSD

Crop calendar CCAL

BCOM QUICK FACTS Index Methodology

Weighting Bias 2/3 market liquidity and 1/3 world production No. of Commodities 20 Re-balancing Frequency Annual Roll Schedule Monthly (5 day roll) Caps/Limits Single commodity: max 15%

Single commodity and its derivatives: max 25%Related commodity groups: max 33%

First Value Date 30 December 1990

The data provided in this report can be easily accessed on the Bloomberg Professional® service along with numerous news and analytical tools to help you stay on top of the commodity markets.

31

BLOOMBERG, BLOOMBERG INDICES and BCOM are trademarks or service marks of Bloomberg Finance L.P.

Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary

right in the BLOOMBERG INDICES or BCOM. Bloomberg does not guarantee the timeliness, accuracy or

completeness of any data or information relating to BLOOMBERG INDICES or BCOM. Bloomberg makes no

warranty, express or implied, as to the BLOOMBERG INDICES or BCOM or any data or values relating thereto or

results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular

purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual

performance. Past performance is not an indication of future results. To the maximum extent allowed by law,

Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall

have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential,

incidental, punitive or otherwise - arising in connection with BLOOMBERG INDICES or BCOM or any data or

values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision

of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDICES or BCOM

shall constitute or be construed as an offering of financial instruments or as investment advice or investment

recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into

any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation

as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the

BLOOMBERG INDICES or BCOM should not be considered as information sufficient upon which to base an

investment decision. All information provided by the BLOOMBERG INDICES or BCOM is impersonal and not

tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion

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Bloomberg Intelligence is offered where the necessary legal clearances have been obtained. Bloomberg Intelligence

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32